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Table of Contents
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM 10-Q

☑ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the Quarterly Period Ended March 31, 2021
OR

☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the Transition Period from to
Commission File No. 1-11778

CHUBB LIMITED
(Exact name of registrant as specified in its charter)

Switzerland | 98-0091805
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.)

Baerengasse 32
Zurich, Switzerland CH-8001
(Address of principal executive offices) (Zip Code)
+41 (0)43 456 76 00
(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:
Title of each class | Trading Symbol(s) | Name of each exchange on which registered
Common Shares, par value CHF 24.15 per share | CB | New York Stock Exchange
Guarantee of Chubb INA Holdings Inc. 0.30% Senior Notes due 2024 | CB/24A | New York Stock Exchange
Guarantee of Chubb INA Holdings Inc. 0.875% Senior Notes due 2027 | CB/27 | New York Stock Exchange
Guarantee of Chubb INA Holdings Inc. 1.55% Senior Notes due 2028 | CB/28 | New York Stock Exchange
Guarantee of Chubb INA Holdings Inc. 0.875% Senior Notes due 2029 | CB/29A | New York Stock Exchange
Guarantee of Chubb INA Holdings Inc. 1.40% Senior Notes due 2031 | CB/31 | New York Stock Exchange
Guarantee of Chubb INA Holdings Inc. 2.50% Senior Notes due 2038 | CB/38A | New York Stock Exchange

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes ☑ No ☐
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).
Yes ☑ No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” "smaller reporting company," and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer | ☑ |  |  | Accelerated filer | ☐
Non-accelerated filer | ☐ |  |  | Smaller reporting company | ☐
|  |  |  | Emerging growth company | ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes ☐ No ☑
The number of registrant’s Common Shares (CHF 24.15 par value) outstanding as of April 16, 2021 was 449,690,575.

Table of Contents
CHUBB LIMITED
INDEX TO FORM 10-Q

Part I. | FINANCIAL INFORMATION | Page
Item 1. | Financial Statements: |
| Consolidated Balance Sheets (Unaudited) March 31, 2021 and December 31, 20 20 | 3
| Consolidated Statements of Operations and Comprehensive Income (Unaudited) Three Months Ended March 3 1, 202 1 and 20 20 | 4
| Consolidated Statements of Shareholders' Equity (Unaudited) Three Months Ended March 3 1, 202 1 and 20 20 | 5
| Consolidated Statements of Cash Flows (Unaudited) Three Months Ended March 3 1, 202 1 and 20 20 | 6
| Notes to Consolidated Financial Statements (Unaudited) |
| Note 1. | General | 7
| Note 2. | Acquisitions | 8
| Note 3. | Investments | 8
| Note 4. | Fair value measurements | 14
| Note 5. | Reinsurance | 21
| Note 6. | Unpaid losses and loss expenses | 22
| Note 7. | Commitments, contingencies, and guarantees | 25
| Note 8. | Shareholders’ equity | 29
| Note 9. | Share-based compensation | 30
| Note 10. | Postretirement benefits | 31
| Note 11. | Segment information | 32
| Note 12. | Earnings per share | 33
| Note 13. | Information provided in connection with outstanding debt of subsidiaries | 34
Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations | 35
Item 3. | Quantitative and Qualitative Disclosures About Market Risk | 67
Item 4. | Controls and Procedures | 70
Part II. | OTHER INFORMATION |
Item 1. | Legal Proceedings | 70
Item 1A. | Risk Factors | 70
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds and Issuer Repurchases of Equity Securities | 70
Item 6. | Exhibits | 71

2

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PART I FINANCIAL INFORMATION

ITEM 1. Financial Statements

CONSOLIDATED BALANCE SHEETS (Unaudited)
Chubb Limited and Subsidiaries

| March 31 |  | December 31
(in millions of U.S. dollars, except share and per share data) | 2021 |  | 2020
Assets |  |  |
Investments |  |  |
Fixed maturities available for sale, at fair value, net of valuation allowance - $15 and $20 (amortized cost – $87,873 and $85,188) | $ | 91,071 |  |  | $ | 90,699 |
Fixed maturities held to maturity, at amortized cost, net of valuation allowance - $43 and $44 (fair value – $11,752 and $12,510) | 11,132 |  |  | 11,653 |
Equity securities, at fair value | 4,405 |  |  | 4,027 |
Short-term investments, at fair value (amortized cost – $3,736 and $4,349) | 3,735 |  |  | 4,345 |
Other investments, at fair value | 8,636 |  |  | 7,945 |
Total investments | 118,979 |  |  | 118,669 |
Cash | 1,684 |  |  | 1,747 |
Restricted cash | 157 |  |  | 89 |
Securities lending collateral | 2,076 |  |  | 1,844 |
Accrued investment income | 857 |  |  | 867 |
Insurance and reinsurance balances receivable, net of valuation allowance - $43 and $44 | 10,573 |  |  | 10,480 |
Reinsurance recoverable on losses and loss expenses, net of valuation allowance - $317 and $314 | 15,914 |  |  | 15,592 |
Reinsurance recoverable on policy benefits | 202 |  |  | 206 |
Deferred policy acquisition costs | 5,443 |  |  | 5,402 |
Value of business acquired | 258 |  |  | 263 |
Goodwill | 15,412 |  |  | 15,400 |
Other intangible assets | 5,749 |  |  | 5,811 |
Prepaid reinsurance premiums | 2,835 |  |  | 2,769 |
Investments in partially-owned insurance companies | 2,871 |  |  | 2,813 |
Other assets | 8,967 |  |  | 8,822 |
Total assets | $ | 191,977 |  |  | $ | 190,774 |
Liabilities |  |  |
Unpaid losses and loss expenses | $ | 69,255 |  |  | $ | 67,811 |
Unearned premiums | 18,040 |  |  | 17,652 |
Future policy benefits | 5,839 |  |  | 5,713 |
Insurance and reinsurance balances payable | 6,566 |  |  | 6,708 |
Securities lending payable | 2,076 |  |  | 1,844 |
Accounts payable, accrued expenses, and other liabilities | 14,051 |  |  | 14,052 |
Deferred tax liabilities | 482 |  |  | 892 |
Repurchase agreements | 1,405 |  |  | 1,405 |
Long-term debt | 14,879 |  |  | 14,948 |
Trust preferred securities | 308 |  |  | 308 |
Total liabilities | 132,901 |  |  | 131,333 |
Commitments and contingencies (refer to Note 7) |  |  |
Shareholders’ equity |  |  |
Common Shares (CHF 24.15 par value; 477,605,264 shares issued; 449,676,959 and 450,732,625 shares outstanding) | 11,064 |  |  | 11,064 |
Common Shares in treasury (27,928,305 and 26,872,639 shares) | (3,901) |  |  | (3,644) |
Additional paid-in capital | 9,318 |  |  | 9,815 |
Retained earnings | 41,637 |  |  | 39,337 |
Accumulated other comprehensive income (AOCI) | 958 |  |  | 2,869 |
Total shareholders’ equity | 59,076 |  |  | 59,441 |
Total liabilities and shareholders’ equity | $ | 191,977 |  |  | $ | 190,774 |

See accompanying notes to the consolidated financial statements
3

Table of Contents
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (Unaudited)
Chubb Limited and Subsidiaries

| Three Months Ended |  |
| March 31 |  |
(in millions of U.S. dollars, except per share data) | 2021 |  | 2020 |  |  |  |
Revenues |  |  |  |  |  |  |
Net premiums written | $ | 8,662 |  |  | $ | 7,977 |  |  |  |  |
Increase in unearned premiums | (441) |  |  | (183) |  |  |  |  |
Net premiums earned | 8,221 |  |  | 7,794 |  |  |  |  |
Net investment income | 863 |  |  | 861 |  |  |  |  |
Net realized gains (losses) (includes $24 and $(319) reclassified from AOCI) | 887 |  |  | (958) |  |  |  |  |
Total revenues | 9,971 |  |  | 7,697 |  |  |  |  |
Expenses |  |  |  |  |  |  |
Losses and loss expenses | 5,053 |  |  | 4,485 |  |  |  |  |
Policy benefits | 167 |  |  | 129 |  |  |  |  |
Policy acquisition costs | 1,665 |  |  | 1,615 |  |  |  |  |
Administrative expenses | 744 |  |  | 741 |  |  |  |  |
Interest expense | 122 |  |  | 132 |  |  |  |  |
Other (income) expense | (490) |  |  | 55 |  |  |  |  |
Amortization of purchased intangibles | 72 |  |  | 73 |  |  |  |  |
Total expenses | 7,333 |  |  | 7,230 |  |  |  |  |
Income before income tax | 2,638 |  |  | 467 |  |  |  |  |
Income tax expense (benefit) (includes $4 and $(40) on unrealized gains and losses reclassified from AOCI) | 338 |  |  | 215 |  |  |  |  |
Net income | $ | 2,300 |  |  | $ | 252 |  |  |  |  |
Other comprehensive income (loss) |  |  |  |  |  |  |
Unrealized depreciation | $ | (2,293) |  |  | $ | (2,479) |  |  |  |  |
Reclassification adjustment for net realized (gains) losses included in net income | (24) |  |  | 319 |  |  |  |  |
| (2,317) |  |  | (2,160) |  |  |  |  |
Change in: |  |  |  |  |  |  |
Cumulative foreign currency translation adjustment | 22 |  |  | (859) |  |  |  |  |
Postretirement benefit liability adjustment | (28) |  |  | (14) |  |  |  |  |
Other comprehensive loss, before income tax | (2,323) |  |  | (3,033) |  |  |  |  |
Income tax benefit related to OCI items | 412 |  |  | 321 |  |  |  |  |
Other comprehensive loss | (1,911) |  |  | (2,712) |  |  |  |  |
Comprehensive income (loss) | $ | 389 |  |  | $ | (2,460) |  |  |  |  |
Earnings per share |  |  |  |  |  |  |
Basic earnings per share | $ | 5.10 |  |  | $ | 0.56 |  |  |  |  |
Diluted earnings per share | $ | 5.07 |  |  | $ | 0.55 |  |  |  |  |

See accompanying notes to the consolidated financial statements
4

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CONSOLIDATED STATEMENTS OF SHAREHOLDERS' EQUITY (Unaudited)
Chubb Limited and Subsidiaries

| Three Months Ended |  |
| March 31 |  |
(in millions of U.S. dollars) | 2021 |  | 2020 |  |  |  |
Common Shares |  |  |  |  |  |  |
Balance – beginning and end of period | $ | 11,064 |  |  | $ | 11,121 |  |  |  |  |
Common Shares in treasury |  |  |  |  |  |  |
Balance – beginning of period | (3,644) |  |  | (3,754) |  |  |  |  |
Common Shares repurchased | (519) |  |  | (326) |  |  |  |  |
Net shares issued under employee share-based compensation plans | 262 |  |  | 208 |  |  |  |  |
Balance – end of period | (3,901) |  |  | (3,872) |  |  |  |  |
Additional paid-in capital |  |  |  |  |  |  |
Balance – beginning of period | 9,815 |  |  | 11,203 |  |  |  |  |
Net shares issued under employee share-based compensation plans | (187) |  |  | (196) |  |  |  |  |
Exercise of stock options | (24) |  |  | (26) |  |  |  |  |
Share-based compensation expense | 66 |  |  | 69 |  |  |  |  |
Funding of dividends declared to Retained earnings | (352) |  |  | (340) |  |  |  |  |
Balance – end of period | 9,318 |  |  | 10,710 |  |  |  |  |
Retained earnings |  |  |  |  |  |  |
Balance – beginning of period | 39,337 |  |  | 36,142 |  |  |  |  |
Cumulative effect of adoption of accounting guidance | — |  |  | (63) |  |  |  |  |
Balance – beginning of period, as adjusted | 39,337 |  |  | 36,079 |  |  |  |  |
Net income | 2,300 |  |  | 252 |  |  |  |  |
Funding of dividends declared from Additional paid-in capital | 352 |  |  | 340 |  |  |  |  |
Dividends declared on Common Shares | (352) |  |  | (340) |  |  |  |  |
Balance – end of period | 41,637 |  |  | 36,331 |  |  |  |  |
Accumulated other comprehensive income (loss) |  |  |  |  |  |  |
Net unrealized appreciation (depreciation) on investments |  |  |  |  |  |  |
Balance – beginning of period | 4,673 |  |  | 2,543 |  |  |  |  |
Change in period, before reclassification from AOCI, net of income tax benefit of $401 and $324 | (1,892) |  |  | (2,155) |  |  |  |  |
Amounts reclassified from AOCI, net of income tax (expense) benefit of $4 and $(40) | (20) |  |  | 279 |  |  |  |  |
Change in period, net of income tax benefit of $405 and $284 | (1,912) |  |  | (1,876) |  |  |  |  |
Balance – end of period | 2,761 |  |  | 667 |  |  |  |  |
Cumulative foreign currency translation adjustment |  |  |  |  |  |  |
Balance – beginning of period | (1,637) |  |  | (1,939) |  |  |  |  |
Change in period, net of income tax benefit of $2 and $34 | 24 |  |  | (825) |  |  |  |  |
Balance – end of period | (1,613) |  |  | (2,764) |  |  |  |  |
Postretirement benefit liability adjustment |  |  |  |  |  |  |
Balance – beginning of period | (167) |  |  | 15 |  |  |  |  |
Change in period, net of income tax benefit of $5 and $3 | (23) |  |  | (11) |  |  |  |  |
Balance – end of period | (190) |  |  | 4 |  |  |  |  |
Accumulated other comprehensive income (loss) | 958 |  |  | (2,093) |  |  |  |  |
Total shareholders’ equity | $ | 59,076 |  |  | $ | 52,197 |  |  |  |  |

See accompanying notes to the consolidated financial statements
5

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CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited)
Chubb Limited and Subsidiaries

| Three Months Ended
| March 31
(in millions of U.S. dollars) | 2021 |  | 2020
Cash flows from operating activities |  |  |
Net income | $ | 2,300 |  |  | $ | 252 |
Adjustments to reconcile net income to net cash flows from operating activities |  |  |
Net realized (gains) losses | (887) |  |  | 958 |
Amortization of premiums/discounts on fixed maturities | 76 |  |  | 87 |
Amortization of purchased intangibles | 72 |  |  | 73 |
Deferred income taxes | — |  |  | (13) |
Unpaid losses and loss expenses | 1,368 |  |  | 228 |
Unearned premiums | 503 |  |  | 192 |
Future policy benefits | 47 |  |  | 31 |
Insurance and reinsurance balances payable | (36) |  |  | 2 |
Accounts payable, accrued expenses, and other liabilities | (663) |  |  | (392) |
Income taxes payable | 101 |  |  | 109 |
Insurance and reinsurance balances receivable | (209) |  |  | (6) |
Reinsurance recoverable | (290) |  |  | 116 |
Deferred policy acquisition costs | (81) |  |  | (65) |
Other | (196) |  |  | 140 |
Net cash flows from operating activities | 2,105 |  |  | 1,712 |
Cash flows from investing activities |  |  |
Purchases of fixed maturities available for sale | (7,738) |  |  | (6,474) |
Purchases of fixed maturities held to maturity | (102) |  |  | (6) |
Purchases of equity securities | (351) |  |  | (1,380) |
Sales of fixed maturities available for sale | 1,343 |  |  | 4,687 |
Sales of equity securities | 351 |  |  | 131 |
Maturities and redemptions of fixed maturities available for sale | 4,289 |  |  | 2,756 |
Maturities and redemptions of fixed maturities held to maturity | 604 |  |  | 440 |
Net change in short-term investments | 595 |  |  | 552 |
Net derivative instruments settlements | 87 |  |  | 109 |
Private equity contributions | (427) |  |  | (361) |
Private equity distributions | 206 |  |  | 211 |
Payment, including deposit, for Huatai Group interest | (65) |  |  | (1,550) |
Other | (44) |  |  | (125) |
Net cash flows used for investing activities | (1,252) |  |  | (1,010) |
Cash flows from financing activities |  |  |
Dividends paid on Common Shares | (352) |  |  | (339) |
Common Shares repurchased | (519) |  |  | (323) |
Proceeds from issuance of repurchase agreements | 450 |  |  | 952 |
Repayment of repurchase agreements | (450) |  |  | (952) |
Proceeds from share-based compensation plans | 115 |  |  | 47 |
Policyholder contract deposits and other | 133 |  |  | 135 |
Policyholder contract withdrawals and other | (124) |  |  | (162) |
Other | (65) |  |  | (3) |
Net cash flows used for financing activities | (812) |  |  | (645) |
Effect of foreign currency rate changes on cash and restricted cash | (36) |  |  | (45) |
Net increase in cash and restricted cash | 5 |  |  | 12 |
Cash and restricted cash – beginning of period | 1,836 |  |  | 1,646 |
Cash and restricted cash – end of period | $ | 1,841 |  |  | $ | 1,658 |
Supplemental cash flow information |  |  |
Taxes paid | $ | 236 |  |  | $ | 107 |
Interest paid | $ | 90 |  |  | $ | 91 |

See accompanying notes to the consolidated financial statements
6

Table of Contents
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)
Chubb Limited and Subsidiaries
1. General
a) Basis of presentation
Chubb Limited is a holding company incorporated in Zurich, Switzerland. Chubb Limited, through its subsidiaries, provides a broad range of insurance and reinsurance products to insureds worldwide. Our results are reported through the following business segments: North America Commercial P&C Insurance, North America Personal P&C Insurance, North America Agricultural Insurance, Overseas General Insurance, Global Reinsurance, and Life Insurance. Refer to Note 11 for additional information.
The interim unaudited consolidated financial statements, which include the accounts of Chubb Limited and its subsidiaries (collectively, Chubb, we, us, or our), have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP) and, in the opinion of management, reflect all adjustments necessary for a fair statement of the results and financial position for such periods. All significant intercompany accounts and transactions, including internal reinsurance transactions, have been eliminated.
The results of operations and cash flows for any interim period are not necessarily indicative of the results for the full year. These consolidated financial statements should be read in conjunction with the consolidated financial statements and related notes included in our 2020 Form 10-K.
b) Restricted cash
Restricted cash in the Consolidated balance sheets represents amounts held for the benefit of third parties and is legally or contractually restricted as to withdrawal or usage. Amounts include deposits with U.S. and non-U.S. regulatory authorities, trust funds set up for the benefit of ceding companies, and amounts pledged as collateral to meet financing arrangements.
The following table provides a reconciliation of cash and restricted cash reported within the Consolidated balance sheets that total to the amounts shown in the Consolidated statements of cash flows:

| March 31 |  | December 31
(in millions of U.S. dollars) | 2021 |  | 2020
Cash | $ | 1,684 |  |  | $ | 1,747 |
Restricted cash | 157 |  |  | 89 |
Total cash and restricted cash shown in the Consolidated statements of cash flows | $ | 1,841 |  |  | $ | 1,836 |

c) Goodwill
During the three months ended March 31, 2021, Goodwill increased $12 million, primarily reflecting the impact of foreign exchange.
d) Accounting guidance not yet adopted
Targeted Improvements to the Accounting for Long-Duration Contracts
In August 2018, the FASB issued guidance to improve the existing recognition, measurement, presentation, and disclosure requirements for long-duration contracts issued by an insurance entity. The amendments in this update require more frequent updating of assumptions and a standardized discount rate for the future policy benefit liability, a requirement to use the fair value measurement model for policies with market risk benefits, simplified amortization of deferred acquisition costs, and enhanced disclosures. This standard will be effective in the first quarter of 2023 with early adoption permitted. We are currently assessing the effect of adopting this guidance on our financial condition and results of operations. We will be better able to quantify the effect of adopting this standard as we progress in our implementation process and draw nearer to the date of adoption.
7

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)
Chubb Limited and Subsidiaries
2. Acquisitions
Huatai Group
Chubb maintains a direct investment in Huatai Insurance Group Co., Ltd. (Huatai Group). Huatai Group is the parent company of, and owns 100 percent of, Huatai Property & Casualty Insurance Co., Ltd. (Huatai P&C), approximately 80 percent of Huatai Life Insurance Co., Ltd. (Huatai Life), and approximately 82 percent of Huatai Asset Management Co., Ltd. (collectively, Huatai). Huatai Group's insurance operations have more than 600 branches and 17 million customers in China. In November 2020, we completed the purchase of an incremental 0.9 percent ownership interest in Huatai Group for approximately $65 million, which was paid in January 2021.
As of March 31, 2021, Chubb's aggregate ownership interest in Huatai Group was approximately 47.1 percent. Chubb applies the equity method of accounting to its investment in Huatai Group by recording its share of net income or loss in Other (income) expense in the Consolidated statements of operations. In 2019, Chubb entered into an agreement to acquire an additional 7.1 percent ownership interest in Huatai Group. The purchase of the additional 7.1 percent ownership interest is contingent upon important conditions. Upon completion of the 7.1 percent purchase, Chubb is expected to obtain majority ownership of Huatai Group and control of Huatai. At that time, Chubb is expected to apply consolidation accounting and discontinue the application of the equity method of accounting.
3. Investments
a) Fixed maturities

March 31, 2021 | Amortized Cost |  | Valuation Allowance |  | Gross Unrealized Appreciation |  | Gross Unrealized Depreciation |  | Fair Value |  |  |
(in millions of U.S. dollars) |  |  |  |
Available for sale |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 2,413 |  |  | $ | — |  |  | $ | 121 |  |  | $ | (7) |  |  | $ | 2,527 |  |  |  |
Non-U.S. | 25,147 |  |  | (6) |  |  | 1,214 |  |  | (189) |  |  | 26,166 |  |  |  |
Corporate and asset-backed securities | 35,224 |  |  | (9) |  |  | 1,474 |  |  | (289) |  |  | 36,400 |  |  |  |
Mortgage-backed securities | 18,788 |  |  | — |  |  | 738 |  |  | (89) |  |  | 19,437 |  |  |  |
Municipal | 6,301 |  |  | — |  |  | 254 |  |  | (14) |  |  | 6,541 |  |  |  |
| $ | 87,873 |  |  | $ | (15) |  |  | $ | 3,801 |  |  | $ | (588) |  |  | $ | 91,071 |  |  |  |
| Amortized Cost |  | Valuation Allowance |  | Net Carrying Value |  | Gross Unrealized Appreciation |  | Gross Unrealized Depreciation |  | Fair Value |
Held to maturity |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 1,158 |  |  | $ | — |  |  | $ | 1,158 |  |  | $ | 39 |  |  | $ | — |  |  | $ | 1,197 |  |
Non-U.S. | 1,276 |  |  | (6) |  |  | 1,270 |  |  | 82 |  |  | (1) |  |  | 1,351 |  |
Corporate and asset-backed securities | 2,163 |  |  | (35) |  |  | 2,128 |  |  | 183 |  |  | — |  |  | 2,311 |  |
Mortgage-backed securities | 1,888 |  |  | (1) |  |  | 1,887 |  |  | 110 |  |  | — |  |  | 1,997 |  |
Municipal | 4,690 |  |  | (1) |  |  | 4,689 |  |  | 207 |  |  | — |  |  | 4,896 |  |
| $ | 11,175 |  |  | $ | (43) |  |  | $ | 11,132 |  |  | $ | 621 |  |  | $ | (1) |  |  | $ | 11,752 |  |

8

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)
Chubb Limited and Subsidiaries

December 31, 2020 | Amortized Cost |  | Valuation Allowance |  | Gross Unrealized Appreciation |  | Gross Unrealized Depreciation |  | Fair Value |  |
(in millions of U.S. dollars) |  |  |  |  |
Available for sale |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 2,471 |  |  | $ | — |  |  | $ | 199 |  |  | $ | — |  |  | $ | 2,670 |  |  |
Non-U.S. | 24,594 |  |  | (6) |  |  | 1,808 |  |  | (42) |  |  | 26,354 |  |  |
Corporate and asset-backed securities | 34,095 |  |  | (14) |  |  | 2,322 |  |  | (72) |  |  | 36,331 |  |  |
Mortgage-backed securities | 17,456 |  |  | — |  |  | 1,022 |  |  | (8) |  |  | 18,470 |  |  |
Municipal | 6,572 |  |  | — |  |  | 304 |  |  | (2) |  |  | 6,874 |  |  |
| $ | 85,188 |  |  | $ | (20) |  |  | $ | 5,655 |  |  | $ | (124) |  |  | $ | 90,699 |  |  |
| Amortized Cost |  | Valuation Allowance |  | Net Carrying Value |  | Gross Unrealized Appreciation |  | Gross Unrealized Depreciation |  | Fair Value
Held to maturity |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 1,392 |  |  | $ | — |  |  | $ | 1,392 |  |  | $ | 60 |  |  | $ | — |  |  | $ | 1,452 |
Non-U.S. | 1,295 |  |  | (7) |  |  | 1,288 |  |  | 118 |  |  | (1) |  |  | 1,405 |
Corporate and asset-backed securities | 2,185 |  |  | (35) |  |  | 2,150 |  |  | 288 |  |  | — |  |  | 2,438 |
Mortgage-backed securities | 2,000 |  |  | (1) |  |  | 1,999 |  |  | 148 |  |  | (1) |  |  | 2,146 |
Municipal | 4,825 |  |  | (1) |  |  | 4,824 |  |  | 245 |  |  | — |  |  | 5,069 |
| $ | 11,697 |  |  | $ | (44) |  |  | $ | 11,653 |  |  | $ | 859 |  |  | $ | (2) |  |  | $ | 12,510 |

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

| March 31, 2021 | December 31, 2020
(in millions of U.S. dollars, except for percentages) | Amortized cost |  | % of Total | Amortized cost |  | % of Total
AAA | $ | 2,404 |  |  | 22 | % | $ | 2,511 |  |  | 22 | %
AA | 5,815 |  |  | 52 | % | 6,193 |  |  | 53 | %
A | 2,109 |  |  | 19 | % | 2,138 |  |  | 18 | %
BBB | 818 |  |  | 7 | % | 826 |  |  | 7 | %
BB | 28 |  |  | — | % | 28 |  |  | — | %
Other | 1 |  |  | — | % | 1 |  |  | — | %
Total | $ | 11,175 |  |  | 100 | % | $ | 11,697 |  |  | 100 | %

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The following table presents fixed maturities by contractual maturity:

|  |  | March 31 |  |  |  | December 31
|  |  | 2021 |  |  |  | 2020
(in millions of U.S. dollars) | Net Carrying Value |  | Fair Value |  | Net Carrying Value |  | Fair Value
Available for sale |  |  |  |  |  |  |
Due in 1 year or less | $ | 4,767 |  |  | $ | 4,767 |  |  | $ | 4,760 |  |  | $ | 4,760 |
Due after 1 year through 5 years | 26,100 |  |  | 26,100 |  |  | 26,227 |  |  | 26,227 |
Due after 5 years through 10 years | 27,394 |  |  | 27,394 |  |  | 27,232 |  |  | 27,232 |
Due after 10 years | 13,373 |  |  | 13,373 |  |  | 14,010 |  |  | 14,010 |
| 71,634 |  |  | 71,634 |  |  | 72,229 |  |  | 72,229 |
Mortgage-backed securities | 19,437 |  |  | 19,437 |  |  | 18,470 |  |  | 18,470 |
| $ | 91,071 |  |  | $ | 91,071 |  |  | $ | 90,699 |  |  | $ | 90,699 |
Held to maturity |  |  |  |  |  |  |
Due in 1 year or less | $ | 1,099 |  |  | $ | 1,109 |  |  | $ | 1,231 |  |  | $ | 1,240 |
Due after 1 year through 5 years | 3,471 |  |  | 3,613 |  |  | 3,592 |  |  | 3,760 |
Due after 5 years through 10 years | 2,918 |  |  | 3,072 |  |  | 3,029 |  |  | 3,228 |
Due after 10 years | 1,757 |  |  | 1,961 |  |  | 1,802 |  |  | 2,136 |
| 9,245 |  |  | 9,755 |  |  | 9,654 |  |  | 10,364 |
Mortgage-backed securities | 1,887 |  |  | 1,997 |  |  | 1,999 |  |  | 2,146 |
| $ | 11,132 |  |  | $ | 11,752 |  |  | $ | 11,653 |  |  | $ | 12,510 |

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
Fixed maturities in an unrealized loss position at March 31, 2021 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 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:

| 0 – 12 Months |  | Over 12 Months |  | Total
March 31, 2021 | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss
(in millions of U.S. dollars) |  |  |  |  |
U.S. Treasury / Agency | $ | 220 |  |  | $ | (7) |  |  | $ | — |  |  | $ | — |  |  | $ | 220 |  |  | $ | (7) |
Non-U.S. | 4,775 |  |  | (161) |  |  | 381 |  |  | (19) |  |  | 5,156 |  |  | (180) |
Corporate and asset-backed securities | 6,753 |  |  | (254) |  |  | 737 |  |  | (19) |  |  | 7,490 |  |  | (273) |
Mortgage-backed securities | 5,470 |  |  | (87) |  |  | 62 |  |  | (2) |  |  | 5,532 |  |  | (89) |
Municipal | 367 |  |  | (13) |  |  | 14 |  |  | (1) |  |  | 381 |  |  | (14) |
Total AFS fixed maturities | $ | 17,585 |  |  | $ | (522) |  |  | $ | 1,194 |  |  | $ | (41) |  |  | $ | 18,779 |  |  | $ | (563) |

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| 0 – 12 Months |  | Over 12 Months |  | Total
December 31, 2020 | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss
(in millions of U.S. dollars) |  |  |  |  |
Non-U.S. | $ | 1,628 |  |  | $ | (35) |  |  | $ | 114 |  |  | $ | (5) |  |  | $ | 1,742 |  |  | $ | (40) |
Corporate and asset-backed securities | 2,212 |  |  | (33) |  |  | 593 |  |  | (14) |  |  | 2,805 |  |  | (47) |
Mortgage-backed securities | 875 |  |  | (6) |  |  | 35 |  |  | (2) |  |  | 910 |  |  | (8) |
Municipal | 40 |  |  | (1) |  |  | 16 |  |  | (1) |  |  | 56 |  |  | (2) |
Total AFS fixed maturities | $ | 4,755 |  |  | $ | (75) |  |  | $ | 758 |  |  | $ | (22) |  |  | $ | 5,513 |  |  | $ | (97) |

c) Net realized gains (losses)
The following table presents the components of Net realized gains (losses):

| Three Months Ended |  |
| March 31 |  |
(in millions of U.S. dollars) | 2021 |  | 2020 |  |  |  |
Fixed maturities: |  |  |  |  |  |  |
Gross realized gains | $ | 37 |  |  | $ | 77 |  |  |  |  |
Gross realized losses | (19) |  |  | (125) |  |  |  |  |
Net (provision for) recovery of expected credit losses | 6 |  |  | (150) |  |  |  |  |
Impairment (1) | — |  |  | (121) |  |  |  |  |
Total fixed maturities | $ | 24 |  |  | $ | (319) |  |  |  |  |
Equity securities | 367 |  |  | (29) |  |  |  |  |
Other investments | 38 |  |  | 5 |  |  |  |  |
Foreign exchange gains (losses) | 76 |  |  | (68) |  |  |  |  |
Investment and embedded derivative instruments | 109 |  |  | 15 |  |  |  |  |
Fair value adjustments on insurance derivative | 319 |  |  | (685) |  |  |  |  |
S&P futures | (44) |  |  | 125 |  |  |  |  |
Other derivative instruments | (1) |  |  | (2) |  |  |  |  |
Other | (1) |  |  | — |  |  |  |  |
Net realized gains (losses) (pre-tax) | $ | 887 |  |  | $ | (958) |  |  |  |  |

(1)Relates to certain securities we intended to sell and securities written to market entering default.
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:

|  |  | Three Months Ended
|  |  | March 31
| 2021 |  | 2020
(in millions of U.S. dollars) | Equity Securities |  | Other Investments |  | Total |  | Equity Securities |  | Other Investments |  | Total
Net gains (losses) recognized during the period | $ | 367 |  |  | $ | 38 |  |  | $ | 405 |  |  | $ | (29) |  |  | $ | 5 |  |  | $ | (24) |
Less: Net gains (losses) recognized from sales of securities | 45 |  |  | — |  |  | 45 |  |  | (24) |  |  | — |  |  | (24) |
Unrealized gains (losses) recognized for securities still held at reporting date | $ | 322 |  |  | $ | 38 |  |  | $ | 360 |  |  | $ | (5) |  |  | $ | 5 |  |  | $ | — |

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

| Three Months Ended
|  |  | March 31
(in millions of U.S. dollars) | 2021 |  | 2020
Available for sale |  |  |
Valuation allowance for expected credit losses - beginning of period | $ | 20 |  |  | $ | — |
Impact of adoption of new accounting guidance | — |  |  | 25 |
Provision for expected credit loss | 4 |  |  | 149 |
Initial allowance for purchased securities with credit deterioration | — |  |  | 2 |
Recovery of expected credit loss | (9) |  |  | — |
Valuation allowance for expected credit losses - end of period | $ | 15 |  |  | $ | 176 |
Held to maturity |  |  |
Valuation allowance for expected credit losses - beginning of period | $ | 44 |  |  | $ | — |
Impact of adoption of new accounting guidance | — |  |  | 44 |
Provision for expected credit loss | — |  |  | 1 |
Recovery of expected credit loss | (1) |  |  | — |
Valuation allowance for expected credit losses - end of period | $ | 43 |  |  | $ | 45 |

d) 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:

|  |  |  |  | March 31 |  |  |  | December 31
| Expected Liquidation Period of Underlying Assets |  |  |  | 2021 |  |  |  | 2020
(in millions of U.S. dollars) | Fair Value |  | Maximum Future Funding Commitments |  | Fair Value |  | Maximum Future Funding Commitments
Financial | 2 to 10 Years |  | $ | 710 |  |  | $ | 270 |  |  | $ | 673 |  |  | $ | 237 |
Real Assets | 2 to 11 Years |  | 942 |  |  | 621 |  |  | 805 |  |  | 598 |
Distressed | 2 to 8 Years |  | 481 |  |  | 864 |  |  | 358 |  |  | 970 |
Private Credit | 3 to 8 Years |  | 86 |  |  | 276 |  |  | 88 |  |  | 270 |
Traditional | 2 to 14 Years |  | 4,912 |  |  | 1,039 |  |  | 4,519 |  |  | 1,125 |
Vintage | 1 to 2 Years |  | 72 |  |  | — |  |  | 73 |  |  | — |
Investment funds | Not Applicable |  | 254 |  |  | — |  |  | 254 |  |  | — |
|  |  | $ | 7,457 |  |  | $ | 3,070 |  |  | $ | 6,770 |  |  | $ | 3,200 |

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.
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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

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.
e) 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 at March 31, 2021 and December 31, 2020 are investments, primarily fixed maturities, totaling $20.8 billion and $19.6 billion, respectively, and cash of $157 million and $89 million, respectively.
The following table presents the components of restricted assets:

| March 31 |  | December 31
(in millions of U.S. dollars) | 2021 |  | 2020
Trust funds | $ | 13,553 |  |  | $ | 12,305 |
Deposits with U.S. regulatory authorities | 2,424 |  |  | 2,438 |
Deposits with non-U.S. regulatory authorities | 2,917 |  |  | 2,905 |
Assets pledged under repurchase agreements | 1,458 |  |  | 1,462 |
Other pledged assets | 638 |  |  | 584 |
Total | $ | 20,990 |  |  | $ | 19,694 |

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4. 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 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 taken into account 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
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approaching maturity, and as such, their cost approximates fair value. Short-term investments for which pricing is unobservable are classified within Level 3.
Other investments
Fair values for the majority of Other investments including investments in partially-owned investment companies, investment funds, and limited partnerships are based on their respective net asset values or equivalent (NAV) and are excluded from the fair value hierarchy table below. Certain of our long-duration contracts are supported by assets that do not qualify for separate account reporting under GAAP. These assets 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 also include equity securities, classified within Level 1 and fixed maturities, classified within Level 2, held in rabbi trusts maintained by Chubb for deferred compensation plans and supplemental retirement plans and are classified within the valuation hierarchy on the same basis as other equity securities and fixed maturities. Other investments for which pricing is unobservable are classified within Level 3.
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 derivative instruments
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. The fair value of cross-currency swaps and interest rate swaps is based on market valuations and is classified within Level 2. Investment 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 claims and, therefore, an increase in future policy benefit reserves for our guaranteed minimum death benefits (GMDB) and an increase in the fair value liability for our guaranteed living benefits (GLB) reinsurance business. 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 based on unobservable inputs are classified within Level 3. Other derivative instruments are recorded in either Other assets or Accounts payable, accrued expenses, and other liabilities in the Consolidated balance sheets.
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 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. Separate account assets are recorded in Other assets in the Consolidated balance sheets.
Guaranteed living benefits
The GLB arises from life reinsurance programs covering living benefit guarantees whereby we assume the risk of guaranteed minimum income benefits (GMIB) associated with variable annuity contracts. GLB’s are recorded in Accounts payable, accrued expenses, and other liabilities in the Consolidated balance sheets. For GLB reinsurance, Chubb estimates fair value using an internal valuation model which includes current market information and estimates of policyholder behavior. All of the treaties contain claim limits, which are factored into the valuation model. The fair value depends on a number of factors, including interest rates, equity markets, credit risk, current account value, market volatility, expected annuitization rates and other policyholder behavior, and changes in policyholder mortality. Because of the significant use of unobservable inputs including policyholder behavior, GLB reinsurance is classified within Level 3.
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Financial instruments measured at fair value on a recurring basis, by valuation hierarchy

March 31, 2021 | Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available for sale |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 2,044 |  |  | $ | 483 |  |  | $ | — |  |  | $ | 2,527 |
Non-U.S. | — |  |  | 25,516 |  |  | 650 |  |  | 26,166 |
Corporate and asset-backed securities | — |  |  | 34,788 |  |  | 1,612 |  |  | 36,400 |
Mortgage-backed securities | — |  |  | 19,386 |  |  | 51 |  |  | 19,437 |
Municipal | — |  |  | 6,541 |  |  | — |  |  | 6,541 |
| 2,044 |  |  | 86,714 |  |  | 2,313 |  |  | 91,071 |
Equity securities | 4,330 |  |  | — |  |  | 75 |  |  | 4,405 |
Short-term investments | 2,279 |  |  | 1,455 |  |  | 1 |  |  | 3,735 |
Other investments (1) | 421 |  |  | 446 |  |  | 10 |  |  | 877 |
Securities lending collateral | — |  |  | 2,076 |  |  | — |  |  | 2,076 |
Investment derivative instruments | 69 |  |  | — |  |  | — |  |  | 69 |
Other derivative instruments | 2 |  |  | — |  |  | — |  |  | 2 |
Separate account assets | 4,493 |  |  | 115 |  |  | — |  |  | 4,608 |
Total assets measured at fair value (1) | $ | 13,638 |  |  | $ | 90,806 |  |  | $ | 2,399 |  |  | $ | 106,843 |
Liabilities: |  |  |  |  |  |  |
Investment derivative instruments | $ | 79 |  |  | $ | — |  |  | $ | — |  |  | $ | 79 |
Other derivative instruments | 7 |  |  | — |  |  | — |  |  | 7 |
GLB (2) | — |  |  | — |  |  | 760 |  |  | 760 |
Total liabilities measured at fair value | $ | 86 |  |  | $ | — |  |  | $ | 760 |  |  | $ | 846 |

(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $7,457 million, policy loans of $232 million and other investments of $70 million at March 31, 2021 measured using NAV as a practical expedient.
(2)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.
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December 31, 2020 | Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available for sale |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 2,148 |  |  | $ | 522 |  |  | $ | — |  |  | $ | 2,670 |
Non-U.S. | — |  |  | 25,808 |  |  | 546 |  |  | 26,354 |
Corporate and asset-backed securities | — |  |  | 34,758 |  |  | 1,573 |  |  | 36,331 |
Mortgage-backed securities | — |  |  | 18,410 |  |  | 60 |  |  | 18,470 |
Municipal | — |  |  | 6,874 |  |  | — |  |  | 6,874 |
| 2,148 |  |  | 86,372 |  |  | 2,179 |  |  | 90,699 |
Equity securities | 3,954 |  |  | — |  |  | 73 |  |  | 4,027 |
Short-term investments | 2,866 |  |  | 1,474 |  |  | 5 |  |  | 4,345 |
Other investments (1) | 434 |  |  | 438 |  |  | 10 |  |  | 882 |
Securities lending collateral | — |  |  | 1,844 |  |  | — |  |  | 1,844 |
Investment derivative instruments | 35 |  |  | — |  |  | — |  |  | 35 |
Separate account assets | 4,264 |  |  | 124 |  |  | — |  |  | 4,388 |
Total assets measured at fair value (1) | $ | 13,701 |  |  | $ | 90,252 |  |  | $ | 2,267 |  |  | $ | 106,220 |
Liabilities: |  |  |  |  |  |  |
Investment derivative instruments | $ | 52 |  |  | $ | — |  |  | $ | — |  |  | $ | 52 |
Other derivative instruments | 17 |  |  | — |  |  | — |  |  | 17 |
GLB (2) | — |  |  | — |  |  | 1,089 |  |  | 1,089 |
Total liabilities measured at fair value | $ | 69 |  |  | $ | — |  |  | $ | 1,089 |  |  | $ | 1,158 |

(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $6,770 million, policy loans of $233 million and other investments of $60 million at December 31, 2020 measured using NAV as a practical expedient.
(2)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.
Level 3 financial instruments
The following table presents the significant unobservable inputs used in the Level 3 liability valuations. Excluded from the table below are inputs used to determine the fair value of Level 3 assets which are based on single broker quotes and contain no quantitative unobservable inputs developed by management. The majority of our fixed maturities classified as Level 3 used external pricing when markets are less liquid due to the lack of market inputs (i.e., stale pricing, broker quotes).

(in millions of U.S. dollars, except for percentages) | Fair Value |  | Valuation Technique |  | Significant Unobservable Inputs |  | Ranges |  | Weighted Average (1)
March 31, 2021 |  | December 31, 2020 |  |  |  |
GLB (1) | $ | 760 |  |  | $ | 1,089 |  |  | Actuarial model |  | Lapse rate |  | 3% – 34% |  | 4.6 | %
|  |  |  |  |  |  | Annuitization rate |  | 0% – 100% |  | 3.4 | %

(1)The weighted average lapse and annuitization rates are determined by weighting each treaty's rates by the GLB contracts fair value.
The most significant policyholder behavior assumptions include lapse rates and the GMIB annuitization rates. Assumptions regarding lapse rates and GMIB annuitization rates differ by treaty, but the underlying methodologies to determine rates applied to each treaty are comparable.
A lapse rate is the percentage of in-force policies surrendered in a given calendar year. All else equal, as lapse rates increase, ultimate claim payments will decrease.
The GMIB annuitization rate is the percentage of policies for which the policyholder will elect to annuitize using the guaranteed benefit provided under the GMIB. All else equal, as GMIB annuitization rates increase, ultimate claim payments will increase, subject to treaty claim limits.
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The effect of changes in key market factors on assumed lapse and annuitization rates reflect emerging trends using data available from cedants. For treaties with limited experience, rates are established in line with data received from other ceding companies adjusted, as appropriate, with industry estimates. The model and related assumptions are regularly re-evaluated by management and enhanced, as appropriate, based upon additional experience obtained related to policyholder behavior and availability of updated information such as market conditions, market participant assumptions, and demographics of in-force annuities. For the three months ended March 31, 2021 and 2020, no material refinements were made to the model. For detailed information on our lapse and annuitization rate assumptions, refer to Note 4 to the Consolidated Financial Statements of our 2020 Form 10-K.
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):

|  |  | Assets |  |  | Liabilities
Three Months Ended March 31, 2021 (in millions of U.S. dollars) |  |  | Available-for-Sale Debt Securities |  | Equity securities |  | Short-term investments |  | Other investments |  |  |  | GLB (1)
|  | Non-U.S. |  | Corporate and asset- backed securities |  | Mortgage-backed securities |  |  |  |
Balance, beginning of period |  |  | $ | 546 |  |  | $ | 1,573 |  |  | $ | 60 |  |  |  |  | $ | 73 |  |  | $ | 5 |  |  | $ | 10 |  |  |  |  | $ | 1,089 |
Transfers into Level 3 |  |  | — |  |  | 17 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | 8 |  |  | 6 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Net Realized Gains/Losses |  |  | — |  |  | (3) |  |  | — |  |  |  |  | 2 |  |  | — |  |  | — |  |  |  |  | (319) |
Purchases |  |  | 121 |  |  | 169 |  |  | — |  |  |  |  | 3 |  |  | 1 |  |  | — |  |  |  |  | — |
Sales |  |  | (7) |  |  | (25) |  |  | — |  |  |  |  | (3) |  |  | — |  |  | — |  |  |  |  | — |
Settlements |  |  | (18) |  |  | (125) |  |  | (9) |  |  |  |  | — |  |  | (5) |  |  | — |  |  |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | (10) |
Balance, end of period |  |  | $ | 650 |  |  | $ | 1,612 |  |  | $ | 51 |  |  |  |  | $ | 75 |  |  | $ | 1 |  |  | $ | 10 |  |  |  |  | $ | 760 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | (3) |  |  | $ | — |  |  |  |  | $ | 2 |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | (319) |
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date |  |  | $ | 10 |  |  | $ | 11 |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | — |

(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.
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|  |  | Assets |  |  |  |  |  | Liabilities
Three Months Ended March 31, 2020 (in millions of U.S. dollars) |  |  | Available-for-Sale Debt Securities |  |  |  | Equity securities |  | Short-term investments |  | Other investments |  |  |  |  |  | GLB (1)
| Non-U.S. |  | Corporate and asset- backed securities |  | Mortgage-backed securities |  |  |  |
Balance, beginning of period |  |  | $ | 449 |  |  | $ | 1,451 |  |  | $ | 60 |  |  |  |  | $ | 69 |  |  | $ | 6 |  |  | $ | 10 |  |  |  |  |  |  | $ | 897 |
Transfers into Level 3 |  |  | — |  |  | 91 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Transfers out of Level 3 |  |  | (3) |  |  | (1) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Change in Net Unrealized Gains/ Losses in OCI |  |  | (14) |  |  | (45) |  |  | — |  |  |  |  | 1 |  |  | — |  |  | — |  |  |  |  |  |  | — |
Net Realized Gains/Losses |  |  | (2) |  |  | (13) |  |  | — |  |  |  |  | (2) |  |  | — |  |  | — |  |  |  |  |  |  | 685 |
Purchases |  |  | 82 |  |  | 139 |  |  | — |  |  |  |  | 3 |  |  | 1 |  |  | — |  |  |  |  |  |  | — |
Sales |  |  | (46) |  |  | (19) |  |  | — |  |  |  |  | (4) |  |  | — |  |  | — |  |  |  |  |  |  | — |
Settlements |  |  | (1) |  |  | (101) |  |  | — |  |  |  |  | — |  |  | (6) |  |  | — |  |  |  |  |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | 9 |
Balance, end of period |  |  | $ | 465 |  |  | $ | 1,502 |  |  | $ | 60 |  |  |  |  | $ | 67 |  |  | $ | 1 |  |  | $ | 10 |  |  |  |  |  |  | $ | 1,591 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | (14) |  |  | $ | — |  |  |  |  | $ | (2) |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | 685 |
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date |  |  | $ | (15) |  |  | $ | (44) |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | — |

(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.
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. Refer to the 2020 Form 10-K for information on the fair value methods and assumptions for investments in partially-owned insurance companies, short-term and long-term debt, repurchase agreements, and trust-preferred securities.
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Chubb Limited and Subsidiaries
The following tables present fair value, by valuation hierarchy, and carrying value of the financial instruments not measured at fair value:

March 31, 2021 | Fair Value |  | Net Carrying Value
(in millions of U.S. dollars) | Level 1 |  | Level 2 |  | Level 3 |  | Total |
Assets: |  |  |  |  |  |  |  |  |
Fixed maturities held to maturity |  |  |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 1,144 |  |  | $ | 53 |  |  | $ | — |  |  | $ | 1,197 |  |  | $ | 1,158 |
Non-U.S. | — |  |  | 1,351 |  |  | — |  |  | 1,351 |  |  | 1,270 |
Corporate and asset-backed securities | — |  |  | 2,311 |  |  | — |  |  | 2,311 |  |  | 2,128 |
Mortgage-backed securities | — |  |  | 1,997 |  |  | — |  |  | 1,997 |  |  | 1,887 |
Municipal | — |  |  | 4,896 |  |  | — |  |  | 4,896 |  |  | 4,689 |
Total assets | $ | 1,144 |  |  | $ | 10,608 |  |  | $ | — |  |  | $ | 11,752 |  |  | $ | 11,132 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 1,405 |  |  | $ | — |  |  | $ | 1,405 |  |  | $ | 1,405 |
Long-term debt | — |  |  | 16,408 |  |  | — |  |  | 16,408 |  |  | 14,879 |
Trust preferred securities | — |  |  | 470 |  |  | — |  |  | 470 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 18,283 |  |  | $ | — |  |  | $ | 18,283 |  |  | $ | 16,592 |

December 31, 2020 | Fair Value |  | Net Carrying Value
(in millions of U.S. dollars) | Level 1 |  | Level 2 |  | Level 3 |  | Total |
Assets: |  |  |  |  |  |  |  |  |
Fixed maturities held to maturity |  |  |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 1,395 |  |  | $ | 57 |  |  | $ | — |  |  | $ | 1,452 |  |  | $ | 1,392 |
Non-U.S. | — |  |  | 1,405 |  |  | — |  |  | 1,405 |  |  | 1,288 |
Corporate and asset-backed securities | — |  |  | 2,438 |  |  | — |  |  | 2,438 |  |  | 2,150 |
Mortgage-backed securities | — |  |  | 2,146 |  |  | — |  |  | 2,146 |  |  | 1,999 |
Municipal | — |  |  | 5,069 |  |  | — |  |  | 5,069 |  |  | 4,824 |
Total assets | $ | 1,395 |  |  | $ | 11,115 |  |  | $ | — |  |  | $ | 12,510 |  |  | $ | 11,653 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 1,405 |  |  | $ | — |  |  | $ | 1,405 |  |  | $ | 1,405 |
Long-term debt | — |  |  | 17,487 |  |  | — |  |  | 17,487 |  |  | 14,948 |
Trust preferred securities | — |  |  | 473 |  |  | — |  |  | 473 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 19,365 |  |  | $ | — |  |  | $ | 19,365 |  |  | $ | 16,661 |

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Chubb Limited and Subsidiaries
5. Reinsurance
Reinsurance recoverable on ceded reinsurance

|  | March 31, 2021 |  | December 31, 2020
(in millions of U.S. dollars) | Net Reinsurance Recoverable (1) |  | Valuation allowance | Net Reinsurance Recoverable (1) |  | Valuation allowance
Reinsurance recoverable on unpaid losses and loss expenses | $ | 14,860 |  |  | $ | 258 |  |  | $ | 14,647 |  |  | $ | 257 |
Reinsurance recoverable on paid losses and loss expenses | 1,054 |  |  | 59 |  |  | 945 |  |  | 57 |
Reinsurance recoverable on losses and loss expenses | $ | 15,914 |  |  | $ | 317 |  |  | $ | 15,592 |  |  | $ | 314 |
Reinsurance recoverable on policy benefits | $ | 202 |  |  | $ | 4 |  |  | $ | 206 |  |  | $ | 5 |

(1)Net of valuation allowance for uncollectible reinsurance.
The increase in reinsurance recoverable on losses and loss expenses was primarily due to unfavorable prior period development in certain lines and catastrophe losses in the quarter.
The following table presents a roll-forward of valuation allowance for uncollectible reinsurance related to Reinsurance recoverable on loss and loss expenses:

| Three Months Ended
| March 31
(in millions of U.S. dollars) | 2021 |  | 2020
Valuation allowance for uncollectible reinsurance - beginning of period | $ | 314 |  |  | $ | 316 |
Provision for uncollectible reinsurance | 3 |  |  | 2 |
Write-offs charged against the valuation allowance | — |  |  | (13) |
Valuation allowance for uncollectible reinsurance - end of period | $ | 317 |  |  | $ | 305 |

For additional information, refer to Note 1 d) to the Consolidated Financial Statements of our 2020 Form 10-K.
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Chubb Limited and Subsidiaries
6. Unpaid losses and loss expenses
The following table presents a reconciliation of beginning and ending Unpaid losses and loss expenses:

| Three Months Ended
| March 31
(in millions of U.S. dollars) | 2021 |  | 2020
Gross unpaid losses and loss expenses – beginning of period | $ | 67,811 |  |  | $ | 62,690 |
Reinsurance recoverable on unpaid losses – beginning of period (1) | (14,647) |  |  | (14,181) |
Net unpaid losses and loss expenses – beginning of period | 53,164 |  |  | 48,509 |
Net losses and loss expenses incurred in respect of losses occurring in: |  |  |
Current year | 5,249 |  |  | 4,605 |
Prior years (2) | (196) |  |  | (120) |
Total | 5,053 |  |  | 4,485 |
Net losses and loss expenses paid in respect of losses occurring in: |  |  |
Current year | 732 |  |  | 920 |
Prior years | 3,161 |  |  | 3,335 |
Total | 3,893 |  |  | 4,255 |
Foreign currency revaluation and other | 71 |  |  | (565) |
Net unpaid losses and loss expenses – end of period | 54,395 |  |  | 48,174 |
Reinsurance recoverable on unpaid losses (1) | 14,860 |  |  | 14,040 |
Gross unpaid losses and loss expenses – end of period | $ | 69,255 |  |  | $ | 62,214 |

(1) Net of valuation allowance for uncollectible reinsurance.
(2) Relates to prior period loss reserve development only and excludes prior period development related to reinstatement premiums, expense adjustments and earned premiums totaling $4 million and $2 million for the three months ended March 31, 2021 and 2020, respectively.
Gross and net unpaid losses and loss expenses increased $1,444 million and $1,231 million, respectively, for the three months ended March 31, 2021, reflecting an increase in underlying exposure due to premium growth and catastrophe losses incurred, partially offset by favorable prior period development.
Prior Period Development
Prior period development (PPD) arises from changes to loss estimates recognized in the current year that relate to loss events that occurred in previous calendar years and excludes the effect of losses from the development of earned premium from previous accident years. Long-tail lines include lines such as workers' compensation, general liability, and professional liability; while short-tail lines include lines such as most property lines, energy, personal accident, and agriculture.
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Chubb Limited and Subsidiaries
The following table summarizes (favorable) and adverse PPD by segment.

|  |  | Three Months Ended March 31
(in millions of U.S. dollars) |  |  |  |  |  |  | Long-tail |  | Short-tail |  | Total
2021 |  |  |  |  |  |  |  |  |  |  |
North America Commercial P&C Insurance |  |  |  |  |  |  | $ | (46) |  |  | $ | (81) |  |  | $ | (127) |
North America Personal P&C Insurance |  |  |  |  |  |  | — |  |  | (40) |  |  | (40) |
North America Agricultural Insurance |  |  |  |  |  |  | — |  |  | (2) |  |  | (2) |
Overseas General Insurance |  |  |  |  |  |  | — |  |  | (25) |  |  | (25) |
Global Reinsurance |  |  |  |  |  |  | — |  |  | (7) |  |  | (7) |
Corporate |  |  |  |  |  |  | 9 |  |  | — |  |  | 9 |
Total |  |  |  |  |  |  | $ | (37) |  |  | $ | (155) |  |  | $ | (192) |
2020 |  |  |  |  |  |  |  |  |  |  |
North America Commercial P&C Insurance |  |  |  |  |  |  | $ | (43) |  |  | $ | (62) |  |  | $ | (105) |
North America Personal P&C Insurance |  |  |  |  |  |  | — |  |  | 1 |  |  | 1 |
North America Agricultural Insurance |  |  |  |  |  |  | — |  |  | (14) |  |  | (14) |
Overseas General Insurance |  |  |  |  |  |  | — |  |  | (4) |  |  | (4) |
Global Reinsurance |  |  |  |  |  |  | — |  |  | (7) |  |  | (7) |
Corporate |  |  |  |  |  |  | 11 |  |  | — |  |  | 11 |
Total |  |  |  |  |  |  | $ | (32) |  |  | $ | (86) |  |  | $ | (118) |

Significant prior period movements by segment, principally driven by reserve reviews completed during each respective period, are discussed in more detail below. The remaining net development for long-tail lines and short-tail business for each segment and Corporate comprises numerous favorable and adverse movements across a number of lines and accident years, none of which is significant individually or in the aggregate.
North America Commercial P&C Insurance
2021
For the three months ended March 31, 2021, net favorable PPD was $127 million, which was the net result of several underlying favorable and adverse movements, and was driven by the following principal changes:
•Net favorable development of $46 million in long-tail business, primarily from:
•Net favorable development of $51 million in professional liability (errors & omissions and third-party cyber risk), driven by accident years 2016 and 2017, which saw lower than expected loss emergence, partly offset by higher than expected development in accident year 2019;
•Net favorable development of $35 million in voluntary environmental lines, driven by accident years 2017 and prior, which saw lower than expected loss emergence, partly offset by higher than expected development in accident year 2019; and
•Net adverse development of $57 million in excess and umbrella portfolios, with accident years 2015 through 2019 continuing to experience higher than expected loss development, partly offset by favorable development in accident years 2014 and prior.
•Net favorable development of $81 million in short-tail business, primarily from:
•Net favorable development of $49 million in surety, mainly in accident years 2018 and 2019, driven by lower than expected loss emergence;
•Net favorable development of $48 million in accident & health, driven by accident years 2019 and 2020, where loss emergence was lower than expected;
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Chubb Limited and Subsidiaries
•Net favorable development of $25 million in property and marine coverages in accident year 2020, driven by lower than expected non-catastrophe loss development; and
•Net adverse development of $41 million in first-party cyber risk, driven by accident years 2019 and 2020, which experienced higher than expected loss development as well as heightened frequency and severity.
2020
For the three months ended March 31, 2020, net favorable PPD was $105 million, which was the net result of several underlying favorable and adverse movements, and was driven by the following principal changes:
•Net favorable development of $43 million in long-tail business, primarily from:
•Net favorable development of $66 million in professional liability (errors & omissions and third-party cyber risk), driven by accident years 2016 and prior, which saw lower than expected emergence;
•Net favorable development of $43 million in voluntary environmental lines, driven by accident years 2016 and prior, which saw lower than expected emergence and a favorable revision to loss development patterns;
•Net favorable development of $28 million in construction workers’ compensation, mainly in accident years 2016 and prior, which saw lower than expected reported loss emergence and a favorable revision to loss development patterns;
•Net adverse development of $49 million in excess and umbrella portfolios, with accident years 2015 through 2019 experiencing higher than expected reported development, partially offset by lower than expected emergence in accident years 2014 and prior; and
•Net adverse development of $23 million in wholesale general liability coverages, driven by higher than expected reported loss emergence in accident years 2014 through 2019.
•Net favorable development of $62 million in short-tail business, primarily from:
•Net favorable development of $36 million, in accident & health, mainly in accident years 2018 and 2019, driven by lower than expected paid loss emergence; and
•Net favorable development of $31 million in surety, driven by accident year 2018, where loss emergence was lower than expected.
North America Personal P&C Insurance
2021
For the three months ended March 31, 2021, net favorable PPD was $40 million, driven by accident year 2020, which experienced better than expected non-catastrophe loss development in homeowners and valuables.
Overseas General Insurance
2021
For the three months ended March 31, 2021, net favorable PPD was $25 million, which reflects favorable loss experience across several lines, mainly in accident year 2020, none of which were significant individually or in the aggregate.
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Chubb Limited and Subsidiaries
7. Commitments, contingencies, and guarantees
a) Derivative instruments
Foreign currency management
As a global company, Chubb entities transact business in multiple currencies. Our policy is to generally match assets, liabilities, and required capital for each individual jurisdiction in local currency, which would include the use of derivatives discussed below. We do not hedge our net asset non-U.S. dollar capital positions; however, we do consider economic hedging for planned cross border transactions.
Derivative instruments employed
Chubb maintains positions in derivative instruments such as futures, options, swaps, and foreign currency forward contracts for which the primary purposes are to manage duration and foreign currency exposure, yield enhancement, or to obtain an exposure to a particular financial market. Chubb also maintains positions in convertible securities that contain embedded derivatives. Investment derivative instruments are recorded in either Other assets (OA) or Accounts payable, accrued expenses, and other liabilities (AP), convertible bonds are recorded in Fixed maturities available for sale (FM AFS), and convertible equity securities are recorded in Equity securities (ES) in the Consolidated balance sheets. These are the most numerous and frequent derivative transactions. In addition, Chubb purchases to be announced mortgage-backed securities (TBAs) as part of its investing activities.
Under reinsurance programs covering GLBs, Chubb assumes the risk of GLBs, principally GMIB, associated with variable annuity contracts. The GMIB risk is triggered if, at the time the contract holder elects to convert the accumulated account value to a periodic payment stream (annuitize), the accumulated account value is not sufficient to provide a guaranteed minimum level of monthly income. The GLB reinsurance product meets the definition of a derivative instrument and is classified within AP. Chubb also generally maintains positions in exchange-traded equity futures contracts on equity market indices to limit equity exposure in the GMDB and GLB book of business.
All derivative instruments are carried at fair value with changes in fair value recorded in Net realized gains (losses) in the Consolidated statements of operations. None of the derivative instruments are designated as hedges for accounting purposes.
The following table presents the balance sheet locations, fair values of derivative instruments in an asset or (liability) position, and notional values/payment provisions of our derivative instruments:

|  |  |  |  | March 31, 2021 |  |  |  |  |  | December 31, 2020
| Consolidated Balance Sheet Location |  | Fair Value |  | Notional Value/ Payment Provision |  |  |  | Fair Value |  | Notional Value/ Payment Provision
(in millions of U.S. dollars) |  | Derivative Asset |  | Derivative (Liability) |  |  |  | Derivative Asset |  | Derivative (Liability) |
Investment and embedded derivative instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts | OA / (AP) |  | $ | 21 |  |  | $ | (69) |  |  | $ | 3,657 |  |  |  |  | $ | 22 |  |  | $ | (49) |  |  | $ | 2,807 |
Options/Futures contracts on notes, bonds, and equities | OA / (AP) |  | 48 |  |  | (10) |  |  | 2,063 |  |  |  |  | 13 |  |  | (3) |  |  | 1,749 |
Convertible securities (1) | FM AFS / ES |  | 11 |  |  | — |  |  | 13 |  |  |  |  | 9 |  |  | — |  |  | 11 |
|  |  | $ | 80 |  |  | $ | (79) |  |  | $ | 5,733 |  |  |  |  | $ | 44 |  |  | $ | (52) |  |  | $ | 4,567 |
Other derivative instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts on equities (2) | OA / (AP) |  | $ | — |  |  | $ | (7) |  |  | $ | 761 |  |  |  |  | $ | — |  |  | $ | (17) |  |  | $ | 709 |
Other | OA / (AP) |  | 2 |  |  | — |  |  | 52 |  |  |  |  | — |  |  | — |  |  | 16 |
|  |  | $ | 2 |  |  | $ | (7) |  |  | $ | 813 |  |  |  |  | $ | — |  |  | $ | (17) |  |  | $ | 725 |
GLB (3) | (AP) |  | $ | — |  |  | $ | (760) |  |  | $ | 1,506 |  |  |  |  | $ | — |  |  | $ | (1,089) |  |  | $ | 1,658 |

(1)Includes fair value of embedded derivatives.
(2)Related to GMDB and GLB book of business.
(3)Note that the payment provision related to GLB is the net amount at risk. The concept of a notional value does not apply to the GLB reinsurance contracts.
At March 31, 2021 and December 31, 2020, net derivative liabilities of $12 million and $30 million, respectively, included in the table above were subject to a master netting agreement. The remaining derivatives included in the table above were not subject to a master netting agreement.
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Chubb Limited and Subsidiaries
The following table presents net realized gains (losses) related to derivative instrument activity in the Consolidated statements of operations:

| Three Months Ended |  |
| March 31 |  |
(in millions of U.S. dollars) | 2021 |  | 2020 |  |  |  |
Investment and embedded derivative instruments: |  |  |  |  |  |  |
Foreign currency forward contracts | $ | (16) |  |  | $ | 43 |  |  |  |  |
All other futures contracts, options, and equities | 125 |  |  | (27) |  |  |  |  |
Convertible securities (1) | — |  |  | (1) |  |  |  |  |
Total investment and embedded derivative instruments | $ | 109 |  |  | $ | 15 |  |  |  |  |
GLB and other derivative instruments: |  |  |  |  |  |  |
GLB | $ | 319 |  |  | $ | (685) |  |  |  |  |
Futures contracts on equities (2) | (44) |  |  | 125 |  |  |  |  |
Other | (1) |  |  | (2) |  |  |  |  |
Total GLB and other derivative instruments | $ | 274 |  |  | $ | (562) |  |  |  |  |
| $ | 383 |  |  | $ | (547) |  |  |  |  |

(1)Includes embedded derivatives.
(2)Related to GMDB and GLB book of business.
b) Derivative instrument objectives
(i) Foreign currency exposure management
A foreign currency forward contract (forward) is an agreement between participants to exchange specific currencies at a future date. Chubb uses forwards to minimize the effect of fluctuating foreign currencies as discussed above.
(ii) Duration management and market exposure
Futures
Futures contracts give the holder the right and obligation to participate in market movements, determined by the index or underlying security on which the futures contract is based. Settlement is made daily in cash by an amount equal to the change in value of the futures contract times a multiplier that scales the size of the contract. Exchange-traded futures contracts on money market instruments, notes, and bonds are used in fixed maturity portfolios to more efficiently manage duration, as substitutes for ownership of the money market instruments, bonds, and notes without significantly increasing the risk in the portfolio. Investments in futures contracts may be made only to the extent that there are assets under management not otherwise committed.
Exchange-traded equity futures contracts are used to limit exposure to a severe equity market decline, which would cause an increase in expected claims and therefore, an increase in future policy benefit reserves for GMDB and an increase in the fair value liability for GLB reinsurance business.
Options
An option contract conveys to the holder the right, but not the obligation, to purchase or sell a specified amount or value of an underlying security at a fixed price. Option contracts are used in our investment portfolio as protection against unexpected shifts in interest rates, which would affect the duration of the fixed maturity portfolio. By using options in the portfolio, the overall interest rate sensitivity of the portfolio can be reduced. Option contracts may also be used as an alternative to futures contracts in the synthetic strategy as described above.
The price of an option is influenced by the underlying security, expected volatility, time to expiration, and supply and demand.
The credit risk associated with the above derivative financial instruments relates to the potential for non-performance by counterparties. Although non-performance is not anticipated, in order to minimize the risk of loss, management monitors the creditworthiness of its counterparties and obtains collateral. The performance of exchange-traded instruments is guaranteed by the exchange on which they trade. For non-exchange-traded instruments, the counterparties are principally banks which must meet certain criteria according to our investment guidelines.
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Interest rate swaps
An interest rate swap is a contract between two counterparties in which interest payments are made based on a notional principal amount, which itself is never paid or received. Under the terms of an interest rate swap, one counterparty makes interest payments based on a fixed interest rate and the other counterparty’s payments are based on a floating rate. Interest rate swap contracts are used occasionally in our investment portfolio as protection against unexpected shifts in interest rates, which would affect the fair value of the fixed maturity portfolio. By using interest rate swaps in the portfolio, the overall duration or interest rate sensitivity of the portfolio can be impacted.
Cross-currency swaps
Cross-currency swaps are agreements under which two counterparties exchange interest payments and principal denominated in different currencies at a future date. We use cross-currency swaps to reduce the foreign currency and interest rate risk by converting cash flows back into local currency. We invest in foreign currency denominated investments to improve credit diversification and also to obtain better duration matching to our liabilities that is limited in the local currency market.
Other
Included within Other are derivatives intended to reduce potential losses which may arise from certain exposures in our insurance business. The economic benefit provided by these derivatives is similar to purchased reinsurance. For example, Chubb may enter into crop derivative contracts to protect underwriting results in the event of a significant decline in commodity prices.
(iii) Convertible security investments
A convertible security is a debt instrument or preferred stock that can be converted into a predetermined amount of the issuer’s equity. The convertible option is an embedded derivative within the host instruments which are classified in the investment portfolio as either available for sale or as an equity security. Chubb purchases convertible securities for their total return and not specifically for the conversion feature.
(iv) TBA
By acquiring TBAs, we make a commitment to purchase a future issuance of mortgage-backed securities. For the period between purchase of the TBAs and issuance of the underlying security, we account for our position as a derivative in the Consolidated Financial Statements. Chubb purchases TBAs both for their total return and for the flexibility they provide related to our mortgage-backed security strategy.
(v) GLB
Under the GLB program, as the assuming entity, Chubb is obligated to provide coverage until the expiration or maturity of the underlying deferred annuity contracts or the expiry of the reinsurance treaty. The GLB is accounted for as a derivative and is recorded at fair value. Fair value represents management’s estimate of an exit price and thus, includes a risk margin. We may recognize a realized loss for other changes in fair value due to adverse changes in the capital markets (e.g., declining interest rates and/or declining U.S. and/or international equity markets) and changes in actual or estimated future policyholder behavior (e.g., increased annuitization or decreased lapse rates) although we expect the business to be profitable.
To mitigate adverse changes in the capital markets, we maintain positions in exchange-traded equity futures contracts, as noted under section "(ii) Futures" above. These futures increase in fair value when the S&P 500 index decreases (and decrease in fair value when the S&P 500 index increases). The net impact of gains or losses related to changes in fair value of the GLB liability and the exchange-traded equity futures are included in Net realized gains (losses).
c) Securities lending and secured borrowings
Chubb participates in a securities lending program operated by a third-party banking institution whereby certain assets are loaned to qualified borrowers and from which we earn an incremental return. The securities lending collateral can only be drawn down by Chubb in the event that the institution borrowing the securities is in default under the lending agreement. An indemnification agreement with the lending agent protects us in the event a borrower becomes insolvent or fails to return any of the securities on loan. The collateral is recorded in Securities lending collateral and the liability is recorded in Securities lending payable in the Consolidated balance sheets.
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Chubb Limited and Subsidiaries
The following table presents the carrying value of collateral held under securities lending agreements by investment category and remaining contractual maturity of the underlying agreements:

|  |  |  |  |  |  | Remaining contractual maturity
|  |  |  |  |  |  | March 31, 2021 |  | December 31, 2020
(in millions of U.S. dollars) |  |  |  |  |  |  | Overnight and Continuous
Collateral held under securities lending agreements: |  |  |  |  |  |  |  |  |
Cash |  |  |  |  |  |  | $ | 732 |  |  | $ | 551 |
U.S. Treasury / Agency |  |  |  |  |  |  | 116 |  |  | 148 |
Non-U.S. |  |  |  |  |  |  | 1,068 |  |  | 1,032 |
Corporate and asset-backed securities |  |  |  |  |  |  | 21 |  |  | 30 |
Mortgage-backed securities |  |  |  |  |  |  | 1 |  |  | 4 |
Equity securities |  |  |  |  |  |  | 138 |  |  | 79 |
|  |  |  |  |  |  | $ | 2,076 |  |  | $ | 1,844 |
Gross amount of recognized liability for securities lending payable |  |  |  |  |  |  | $ | 2,076 |  |  | $ | 1,844 |

At March 31, 2021 and December 31, 2020, our repurchase agreement obligations of $1,405 million were fully collateralized. In contrast to securities lending programs, the use of cash received is not restricted for the repurchase obligations. The fair value of the underlying securities sold remains in Fixed maturities available for sale, and the repurchase agreement obligation is recorded in Repurchase agreements in the Consolidated balance sheets.
The following table presents the carrying value of collateral pledged under repurchase agreements by investment category and remaining contractual maturity of the underlying agreements:

|  |  | Remaining contractual maturity
|  |  | March 31, 2021 |  |  |  | December 31, 2020
|  |  | 30-90 Days |  | Greater than 90 Days |  | Total |  |  |  | 30-90 Days |  | Greater than 90 Days |  | Total
(in millions of U.S. dollars) |  |  |  |  |  |
Collateral pledged under repurchase agreements: |  |  |  |  |  |  |  |  |  |  |  |
Cash |  |  | $ | — |  |  | $ | 10 |  |  | $ | 10 |  |  |  |  | $ | — |  |  | $ | 4 |  |  | $ | 4 |
U.S. Treasury / Agency |  |  | 102 |  |  | 4 |  |  | 106 |  |  |  |  | — |  |  | 106 |  |  | 106 |
Mortgage-backed securities |  |  | — |  |  | 1,342 |  |  | 1,342 |  |  |  |  | 481 |  |  | 871 |  |  | 1,352 |
|  |  | $ | 102 |  |  | $ | 1,356 |  |  | $ | 1,458 |  |  |  |  | $ | 481 |  |  | $ | 981 |  |  | $ | 1,462 |
Gross amount of recognized liabilities for repurchase agreements |  |  |  |  |  |  | $ | 1,405 |  |  |  |  |  |  |  |  | $ | 1,405 |
Difference (1) |  |  |  |  |  |  | $ | 53 |  |  |  |  |  |  |  |  | $ | 57 |

(1)Per the repurchase agreements, the amount of collateral posted is required to exceed the amount of gross liability.
Potential risks exist in our secured borrowing transactions due to market conditions and counterparty exposure. With collateral that we pledge, there is a risk that the collateral may not be returned at the expiration of the agreement. If the counterparty fails to return the collateral, Chubb will have free use of the borrowed funds until our collateral is returned. In addition, we may encounter the risk that Chubb may not be able to renew outstanding borrowings with a new term or with an existing counterparty due to market conditions including a decrease in demand as well as more restrictive terms from banks due to increased regulatory and capital constraints. Should this condition occur, Chubb may seek alternative borrowing sources or reduce borrowings. Additionally, increased margins and collateral requirements due to market conditions would increase our restricted assets as we are required to provide additional collateral to support the transaction.
d) Fixed maturities
At March 31, 2021, we have commitments to purchase fixed income securities of $591 million over the next several years.
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Chubb Limited and Subsidiaries
e) Other investments
At March 31, 2021, included in Other investments in the Consolidated balance sheet are investments in limited partnerships and partially-owned investment companies with a carrying value of $7.2 billion. In connection with these investments, we have commitments that may require funding of up to $3.1 billion over the next several years. At December 31, 2020, these investments had a carrying value of $6.5 billion with a commitment that may require funding of up to $3.2 billion.
f) Income taxes
At March 31, 2021, $62 million of unrecognized tax benefits remain out standing. It is reasonably possible that over the next twelve months, that the amount of unrecognized tax benefits may change resulting from the re-evaluation of unrecognized tax benefits arising from examinations by taxing authorities, settlements and the lapses of statutes of limitations. With few exceptions, Chubb is no longer subject to income tax examinations for years before 2012.
g) Legal proceedings
Our insurance subsidiaries are subject to claims litigation involving disputed interpretations of policy coverages and, in some jurisdictions, direct actions by allegedly-injured persons seeking damages from policyholders. These lawsuits, involving claims on policies issued by our subsidiaries which are typical to the insurance industry in general and in the normal course of business, are considered in our loss and loss expense reserves. In addition to claims litigation, we are subject to lawsuits and regulatory actions in the normal course of business that do not arise from or directly relate to claims on insurance policies. This category of business litigation typically involves, among other things, allegations of underwriting errors or misconduct, employment claims, regulatory activity, or disputes arising from our business ventures. In the opinion of management, our ultimate liability for these matters could be, but we believe is not likely to be, material to our consolidated financial condition and results of operations.
h) Leases
At March 31, 2021 and December 31, 2020, the right-of-use asset was $448 million and $473 million, respectively, recorded within Other assets on the Consolidated balance sheets and the lease liability was $490 million and $517 million, respectively, which was recorded within Accounts payable, accrued expenses, and other liabilities on the Consolidated balance sheets. These leases consist principally of real estate operating leases that are amortized on a straight-line basis over the term of the lease, which expire at various dates.
8. Shareholders’ equity
All of Chubb’s Common Shares are authorized under Swiss corporate law. Though the par value of Common Shares is stated in Swiss francs, Chubb continues to use U.S. dollars as its reporting currency for preparing the Consolidated Financial statements. Under Swiss corporate law, dividends, including distributions through a reduction in par value (par value reduction) or from legal reserves, must be stated in Swiss francs though dividend payments are made by Chubb in U.S. dollars. At March 31, 2021, our Common Shares had a par value of CHF 24.15 per share.
At our May 2020 and 2019 annual general meetings, our shareholders approved annual dividends for the following year of up to $3.12 per share and $3.00 per share, respectively, which were paid in four quarterly installments of $0.78 per share and $0.75 per share, respectively, at dates determined by the Board of Directors (Board) after the annual general meetings by way of a distribution from capital contribution reserves, transferred to free reserves for payment.
Dividend distributions per Common Share for the three months ended March 31, 2021 and 2020 were $0.78 (CHF 0.70) and $0.75 (CHF 0.72), respectively.
Increases in Common Shares in treasury are due to open market repurchases of Common Shares and the surrender of Common Shares to satisfy tax withholding obligations in connection with the vesting of restricted stock and the forfeiture of unvested restricted stock. Decreases in Common Shares in treasury are principally due to grants of restricted stock, exercises of stock options, purchases under the Employee Stock Purchase Plan (ESPP), and share cancellations. At March 31, 2021, 27,928,305 Common Shares remain in treasury after share repurchases and 2,054,334 net shares issued under employee share-based compensation plans.
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Chubb Limited and Subsidiaries
Chubb Limited securities repurchase authorizations
In November 2019, the Board authorized the repurchase of up to $1.5 billion of Chubb's Common Shares from November 21, 2019 through December 31, 2020. In November 2020, the Board authorized the repurchase of up to $1.5 billion of Chubb's Common Shares from November 19, 2020 through December 31, 2021. The $1.5 billion November 2019 Board authorization remained effective through December 31, 2020. Repurchases through December 31, 2020 were made under this authorization. In February 2021, the Board approved an increase to the November 2020 share repurchase program of $1.0 billion to a total of $2.5 billion, effective through December 31, 2021.
The following table presents repurchases of Chubb's Common Shares conducted in a series of open market transactions under the Board authorizations:

| Three Months Ended |  |  |  | April 1, 2021 through April 29, 2021
|  |  | March 31 |  |  |  |  |
(in millions of U.S. dollars, except share data) | 2021 |  | 2020 |  |  |  |  |
Number of shares repurchased | 3,110,000 |  |  | 2,266,150 |  |  |  |  |  |  | 450,000 |
Cost of shares repurchased | $ | 519 |  |  | $ | 326 |  |  |  |  |  |  | $ | 76 |
Repurchase authorization remaining at end of period | $ | 1,982 |  |  | $ | 1,124 |  |  |  |  |  |  | $ | 1,906 |

9. Share-based compensation
The Chubb Limited 2016 Long-Term Incentive Plan (the 2016 LTIP) permits grants of both incentive and non-qualified stock options principally at an option price per share equal to the grant date fair value of Chubb's Common Shares. Stock options are generally granted with a 3-year vesting period and a 10-year term. Stock options typically vest in equal annual installments over the respective vesting period, which is also the requisite service period. On February 25, 2021, Chubb granted 1,790,056 stock options with a weighted-average grant date fair value of $33.05 each. The fair value of the options issued is estimated on the grant date using the Black-Scholes option pricing model.
The 2016 LTIP also permits grants of service-based restricted stock and restricted stock units as well as performance-based restricted stock awards. Chubb generally grants service-based restricted stock and restricted stock units with a 4-year vesting period, based on a graded vesting schedule. Beginning in 2017, the performance-based restricted stock awards granted comprise target awards and premium awards that cliff vest at the end of a 3-year performance period based on both tangible book value (shareholders' equity less goodwill and intangible assets, net of tax) per share growth and P&C combined ratio compared to a defined group of peer companies. Premium awards are subject to an additional vesting provision based on total shareholder return compared to our peer group. The restricted stock is granted at market close price on the grant date. On February 25, 2021, Chubb granted 848,762 service-based restricted stock awards, 324,142 service-based restricted stock units, and 284,766 performance-based stock awards to employees and officers with a grant date fair value of $164.94 each. Each restricted stock unit represents our obligation to deliver to the holder one Common Share upon vesting.
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10. Postretirement benefits
The components of net pension and other postretirement benefit costs (benefits) reflected in Net income in the Consolidated statements of operations were as follows:

| Pension Benefit Plans |  | Other Postretirement Benefit Plans
| 2021 |  | 2020 |  | 2021 |  | 2020
Three Months Ended March 31 | U.S. Plans |  | Non-U.S. Plans |  | U.S. Plans |  | Non-U.S. Plans |  |  |  |
(in millions of U.S. dollars) |  |  |  |
Service cost | $ | — |  |  | $ | 1 |  |  | $ | — |  |  | $ | 1 |  |  | $ | — |  |  | $ | — |
Non-service cost (benefit): |  |  |  |  |  |  |  |  |  |  |
Interest cost | 18 |  |  | 5 |  |  | 25 |  |  | 6 |  |  | — |  |  | 1 |
Expected return on plan assets | (64) |  |  | (11) |  |  | (56) |  |  | (10) |  |  | — |  |  | (1) |
Amortization of net actuarial loss | — |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | — |
Amortization of prior service cost | — |  |  | — |  |  | — |  |  | — |  |  | (20) |  |  | (20) |
Settlements | — |  |  | — |  |  | 1 |  |  | — |  |  | — |  |  | — |
Total non-service cost (benefit) | (46) |  |  | (5) |  |  | (30) |  |  | (4) |  |  | (20) |  |  | (20) |
Net periodic benefit cost (benefit) | $ | (46) |  |  | $ | (4) |  |  | $ | (30) |  |  | $ | (3) |  |  | $ | (20) |  |  | $ | (20) |

The line items in which the service cost and non-service cost (benefit) components of net periodic benefit cost (benefit) are included in the Consolidated statements of operations were as follows:

|  | Pension Benefit Plans |  | Other Postretirement Benefit Plans
Three Months Ended March 31 |  | 2021 |  | 2020 |  | 2021 |  | 2020
(in millions of U.S. dollars) |  |  |  |
Service cost: |  |  |  |  |  |  |  |
Losses and loss expenses |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Administrative expenses |  | 1 |  |  | 1 |  |  | — |  |  | — |
Total service cost |  | 1 |  |  | 1 |  |  | — |  |  | — |
Non-service cost (benefit): |  |  |  |  |  |  |  |
Losses and loss expenses |  | (5) |  |  | (3) |  |  | (2) |  |  | (2) |
Administrative expenses |  | (46) |  |  | (31) |  |  | (18) |  |  | (18) |
Total non-service cost (benefit) |  | (51) |  |  | (34) |  |  | (20) |  |  | (20) |
Net periodic benefit cost (benefit) |  | $ | (50) |  |  | $ | (33) |  |  | $ | (20) |  |  | $ | (20) |

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11. Segment information
Chubb operates through six business segments: North America Commercial P&C Insurance, North America Personal P&C Insurance, North America Agricultural Insurance, Overseas General Insurance, Global Reinsurance, and Life Insurance. Corporate results primarily include income and expenses not attributable to reportable segments and losses and loss expenses of asbestos and environmental (A&E) liabilities and certain other non-A&E run-off exposures.
Management uses underwriting income (loss) as the basis for segment performance. Chubb calculates underwriting income (loss) by subtracting Losses and loss expenses, Policy benefits, Policy acquisition costs, and Administrative expenses from Net premiums earned. Our main measure of segment performance is Segment income (loss), which also includes Net investment income (loss), Other (income) expense, and Amortization of purchased intangibles acquired by the segment. We determined that this definition of segment income (loss) is appropriate and aligns with how the business is managed. We continue to evaluate our segments as our business continues to evolve and may further refine our segments and segment income (loss) measures. Certain items are presented in a different manner for segment reporting purposes than in the Consolidated Financial Statements. These items are reconciled to the consolidated presentation in the Segment measure reclass column below and include:
•Losses and loss expenses include realized gains and losses on crop derivatives. These derivatives were purchased to provide economic benefit, in a manner similar to reinsurance protection, in the event that a significant decline in commodity pricing impacts underwriting results. We view gains and losses on these derivatives as part of the results of our underwriting operations, and therefore realized gains (losses) from these derivatives are reclassified to losses and loss expenses.
•Policy benefits include gains and losses from fair value changes in separate account assets, as well as the offsetting movement in separate account liabilities. The gains and losses from fair value changes in separate account assets that do not qualify for separate account reporting under GAAP have been reclassified from Other (income) expense. We view gains and losses from fair value changes in both separate account assets and liabilities as part of the results of our underwriting operations, and therefore these gains and losses are reclassified to policy benefits.
•Net investment income includes investment income reclassified from Other (income) expense related to partially-owned investment companies (private equity partnerships) where our ownership interest is in excess of three percent. We view investment income from these equity-method private equity partnerships as net investment income.
The following tables present the Statement of Operations by segment:

For the Three Months Ended March 31, 2021 (in millions of U.S. dollars) | North America Commercial P&C Insurance |  | North America Personal P&C Insurance |  | North America Agricultural Insurance |  | Overseas General Insurance |  | Global Reinsurance |  | Life Insurance |  | Corporate |  | Segment Measure Reclass |  | Chubb Consolidated
Net premiums written | $ | 3,664 |  |  | $ | 1,098 |  |  | $ | 183 |  |  | $ | 2,890 |  |  | $ | 207 |  |  | $ | 620 |  |  | $ | — |  |  | $ | — |  |  | $ | 8,662 |
Net premiums earned | 3,674 |  |  | 1,184 |  |  | 110 |  |  | 2,478 |  |  | 180 |  |  | 595 |  |  | — |  |  | — |  |  | 8,221 |
Losses and loss expenses | 2,560 |  |  | 819 |  |  | 85 |  |  | 1,263 |  |  | 120 |  |  | 198 |  |  | 9 |  |  | (1) |  |  | 5,053 |
Policy benefits | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 163 |  |  | — |  |  | 4 |  |  | 167 |
Policy acquisition costs | 514 |  |  | 247 |  |  | 12 |  |  | 668 |  |  | 45 |  |  | 179 |  |  | — |  |  | — |  |  | 1,665 |
Administrative expenses | 254 |  |  | 60 |  |  | 3 |  |  | 266 |  |  | 8 |  |  | 82 |  |  | 71 |  |  | — |  |  | 744 |
Underwriting income (loss) | 346 |  |  | 58 |  |  | 10 |  |  | 281 |  |  | 7 |  |  | (27) |  |  | (80) |  |  | (3) |  |  | 592 |
Net investment income (loss) | 540 |  |  | 65 |  |  | 7 |  |  | 141 |  |  | 70 |  |  | 98 |  |  | (17) |  |  | (41) |  |  | 863 |
Other (income) expense | 2 |  |  | 1 |  |  | — |  |  | 1 |  |  | — |  |  | (34) |  |  | (415) |  |  | (45) |  |  | (490) |
Amortization expense of purchased intangibles | — |  |  | 3 |  |  | 7 |  |  | 12 |  |  | — |  |  | 1 |  |  | 49 |  |  | — |  |  | 72 |
Segment income | $ | 884 |  |  | $ | 119 |  |  | $ | 10 |  |  | $ | 409 |  |  | $ | 77 |  |  | $ | 104 |  |  | $ | 269 |  |  | $ | 1 |  |  | $ | 1,873 |
Net realized gains (losses) |  |  |  |  |  |  |  |  |  |  |  |  | 888 |  |  | (1) |  |  | 887 |
Interest expense |  |  |  |  |  |  |  |  |  |  |  |  | 122 |  |  | — |  |  | 122 |
Income tax expense |  |  |  |  |  |  |  |  |  |  |  |  | 338 |  |  | — |  |  | 338 |
Net income |  |  |  |  |  |  |  |  |  |  |  |  | $ | 697 |  |  | $ | — |  |  | $ | 2,300 |

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For the Three Months Ended March 31, 2020 (in millions of U.S. dollars) | North America Commercial P&C Insurance |  | North America Personal P&C Insurance |  | North America Agricultural Insurance |  | Overseas General Insurance |  | Global Reinsurance |  | Life Insurance |  | Corporate |  | Segment Measure Reclass |  | Chubb Consolidated
Net premiums written | $ | 3,252 |  |  | $ | 1,107 |  |  | $ | 157 |  |  | $ | 2,598 |  |  | $ | 218 |  |  | $ | 645 |  |  | $ | — |  |  | $ | — |  |  | $ | 7,977 |
Net premiums earned | 3,376 |  |  | 1,200 |  |  | 94 |  |  | 2,307 |  |  | 186 |  |  | 631 |  |  | — |  |  | — |  |  | 7,794 |
Losses and loss expenses | 2,181 |  |  | 683 |  |  | 65 |  |  | 1,258 |  |  | 87 |  |  | 202 |  |  | 11 |  |  | (2) |  |  | 4,485 |
Policy benefits | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 185 |  |  | — |  |  | (56) |  |  | 129 |
Policy acquisition costs | 492 |  |  | 245 |  |  | 11 |  |  | 642 |  |  | 45 |  |  | 180 |  |  | — |  |  | — |  |  | 1,615 |
Administrative expenses | 259 |  |  | 68 |  |  | 4 |  |  | 258 |  |  | 10 |  |  | 76 |  |  | 66 |  |  | — |  |  | 741 |
Underwriting income (loss) | 444 |  |  | 204 |  |  | 14 |  |  | 149 |  |  | 44 |  |  | (12) |  |  | (77) |  |  | 58 |  |  | 824 |
Net investment income (loss) | 525 |  |  | 66 |  |  | 9 |  |  | 145 |  |  | 69 |  |  | 95 |  |  | (24) |  |  | (24) |  |  | 861 |
Other (income) expense | 6 |  |  | 2 |  |  | — |  |  | 4 |  |  | — |  |  | (12) |  |  | 23 |  |  | 32 |  |  | 55 |
Amortization expense of purchased intangibles | — |  |  | 3 |  |  | 7 |  |  | 12 |  |  | — |  |  | 1 |  |  | 50 |  |  | — |  |  | 73 |
Segment income (loss) | $ | 963 |  |  | $ | 265 |  |  | $ | 16 |  |  | $ | 278 |  |  | $ | 113 |  |  | $ | 94 |  |  | $ | (174) |  |  | $ | 2 |  |  | $ | 1,557 |
Net realized gains (losses) |  |  |  |  |  |  |  |  |  |  |  |  | (956) |  |  | (2) |  |  | (958) |
Interest expense |  |  |  |  |  |  |  |  |  |  |  |  | 132 |  |  | — |  |  | 132 |
Income tax expense |  |  |  |  |  |  |  |  |  |  |  |  | 215 |  |  | — |  |  | 215 |
Net income (loss) |  |  |  |  |  |  |  |  |  |  |  |  | $ | (1,477) |  |  | $ | — |  |  | $ | 252 |

Underwriting assets are reviewed in total by management for purposes of decision-making. Other than Unpaid losses and loss expenses, Future policy benefits, Reinsurance recoverables, Goodwill and Other intangible assets, Chubb does not allocate assets to its segments.
12. Earnings per share

| Three Months Ended |  |
| March 31 |  |
(in millions of U.S. dollars, except share and per share data) | 2021 |  | 2020 |  |  |  |
Numerator: |  |  |  |  |  |  |
Net income | $ | 2,300 |  |  | $ | 252 |  |  |  |  |
Denominator: |  |  |  |  |  |  |
Denominator for basic earnings per share: |  |  |  |  |  |  |
Weighted-average shares outstanding | 450,539,568 |  |  | 451,868,658 |  |  |  |  |
Denominator for diluted earnings per share: |  |  |  |  |  |  |
Share-based compensation plans | 2,795,971 |  |  | 2,651,610 |  |  |  |  |
Weighted-average shares outstanding and assumed conversions | 453,335,539 |  |  | 454,520,268 |  |  |  |  |
Basic earnings per share | $ | 5.10 |  |  | $ | 0.56 |  |  |  |  |
Diluted earnings per share | $ | 5.07 |  |  | $ | 0.55 |  |  |  |  |
Potential anti-dilutive share conversions | 1,952,612 |  |  | 3,154,406 |  |  |  |  |

Excluded from weighted-average shares outstanding and assumed conversions is the impact of securities that would have been anti-dilutive during the respective periods.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)
Chubb Limited and Subsidiaries
13. Information provided in connection with outstanding debt of subsidiaries
Chubb INA Holdings Inc. (Subsidiary Issuer) is an indirect 100 percent-owned and consolidated subsidiary of Chubb Limited (Parent Guarantor). The Parent Guarantor fully and unconditionally guarantees certain of the debt of the Subsidiary Issuer. Certain information included relates to our compliance with our debt covenants.
The following table presents the condensed balance sheets of Chubb Limited and Chubb INA Holdings Inc.:

| Chubb Limited (Parent Guarantor) (1) |  | Chubb INA Holdings Inc. (Subsidiary Issuer)
(in millions of U.S. dollars) | March 31, 2021 |  | December 31, 2020 |  | March 31, 2021 |  | December 31, 2020
Assets |  |  |  |  |  |  |
Investments | $ | — |  |  | $ | — |  |  | $ | 206 |  |  | $ | 197 |
Cash | 23 |  |  | 84 |  |  | 1 |  |  | 1 |
Due from subsidiaries and affiliates, net | 3,510 |  |  | 3,522 |  |  | — |  |  | — |
Other assets | 8 |  |  | 10 |  |  | 415 |  |  | 463 |
Total assets | $ | 3,541 |  |  | $ | 3,616 |  |  | $ | 622 |  |  | $ | 661 |
Liabilities |  |  |  |  |  |  |
Due to subsidiaries and affiliates, net | $ | — |  |  | $ | — |  |  | $ | 3,079 |  |  | $ | 3,008 |
Affiliated notional cash pooling programs | — |  |  | — |  |  | 361 |  |  | 272 |
Long-term debt | — |  |  | — |  |  | 14,879 |  |  | 14,948 |
Trust preferred securities | — |  |  | — |  |  | 308 |  |  | 308 |
Other liabilities | 337 |  |  | 323 |  |  | 1,281 |  |  | 1,418 |
Total liabilities | 337 |  |  | 323 |  |  | 19,908 |  |  | 19,954 |
Total shareholders’ equity (2) | 3,204 |  |  | 3,293 |  |  | (19,286) |  |  | (19,293) |
Total liabilities and shareholders’ equity | $ | 3,541 |  |  | $ | 3,616 |  |  | $ | 622 |  |  | $ | 661 |

(1)Excludes investment in subsidiary issuer (presented separately).
(2)Total shareholders' equity of Parent Guarantor excludes $55.9 billion and $56.1 billion of investment in subsidiaries, including Subsidiary Issuer, at March 31, 2021 and December 31, 2020, respectively. Total shareholders' equity of Subsidiary Issuer excludes $54.5 billion and $55.2 billion of investment in subsidiaries at March 31, 2021 and December 31, 2020, respectively.
The following table presents the condensed statements of operations and comprehensive income of Chubb Limited and Chubb INA Holdings Inc.:

| Chubb Limited (Parent Guarantor) (1) |  | Chubb INA Holdings Inc. (Subsidiary Issuer)
Three Months Ended March 31 | 2021 |  | 2020 |  | 2021 |  | 2020
(in millions of U.S. dollars) |  |  |
Net investment income (loss) | $ | 1 |  |  | $ | (2) |  |  | $ | 1 |  |  | $ | 4 |
Net realized gains (loss) | 13 |  |  | (21) |  |  | 67 |  |  | 113 |
Administrative expenses | 22 |  |  | 24 |  |  | (52) |  |  | (38) |
Interest (income) expense | (34) |  |  | (34) |  |  | 145 |  |  | 148 |
Other (income) expense | (13) |  |  | (9) |  |  | (5) |  |  | 8 |
Income tax expense (benefit) | 11 |  |  | — |  |  | (22) |  |  | 7 |
Net income (loss) (2) | $ | 28 |  |  | $ | (4) |  |  | $ | 2 |  |  | $ | (8) |
Comprehensive income (loss) | $ | 28 |  |  | $ | (4) |  |  | $ | 1 |  |  | $ | (38) |

(1)Excludes investment in subsidiary issuer (presented separately).
(2)Net income of Parent Guarantor excludes equity in earnings from investment in subsidiaries, including Subsidiary Issuer, of $2,272 million and $256 million for the three months ended March 31, 2021 and 2020, respectively. Net income of Subsidiary Issuer excludes equity in earnings from investment in subsidiaries of $1,031 million and $593 million for the three months ended March 31, 2021 and 2020, respectively.
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ITEM 2. Management's Discussion and Analysis of Financial Condition and Results of Operations

The following is a discussion of our results of operations, financial condition, and liquidity and capital resources as of and for the three months ended March 31, 2021.
All comparisons in this discussion are to the corresponding prior year period unless otherwise indicated. All dollar amounts are rounded. However, percent changes and ratios are calculated using whole dollars. Accordingly, calculations using rounded dollars may differ.
Our results of operations and cash flows for any interim period are not necessarily indicative of our results for the full year. This discussion should be read in conjunction with our consolidated financial statements and related notes and our Management’s Discussion and Analysis of Financial Condition and Results of Operations included in our Annual Report on Form 10-K for the year ended December 31, 2020 (2020 Form 10-K).
Other Information
We routinely post important information for investors on our website (investors.chubb.com). We use this website as a means of disclosing material, non-public information and for complying with our disclosure obligations under Securities and Exchange Commission (SEC) Regulation FD (Fair Disclosure). Accordingly, investors should monitor the Investor Information portion of our website, in addition to following our press releases, SEC filings, public conference calls, and webcasts. The information contained on, or that may be accessed through, our website is not incorporated by reference into, and is not a part of, this report.

MD&A Index | Page
Forward-Looking Statements | 36
Overview | 37
Financial Highlights | 37
Consolidated Operating Results | 38
Segment Operating Results | 42
Net Realized and Unrealized Gains (Losses) | 51
Effective Income Tax Rate | 52
Non-GAAP Reconciliation | 53
Other Income and Expense | 56
Amortization of Purchased Intangibles and Other Amortization | 56
Net Investment Income | 58
Investments | 58
Critical Accounting Estimates | 62
Unpaid Losses and Loss Expenses | 62
Asbestos and Environmental (A&E) | 62
Fair Value Measurements | 62
Catastrophe Management | 63
Natural Catastrophe Property Reinsurance Program | 64
Liquidity | 65
Capital Resources | 66

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Forward-Looking Statements

The Private Securities Litigation Reform Act of 1995 provides a “safe harbor” for forward-looking statements. Any written or oral statements made by us or on our behalf may include forward-looking statements that reflect our current views with respect to future events and financial performance. The words “believe,” “anticipate,” “estimate,” “project,” “should,” “plan,” “expect,” “intend,” “hope,” “feel,” “foresee,” “will likely result,” “will continue,” and variations thereof and similar expressions, identify forward-looking statements. These forward-looking statements are subject to certain risks, uncertainties, and other factors that could, should potential events occur, cause actual results to differ materially from such statements. These risks, uncertainties, and other factors, which are described in more detail elsewhere herein and in other documents we file with the U.S. Securities and Exchange Commission (SEC), include but are not limited to:
•actual amount of new and renewal business, premium rates, underwriting margins, market acceptance of our products, and risks associated with the introduction of new products and services and entering new markets; the competitive environment in which we operate, including trends in pricing or in policy terms and conditions, which may differ from our projections and changes in market conditions that could render our business strategies ineffective or obsolete;
•losses arising out of natural or man-made catastrophes; actual loss experience from insured or reinsured events and the timing of claim payments; the uncertainties of the loss-reserving and claims-settlement processes, including the difficulties associated with assessing environmental damage and asbestos-related latent injuries, the impact of aggregate-policy-coverage limits, the impact of bankruptcy protection sought by various asbestos producers and other related businesses, and the timing of loss payments;
•infection rates and severity of COVID-19 and related risks, and their effects on our business operations and claims activity, and any adverse impact to our insureds, brokers, agents, and employees; actual claims may exceed our best estimate of ultimate insurance losses incurred through March 31, 2021 which could change including as a result of, among other things, the impact of legislative or regulatory actions taken in response to COVID-19;
•changes in the distribution or placement of risks due to increased consolidation of insurance and reinsurance brokers; material differences between actual and expected assessments for guaranty funds and mandatory pooling arrangements; the ability to collect reinsurance recoverable, credit developments of reinsurers, and any delays with respect thereto and changes in the cost, quality, or availability of reinsurance;
•uncertainties relating to governmental, legislative and regulatory policies, developments, actions, investigations, and treaties; judicial decisions and rulings, new theories of liability, legal tactics, and settlement terms; the effects of data privacy or cyber laws or regulation; global political conditions and possible business disruption or economic contraction that may result from such events;
•developments in global financial markets, including changes in interest rates, stock markets, and other financial markets; increased government involvement or intervention in the financial services industry; the cost and availability of financing, and foreign currency exchange rate fluctuations; changing rates of inflation; and other general economic and business conditions, including the depth and duration of potential recession;
•the availability of borrowings and letters of credit under our credit facilities; the adequacy of collateral supporting funded high deductible programs; the amount of dividends received from subsidiaries;
•changes to our assessment as to whether it is more likely than not that we will be required to sell, or have the intent to sell, available for sale fixed maturity investments before their anticipated recovery;
•actions that rating agencies may take from time to time, such as financial strength or credit ratings downgrades or placing these ratings on credit watch negative or the equivalent;
•the effects of public company bankruptcies and accounting restatements, as well as disclosures by and investigations of public companies relating to possible accounting irregularities, and other corporate governance issues;
•acquisitions made performing differently than expected, our failure to realize anticipated expense-related efficiencies or growth from acquisitions, the impact of acquisitions on our pre-existing organization, or announced acquisitions not closing; risks and uncertainties relating to our planned purchases of additional interests in Huatai Insurance Group Co., Ltd. (Huatai Group), including our ability to receive Chinese insurance regulatory approval and complete the purchases;
•risks associated with being a Swiss corporation, including reduced flexibility with respect to certain aspects of capital management and the potential for additional regulatory burdens; share repurchase plans and share cancellations;
•loss of the services of any of our executive officers without suitable replacements being recruited in a reasonable time frame;
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•the ability of our technology resources, including information systems and security, to perform as anticipated such as with respect to preventing material information technology failures or third-party infiltrations or hacking resulting in consequences adverse to Chubb or its customers or partners; the ability of our company to increase use of data analytics and technology as part of our business strategy and adapt to new technologies; and
•management’s response to these factors and actual events (including, but not limited to, those described above).
You are cautioned not to place undue reliance on these forward-looking statements, which speak only as of their dates. We undertake no obligation to publicly update or review any forward-looking statements, whether as a result of new information, future events or otherwise.

Overview

Chubb Limited is the Swiss-incorporated holding company of the Chubb Group of Companies. Chubb Limited, which is headquartered in Zurich, Switzerland, and its direct and indirect subsidiaries (collectively, the Chubb Group of Companies, Chubb, we, us, or our) are a global insurance and reinsurance organization, serving the needs of a diverse group of clients worldwide. At March 31, 2021, we had total assets of $192 billion and shareholders’ equity of $59 billion. Chubb was incorporated in 1985 at which time it opened its first business office in Bermuda and continues to maintain operations in Bermuda. We operate through six business segments: North America Commercial P&C Insurance, North America Personal P&C Insurance, North America Agricultural Insurance, Overseas General Insurance, Global Reinsurance, and Life Insurance. For more information on our segments refer to “Segment Information” under Item 1 in our 2020 Form 10-K.

Financial Highlights for the Three Months Ended March 31, 2021

•Net income was $2.3 billion compared with $252 million in the prior year period.
•Total P&C pre-tax and after-tax catastrophe losses were $700 million (9.1 percentage points of the combined ratio) and $570 million, respectively, compared with $237 million (3.3 percentage points of the combined ratio) and $199 million, respectively, in the prior year period. The current quarter included $657 million of winter storm losses in the U.S.
•Total pre-tax and after-tax favorable prior period development were $192 million (2.5 percentage points of the combined ratio) and $156 million, respectively, compared with $118 million (1.7 percentage points of the combined ratio) and $94 million, respectively, in the prior year period.
•The P&C combined ratio was 91.8 percent compared with 89.1 percent in the prior year period. P&C current accident year combined ratio excluding catastrophe losses was 85.2 percent compared with 87.5 percent in the prior year period.
•Consolidated net premiums written were $8.7 billion, up 8.6 percent, or 7.0 percent in constant dollars. P&C net premiums written were $8.0 billion, up 9.7 percent, or up 8.1 percent in constant dollars, comprising 15.6 percent positive growth in commercial P&C lines and 2.5 percent negative growth in consumer lines.
•Consolidated net premiums earned were $8.2 billion, up 5.5 percent, or 4.2 percent in constant dollars. P&C net premiums earned increased 6.5 percent, comprising positive growth of 11.3 percent in commercial P&C lines and negative growth of 2.8 percent in consumer lines.
•Operating cash flow was $2,105 million compared with $1,712 million in the prior year period. Refer to the Liquidity section for additional information on our cash flows.
•Net investment income was $863 million compared with $861 million in the prior year period.
•Share repurchases totaled $519 million during the quarter at an average purchase price of $166.75 per share.
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Consolidated Operating Results – Three Months Ended March 31, 2021 and 2020

| Three Months Ended |  |  |  |  |  |
| March 31 |  | % Change |  |  |  |
(in millions of U.S. dollars, except for percentages) | 2021 |  |  | 2020 |  |  | Q-21 vs. Q-20 |  |  |  |  |  |
Net premiums written | $ | 8,662 |  |  | $ | 7,977 |  |  | 8.6 | % |  |  |  |  |  |
Net premiums written - constant dollars (1) |  |  |  |  | 7.0 | % |  |  |  |  |  |
Net premiums earned | 8,221 |  |  | 7,794 |  |  | 5.5 | % |  |  |  |  |  |
Net investment income | 863 |  |  | 861 |  |  | 0.2 | % |  |  |  |  |  |
Net realized gains (losses) | 887 |  |  | (958) |  |  | NM |  |  |  |  |  |
Total revenues | 9,971 |  |  | 7,697 |  |  | 29.5 | % |  |  |  |  |  |
Losses and loss expenses | 5,053 |  |  | 4,485 |  |  | 12.7 | % |  |  |  |  |  |
Policy benefits | 167 |  |  | 129 |  |  | 29.3 | % |  |  |  |  |  |
Policy acquisition costs | 1,665 |  |  | 1,615 |  |  | 3.1 | % |  |  |  |  |  |
Administrative expenses | 744 |  |  | 741 |  |  | 0.4 | % |  |  |  |  |  |
Interest expense | 122 |  |  | 132 |  |  | (7.6) | % |  |  |  |  |  |
Other (income) expense | (490) |  |  | 55 |  |  | NM |  |  |  |  |  |
Amortization of purchased intangibles | 72 |  |  | 73 |  |  | (1.4) | % |  |  |  |  |  |
Total expenses | 7,333 |  |  | 7,230 |  |  | 1.4 | % |  |  |  |  |  |
Income before income tax | 2,638 |  |  | 467 |  |  | NM |  |  |  |  |  |
Income tax expense | 338 |  |  | 215 |  |  | 57.0 | % |  |  |  |  |  |
Net income | $ | 2,300 |  |  | $ | 252 |  |  | NM |  |  |  |  |  |

NM – not meaningful
(1) On a constant-dollar basis. Amounts are calculated by translating prior period results using the same local currency exchange rates as the comparable current period.
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Net Premiums Written | Three Months Ended March 31 |  |  | % Change |  |  |
(in millions of U.S. dollars, except for percentages) | 2021 |  | 2020 |  | Q-21 vs. Q-20 |  | C$ Q-21 vs. Q-20 |  |  |  |  |  |
Commercial casualty | $ | 1,649 |  | $ | 1,341 |  | 23.0 | % |  | 21.4 | % |  |  |  |  |  |
Workers' compensation | 563 |  | 586 |  | (4.0) | % |  | (4.0) | % |  |  |  |  |  |
Professional liability | 1,090 |  | 912 |  | 19.6 | % |  | 17.4 | % |  |  |  |  |  |
Surety | 158 |  | 150 |  | 5.5 | % |  | 7.8 | % |  |  |  |  |  |
Commercial multiple peril (1) | 263 |  | 241 |  | 9.4 | % |  | 9.4 | % |  |  |  |  |  |
Property and other short-tail lines | 1,594 |  | 1,334 |  | 19.5 | % |  | 16.1 | % |  |  |  |  |  |
Total Commercial P&C lines | 5,317 |  | 4,564 |  | 16.5 | % |  | 14.8 | % |  |  |  |  |  |
Agriculture | 183 |  | 157 |  | 16.5 | % |  | 16.5 | % |  |  |  |  |  |
Personal automobile | 387 |  | 441 |  | (12.4) | % |  | (10.6) | % |  |  |  |  |  |
Personal homeowners | 775 |  | 773 |  | 0.3 | % |  | (0.1) | % |  |  |  |  |  |
Personal other | 468 |  | 418 |  | 11.9 | % |  | 8.1 | % |  |  |  |  |  |
Total Personal lines | 1,630 |  | 1,632 |  | (0.1) | % |  | (0.7) | % |  |  |  |  |  |
Total Property and Casualty lines | 7,130 |  | 6,353 |  | 12.2 | % |  | 10.9 | % |  |  |  |  |  |
Global A&H lines (2) | 982 |  | 1,067 |  | (8.0) | % |  | (10.4) | % |  |  |  |  |  |
Reinsurance lines | 207 |  | 218 |  | (5.1) | % |  | (6.2) | % |  |  |  |  |  |
Life | 343 |  | 339 |  | 1.3 | % |  | (0.1) | % |  |  |  |  |  |
Total consolidated | $ | 8,662 |  | $ | 7,977 |  | 8.6 | % |  | 7.0 | % |  |  |  |  |  |

(1)Commercial multiple peril represents retail package business (property and general liability).
(2)For purposes of this schedule only, A&H results from our Combined North America and International businesses, normally included in the Life Insurance and Overseas General Insurance segments, respectively, as well as the A&H results of our North America Commercial P&C segment, are included in Global A&H lines above.
The increase in net premiums written for the three months ended March 31, 2021 reflects growth across most lines of business, partially offset by the adverse impact of the economic contraction resulting from the COVID-19 pandemic.
•The growth in commercial casualty was due to new business and positive rate increases across all regions.
•Workers' compensation experienced lower renewal business in North America reflecting reduced exposures primarily from the COVID-19 pandemic.
•The increase in professional liability was due to new business and positive rate increases primarily in North America and Europe.
•Commercial multiple peril increased due to higher renewal business and positive rate increases in North America.
•Property and other short-tail lines increased due to positive rate increases in Asia, North America and Europe, as well as new business in North America and Europe.
•Personal lines was unfavorably impacted by a decline in automobile lines in North America and Latin America reflecting reduced exposures from the impact of the COVID-19 pandemic and in homeowners lines from reinstatement premiums related to the 2021 winter storm losses in the U.S. Excluding the reinstatement premiums, personal lines increased globally reflecting strong renewal retention in homeowners and recreational marine lines, primarily in the U.S., and in specialty lines, primarily outside the U.S.
•Global A&H lines decreased due to declines in Asia and Latin America, principally from less travel volume due to the COVID-19 pandemic, and in our North American Combined Insurance supplemental A&H program.
•Life insurance reflects growth in our international life operations, principally from new business written in Taiwan, Vietnam and Chile, which was offset by the Chubb Life Re business that has no new business written.
For additional information on net premiums written, refer to the segment results discussions.
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Net Premiums Earned
Net premiums earned for short-duration contracts, typically P&C contracts, generally reflect the portion of net premiums written that was recorded as revenues for the period as the exposure periods expire. Net premiums earned for long-duration contracts, typically traditional life contracts, generally are recognized as earned when due from policyholders. For the three months ended March 31, 2021, net premiums earned increased $427 million, or $330 million on a constant-dollar basis, comprising 10.1 percent positive growth in commercial P&C lines and 4.7 percent negative growth in consumer lines on a constant-dollar basis.
Catastrophe Losses and Prior Period Development
We generally define catastrophe loss events consistent with the definition of the Property Claims Service (PCS) for events in the U.S. and Canada. PCS defines a catastrophe as an event that causes damage of $25 million or more in insured losses and affects a significant number of insureds. For events outside of the U.S. and Canada, we generally use a similar definition. We also define losses from certain pandemics, such as COVID-19, as a catastrophe loss.
Prior period development includes adjustments relating to either profit commission reserves or policyholder dividend reserves based on actual claim experience that develops after the policy period ends. The expense adjustments correlate to the prior period loss development on these same policies. Refer to the Non-GAAP Reconciliation section for further information on reinstatement premiums on catastrophe losses and adjustments to prior period development.

| Three Months Ended |  |
| March 31 |  |
(in millions of U.S. dollars) | 2021 |  | 2020 |  |  |  |
Catastrophe losses | $ | 700 |  |  | $ | 237 |  |  |  |  |
Favorable prior period development | $ | 192 |  |  | $ | 118 |  |  |  |  |

Catastrophe losses through March 31, 2021 and 2020 were primarily from the following events:
•2021: Winter storm losses in the U.S. and other severe weather-related events in the U.S. and internationally.
•2020: Global weather-related events of $224 million (including Tornado in Nashville, Tennessee and other severe weather-related events in the U.S., storms in Australia, Australia wildfires, and other international weather-related events); and COVID-19 pandemic claims of $13 million.
Prior period development (PPD) arises from changes to loss estimates recognized in the current year that relate to loss events that occurred in previous calendar years and excludes the effect of losses from the development of earned premium from previous accident years.
Pre-tax net favorable PPD for the three months ended March 31, 2021 was $192 million, with 19 percent in long-tail lines, principally from accident years 2017 and prior, and 81 percent in short-tail lines, primarily in accident and health, surety, and homeowners lines.
Pre-tax net favorable PPD for the three months ended March 31, 2020 was $118 million, with 28 percent in long-tail lines, principally from accident years 2016 and prior, and 72 percent in short-tail lines. Favorable development for the three months ended March 31, 2020 included a $14 million benefit from crop insurance.
Refer to the prior period development discussion in Footnote 6 to the Consolidated Financial Statements for additional information.
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P&C Combined Ratio
In evaluating our segments excluding Life Insurance financial performance, we use the P&C combined ratio. We calculate this ratio by dividing the respective expense amounts by net premiums earned. We do not calculate this ratio for the Life Insurance segment as we do not use this measure to monitor or manage that segment. A P&C combined ratio under 100 percent indicates underwriting income, and a combined ratio exceeding 100 percent indicates underwriting loss.

| Three Months Ended |  |
| March 31 |  |
| 2021 |  | 2020 |  |  |  |
Loss and loss expense ratio |  |  |  |  |  |  |
CAY loss ratio excluding catastrophe losses | 57.2 | % |  | 58.2 | % |  |  |  |
Catastrophe losses | 9.1 | % |  | 3.3 | % |  |  |  |
Prior period development | (2.6) | % |  | (1.7) | % |  |  |  |
Loss and loss expense ratio | 63.7 | % |  | 59.8 | % |  |  |  |
Policy acquisition cost ratio | 19.5 | % |  | 20.0 | % |  |  |  |
Administrative expense ratio | 8.6 | % |  | 9.3 | % |  |  |  |
P&C Combined ratio | 91.8 | % |  | 89.1 | % |  |  |  |

The loss and loss expense ratio increased 3.9 percentage points for the three months ended March 31, 2021 due to higher catastrophe losses, partially offset by higher favorable prior period development.
The CAY loss ratio excluding catastrophe losses decreased 1.0 percentage point for the three months ended March 31, 2021 due to margin improvements coming from earned rate exceeding loss cost trends.
The policy acquisition cost ratio decreased 0.5 percentage points for the three months ended March 31, 2021 primarily due to a change in the mix of business, including less premiums earned from consumer A&H lines that have a higher acquisition cost ratio and higher premiums earned from commercial P&C lines that have a lower acquisition cost ratio.
The administrative expense ratio decreased 0.7 percentage points for the three months ended March 31, 2021 primarily due to lower expenses during the COVID-19 pandemic, reduced pension obligations reflecting favorable market conditions, and the favorable impact of higher net premiums earned.
Policy benefits
Policy benefits represent losses on contracts classified as long-duration and generally include accident and supplemental health products, term and whole life products, endowment products, and annuities. Refer to the Life Insurance segment operating results section for further discussion.
For the three months ended March 31, 2021 and 2020, Policy benefits were $167 million and $129 million, respectively, which included separate account liabilities (gains) losses of $4 million and $(56) million, respectively. The offsetting movements of these liabilities are recorded in Other (income) expense on the Consolidated statements of operations. Excluding the separate account gains and losses, Policy benefits were $163 million and $185 million for the three months ended March 31, 2021 and 2020, respectively, reflecting a decline in our North America Combined Insurance and Chubb Life Re business, partially offset by growth in International Life operations.
Refer to the respective sections that follow for a discussion of Net investment income, Other (income) expense, Net realized gains (losses), Amortization of purchased intangibles, and Income tax expense.
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Segment Operating Results – Three Months Ended March 31, 2021 and 2020

We operate through six business segments: North America Commercial P&C Insurance, North America Personal P&C Insurance, North America Agricultural Insurance, Overseas General Insurance, Global Reinsurance, and Life Insurance. For more information on our segments refer to “Segment Information” under Item 1 in our 2020 Form 10-K.
North America Commercial P&C Insurance
The North America Commercial P&C Insurance segment comprises operations that provide property and casualty (P&C) and accident & health (A&H) insurance and services to large, middle market, and small commercial businesses in the U.S., Canada, and Bermuda. This segment includes our North America Major Accounts and Specialty Insurance division (large corporate accounts and wholesale business), and the North America Commercial Insurance division (principally middle market and small commercial accounts).

| Three Months Ended |  |  |  |  |  |  |  |
| March 31 |  | % Change |  |  |  |
(in millions of U.S. dollars, except for percentages) | 2021 |  | 2020 |  | Q-21 vs. Q-20 |  |  |  |  |  |
Net premiums written | $ | 3,664 |  |  | $ | 3,252 |  |  | 12.7 | % |  |  |  |  |  |
Net premiums earned | 3,674 |  |  | 3,376 |  |  | 8.8 | % |  |  |  |  |  |
Losses and loss expenses | 2,560 |  |  | 2,181 |  |  | 17.4 | % |  |  |  |  |  |
Policy acquisition costs | 514 |  |  | 492 |  |  | 4.4 | % |  |  |  |  |  |
Administrative expenses | 254 |  |  | 259 |  |  | (1.5) | % |  |  |  |  |  |
Underwriting income | 346 |  |  | 444 |  |  | (22.1) | % |  |  |  |  |  |
Net investment income | 540 |  |  | 525 |  |  | 2.9 | % |  |  |  |  |  |
Other (income) expense | 2 |  |  | 6 |  |  | (52.2) | % |  |  |  |  |  |
Segment income | $ | 884 |  |  | $ | 963 |  |  | (8.3) | % |  |  |  |  |  |
Loss and loss expense ratio: |  |  |  |  |  |  |  |  |  |  |  |  |
CAY loss ratio excluding catastrophe losses | 63.4 | % |  | 64.2 | % |  | (0.8) |  | pts |  |  |  |  |  |  |
Catastrophe losses | 9.9 | % |  | 3.5 | % |  | 6.4 |  | pts |  |  |  |  |  |  |
Prior period development | (3.6) | % |  | (3.1) | % |  | (0.5) |  | pts |  |  |  |  |  |  |
Loss and loss expense ratio | 69.7 | % |  | 64.6 | % |  | 5.1 |  | pts |  |  |  |  |  |  |
Policy acquisition cost ratio | 14.0 | % |  | 14.6 | % |  | (0.6) |  | pts |  |  |  |  |  |  |
Administrative expense ratio | 6.9 | % |  | 7.6 | % |  | (0.7) |  | pts |  |  |  |  |  |  |
Combined ratio | 90.6 | % |  | 86.8 | % |  | 3.8 |  | pts |  |  |  |  |  |  |

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Catastrophe Losses and Prior Period Development | Three Months Ended |  |
| March 31 |  |
(in millions of U.S. dollars) | 2021 |  | 2020 |  |  |  |
Catastrophe losses | $ | 362 |  |  | $ | 118 |  |  |  |  |
Favorable prior period development | $ | 127 |  |  | $ | 105 |  |  |  |  |

Catastrophe losses through March 31, 2021 and 2020 were primarily from the following events:
•2021: Winter storm losses and other severe weather-related events in the U.S.
•2020: Nashville, Tennessee tornado and other severe weather-related events in the U.S.
Refer to the prior period development discussion in Note 6 to the Consolidated Financial Statements for additional information.
Premiums
Net premiums written increased $412 million, or 12.7 percent, for the three months ended March 31, 2021 comprising positive growth of 14.7 percent in commercial P&C lines and negative growth of 18.5 percent in consumer lines. The growth in commercial P&C lines reflects positive rate increases, net of exposure declines, and growth in new business written across a number of retail and wholesale lines, including financial lines, property, excess casualty, and large risk casualty. This was partially offset by lower new business and exposure declines in A&H, impacting our consumer lines.
Net premiums earned increased $298 million, or 8.8 percent, for the three months ended March 31, 2021, reflecting the growth in net premiums written described above.
Combined Ratio
The loss and loss expense ratio increased 5.1 percentage points for the three months ended March 31, 2021, primarily due to higher catastrophe losses, partially offset by higher favorable prior period development. The CAY loss ratio excluding catastrophe losses decreased 0.8 percentage points for the three months ended March 31, 2021 primarily due to margin improvements coming from earned rate exceeding loss cost trends.
The policy acquisition cost ratio decreased 0.6 percentage points for the three months ended March 31, 2021 primarily due to a change in mix of business towards lines that have a lower acquisition cost ratio.
The administrative expense ratio decreased 0.7 percentage points for the three months ended March 31, 2021, primarily due to continued expense management and the shutdown associated with the COVID-19 pandemic, as well as reduced pension obligations reflecting favorable market conditions.
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North America Personal P&C Insurance
The North America Personal P&C Insurance segment comprises operations that provide high net worth personal lines products, including homeowners and complementary products such as valuable articles, excess liability, automobile, and recreational marine insurance and services in the U.S. and Canada.

| Three Months Ended |  |  |  |  |  |  |  |
| March 31 |  | % Change |  |  |  |
(in millions of U.S. dollars, except for percentages) | 2021 |  | 2020 |  | Q-21 vs. Q-20 |  |  |  |  |  |
Net premiums written | $ | 1,098 |  |  | $ | 1,107 |  |  | (0.8) | % |  |  |  |  |  |
Net premiums earned | 1,184 |  |  | 1,200 |  |  | (1.3) | % |  |  |  |  |  |
Losses and loss expenses | 819 |  |  | 683 |  |  | 19.8 | % |  |  |  |  |  |
Policy acquisition costs | 247 |  |  | 245 |  |  | 1.0 | % |  |  |  |  |  |
Administrative expenses | 60 |  |  | 68 |  |  | (12.0) | % |  |  |  |  |  |
Underwriting income | 58 |  |  | 204 |  |  | (71.6) | % |  |  |  |  |  |
Net investment income | 65 |  |  | 66 |  |  | (2.4) | % |  |  |  |  |  |
Other (income) expense | 1 |  |  | 2 |  |  | (49.4) | % |  |  |  |  |  |
Amortization of purchased intangibles | 3 |  |  | 3 |  |  | — |  |  |  |  |  |  |
Segment income | $ | 119 |  |  | $ | 265 |  |  | (55.2) | % |  |  |  |  |  |
Loss and loss expense ratio: |  |  |  |  |  |  |  |  |  |  |  |  |
CAY loss ratio excluding catastrophe losses | 53.2 | % |  | 55.1 | % |  | (1.9) |  | pts |  |  |  |  |  |  |
Catastrophe losses | 19.3 | % |  | 1.8 | % |  | 17.5 |  | pts |  |  |  |  |  |  |
Prior period development | (3.3) | % |  | 0.1 | % |  | (3.4) |  | pts |  |  |  |  |  |  |
Loss and loss expense ratio | 69.2 | % |  | 57.0 | % |  | 12.2 |  | pts |  |  |  |  |  |  |
Policy acquisition cost ratio | 20.9 | % |  | 20.4 | % |  | 0.5 |  | pts |  |  |  |  |  |  |
Administrative expense ratio | 5.0 | % |  | 5.6 | % |  | (0.6) |  | pts |  |  |  |  |  |  |
Combined ratio | 95.1 | % |  | 83.0 | % |  | 12.1 |  | pts |  |  |  |  |  |  |

Catastrophe Losses and Prior Period Development | Three Months Ended |  |
| March 31 |  |
(in millions of U.S. dollars) | 2021 |  | 2020 |  |  |  |
Catastrophe losses | $ | 240 |  |  | $ | 21 |  |  |  |  |
Favorable (unfavorable) prior period development | $ | 40 |  |  | $ | (1) |  |  |  |  |

Catastrophe losses through March 31, 2021 were primarily from winter storm losses and other severe weather-related events in the U.S.
Refer to the prior period development discussion in Note 6 to the Consolidated Financial Statements for additional information.
Premiums
Net premiums written decreased $9 million, or 0.8 percent, for the three months ended March 31, 2021, primarily due to the unfavorable impact of reinstatement premiums of $23 million related to 2021 winter storm losses and automobile return premiums as mandated by certain states due to the slowdown in miles driven as a result of the COVID-19 pandemic. This decrease was partially offset by strong renewal retention, principally in homeowners and recreational marine lines.
Net premiums earned decreased $16 million, or 1.3 percent, for the three months ended March 31, 2021, reflecting the decline in net premiums written described above.
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Combined Ratio
The loss and loss expense ratio increased 12.2 percentage points for the three months ended March 31, 2021, primarily due to higher catastrophe losses, partially offset by favorable prior period development. The CAY loss ratio excluding catastrophe losses decreased 1.9 percentage points reflecting a favorable year-over-year loss ratio improvement in automobile, due to lower claim frequency, and in homeowners as earned rate exceeded loss cost trends.
The policy acquisition cost ratio increased 0.5 percentage points for the three months ended March 31, 2021, primarily due to the unfavorable impact of reinstatement premiums on net premiums earned.
The administrative expense ratio decreased 0.6 percentage points for the three months ended March 31, 2021, primarily due to continued expense management and the shutdown associated with the COVID-19 pandemic, as well as reduced pension obligations reflecting favorable market conditions.
North America Agricultural Insurance
The North America Agricultural Insurance segment comprises our North American based businesses that provide a variety of coverages in the U.S. and Canada including crop insurance, primarily Multiple Peril Crop Insurance (MPCI) and crop-hail through Rain and Hail Insurance Service, Inc. (Rain and Hail) as well as farm and ranch and specialty P&C commercial insurance products and services through our Chubb Agribusiness unit.

| Three Months Ended |  |  |  |  |  |  |  |
| March 31 |  | % Change |  |  |  |
(in millions of U.S. dollars, except for percentages) | 2021 |  | 2020 |  | Q-21 vs. Q-20 |  |  |  |  |  |
Net premiums written | $ | 183 |  |  | $ | 157 |  |  | 16.5 | % |  |  |  |  |  |
Net premiums earned | 110 |  |  | 94 |  |  | 16.7 | % |  |  |  |  |  |
Losses and loss expenses | 85 |  |  | 65 |  |  | 30.0 | % |  |  |  |  |  |
Policy acquisition costs | 12 |  |  | 11 |  |  | 12.4 | % |  |  |  |  |  |
Administrative expenses | 3 |  |  | 4 |  |  | (23.8) | % |  |  |  |  |  |
Underwriting income | 10 |  |  | 14 |  |  | (30.2) | % |  |  |  |  |  |
Net investment income | 7 |  |  | 9 |  |  | (18.5) | % |  |  |  |  |  |
Amortization of purchased intangibles | 7 |  |  | 7 |  |  | — |  |  |  |  |  |  |
Segment income | $ | 10 |  |  | $ | 16 |  |  | (36.0) | % |  |  |  |  |  |
Loss and loss expense ratio: |  |  |  |  |  |  |  |  |  |  |  |  |
CAY loss ratio excluding catastrophe losses | 71.2 | % |  | 76.2 | % |  | (5.0) |  | pts |  |  |  |  |  |  |
Catastrophe losses | 7.4 | % |  | 8.9 | % |  | (1.5) |  | pts |  |  |  |  |  |  |
Prior period development | (1.1) | % |  | (15.5) | % |  | 14.4 |  | pts |  |  |  |  |  |  |
Loss and loss expense ratio | 77.5 | % |  | 69.6 | % |  | 7.9 |  | pts |  |  |  |  |  |  |
Policy acquisition cost ratio | 10.7 | % |  | 11.1 | % |  | (0.4) |  | pts |  |  |  |  |  |  |
Administrative expense ratio | 2.7 | % |  | 4.1 | % |  | (1.4) |  | pts |  |  |  |  |  |  |
Combined ratio | 90.9 | % |  | 84.8 | % |  | 6.1 |  | pts |  |  |  |  |  |  |

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Catastrophe Losses and Prior Period Development | Three Months Ended |  |
| March 31 |  |
(in millions of U.S. dollars) | 2021 |  | 2020 |  |  |  |
Catastrophe losses | $ | 8 |  |  | $ | 8 |  |  |  |  |
Favorable prior period development | $ | 2 |  |  | $ | 14 |  |  |  |  |

Catastrophe losses through March 31, 2021 and 2020 were primarily from severe weather-related events in the U.S. in Chubb Agribusiness.
Refer to the prior period development discussion in Note 6 to the Consolidated Financial Statements for additional information.
For the three months ended March 31, 2021, net favorable prior period development comprised a $2 million increase in net premiums earned related to the MPCI profit and loss calculation formula. For the three months ended March 31, 2020, net favorable prior period development was $14 million which included $17 million of favorable incurred losses due to lower than expected MPCI losses for the 2019 crop year, partially offset by a $3 million decrease in net premiums earned related to the MPCI profit and loss calculation formula.
Premiums
Net premiums written increased $26 million, or 16.5 percent, for the three months ended March 31, 2021, due to policy count growth and higher commodity prices in our MPCI business, and strong new business growth in Chubb Agribusiness.
Net premiums earned increased $16 million, or 16.7 percent, for the three months ended March 31, 2021, reflecting the growth in net premiums written described above.
Combined Ratio
The loss and loss expense ratio increased 7.9 percentage points for the three months ended March 31, 2021, primarily due to lower favorable prior period development. The CAY loss ratio excluding catastrophe losses decreased 5.0 percentage points due to higher premiums earned from Chubb Agribusiness, which has a lower loss ratio, the favorable year-over-year impact of our crop derivatives, and lower underlying losses in Chubb Agribusiness.
The policy acquisition cost ratio decreased 0.4 percentage points for the three months ended March 31, 2021, primarily due to the favorable impact of higher net premiums earned.
The administrative expense ratio decreased 1.4 percentage points for the three months ended March 31, 2021, primarily due to continued expense management and the shutdown associated with the COVID-19 pandemic and the favorable impact of higher net premiums earned.
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Overseas General Insurance
Overseas General Insurance segment comprises Chubb International and Chubb Global Markets (CGM). Chubb International comprises our international commercial P&C traditional and specialty lines serving large corporations, middle market and small customers; A&H and traditional and specialty personal lines business serving local territories outside the U.S., Bermuda, and Canada. CGM, our London-based international commercial P&C excess and surplus lines business, includes Lloyd's of London (Lloyd's) Syndicate 2488. Chubb provides funds at Lloyd's to support underwriting by Syndicate 2488 which is managed by Chubb Underwriting Agencies Limited.

| Three Months Ended |  |  |  |  |  |  |
| March 31 |  | % Change |  |  |
(in millions of U.S. dollars, except for percentages) | 2021 |  |  | 2020 |  |  | Q-21 vs. Q-20 |  |  |  |  |
Net premiums written | $ | 2,890 |  |  | $ | 2,598 |  |  | 11.2 | % |  |  |  |  |
Net premiums written - constant dollars |  |  |  |  | 7.1 | % |  |  |  |  |  |
Net premiums earned | 2,478 |  |  | 2,307 |  |  | 7.4 | % |  |  |  |  |
Losses and loss expenses | 1,263 |  |  | 1,258 |  |  | 0.4 | % |  |  |  |  |
Policy acquisition costs | 668 |  |  | 642 |  |  | 4.1 | % |  |  |  |  |
Administrative expenses | 266 |  |  | 258 |  |  | 3.0 | % |  |  |  |  |
Underwriting income | 281 |  |  | 149 |  |  | 88.3 | % |  |  |  |  |
Net investment income | 141 |  |  | 145 |  |  | (2.6) | % |  |  |  |  |
Other (income) expense | 1 |  |  | 4 |  |  | (78.8) | % |  |  |  |  |
Amortization of purchased intangibles | 12 |  |  | 12 |  |  | — |  |  |  |  |  |
Segment income | $ | 409 |  |  | $ | 278 |  |  | 47.0 | % |  |  |  |  |
Loss and loss expense ratio: |  |  |  |  |  |  |  |  |  |  |  |
CAY loss ratio excluding catastrophe losses | 49.9 | % |  | 50.8 | % |  | (0.9) |  | pts |  |  |  |  |  |
Catastrophe losses | 2.1 | % |  | 3.8 | % |  | (1.7) |  | pts |  |  |  |  |  |
Prior period development | (1.0) | % |  | (0.1) | % |  | (0.9) |  | pts |  |  |  |  |  |
Loss and loss expense ratio | 51.0 | % |  | 54.5 | % |  | (3.5) |  | pts |  |  |  |  |  |
Policy acquisition cost ratio | 27.0 | % |  | 27.8 | % |  | (0.8) |  | pts |  |  |  |  |  |
Administrative expense ratio | 10.7 | % |  | 11.2 | % |  | (0.5) |  | pts |  |  |  |  |  |
Combined ratio | 88.7 | % |  | 93.5 | % |  | (4.8) |  | pts |  |  |  |  |  |

Catastrophe Losses and Prior Period Development

| Three Months Ended |  |
| March 31 |  |
(in millions of U.S. dollars) | 2021 |  | 2020 |  |  |  |
Catastrophe losses | $ | 50 |  |  | $ | 90 |  |  |  |  |
Favorable prior period development | $ | 25 |  |  | $ | 4 |  |  |  |  |

Catastrophe losses through March 31, 2021 and 2020 were primarily from the following events:
•2021: Winter storm losses in the U.S. and International weather-related events
•2020: Storms in Australia, Australia wildfires, and other international weather-related events; and COVID-19 pandemic claims of $13 million.
Refer to the prior period development discussion in Note 6 to the Consolidated Financial Statements for additional information.
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Net Premiums Written by Region | Three months ended March 31
(in millions of U.S. dollars, except for percentages) | 2021 |  |  | 2021 % of Total |  | 2020 |  |  | 2020 % of Total |  | C$ 2020 |  | Q-21 vs. Q-20 |  | C$ Q-21 vs. Q-20
Region |  |  |  |  |
Europe | $ | 1,516 |  |  | 52 | % |  | $ | 1,228 |  |  | 47 | % |  | $ | 1,313 |  |  | 23.4 | % |  | 15.4 | %
Latin America | 537 |  |  | 19 | % |  | 583 |  |  | 22 | % |  | 557 |  |  | (8.0) | % |  | (3.7) | %
Asia | 761 |  |  | 26 | % |  | 688 |  |  | 27 | % |  | 727 |  |  | 10.6 | % |  | 4.6 | %
Other (1) | 76 |  |  | 3 | % |  | 99 |  |  | 4 | % |  | 100 |  |  | (22.5) | % |  | (23.2) | %
Net premiums written | $ | 2,890 |  |  | 100 | % |  | $ | 2,598 |  |  | 100 | % |  | $ | 2,697 |  |  | 11.2 | % |  | 7.1 | %

(1) Comprises Combined International, Eurasia and Africa region, and other international.
Premiums
Net premiums written increased $292 million, or $193 million on a constant-dollar basis, for the three months ended March 31, 2021, reflecting growth in commercial P&C lines of 15.2 percent, primarily in Europe and Asia, most notably in casualty, resulting from new business and positive rate increases. Net premiums written also reflected a decline in consumer lines of 4.2 percent, primarily automobile in Latin America, and A&H in Asia, resulting from less travel volume and lower exposures, partially offset by personal lines growth in Europe, principally in specialty personal lines.
Net premiums earned increased $171 million, or $89 million on a constant-dollar basis, for the three months ended March 31, 2021, reflecting the increase in net premiums written described above.
Combined Ratio
The loss and loss expense ratio decreased 3.5 percentage points for the three months ended March 31, 2021, primarily due to lower catastrophe losses and higher favorable prior period development. The CAY loss ratio excluding catastrophe losses decreased 0.9 percentage points primarily due to margin improvements coming from earned rates exceeding loss cost trends and a benefit from lower current accident year losses resulting from a decrease in exposures due to the COVID-19 pandemic. The decrease was partially offset by lower premiums earned from A&H lines which have a lower loss ratio.
The policy acquisition cost ratio decreased 0.8 percentage points for the three months ended March 31, 2021, primarily due to a change in the mix of business, including less premiums earned from consumer A&H lines that have a higher acquisition cost ratio and higher premiums earned from commercial P&C lines that have a lower acquisition cost ratio.
The administrative expense ratio decreased 0.5 percentage points for the three months ended March 31, 2021, primarily due to the favorable impact of higher net premiums earned.
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Global Reinsurance
The Global Reinsurance segment represents our reinsurance operations comprising Chubb Tempest Re Bermuda, Chubb Tempest Re USA, Chubb Tempest Re International, and Chubb Tempest Re Canada. Global Reinsurance markets its reinsurance products worldwide primarily through reinsurance brokers under the Chubb Tempest Re brand name and provides a broad range of traditional and non-traditional reinsurance coverage to a diverse array of primary P&C companies.

| Three Months Ended |  |  |  |  |  |  |
| March 31 |  | % Change |  |  |
(in millions of U.S. dollars, except for percentages) | 2021 |  |  | 2020 |  |  | Q-21 vs. Q-20 |  |  |  |  |
Net premiums written | $ | 207 |  |  | $ | 218 |  |  | (5.1) | % |  |  |  |  |
Net premiums written - constant dollars |  |  |  |  | (6.2) | % |  |  |  |  |  |
Net premiums earned | 180 |  |  | 186 |  |  | (3.3) | % |  |  |  |  |
Losses and loss expenses | 120 |  |  | 87 |  |  | 39.2 | % |  |  |  |  |
Policy acquisition costs | 45 |  |  | 45 |  |  | — |  |  |  |  |  |
Administrative expenses | 8 |  |  | 10 |  |  | (14.8) | % |  |  |  |  |
Underwriting income | 7 |  |  | 44 |  |  | (85.3) | % |  |  |  |  |
Net investment income | 70 |  |  | 69 |  |  | 2.0 | % |  |  |  |  |
Segment income | $ | 77 |  |  | $ | 113 |  |  | (32.2) | % |  |  |  |  |
Loss and loss expense ratio: |  |  |  |  |  |  |  |  |  |  |  |
CAY loss ratio excluding catastrophe losses | 48.3 | % |  | 50.4 | % |  | (2.1) |  | pts |  |  |  |  |  |
Catastrophe losses | 23.8 | % |  | — |  |  | 23.8 |  | pts |  |  |  |  |  |
Prior period development | (5.2) | % |  | (3.9) | % |  | (1.3) |  | pts |  |  |  |  |  |
Loss and loss expense ratio | 66.9 | % |  | 46.5 | % |  | 20.4 |  | pts |  |  |  |  |  |
Policy acquisition cost ratio | 24.9 | % |  | 24.5 | % |  | 0.4 |  | pts |  |  |  |  |  |
Administrative expense ratio | 4.6 | % |  | 5.1 | % |  | (0.5) |  | pts |  |  |  |  |  |
Combined ratio | 96.4 | % |  | 76.1 | % |  | 20.3 |  | pts |  |  |  |  |  |

Catastrophe Losses and Prior Period Development

| Three Months Ended |  |
| March 31 |  |
(in millions of U.S dollars) | 2021 |  | 2020 |  |  |  |
Catastrophe losses | $ | 40 |  |  | $ | — |  |  |  |  |
Favorable prior period development | $ | 7 |  |  | $ | 7 |  |  |  |  |

Catastrophe losses through March 31, 2021 were primarily from winter storm losses in the U.S.
Refer to the prior period development discussion in Note 6 to the Consolidated Financial Statements for additional information.
Premiums
More new business was written in the three months ended March 31, 2021 compared to the prior year. However, net premiums written decreased $11 million for the three months ended March 31, 2021, mainly from timing of premium recognition associated with a change in the mix of business. Some treaties written in the prior year, for which premiums were recognized at the effective date, were not renewed and were offset by new business, for which premiums are recognized over the treaty term.
For the three months ended March 31, 2021, net premiums earned decreased $6 million, reflecting the change in mix of business and the timing of premium recognition, as described above.
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Combined Ratio
The loss and loss expense ratio increased 20.4 percentage points for the three months ended March 31, 2021, primarily due to higher catastrophe losses. The CAY loss ratio excluding catastrophe losses decreased by 2.1 percentage points primarily from a shift in mix of business towards lines which have a lower loss ratio.
The policy acquisition cost ratio increased 0.4 percentage points for the three months ended March 31, 2021, primarily due to higher commissions paid on proportional business.
The administrative expense ratio decreased 0.5 percentage points for the three months ended March 31, 2021, primarily due to lower employee benefit-related expenses.
Life Insurance
The Life Insurance segment comprises Chubb's international life operations, Chubb Tempest Life Re (Chubb Life Re), and the North American supplemental A&H and life business of Combined Insurance. We assess the performance of our life business based on Life Insurance underwriting income, which includes Net investment income and (Gains) losses from fair value changes in separate account assets that do not qualify for separate account reporting under GAAP.

| Three Months Ended |  |  |  |  |  |
| March 31 |  | % Change |  |  |  |
(in millions of U.S. dollars, except for percentages) | 2021 |  |  | 2020 |  |  | Q-21 vs. Q-20 |  |  |  |  |  |
Net premiums written | $ | 620 |  |  | $ | 645 |  |  | (3.8) | % |  |  |  |  |  |
Net premiums written - constant dollars |  |  |  |  | (4.7) | % |  |  |  |  |  |
Net premiums earned | 595 |  |  | 631 |  |  | (5.7) | % |  |  |  |  |  |
Losses and loss expenses | 198 |  |  | 202 |  |  | (1.7) | % |  |  |  |  |  |
Policy benefits | 163 |  |  | 185 |  |  | (12.3) | % |  |  |  |  |  |
Policy acquisition costs | 179 |  |  | 180 |  |  | (0.5) | % |  |  |  |  |  |
Administrative expenses | 82 |  |  | 76 |  |  | 7.7 | % |  |  |  |  |  |
Net investment income | 98 |  |  | 95 |  |  | 3.3 | % |  |  |  |  |  |
Life Insurance underwriting income | 71 |  |  | 83 |  |  | (14.3) | % |  |  |  |  |  |
Other (income) expense | (34) |  |  | (12) |  |  | 190.3 | % |  |  |  |  |  |
Amortization of purchased intangibles | 1 |  |  | 1 |  |  | — |  |  |  |  |  |  |
Segment income | $ | 104 |  |  | $ | 94 |  |  | 11.2 | % |  |  |  |  |  |

Premiums
Net premiums written decreased $25 million, or $31 million on a constant-dollar basis for the three months ended March 31, 2021. This decrease reflects the adverse impact of the COVID-19 pandemic on our North America Combined Insurance business of 9.4 percent, and a decline in our Chubb Life Re business which continues to decline as no new life reinsurance business is currently being written. These decreases were partially offset by growth in our International Life operations of 9.8 percent, principally in Asia, from new business in Taiwan and Vietnam, and Chile.
Deposits
The following table presents deposits collected on universal life and investment contracts:

| Three Months Ended |  |  |  |  |  |  |  |  |  |
| March 31 |  | % Change |  |  |  |
(in millions of U.S. dollars, except for percentages) | 2021 |  | 2020 |  | C$ 2020 |  | Q-21 vs. Q-20 |  | C$ Q-21 vs. Q-20 |  |  |  |  |  |  |  |  |  |
Deposits collected on Universal life and investment contracts | $ | 551 |  |  | $ | 443 |  |  | $ | 470 |  |  | 24.4 | % |  | 17.3 | % |  |  |  |  |  |  |  |  |  |

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Deposits collected on universal life and investment contracts (life deposits) are not reflected as revenues in our Consolidated statements of operations in accordance with GAAP. New life deposits are an important component of production, and although they do not significantly affect current period income from operations, they are key to our efforts to grow our business. Life deposits collected increased $108 million for the three months ended March 31, 2021, primarily due to growth in Taiwan.
Life Insurance underwriting income and Segment income
Life Insurance underwriting income decreased $12 million for the three months ended March 31, 2021, primarily due to a one-time employee related benefit of $7 million in the prior year. Segment income increased $10 million for the three months ended March 31, 2021, as the decline in life insurance underwriting income was offset by higher other income, principally due to our share of net income from our investment in Huatai, our partially-owned insurance entity in China.
Corporate
Corporate results primarily include the results of our non-insurance companies, income and expenses not attributable to reportable segments and loss and loss expenses of asbestos and environmental (A&E) liabilities and certain other non-A&E run-off exposures.

| Three Months Ended |  |  |  |  |  |
| March 31 |  | % Change |  |  |  |
(in millions of U.S. dollars, except for percentages) | 2021 |  |  | 2020 |  |  | Q-21 vs. Q-20 |  |  |  |  |  |
Losses and loss expenses | $ | 9 |  |  | $ | 11 |  |  | (22.9) | % |  |  |  |  |  |
Administrative expenses | 71 |  |  | 66 |  |  | 5.2 | % |  |  |  |  |  |
Underwriting loss | 80 |  |  | 77 |  |  | 1.2 | % |  |  |  |  |  |
Net investment income (loss) | (17) |  |  | (24) |  |  | (25.9) | % |  |  |  |  |  |
Interest expense | 122 |  |  | 132 |  |  | (7.6) | % |  |  |  |  |  |
Net realized gains (losses) | 888 |  |  | (956) |  |  | NM |  |  |  |  |  |
Other (income) expense | (415) |  |  | 23 |  |  | NM |  |  |  |  |  |
Amortization of purchased intangibles | 49 |  |  | 50 |  |  | (3.0) | % |  |  |  |  |  |
Income tax expense | 338 |  |  | 215 |  |  | 57.0 | % |  |  |  |  |  |
Net income (loss) | $ | 697 |  |  | $ | (1,477) |  |  | NM |  |  |  |  |  |

NM - not meaningful
Administrative expenses increased $5 million for the three months ended March 31, 2021, primarily due to increased spending to support digital growth initiatives.
Refer to the respective sections that follow for a discussion of Net realized gains (losses), Net investment income, Other (income) expense, Amortization of purchased intangibles, and Income tax expense.

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 certain specific guidelines designed to minimize risk. The majority of our investment portfolio is available for sale and reported at fair value. Our held to maturity investment portfolio is reported at amortized cost, net of valuation allowance.
The effect of market movements on our fixed maturities 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 e) to the Consolidated Financial Statements in our 2020 Form 10-K. Additionally, Net income is impacted through the reporting of changes in the fair value of equity securities, private equity funds where we own less than three percent, and derivatives, including financial futures, options, swaps, and GLB reinsurance. Changes in unrealized appreciation and depreciation on available for sale securities, resulting from the revaluation of securities held, changes in
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cumulative foreign currency translation adjustment, and unrealized postretirement benefit obligations liability adjustment, are reported as separate components of Accumulated other comprehensive income in Shareholders’ equity in the Consolidated balance sheets.
The following table presents our net realized and unrealized gains (losses):

| Three Months Ended March 31
| 2021 |  | 2020
(in millions of U.S. dollars) | Net Realized Gains (Losses) |  | Net Unrealized Gains (Losses) |  | Net Impact |  | Net Realized Gains (Losses) |  | Net Unrealized Gains (Losses) |  | Net Impact
Fixed maturities | $ | 24 |  |  | $ | (2,317) |  |  | $ | (2,293) |  |  | $ | (319) |  |  | $ | (2,160) |  |  | $ | (2,479) |
Fixed income and equity derivatives | 109 |  |  | — |  |  | 109 |  |  | 15 |  |  | — |  |  | 15 |
Public equity |  |  |  |  |  |  |  |  |  |  |
Sales | 45 |  |  | — |  |  | 45 |  |  | (24) |  |  | — |  |  | (24) |
Mark-to-market | 322 |  |  | — |  |  | 322 |  |  | (5) |  |  | — |  |  | (5) |
Private equity (less than 3 percent ownership) |  |  |  |  |  |  |  |  |  |  |
Mark-to-market | 38 |  |  | — |  |  | 38 |  |  | 5 |  |  | — |  |  | 5 |
Total investment portfolio | 538 |  |  | (2,317) |  |  | (1,779) |  |  | (328) |  |  | (2,160) |  |  | (2,488) |
Variable annuity reinsurance derivative transactions, net of applicable hedges | 275 |  |  | — |  |  | 275 |  |  | (560) |  |  | — |  |  | (560) |
Other derivatives | (1) |  |  | — |  |  | (1) |  |  | (2) |  |  | — |  |  | (2) |
Foreign exchange | 76 |  |  | 22 |  |  | 98 |  |  | (68) |  |  | (859) |  |  | (927) |
Other | (1) |  |  | (28) |  |  | (29) |  |  | — |  |  | (14) |  |  | (14) |
Net gains (losses), pre-tax | $ | 887 |  |  | $ | (2,323) |  |  | $ | (1,436) |  |  | $ | (958) |  |  | $ | (3,033) |  |  | $ | (3,991) |

The $1,779 million loss in our investment portfolio was principally a result of a rise in fixed income yields during the quarter, partially offset by positive global equity returns.
The variable annuity reinsurance derivative transactions consist of changes in the fair value of GLB liabilities and gain or losses on other derivative instruments we maintain that decrease in fair value when the S&P 500 index increases. The variable annuity reinsurance derivative transactions resulted in realized gains of $275 million for the three months ended March 31, 2021, reflecting a net decrease in the fair value of the GLB liabilities of $319 million due to higher interest rates and higher global equity markets, partially offset by a net realized loss of $44 million related to these other derivatives.
For the three months ended March 31, 2020, the variable annuity reinsurance derivative transactions resulted in realized losses of $560 million, reflecting a net increase in the fair value of GLB liabilities of $685 million and a net realized gain of $125 million related to these other derivative instruments. The net increase in the fair value of GLB liabilities was principally due to lower global equity market levels.

Effective Income Tax Rate

Our effective tax rate for the three months ended March 31, 2021 was 12.8 percent compared to 46.0 percent in the prior year period. Our effective income tax rate reflects a mix of income or losses in jurisdictions with a wide range of tax rates, permanent differences between U.S. GAAP and local tax laws, and the impact of discrete items. A change in the geographic mix of earnings could impact our effective tax rate. The effective tax rate in the current year was lower compared to the prior year primarily due to the impact of realized gains generated in lower tax jurisdictions and a higher discrete tax benefit on employee benefit programs compared to the prior year that had realized losses.
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Non-GAAP Reconciliation

In presenting our results, we included and discussed certain non-GAAP measures. These non-GAAP measures, which may be defined differently by other companies, are important for an understanding of our overall results of operations and financial condition. However, they should not be viewed as a substitute for measures determined in accordance with generally accepted accounting principles (GAAP).
Book value per common share, is shareholders’ equity divided by the shares outstanding. Tangible book value per common share, is shareholders’ equity less goodwill and other intangible assets, net of tax, divided by the shares outstanding. We believe that goodwill and other intangible assets are not indicative of our underlying insurance results or trends and make book value comparisons to less acquisitive peer companies less meaningful. The calculation of tangible book value per share does not consider the embedded goodwill attributable to our investments in partially-owned insurance companies until we attain majority ownership and consolidate.
We provide financial measures, including net premiums written, net premiums earned, and underwriting income on a constant-dollar basis. We believe it is useful to evaluate the trends in our results exclusive of the effect of fluctuations in exchange rates between the U.S. dollar and the currencies in which our international business is transacted, as these exchange rates could fluctuate significantly between periods and distort the analysis of trends. The impact is determined by assuming constant foreign exchange rates between periods by translating prior period results using the same local currency exchange rates as the comparable current period.
P&C performance metrics comprise consolidated operating results (including Corporate) and exclude the operating results of the Life Insurance segment. We believe that these measures are useful and meaningful to investors as they are used by management to assess the company’s P&C operations which are the most economically similar. We exclude the Life Insurance segment because the results of this business do not always correlate with the results of our P&C operations.
P&C combined ratio is the sum of the loss and loss expense ratio, policy acquisition cost ratio and the administrative expense ratio excluding the life business and including the realized gains and losses on the crop derivatives. These derivatives were purchased to provide economic benefit, in a manner similar to reinsurance protection, in the event that a significant decline in commodity pricing impacts underwriting results. We view gains and losses on these derivatives as part of the results of our underwriting operations.
CAY P&C combined ratio excluding catastrophe losses (CATs) excludes CATs and prior period development (PPD) from the P&C combined ratio. We exclude CATs as they are not predictable as to timing and amount and PPD as these unexpected loss developments on historical reserves are not indicative of our current underwriting performance. The combined ratio numerator is adjusted to exclude CATs, net premiums earned adjustments on PPD, prior period expense adjustments and reinstatement premiums on PPD, and the denominator is adjusted to exclude net premiums earned adjustments on PPD and reinstatement premiums on CATs and PPD. In periods where there are adjustments on loss sensitive policies, these adjustments are excluded from PPD and net premiums earned when calculating the ratios. We believe this measure provides a better evaluation of our underwriting performance and enhances the understanding of the trends in our P&C business that may be obscured by these items. This measure is commonly reported among our peer companies and allows for a better comparison.
Reinstatement premiums are additional premiums paid on certain reinsurance agreements in order to reinstate coverage that had been exhausted by loss occurrences. The reinstatement premium amount is typically a pro rata portion of the original ceded premium paid based on how much of the reinsurance limit had been exhausted.
Net premiums earned adjustments within PPD are adjustments to the initial premium earned on retrospectively rated policies based on actual claim experience that develops after the policy period ends. The premium adjustments correlate to the prior period loss development on these same policies and are fully earned in the period the adjustments are recorded.
Prior period expense adjustments typically relate to adjustable commission reserves or policyholder dividend reserves based on actual claim experience that develops after the policy period ends. The expense adjustments correlate to the prior period loss development on these same policies.
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The following tables present the calculation of combined ratio, as reported for each segment to P&C combined ratio, adjusted for catastrophe losses (CATs) and PPD:

|  | North America Commercial P&C Insurance |  | North America Personal P&C Insurance |  | North America Agricultural Insurance |  | Overseas General Insurance |  | Global Reinsurance |  | Corporate |  | Total P&C
Three Months Ended
March 31, 2021
(in millions of U.S. dollars except for ratios)
Numerator |  |  |  |  |  |  |  |  |  |  |  |  |  |
Losses and loss expenses | A | $ | 2,560 |  |  | $ | 819 |  |  | $ | 85 |  |  | $ | 1,263 |  |  | $ | 120 |  |  | $ | 9 |  |  | $ | 4,856 |
Catastrophe losses and related adjustments |  |  |  |  |  |  |  |  |  |  |  |  |  |
Catastrophe losses, net of related adjustments |  | (362) |  |  | (240) |  |  | (8) |  |  | (50) |  |  | (40) |  |  | — |  |  | (700) |
Reinstatement premiums collected (expensed) on catastrophe losses |  | — |  |  | (23) |  |  | — |  |  | — |  |  | 5 |  |  | — |  |  | (18) |
Catastrophe losses, gross of related adjustments |  | (362) |  |  | (217) |  |  | (8) |  |  | (50) |  |  | (45) |  |  | — |  |  | (682) |
PPD and related adjustments |  |  |  |  |  |  |  |  |  |  |  |  |  |
PPD, net of related adjustments - favorable (unfavorable) |  | 127 |  |  | 40 |  |  | 2 |  |  | 25 |  |  | 7 |  |  | (9) |  |  | 192 |
Net premiums earned adjustments on PPD - unfavorable (favorable) |  | — |  |  | — |  |  | (2) |  |  | — |  |  | — |  |  | — |  |  | (2) |
Expense adjustments - unfavorable (favorable) |  | 3 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 3 |
PPD reinstatement premiums - unfavorable (favorable) |  | — |  |  | — |  |  | — |  |  | — |  |  | 3 |  |  | — |  |  | 3 |
PPD, gross of related adjustments - favorable (unfavorable) |  | 130 |  |  | 40 |  |  | — |  |  | 25 |  |  | 10 |  |  | (9) |  |  | 196 |
CAY loss and loss expense ex CATs | B | $ | 2,328 |  |  | $ | 642 |  |  | $ | 77 |  |  | $ | 1,238 |  |  | $ | 85 |  |  | $ | — |  |  | $ | 4,370 |
Policy acquisition costs and administrative expenses |  |  |  |  |  |  |  |  |  |  |  |  |  |
Policy acquisition costs and administrative expenses | C | $ | 768 |  |  | $ | 307 |  |  | $ | 15 |  |  | $ | 934 |  |  | $ | 53 |  |  | $ | 71 |  |  | $ | 2,148 |
Expense adjustments - favorable (unfavorable) |  | (3) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (3) |
Policy acquisition costs and administrative expenses, adjusted | D | $ | 765 |  |  | $ | 307 |  |  | $ | 15 |  |  | $ | 934 |  |  | $ | 53 |  |  | $ | 71 |  |  | $ | 2,145 |
Denominator |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net premiums earned | E | $ | 3,674 |  |  | $ | 1,184 |  |  | $ | 110 |  |  | $ | 2,478 |  |  | $ | 180 |  |  |  |  | $ | 7,626 |
Reinstatement premiums (collected) expensed on catastrophe losses |  | — |  |  | 23 |  |  | — |  |  | — |  |  | (5) |  |  |  |  | 18 |
Net premiums earned adjustments on PPD - unfavorable (favorable) |  | — |  |  | — |  |  | (2) |  |  | — |  |  | — |  |  |  |  | (2) |
PPD reinstatement premiums - unfavorable (favorable) |  | — |  |  | — |  |  | — |  |  | — |  |  | 3 |  |  |  |  | 3 |
Net premiums earned excluding adjustments | F | $ | 3,674 |  |  | $ | 1,207 |  |  | $ | 108 |  |  | $ | 2,478 |  |  | $ | 178 |  |  |  |  | $ | 7,645 |
P&C Combined ratio |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loss and loss expense ratio | A/E | 69.7 | % |  | 69.2 | % |  | 77.5 | % |  | 51.0 | % |  | 66.9 | % |  |  |  | 63.7 | %
Policy acquisition cost and administrative expense ratio | C/E | 20.9 | % |  | 25.9 | % |  | 13.4 | % |  | 37.7 | % |  | 29.5 | % |  |  |  | 28.1 | %
P&C Combined ratio |  | 90.6 | % |  | 95.1 | % |  | 90.9 | % |  | 88.7 | % |  | 96.4 | % |  |  |  | 91.8 | %
CAY P&C Combined ratio ex CATs |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loss and loss expense ratio, adjusted | B/F | 63.4 | % |  | 53.2 | % |  | 71.2 | % |  | 49.9 | % |  | 48.3 | % |  |  |  | 57.2 | %
Policy acquisition cost and administrative expense ratio, adjusted | D/F | 20.8 | % |  | 25.4 | % |  | 13.5 | % |  | 37.7 | % |  | 29.7 | % |  |  |  | 28.0 | %
CAY P&C Combined ratio ex CATs |  | 84.2 | % |  | 78.6 | % |  | 84.7 | % |  | 87.6 | % |  | 78.0 | % |  |  |  | 85.2 | %
Combined ratio |  |  |  |  |  |  |  |  |  |  |  |  |  |
Combined ratio |  |  |  |  |  |  |  |  |  |  |  |  |  | 91.8 | %
Add: impact of gains and losses on crop derivatives |  |  |  |  |  |  |  |  |  |  |  |  |  | — |
P&C Combined ratio |  |  |  |  |  |  |  |  |  |  |  |  |  | 91.8 | %
Note: The ratios above are calculated using whole U.S. dollars. Accordingly, calculations using rounded amounts may differ. Letters A, B, C, D, E, and F included in the table are references for calculating the ratios above.

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|  | North America Commercial P&C Insurance |  | North America Personal P&C Insurance |  | North America Agricultural Insurance |  | Overseas General Insurance |  | Global Reinsurance |  | Corporate |  | Total P&C
Three Months Ended
March 31, 2020
(in millions of U.S. dollars except for ratios)
Numerator |  |  |  |  |  |  |  |  |  |  |  |  |  |
Losses and loss expenses | A | $ | 2,181 |  |  | $ | 683 |  |  | $ | 65 |  |  | $ | 1,258 |  |  | $ | 87 |  |  | $ | 11 |  |  | $ | 4,285 |
Catastrophe losses and related adjustments |  |  |  |  |  |  |  |  |  |  |  |  |  |
Catastrophe losses, net of related adjustments |  | (118) |  |  | (21) |  |  | (8) |  |  | (90) |  |  | — |  |  | — |  |  | (237) |
Reinstatement premiums collected (expensed) on catastrophe losses |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Catastrophe losses, gross of related adjustments |  | (118) |  |  | (21) |  |  | (8) |  |  | (90) |  |  | — |  |  | — |  |  | (237) |
PPD and related adjustments |  |  |  |  |  |  |  |  |  |  |  |  |  |
PPD, net of related adjustments - favorable (unfavorable) |  | 105 |  |  | (1) |  |  | 14 |  |  | 4 |  |  | 7 |  |  | (11) |  |  | 118 |
Net premiums earned adjustments on PPD - unfavorable (favorable) |  | — |  |  | — |  |  | 3 |  |  | — |  |  | — |  |  | — |  |  | 3 |
Expense adjustments - unfavorable (favorable) |  | (1) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (1) |
PPD, gross of related adjustments - favorable (unfavorable) |  | 104 |  |  | (1) |  |  | 17 |  |  | 4 |  |  | 7 |  |  | (11) |  |  | 120 |
CAY loss and loss expense ex CATs | B | $ | 2,167 |  |  | $ | 661 |  |  | $ | 74 |  |  | $ | 1,172 |  |  | $ | 94 |  |  | $ | — |  |  | $ | 4,168 |
Policy acquisition costs and administrative expenses |  |  |  |  |  |  |  |  |  |  |  |  |  |
Policy acquisition costs and administrative expenses | C | $ | 751 |  |  | $ | 313 |  |  | $ | 15 |  |  | $ | 900 |  |  | $ | 55 |  |  | $ | 66 |  |  | $ | 2,100 |
Expense adjustments - favorable (unfavorable) |  | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 1 |
Policy acquisition costs and administrative expenses, adjusted | D | $ | 752 |  |  | $ | 313 |  |  | $ | 15 |  |  | $ | 900 |  |  | $ | 55 |  |  | $ | 66 |  |  | $ | 2,101 |
Denominator |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net premiums earned | E | $ | 3,376 |  |  | $ | 1,200 |  |  | $ | 94 |  |  | $ | 2,307 |  |  | $ | 186 |  |  |  |  | $ | 7,163 |
Net premiums earned adjustments on PPD - unfavorable (favorable) |  | — |  |  | — |  |  | 3 |  |  | — |  |  | — |  |  |  |  | 3 |
Net premiums earned excluding adjustments | F | $ | 3,376 |  |  | $ | 1,200 |  |  | $ | 97 |  |  | $ | 2,307 |  |  | $ | 186 |  |  |  |  | $ | 7,166 |
P&C Combined ratio |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loss and loss expense ratio | A/E | 64.6 | % |  | 57.0 | % |  | 69.6 | % |  | 54.5 | % |  | 46.5 | % |  |  |  | 59.8 | %
Policy acquisition cost and administrative expense ratio | C/E | 22.2 | % |  | 26.0 | % |  | 15.2 | % |  | 39.0 | % |  | 29.6 | % |  |  |  | 29.3 | %
P&C Combined ratio |  | 86.8 | % |  | 83.0 | % |  | 84.8 | % |  | 93.5 | % |  | 76.1 | % |  |  |  | 89.1 | %
CAY P&C Combined ratio ex CATs |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loss and loss expense ratio, adjusted | B/F | 64.2 | % |  | 55.1 | % |  | 76.2 | % |  | 50.8 | % |  | 50.4 | % |  |  |  | 58.2 | %
Policy acquisition cost and administrative expense ratio, adjusted | D/F | 22.3 | % |  | 26.1 | % |  | 14.7 | % |  | 39.0 | % |  | 29.6 | % |  |  |  | 29.3 | %
CAY P&C Combined ratio ex CATs |  | 86.5 | % |  | 81.2 | % |  | 90.9 | % |  | 89.8 | % |  | 80.0 | % |  |  |  | 87.5 | %
Combined ratio |  |  |  |  |  |  |  |  |  |  |  |  |  |
Combined ratio |  |  |  |  |  |  |  |  |  |  |  |  |  | 89.1 | %
Add: impact of gains and losses on crop derivatives |  |  |  |  |  |  |  |  |  |  |  |  |  | — |
P&C Combined ratio |  |  |  |  |  |  |  |  |  |  |  |  |  | 89.1 | %
Note: The ratios above are calculated using whole U.S. dollars. Accordingly, calculations using rounded amounts may differ. Letters A, B, C, D, E, and F included in the table are references for calculating the ratios above.

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Other Income and Expense

| Three Months Ended |  |
| March 31 |  |
(in millions of U.S. dollars) | 2021 |  | 2020 |  |  |  |
Equity in net income of partially-owned entities (1) | $ | 497 |  |  | $ | 29 |  |  |  |  |
Gains (losses) from fair value changes in separate account assets (2) | 4 |  |  | (56) |  |  |  |  |
Federal excise and capital taxes | (5) |  |  | (6) |  |  |  |  |
Other | (6) |  |  | (22) |  |  |  |  |
Total | $ | 490 |  |  | $ | (55) |  |  |  |  |

(1) Equity in net income of partially-owned entities includes $49 million and $18 million attributable to our investments in Huatai for the three months ended March 31, 2021 and 2020, respectively.
(2) Related to gains (losses) from fair value changes in separate account assets that do not qualify for separate account reporting under GAAP.
Other income and expense includes equity in net income of partially-owned entities, which includes our share of net income or loss, both underlying operating income and mark-to-market movement, related to partially-owned investment companies (private equity) and partially-owned insurance companies. Also included in Other income and expense are gains (losses) from fair value changes in separate account assets that do not qualify for separate account reporting under GAAP. The offsetting movement in the separate account liabilities is included in Policy benefits in the Consolidated statements of operations. Certain federal excise and capital taxes incurred as a result of capital management initiatives are included in Other income and expense as these are considered capital transactions and are excluded from underwriting results.

Amortization of purchased intangibles and Other amortization

Amortization expense of purchased intangibles was $72 million and $73 million for the three months ended March 31, 2021 and 2020, respectively, and principally relates to the Chubb Corp acquisition.
The following table presents, as of March 31, 2021, the estimated pre-tax amortization expense (benefit) of purchased intangibles, at current foreign currency exchange rates, for the second through fourth quarters of 2021 and the next five years:

| Associated with the Chubb Corp Acquisition |  |  |  |
For the Years Ending December 31 (in millions of U.S. dollars) | Agency distribution relationships and renewal rights |  |  |  | Fair value adjustment on Unpaid losses and loss expenses |  | Total (1) |  | Other intangible assets (2) |  | Total Amortization of purchased intangibles
Second quarter of 2021 | $ | 54 |  |  |  |  | $ | (5) |  |  | $ | 49 |  |  | $ | 21 |  |  | $ | 70 |
Third quarter of 2021 | 54 |  |  |  |  | (5) |  |  | 49 |  |  | 23 |  |  | 72 |
Fourth quarter of 2021 | 54 |  |  |  |  | (5) |  |  | 49 |  |  | 23 |  |  | 72 |
2022 | 198 |  |  |  |  | (14) |  |  | 184 |  |  | 103 |  |  | 287 |
2023 | 179 |  |  |  |  | (7) |  |  | 172 |  |  | 97 |  |  | 269 |
2024 | 160 |  |  |  |  | (6) |  |  | 154 |  |  | 91 |  |  | 245 |
2025 | 145 |  |  |  |  | (6) |  |  | 139 |  |  | 89 |  |  | 228 |
2026 | 131 |  |  |  |  | (6) |  |  | 125 |  |  | 87 |  |  | 212 |
Total | $ | 975 |  |  |  |  | $ | (54) |  |  | $ | 921 |  |  | $ | 534 |  |  | $ | 1,455 |

(1)Recorded in Corporate.
(2)Recorded in applicable segment(s) that acquired the intangible assets.
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Reduction of deferred tax liability associated with intangible assets related to Other intangible assets (excluding the fair value adjustment on Unpaid losses and loss expense)
At March 31, 2021, the deferred tax liability associated with Other intangible assets (excluding the fair value adjustment on Unpaid losses and loss expense) was $1,280 million.
The following table presents, as of March 31, 2021, the expected reduction of the deferred tax liability associated with Other intangible assets (which reduces as agency distribution relationships and renewal rights, and other intangible assets amortize), at current foreign currency exchange rates, for the second through fourth quarters of 2021 and for the next five years:

For the Years Ending December 31 (in millions of U.S. dollars) | Reduction to deferred tax liability associated with intangible assets
Second quarter of 2021 | $ | 17 |
Third quarter of 2021 | 17 |
Fourth quarter of 2021 | 17 |
2022 | 67 |
2023 | 62 |
2024 | 56 |
2025 | 52 |
2026 | 48 |
Total | $ | 336 |

Amortization of the fair value adjustment on acquired invested assets and assumed long-term debt
The following table presents at March 31, 2021, the expected amortization expense of the fair value adjustment on acquired invested assets, at current foreign currency exchange rates, and the expected amortization benefit from the fair value adjustment on assumed long-term debt for the second through fourth quarters of 2021 and for the next five years:

| Amortization (expense) benefit of the fair value adjustment on
For the Years Ending December 31 (in millions of U.S. dollars) | Acquired invested assets (1) |  | Assumed long-term debt (2)
Second quarter of 2021 | $ | (30) |  |  | $ | 5 |
Third quarter of 2021 | (28) |  |  | 5 |
Fourth quarter of 2021 | (27) |  |  | 6 |
2022 | (103) |  |  | 21 |
2023 | — |  |  | 21 |
2024 | — |  |  | 21 |
2025 | — |  |  | 21 |
2026 | — |  |  | 21 |
Total | $ | (188) |  |  | $ | 121 |

(1)Recorded as a reduction to Net investment income in the Consolidated statements of operations.
(2)Recorded as a reduction to Interest expense in the Consolidated statements of operations.
The estimate of amortization expense of the fair value adjustment on acquired invested assets could vary materially based on current market conditions, bond calls, overall duration of the acquired investment portfolio, and foreign exchange.
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Net Investment Income

| Three Months Ended March 31 |
(in millions of U.S. dollars) | 2021 |  | 2020 |  |  |
Fixed maturities (1) | $ | 840 |  |  | $ | 851 |  |  |  |
Short-term investments | 9 |  |  | 17 |  |  |  |
Other interest income | 2 |  |  | 9 |  |  |  |
Equity securities | 36 |  |  | 9 |  |  |  |
Other investments | 23 |  |  | 20 |  |  |  |
Gross investment income (1) | 910 |  |  | 906 |  |  |  |
Investment expenses | (47) |  |  | (45) |  |  |  |
Net investment income (1) | $ | 863 |  |  | $ | 861 |  |  |  |
(1) Includes amortization expense related to fair value adjustment of acquired invested assets related to the Chubb Corp acquisition | $ | (26) |  |  | $ | (32) |  |  |  |

Net investment income is influenced by a number of factors including the amounts and timing of inward and outward cash flows, the level of interest rates, and changes in overall asset allocation. Net investment income remained flat for the three months ended March 31, 2021 primarily as higher dividends on public equities were offset by lower interest received due to lower reinvestment rates on new and reinvested assets.
For private equities where we own less than three percent, investment income is included within Net investment income in the table above. For private equities where we own more than three percent, investment income is included within Other income (expense) in the Consolidated statements of operations. Excluded from Net investment income is the mark-to-market movement for private equities, which is recorded within either Other income (expense) or Net realized gains (losses) based on our percentage of ownership. The total mark-to-market movement for private equities excluded from Net investment income was as follows:

| Three Months Ended March 31 |
(in millions of U.S. dollars) | 2021 |  | 2020 |  |  |
Total mark-to-market gain (loss) on private equity, pre-tax | $ | 438 |  |  | $ | (7) |  |  |  |

Investments

Our investment portfolio is invested primarily in publicly traded, investment grade, fixed income securities with an average credit quality of A/Aa as rated by the independent investment rating services Standard and Poor’s (S&P)/Moody’s Investors Service (Moody’s). The portfolio is externally managed by independent, professional investment managers and is broadly diversified across geographies, sectors, and issuers. Other investments principally comprise direct investments, investment funds, and limited partnerships. We hold no collateralized debt obligations in our investment portfolio, and we provide no credit default protection. We have long-standing global credit limits for our entire portfolio across the organization. Exposures are aggregated, monitored, and actively managed by our Global Credit Committee, comprising senior executives, including our Chief Financial Officer, our Chief Risk Officer, our Chief Investment Officer, and our Treasurer. We also have well-established, strict contractual investment rules requiring managers to maintain highly diversified exposures to individual issuers and closely monitor investment manager compliance with portfolio guidelines.
The average duration of our fixed income securities, including the effect of options and swaps, was 4.3 years and 4.0 years at March 31, 2021 and December 31, 2020, respectively. We estimate that a 100 basis point (bps) increase in interest rates would reduce the valuation of our fixed income portfolio by approximately $4.6 billion at March 31, 2021.
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The following table shows the fair value and cost/amortized cost, net of valuation allowance, of our invested assets:

| March 31, 2021 |  | December 31, 2020
(in millions of U.S. dollars) | Fair Value |  | Cost/ Amortized Cost, Net |  | Fair Value |  | Cost/ Amortized Cost, Net
Fixed maturities available for sale | $ | 91,071 |  |  | $ | 87,858 |  |  | $ | 90,699 |  |  | $ | 85,168 |
Fixed maturities held to maturity | 11,752 |  |  | 11,132 |  |  | 12,510 |  |  | 11,653 |
Short-term investments | 3,735 |  |  | 3,736 |  |  | 4,345 |  |  | 4,349 |
Fixed income securities | 106,558 |  |  | 102,726 |  |  | 107,554 |  |  | 101,170 |
Equity securities | 4,405 |  |  | 4,405 |  |  | 4,027 |  |  | 4,027 |
Other investments | 8,636 |  |  | 8,636 |  |  | 7,945 |  |  | 7,945 |
Total investments | $ | 119,599 |  |  | $ | 115,767 |  |  | $ | 119,526 |  |  | $ | 113,142 |

The fair value of our total investments increased $73 million during the three months ended March 31, 2021 due to strong operating cash flow, positive equity market returns, and favorable foreign currency movement. This increase was partially offset by unrealized losses on fixed maturities due to an increase in interest rates during the quarter, payment of dividends on our Common Shares, and share repurchases.
The following tables present the fair value of our fixed maturities and short-term investments at March 31, 2021 and December 31, 2020. The first table lists investments according to type and second according to S&P credit rating:

| March 31, 2021 |  | December 31, 2020
(in millions of U.S. dollars, except for percentages) | Fair Value |  | % of Total |  | Fair Value |  | % of Total
U.S. Treasury / Agency | $ | 3,724 |  |  | 3 | % |  | $ | 4,122 |  |  | 4 | %
Corporate and asset-backed securities | 38,711 |  |  | 36 | % |  | 38,769 |  |  | 36 | %
Mortgage-backed securities | 21,434 |  |  | 20 | % |  | 20,616 |  |  | 19 | %
Municipal | 11,437 |  |  | 11 | % |  | 11,943 |  |  | 11 | %
Non-U.S. | 27,517 |  |  | 26 | % |  | 27,759 |  |  | 26 | %
Short-term investments | 3,735 |  |  | 4 | % |  | 4,345 |  |  | 4 | %
Total | $ | 106,558 |  |  | 100 | % |  | $ | 107,554 |  |  | 100 | %
AAA | $ | 15,462 |  |  | 15 | % |  | $ | 15,622 |  |  | 15 | %
AA | 35,930 |  |  | 33 | % |  | 36,125 |  |  | 33 | %
A | 19,420 |  |  | 18 | % |  | 19,712 |  |  | 18 | %
BBB | 17,214 |  |  | 16 | % |  | 17,542 |  |  | 16 | %
BB | 9,308 |  |  | 9 | % |  | 9,699 |  |  | 9 | %
B | 8,646 |  |  | 8 | % |  | 8,267 |  |  | 8 | %
Other | 578 |  |  | 1 | % |  | 587 |  |  | 1 | %
Total | $ | 106,558 |  |  | 100 | % |  | $ | 107,554 |  |  | 100 | %

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Corporate and asset-backed securities
The following table presents our 10 largest global exposures to corporate bonds by fair value at March 31, 2021:

(in millions of U.S. dollars) | Fair Value
Wells Fargo & Co | $ | 713 |
Bank of America Corp | 646 |
JP Morgan Chase & Co | 617 |
Verizon Communications Inc | 532 |
Comcast Corp | 508 |
Morgan Stanley | 444 |
AT&T Inc | 419 |
Citigroup Inc | 412 |
Goldman Sachs Group Inc | 394 |
HSBC Holdings Plc | 367 |

Mortgage-backed securities
The following table shows the fair value and amortized cost, net of valuation allowance, of our mortgage-backed securities:

| S&P Credit Rating |  | Fair Value |  | Amortized Cost, Net
March 31, 2021 (in millions of U.S. dollars) | AAA |  | AA |  | A |  | BBB |  | BB and below |  | Total |  | Total
Agency residential mortgage-backed securities (RMBS) | $ | 118 |  |  | $ | 17,668 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 17,786 |  |  | $ | 17,156 |
Non-agency RMBS | 193 |  |  | 38 |  |  | 98 |  |  | 34 |  |  | 8 |  |  | 371 |  |  | 368 |
Commercial mortgage-backed securities | 2,862 |  |  | 280 |  |  | 130 |  |  | 2 |  |  | 3 |  |  | 3,277 |  |  | 3,151 |
Total mortgage-backed securities | $ | 3,173 |  |  | $ | 17,986 |  |  | $ | 228 |  |  | $ | 36 |  |  | $ | 11 |  |  | $ | 21,434 |  |  | $ | 20,675 |

Municipal
As part of our overall investment strategy, we may invest in states, municipalities, and other political subdivisions fixed maturity securities (Municipal). We apply the same investment selection process described previously to our Municipal investments. The portfolio is highly diversified primarily in state general obligation bonds and essential service revenue bonds including education and utilities (water, power, and sewers).
Non-U.S.
Our exposure to the Euro results primarily from Chubb European Group SE which is headquartered in France and offers a broad range of coverages throughout the European Union, Central, and Eastern Europe. Chubb primarily invests in Euro denominated investments to support its local currency insurance obligations and required capital levels. Chubb’s local currency investment portfolios have strict contractual investment guidelines requiring managers to maintain a high quality and diversified portfolio to both sector and individual issuers. Investment portfolios are monitored daily to ensure investment manager compliance with portfolio guidelines.
Our non-U.S. investment grade fixed income portfolios are currency-matched with the insurance liabilities of our non-U.S. operations. The average credit quality of our non-U.S. fixed income securities is A and 48 percent of our holdings are rated AAA or guaranteed by governments or quasi-government agencies. Within the context of these investment portfolios, our government and corporate bond holdings are highly diversified across industries and geographies. Issuer limits are based on credit rating (AA—two percent, A—one percent, BBB—0.5 percent of the total portfolio) and are monitored daily via an internal compliance system. We manage our indirect exposure using the same credit rating based investment approach. Accordingly, we do not believe our indirect exposure is material.
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The following table summarizes the fair value and amortized cost, net of valuation allowance, of our non-U.S. fixed income portfolio by country/sovereign for non-U.S. government securities at March 31, 2021:

(in millions of U.S. dollars) | Fair Value |  | Amortized Cost, Net
Republic of Korea | $ | 1,019 |  |  | $ | 941 |
Canada | 1,019 |  |  | 1,001 |
United Kingdom | 901 |  |  | 888 |
Province of Ontario | 732 |  |  | 712 |
Kingdom of Thailand | 593 |  |  | 543 |
United Mexican States | 563 |  |  | 558 |
Province of Quebec | 483 |  |  | 465 |
Federative Republic of Brazil | 461 |  |  | 462 |
Commonwealth of Australia | 461 |  |  | 447 |
Socialist Republic of Vietnam | 407 |  |  | 279 |
Other Non-U.S. Government Securities | 5,698 |  |  | 5,516 |
Total | $ | 12,337 |  |  | $ | 11,812 |

The following table summarizes the fair value and amortized cost, net of valuation allowance, of our non-U.S. fixed income portfolio by country/sovereign for non-U.S. corporate securities at March 31, 2021:

(in millions of U.S. dollars) | Fair Value |  | Amortized Cost, Net
United Kingdom | $ | 2,474 |  |  | $ | 2,377 |
Canada | 1,876 |  |  | 1,806 |
United States (1) | 1,218 |  |  | 1,168 |
France | 1,177 |  |  | 1,122 |
Australia | 875 |  |  | 837 |
Japan | 667 |  |  | 652 |
Germany | 623 |  |  | 597 |
Netherlands | 580 |  |  | 556 |
Switzerland | 565 |  |  | 539 |
China | 433 |  |  | 419 |
Other Non-U.S. Corporate Securities | 4,692 |  |  | 4,526 |
Total | $ | 15,180 |  |  | $ | 14,599 |

(1) The countries that are listed in the non-U.S. corporate fixed income portfolio above represent the ultimate parent company's country of risk. Non-U.S. corporate securities could be issued by foreign subsidiaries of U.S. corporations.
Below-investment grade corporate fixed income portfolio
Below-investment grade securities have different characteristics than investment grade corporate debt securities. Risk of loss from default by the borrower is greater with below-investment grade securities. Below-investment grade securities are generally unsecured and are often subordinated to other creditors of the issuer. Also, issuers of below-investment grade securities usually have higher levels of debt and are more sensitive to adverse economic conditions, such as recession or increasing interest rates, than investment grade issuers. At March 31, 2021, our corporate fixed income investment portfolio included below-investment grade and non-rated securities which, in total, comprised approximately 15 percent of our fixed income portfolio. Our below-investment grade and non-rated portfolio includes over 1,500 issuers, with the greatest single exposure being $172 million.
We manage high-yield bonds as a distinct and separate asset class from investment grade bonds. The allocation to high-yield bonds is explicitly set by internal management and is targeted to securities in the upper tier of credit quality (BB/B). Our minimum rating for initial purchase is BB/B. Fourteen external investment managers are responsible for high-yield security selection and portfolio construction. Our high-yield managers have a conservative approach to credit selection and very low historical default experience. Holdings are highly diversified across industries and generally subject to a 1.5 percent issuer limit
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as a percentage of high-yield allocation. We monitor position limits daily through an internal compliance system. Derivative and structured securities (e.g., credit default swaps and collateralized loan obligations) are not permitted in the high-yield portfolio.

Critical Accounting Estimates

As of March 31, 2021, there were no material changes to our critical accounting estimates. For a full discussion of our critical accounting estimates, refer to Item 7 in our 2020 Form 10-K.
Unpaid losses and loss expenses
As an insurance and reinsurance company, we are required by applicable laws and regulations and GAAP to establish loss and loss expense reserves for the estimated unpaid portion of the ultimate liability for losses and loss expenses under the terms of our policies and agreements with our insured and reinsured customers. With the exception of certain structured settlements, for which the timing and amount of future claim payments are reliably determinable, and certain reserves for unsettled claims, our loss reserves are not discounted for the time value of money.
The following table presents a roll-forward of our unpaid losses and loss expenses:

(in millions of U.S. dollars) | Gross Losses |  | Reinsurance Recoverable (1) |  | Net Losses
Balance at December 31, 2020 | $ | 67,811 |  |  | $ | 14,647 |  |  | $ | 53,164 |
Losses and loss expenses incurred | 6,467 |  |  | 1,414 |  |  | 5,053 |
Losses and loss expenses paid | (5,100) |  |  | (1,207) |  |  | (3,893) |
Other (including foreign exchange translation) | 77 |  |  | 6 |  |  | 71 |
Balance at March 31, 2021 | $ | 69,255 |  |  | $ | 14,860 |  |  | $ | 54,395 |

(1)Net of valuation allowance for uncollectible reinsurance.
The estimate of the liabilities includes provisions for claims that have been reported but are unpaid at the balance sheet date (case reserves) and for obligations on claims that have been incurred but not reported (IBNR) at the balance sheet date. IBNR may also include provisions to account for the possibility that reported claims may settle for amounts that differ from the established case reserves. Loss reserves also include an estimate of expenses associated with processing and settling unpaid claims (loss expenses).
Refer to Note 6 to the Consolidated Financial Statements for a discussion on the changes in the loss reserves.
Asbestos and Environmental (A&E)
There was no significant A&E reserve activity during the three months ende d March 31, 2021. A&E reserves are included in Corporate. Refer to our 2020 Form 10-K for further information on our A&E exposures.
Fair value measurements
Accounting 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 (Level 1 inputs) and the lowest priority to unobservable data (Level 3 inputs). Level 2 includes inputs, other than quoted prices within Level 1, that are observable for assets or liabilities either directly or indirectly. Refer to Note 4 to the Consolidated Financial Statements for information on our fair value measurements.
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Catastrophe Management

We actively monitor and manage our catastrophe risk accumulation around the world, including setting risk limits based on probable maximum loss (PML) and purchasing catastrophe reinsurance. The table below presents our modeled pre-tax estimates of natural catastrophe PML, net of reinsurance, at March 31, 2021, for Worldwide, U.S. hurricane and California earthquake events, based on our in-force portfolio at January 1, 2021 and reflecting the April 1, 2021 reinsurance program (see Natural Catastrophe Property Reinsurance Program section) as well as inuring reinsurance protection coverages. According to the model, for the 1-in-100 return period scenario, there is a one percent chance that our pre-tax annual aggregate losses incurred in any year from U.S. hurricane events could be in excess of $2,707 million (or 4.6 percent of our total shareholders’ equity at March 31, 2021). These estimates assume that reinsurance recoverable is fully collectible.

| Modeled Net Probable Maximum Loss (PML) Pre-tax
| Worldwide (1) |  | U.S. Hurricane (2) |  | California Earthquake (3)
| Annual Aggregate |  | Annual Aggregate |  | Single Occurrence
(in millions of U.S. dollars, except for percentages) | Chubb |  | % of Total Shareholders’ Equity |  | Chubb |  | % of Total Shareholders’ Equity |  | Chubb |  | % of Total Shareholders’ Equity
1-in-10 | $ | 1,879 |  |  | 3.2 | % |  | $ | 1,092 |  |  | 1.8 | % |  | $ | 140 |  |  | 0.2 | %
1-in-100 | $ | 3,988 |  |  | 6.8 | % |  | $ | 2,707 |  |  | 4.6 | % |  | $ | 1,297 |  |  | 2.2 | %
1-in-250 | $ | 6,655 |  |  | 11.3 | % |  | $ | 4,905 |  |  | 8.3 | % |  | $ | 1,469 |  |  | 2.5 | %

(1) Worldwide losses are comprised of losses arising only from hurricanes, typhoons, convective storms and earthquakes and do not include “non-modeled” perils such as wildfire and flood.
(2) U.S. Hurricane losses include losses from wind and storm-surge and exclude rainfall.
(3) California earthquakes include fire-following perils.
The above estimates of Chubb’s loss profile are inherently uncertain for many reasons, including the following:
•While the use of third-party catastrophe modeling packages to simulate potential hurricane and earthquake losses is prevalent within the insurance industry, the models are reliant upon significant meteorology, seismology, and engineering assumptions to estimate catastrophe losses. In particular, modeled catastrophe events are not always a representation of actual events and ensuing additional loss potential;
•There is no universal standard in the preparation of insured data for use in the models, the running of the modeling software and interpretation of loss output. These loss estimates do not represent our potential maximum exposures and it is highly likely that our actual incurred losses would vary materially from the modeled estimates;
•The potential effects of climate change add to modeling complexity; and
•Changing climate conditions could impact our exposure to natural catastrophe risks, including U.S. hurricane. Published studies by leading government, academic and professional organizations predict an increase in the expected annual frequency of Atlantic-basin hurricanes and sea level rise through the end of the century over observed historical averages. These studies contemplate expected multi-decadal impacts of climate change on sea surface temperatures, sea levels and other factors contributing to the frequency and intensity of hurricanes. Based on preliminary stress tests conducted against the Chubb portfolio, the impacts of climate change are not expected to materially impact our reported U.S. hurricane PML over the next 12 months. These tests reflect current exposures only and exclude potential mitigating factors, such as changes to building codes, public or private risk mitigation, regulation and public policy.
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Natural Catastrophe Property Reinsurance Program

Chubb’s core property catastrophe reinsurance program provides protection against natural catastrophes impacting its primary property operations (i.e., excluding our Global Reinsurance and Life Insurance segments).
We regularly review our reinsurance protection and corresponding property catastrophe exposures. This may or may not lead to the purchase of additional reinsurance prior to a program’s renewal date. In addition, prior to each renewal date, we consider how much, if any, coverage we intend to buy and we may make material changes to the current structure in light of various factors, including modeled PML assessment at various return periods, reinsurance pricing, our risk tolerance and exposures, and various other structuring considerations.
Chubb renewed its Global Property Catastrophe Reinsurance Program for our North American and International operations effective April 1, 2021 through March 31, 2022, with an additional $100 million of limit for international loss occurrences compared to the expiring program. The program consists of three layers in excess of losses retained by Chubb on a per occurrence basis. In addition, Chubb also renewed its terrorism coverage (excluding nuclear, biological, chemical and radiation coverage, with an inclusion of coverage for biological and chemical coverage for personal lines) for the United States from April 1, 2021 through March 31, 2022 with the same limits and retention and percentage placed except that the majority of terrorism coverage is on an aggregate basis above our retentions without a reinstatement.

Loss Location |  | Layer of Loss |  | Comments | Notes
United States (excluding Alaska and Hawaii) |  | $0 million – $1.0 billion |  | Losses retained by Chubb | (a)
United States (excluding Alaska and Hawaii) |  | $1.0 billion – $1.15 billion |  | All natural perils and terrorism | (b)
United States (excluding Alaska and Hawaii) |  | $1.15 billion – $2.25 billion |  | All natural perils and terrorism | (c)
United States (excluding Alaska and Hawaii) |  | $2.25 billion – $3.5 billion |  | All natural perils and terrorism | (d)
International (including Alaska and Hawaii) |  | $0 million – $175 million |  | Losses retained by Chubb | (a)
International (including Alaska and Hawaii) |  | $175 million – $1.275 billion |  | All natural perils and terrorism | (c)
Alaska, Hawaii, and Canada |  | $1.275 billion – $2.525 billion |  | All natural perils and terrorism | (d)

(a) Ultimate retention will depend upon the nature of the loss and the interplay between the underlying per risk programs and certain other catastrophe programs purchased by individual business units. These other catastrophe programs have the potential to reduce our effective retention below the stated levels.
(b) These coverages are partially placed with Reinsurers.
(c) These coverages are both part of the same Second layer within the Global Catastrophe Program and are fully placed with Reinsurers.
(d) These coverages are both part of the same Third layer within the Global Catastrophe Program and are fully placed with Reinsurers.
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Liquidity

We anticipate that positive cash flows from operations (underwriting activities and investment income) should be sufficient to cover cash outflows under most loss scenarios for the near term. In addition to cash from operations, routine sales of investments, and financing arrangements, we have agreements with a third-party bank provider which implemented two international multi-currency notional cash pooling programs to enhance cash management efficiency during periods of short-term timing mismatches between expected inflows and outflows of cash by currency. The programs allow us to optimize investment income by avoiding portfolio disruption. Should the need arise, we generally have access to capital markets and to credit facilities with letter of credit capacity of $3.7 billion with a sub-limit of $1.9 billion for revolving credit. At March 31, 2021, our usage under these facilities was $1.4 billion in letters of credit. Our access to credit under these facilities is dependent on the ability of the banks that are a party to the facilities to meet their funding commitments. The facilities require that we maintain certain financial covenants, all of which we met at March 31, 2021. Should the existing credit providers on these facilities experience financial difficulty, we may be required to replace credit sources, possibly in a difficult market. If we cannot obtain adequate capital or sources of credit on favorable terms, on a timely basis, or at all, our business, operating results, and financial condition could be adversely affected. To date, we have not experienced difficulty accessing our credit facilities.
The payment of dividends or other statutorily permissible distributions from our operating companies are subject to the laws and regulations applicable to each jurisdiction, as well as the need to maintain capital levels adequate to support the insurance and reinsurance operations, including financial strength ratings issued by independent rating agencies. During the three months ended March 31, 2021, we were able to meet all our obligations, including the payments of dividends on our Common Shares, with our net cash flows.
We assess which subsidiaries to draw dividends from based on a number of factors. Considerations such as regulatory and legal restrictions as well as the subsidiary’s financial condition are paramount to the dividend decision. Chubb Limited received dividends of $740 million and nil from its Bermuda subsidiaries during the three months ended March 31, 2021 and 2020, respectively.
The payment of any dividends from CGM or its subsidiaries is subject to applicable U.K. insurance laws and regulations. In addition, the release of funds by Syndicate 2488 to subsidiaries of CGM is subject to regulations promulgated by the Society of Lloyd’s. The U.S. insurance subsidiaries of Chubb INA Holdings Inc. (Chubb INA) may pay dividends, without prior regulatory approval, subject to restrictions set out in state law of the subsidiary’s domicile (or, if applicable, commercial domicile). Chubb INA’s international subsidiaries are also subject to insurance laws and regulations particular to the countries in which the subsidiaries operate. These laws and regulations sometimes include restrictions that limit the amount of dividends payable without prior approval of regulatory insurance authorities. Chubb Limited received no dividends from CGM or Chubb INA during the three months ended March 31, 2021 and 2020. Debt issued by Chubb INA is serviced by statutorily permissible distributions by Chubb INA’s insurance subsidiaries to Chubb INA as well as other group resources. Chubb INA received no dividends from its subsidiaries during the three months ended March 31, 2021 and 2020.
Cash Flows
Our sources of liquidity include cash from operations, routine sales of investments, and financing arrangements. The following is a discussion of our cash flows for the three months ended March 31, 2021 and 2020.
Operating cash flows were $2.1 billion in the three months ended March 31, 2021, compared to $1.7 billion in the prior year period, an increase of $393 million, principally reflecting higher premiums collected and reduced payment activity, partially offset by higher catastrophe loss payments.
Cash used for investing was $1.3 billion in the three months ended March 31, 2021, compared to $1.0 billion in the prior year period. Cash used in the current year related to net investments purchased, principally fixed maturities. Cash used in the prior year principally related to the incremental purchase of Huatai Group ownership interest of $1.6 billion, partially offset by net proceeds from sales of fixed maturities.
Cash used for financing was $812 million in the three months ended March 31, 2021, compared to $645 million in the prior year period, an increase of $167 million principally from more shares repurchased in the current year.
Both internal and external forces influence our financial condition, results of operations, and cash flows. Claim settlements, premium levels, and investment returns may be impacted by changing rates of inflation and other economic conditions. In many
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cases, significant periods of time, ranging up to several years or more, may lapse between the occurrence of an insured loss, the reporting of the loss to us, and the settlement of the liability for that loss.
We use repurchase agreements as a low-cost funding alternative. At March 31, 2021, there were $1.4 billion in repurchase agreements outstanding with various maturities over the next eight months.

Capital Resources

Capital resources consist of funds deployed or available to be deployed to support our business operations.

| March 31 |  | December 31
(in millions of U.S. dollars, except for ratios) | 2021 |  | 2020
Long-term debt | $ | 14,879 |  |  | $ | 14,948 |
Trust preferred securities | 308 |  |  | 308 |
Total shareholders’ equity | 59,076 |  |  | 59,441 |
Total capitalization | $ | 74,263 |  |  | $ | 74,697 |
Ratio of financial debt to total capitalization | 20.0 | % |  | 20.0 | %
Ratio of financial debt plus trust preferred securities to total capitalization | 20.4 | % |  | 20.4 | %

Repurchase agreements are excluded from the table above and are disclosed separately from short-term debt in the Consolidated balance sheets. The repurchase agreements are collateralized borrowings where we maintain the right and ability to redeem the collateral on short notice, unlike short-term debt which comprises the current maturities of our long-term debt instruments.
For the three months ended March 31, 2021, we repurchased $519 million of Common Shares in a series of open market transactions under the Board of Directors (Board) share repurchase authorization. At March 31, 2021, there were 27,928,305 Common Shares in treasury with a weighted average cost of $139.68 per share, and $1.98 billion in share repurchase authorization remained through December 31, 2021. For the period April 1, 2021 through April 29, 2021, we repurchased 450,000 Common Shares for a total of $76 million in a series of open market transactions. At April 29, 2021, $1.91 billion in share repurchase authorization remained through December 31, 2021.
We generally maintain the ability to issue certain classes of debt and equity securities via an unlimited Securities and Exchange Commission (SEC) shelf registration which is renewed every three years. This allows us capital market access for refinancing as well as for unforeseen or opportunistic capital needs.
Dividends
We have paid dividends each quarter since we became a public company in 1993. Under Swiss law, dividends must be stated in Swiss francs though dividend payments are made by Chubb in U.S. dollars. Refer to Note 8 to the Consolidated Financial Statements for a discussion of our dividend methodology.
At our May 2020 annual general meeting, our shareholders approved an annual dividend for the following year of up to $3.12 per share, or CHF 3.01 per share, calculated using the USD/CHF exchange rate as published in the Wall Street Journal on May 20, 2020, expected to be paid in four quarterly installments of $0.78 per share after the general meeting by way of a distribution from capital contribution reserves, transferred to free reserves for payment. The Board determines the record and payment dates at which the annual dividend may be paid until the date of the 2021 annual general meeting, and is authorized to abstain from distributing a dividend at its discretion. The four quarterly installments each of $0.78 per share were distributed by the Board as expected. The annual dividend approved in May 2020 represented a $0.12 per share increase ($0.03 per quarter) over the prior year dividend.
The following table represents dividends paid per Common Share to shareholders of record on each of the following dates:

Shareholders of record as of: |  | Dividends paid as of: |  |  |
December 18, 2020 |  | January 8, 2021 |  | $0.78 (CHF 0.71) |
March 19, 2021 |  | April 9, 2021 |  | $0.78 (CHF 0.70) |

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ITEM 3. Quantitative and Qualitative Disclosures about Market Risk

Refer to Item 7A included in our 2020 Form 10-K.
Foreign currency management
As a global company, Chubb entities transact business in multiple currencies. Our policy is to generally match assets, liabilities and required capital for each individual jurisdiction in local currency, which would include the use of derivatives. We do not hedge our net asset non-U.S. dollar capital positions. We occasionally engage in hedging activity for planned cross border transactions. For an estimated impact of foreign currency movement on our net assets denominated in non-U.S. currencies, refer to Item 7A in our 2020 Form 10-K. This information will be updated and disclosed in interim filings if our net assets in non-U.S. currencies change materially from the December 31, 2020 balances disclosed in the 2020 Form 10-K.
Reinsurance of GMDB and GLB guarantees
Chubb views its variable annuity reinsurance business as having a similar risk profile to that of catastrophe reinsurance with the probability of long-term economic loss relatively small, at the time of pricing. Adverse changes in market factors and policyholder behavior will have an impact on both realized gains (losses) and net income for GLB and both Life Insurance underwriting income and net income for GMDB. When evaluating these risks, we expect to be compensated for taking both the risk of a cumulative long-term economic net loss, as well as the short-term accounting variations caused by these market movements. Therefore, we evaluate this business in terms of its long-term economic risk and reward.
For the GMDB reinsurance business, net income is directly impacted by changes in future policy benefit reserves. For the GLB reinsurance business, net income is directly impacted by changes in the fair value of the GLB liability (FVL), which is classified as a derivative for accounting purposes. The FVL calculation is directly affected by market factors, including equity levels, interest rate levels, credit risk, and implied volatilities, as well as policyholder behaviors, such as annuitization and lapse rates, and policyholder mortality.
The tables below are estimates of the sensitivities to instantaneous changes in economic inputs (e.g., equity shock, interest rate shock etc.) or actuarial assumptions at March 31, 2021 of the FVL and of the fair value of specific derivative instruments held (hedge value) to partially offset the risk in the variable annuity guarantee reinsurance portfolio. The following assumptions should be considered when using the below tables:
•Equity shocks impact all global equity markets equally
•Our liabilities are sensitive to global equity markets in the following proportions: 80 percent—90 percent U.S. equity, and 10 percent—20 percent international equity.
•Our current hedge portfolio is sensitive only to U.S. equity markets.
•We would suggest using the S&P 500 index as a proxy for U.S. equity, and the MSCI EAFE index as a proxy for international equity.
•Interest rate shocks assume a parallel shift in the U.S. yield curve
•Our liabilities are also sensitive to global interest rates at various points on the yield curve, mainly the U.S. Treasury curve in the following proportions: 5 percent—15 percent short-term rates (maturing in less than 5 years), 15 percent—25 percent medium-term rates (maturing between 5 years and 10 years, inclusive), and 65 percent—75 percent long-term rates (maturing beyond 10 years).
•A change in AA-rated credit spreads impacts the rate used to discount cash flows in the fair value model. AA-rated credit spreads are a proxy for both our own credit spreads and the credit spreads of the ceding insurers.
•The hedge sensitivity is from March 31, 2021 market levels and only applicable to the equity and interest rate sensitivities table below.
•The sensitivities are not directly additive because changes in one factor will affect the sensitivity to changes in other factors. The sensitivities do not scale linearly and may be proportionally greater for larger movements in the market factors. The sensitivities may also vary due to foreign exchange rate fluctuations. The calculation of the FVL is based on internal models that include assumptions regarding future policyholder behavior, including lapse, annuitization, and asset allocation. These
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assumptions impact both the absolute level of the FVL as well as the sensitivities to changes in market factors shown below. Actual sensitivity of our net income may differ from those disclosed in the tables below due to fluctuations in short-term market movements.
•In addition, the tables below do not reflect the expected quarterly run rate of net income generated by the variable annuity guarantee reinsurance portfolio if markets remain unchanged during the period. All else equal, if markets remain unchanged during the period, the FVL will increase, resulting in a realized loss. This realized loss occurs primarily because the guarantees provided in the underlying contracts continue to become more valuable even when markets remain unchanged. We refer to this increase in FVL as “timing effect”. The unfavorable impact of timing effect on our FVL in a quarter is not reflected in the sensitivity tables below. For this reason, when using the tables below to estimate the sensitivity of FVL in the second quarter of 2021 to various changes, it is necessary to assume an additional $5 million to $45 million increase in FVL and realized losses. Note that both the timing effect and the quarterly run rate impact to net income change over time as the book ages.

Sensitivities to equity and interest rate movements |
(in millions of U.S. dollars) | Worldwide Equity Shock
Interest Rate Shock | +10% |  | Flat |  | -10% |  | -20% |  | -30% |  | -40%
+100 bps | (Increase)/decrease in FVL | $ | 331 |  |  | $ | 225 |  |  | $ | 95 |  |  | $ | (71) |  |  | $ | (275) |  |  | $ | (530) |
| Increase/(decrease) in hedge value | (77) |  |  | — |  |  | 77 |  |  | 154 |  |  | 230 |  |  | 307 |
| Increase/(decrease) in net income | $ | 254 |  |  | $ | 225 |  |  | $ | 172 |  |  | $ | 83 |  |  | $ | (45) |  |  | $ | (223) |
Flat | (Increase)/decrease in FVL | $ | 135 |  |  | $ | — |  |  | $ | (164) |  |  | $ | (360) |  |  | $ | (598) |  |  | $ | (892) |
| Increase/(decrease) in hedge value | (77) |  |  | — |  |  | 77 |  |  | 154 |  |  | 230 |  |  | 307 |
| Increase/(decrease) in net income | $ | 58 |  |  | $ | — |  |  | $ | (87) |  |  | $ | (206) |  |  | $ | (368) |  |  | $ | (585) |
-100 bps | (Increase)/decrease in FVL | $ | (102) |  |  | $ | (261) |  |  | $ | (450) |  |  | $ | (672) |  |  | $ | (943) |  |  | $ | (1,272) |
| Increase/(decrease) in hedge value | (77) |  |  | — |  |  | 77 |  |  | 154 |  |  | 230 |  |  | 307 |
| Increase/(decrease) in net income | $ | (179) |  |  | $ | (261) |  |  | $ | (373) |  |  | $ | (518) |  |  | $ | (713) |  |  | $ | (965) |
Sensitivities to Other Economic Variables | AA-rated Credit Spreads |  | Interest Rate Volatility |  | Equity Volatility
(in millions of U.S. dollars) | +100 bps |  | -100 bps |  | +2% |  | -2% |  | +2% |  | -2%
(Increase)/decrease in FVL | $ | 60 |  |  | $ | (68) |  |  | $ | (1) |  |  | $ | 1 |  |  | $ | (15) |  |  | $ | 15 |
Increase/(decrease) in net income | $ | 60 |  |  | $ | (68) |  |  | $ | (1) |  |  | $ | 1 |  |  | $ | (15) |  |  | $ | 15 |
Sensitivities to Actuarial Assumptions |  |  |  |  | Mortality
(in millions of U.S. dollars) |  |  |  |  | +20% |  | +10% |  | -10% |  | -20%
(Increase)/decrease in FVL |  |  |  |  | $ | 18 |  |  | $ | 9 |  |  | $ | (9) |  |  | $ | (18) |
Increase/(decrease) in net income |  |  |  |  | $ | 18 |  |  | $ | 9 |  |  | $ | (9) |  |  | $ | (18) |
|  |  |  |  |  | Lapses
(in millions of U.S. dollars) |  |  |  |  | +50% |  | +25% |  | -25% |  | -50%
(Increase)/decrease in FVL |  |  |  |  | $ | 86 |  |  | $ | 47 |  |  | $ | (52) |  |  | $ | (110) |
Increase/(decrease) in net income |  |  |  |  | $ | 86 |  |  | $ | 47 |  |  | $ | (52) |  |  | $ | (110) |
|  |  |  |  |  | Annuitization
(in millions of U.S. dollars) |  |  |  |  | +50% |  | +25% |  | -25% |  | -50%
(Increase)/decrease in FVL |  |  |  |  | $ | (393) |  |  | $ | (208) |  |  | $ | 229 |  |  | $ | 463 |
Increase/(decrease) in net income |  |  |  |  | $ | (393) |  |  | $ | (208) |  |  | $ | 229 |  |  | $ | 463 |

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Variable Annuity Net Amount at Risk
All our VA reinsurance treaties include annual or aggregate claim limits and many include an aggregate deductible which limit the net amount at risk under these programs. The tables below present the net amount at risk at March 31, 2021 following an immediate change in equity market levels, assuming all global equity markets are impacted equally.
a) Reinsurance covering the GMDB risk only

| Equity Shock
(in millions of U.S. dollars) | +20 | % |  | Flat |  | -20 | % |  | -40 | % |  | -60 | % |  | -80 | %
GMDB net amount at risk | $ | 304 |  |  | $ | 287 |  |  | $ | 382 |  |  | $ | 782 |  |  | $ | 893 |  |  | $ | 760 |
Claims at 100% immediate mortality | 156 |  |  | 165 |  |  | 177 |  |  | 166 |  |  | 148 |  |  | 128 |

The treaty claim limits function as a ceiling as equity markets fall. As the shocks in the table above become incrementally more negative, the impact on the NAR and claims at 100 percent mortality begin to drop due to the specific nature of these claim limits, many of which are annual claim limits calculated as a percentage of the reinsured account value. There is also some impact due to a small portion of the GMDB reinsurance under which claims are positively correlated to equity markets (claims decrease as equity markets fall).
b) Reinsurance covering the GLB risk only

| Equity Shock
(in millions of U.S. dollars) | +20 | % |  | Flat |  | -20 | % |  | -40 | % |  | -60 | % |  | -80 | %
GLB net amount at risk | $ | 767 |  |  | $ | 1,094 |  |  | $ | 1,666 |  |  | $ | 2,419 |  |  | $ | 2,990 |  |  | $ | 3,373 |

The treaty claim limits cause the net amount at risk to increase at a declining rate as equity markets fall.
c) Reinsurance covering both the GMDB and GLB risks on the same underlying policyholders

| Equity Shock
(in millions of U.S. dollars) | +20 | % |  | Flat |  | -20 | % |  | -40 | % |  | -60 | % |  | -80 | %
GMDB net amount at risk | $ | 39 |  |  | $ | 47 |  |  | $ | 58 |  |  | $ | 72 |  |  | $ | 86 |  |  | $ | 96 |
GLB net amount at risk | 313 |  |  | 412 |  |  | 550 |  |  | 723 |  |  | 904 |  |  | 1,027 |
Claims at 100% immediate mortality | 37 |  |  | 36 |  |  | 36 |  |  | 36 |  |  | 36 |  |  | 35 |

The treaty limits control the increase in the GMDB net amount at risk as equity markets fall. The GMDB net amount at risk continues to increase as equity markets fall because most of these reinsurance treaties do not have annual claim limits calculated as a percentage of the underlying account value. The treaty limits cause the GLB net amount at risk to increase at a declining rate as equity markets fall.
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ITEM 4. Controls and Procedures

Chubb’s management, with the participation of Chubb’s Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of Chubb’s disclosure controls and procedures as defined in Rule 13a-15(e) and Rule 15d-15(e) under the Securities Exchange Act of 1934 as of March 31, 2021. Based upon that evaluation, Chubb’s Chief Executive Officer and Chief Financial Officer concluded that Chubb’s disclosure controls and procedures are effective in allowing information required to be disclosed in reports filed under the Securities Exchange Act of 1934 to be recorded, processed, summarized, and reported within time periods specified in the rules and forms of the SEC, and that such information is accumulated and communicated to Chubb’s management, including its Chief Executive Officer and Chief Financial Officer, as appropriate to allow timely decisions regarding required disclosure.
There have been no changes in Chubb's internal controls over financial reporting during the three months ended March 31, 2021 that have materially affected, or are reasonably likely to materially affect, Chubb's internal controls over financial reporting.

ITEM 1. Legal Proceedings

The information required with respect to this item is included in Note 7 g) to the Consolidated Financial Statements, which is hereby incorporated herein by reference.

ITEM 1A. Risk Factors

There have been no material changes to the risk factors described under "Risk Factors" under Item 1A of Part I of our 2020 Form 10-K.

ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds and Issuer Repurchases of Equity Securities

Issuer’s Repurchases of Equity Securities
The following table provides information with respect to purchases by Chubb of its Common Shares during the three months ended March 31, 2021:

Period | Total Number of Shares Purchased (1) |  | Average Price Paid per Share |  | Total Number of Shares Purchased as Part of Publicly Announced Plan (2) |  | Approximate Dollar Value of Shares that May Yet be Purchased Under the Plan (3)
January 1 through January 31 | 2,503 |  |  | $ | 154.44 |  |  | — |  |  | $ | 2.50 | billion
February 1 through February 28 | 2,390,214 |  |  | $ | 165.83 |  |  | 2,208,000 |  |  | $ | 2.14 | billion
March 1 through March 31 | 1,116,522 |  |  | $ | 168.26 |  |  | 902,000 |  |  | $ | 1.98 | billion
Total | 3,509,239 |  |  | $ | 166.59 |  |  | 3,110,000 |  |  |

(1)This column represents open market share repurchases and the surrender to Chubb of Common Shares to satisfy tax withholding obligations in connection with the vesting of restricted stock issued to employees and to cover the cost of the exercise of options by employees through stock swaps.
(2)The aggregate value of shares purchased in the three months ended March 31, 2021 as part of the publicly announced plan was $519 million.
(3)In November 2020, the Board authorized the repurchase of up to $1.5 billion of Chubb's Common Shares from November 19, 2020 through December 31, 2021. In February 2021, the Board approved an increase to the November 2020 share repurchase program of $1.0 billion to a total of $2.5 billion, effective through December 31, 2021. For the period April 1, 2021 through April 29, 2021, we repurchased 450,000 Common Shares for a total of $76 million in a series of open market transactions. At April 29, 2021, $1.91 billion in share repurchase authorization remained through December 31, 2021. Refer to Note 8 to the Consolidated Financial Statements for more information on the Chubb Limited securities repurchase authorization.
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ITEM 6. Exhibits

|  |  |  | Incorporated by Reference |  |
Exhibit Number |  | Exhibit Description |  | Form |  | Original Number |  | Date Filed |  | Filed Herewith
3.1 |  | Articles of Association of the Company, as amended |  | 8-K |  | 3.1 |  | August 4, 2020 |  |
3.2 |  | Organizational Regulations of the Company, as amended |  | 8-K |  | 3.1 |  | November 21, 2016 |  |
4.1 |  | Articles of Association of the Company, as amended |  | 8-K |  | 4.1 |  | August 4, 2020 |  |
4.2 |  | Organizational Regulations of the Company, as amended |  | 8-K |  | 3.1 |  | November 21, 2016 |  |
10.1* |  | Form of Performance Based Restricted Stock Award Terms under the Chubb Limited 2016 Long-Term Incentive Plan for Swiss Executive Management |  | 10-K |  | 10.82 |  | February 25, 2021 |  |
10.2* |  | Form of Performance Based Restricted Stock Award Terms under the Chubb Limited 2016 Long-Term Incentive Plan for Executive Officers |  | 10-K |  | 10.83 |  | February 25, 2021 |  |
22.1 |  | Guaranteed Securities |  | 10-K |  | 22.1 |  | February 25, 2021 |  |
31.1 |  | Certification Pursuant to Section 302 of The Sarbanes-Oxley Act of 2002 |  |  |  |  |  |  |  | X
31.2 |  | Certification Pursuant to Section 302 of The Sarbanes-Oxley Act of 2002 |  |  |  |  |  |  |  | X
32.1 |  | Certification Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of The Sarbanes-Oxley Act of 2002 |  |  |  |  |  |  |  | X
32.2 |  | Certification Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of The Sarbanes-Oxley Act of 2002 |  |  |  |  |  |  |  | X
101.1 |  | The following financial information from Chubb Limited’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2021 formatted in Inline XBRL: (i) Consolidated Balance Sheets at March 31, 2021, and December 31, 2020; (ii) Consolidated Statements of Operations and Comprehensive Income for the three months ended March 31, 2021 and 2020; (iii) Consolidated Statements of Shareholders’ Equity for the three months ended March 31, 2021 and 2020; (iv) Consolidated Statements of Cash Flows for the three months ended March 31, 2021 and 2020; and (v) Notes to Consolidated Financial Statements |  |  |  |  |  |  |  | X
104.1 |  | The Cover Page Interactive Data File formatted in Inline XBRL (The cover page XBRL tags are embedded in the Inline XBRL document and included in Exhibit 101.1) |  |  |  |  |  |  |  |
* Management contract, compensatory plan or arrangement

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

| CHUBB LIMITED
| (Registrant)
April 30, 2021 | /s/ Evan G. Greenberg
| Evan G. Greenberg
| Chairman and Chief Executive Officer
April 30, 2021 | /s/ Philip V. Bancroft
| Philip V. Bancroft
| Executive Vice President and Chief Financial Officer

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