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Investments | 9 Months Ended
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Sep. 30, 2021
Investments, Debt and Equity Securities [Abstract] |
Investments | Investments a) Fixed maturities
September 30, 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 | $ | 2,172 |  |  | $ | — |  |  | $ | 120 |  |  | $ | (5) |  |  | $ | 2,287 |  |  |  |
Non-U.S. | 24,988 |  |  | (6) |  |  | 1,139 |  |  | (194) |  |  | 25,927 |  |  |  |
Corporate and asset-backed securities | 37,283 |  |  | (6) |  |  | 1,596 |  |  | (157) |  |  | 38,716 |  |  |  |
Mortgage-backed securities | 19,333 |  |  | — |  |  | 695 |  |  | (65) |  |  | 19,963 |  |  |  |
Municipal | 5,559 |  |  | — |  |  | 236 |  |  | (3) |  |  | 5,792 |  |  |  |
| $ | 89,335 |  |  | $ | (12) |  |  | $ | 3,786 |  |  | $ | (424) |  |  | $ | 92,685 |  |  |  |
| Amortized Cost |  | Valuation Allowance |  | Net Carrying Value |  | Gross Unrealized Appreciation |  | Gross Unrealized Depreciation |  | Fair Value |
Held to maturity |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 1,209 |  |  | $ | — |  |  | $ | 1,209 |  |  | $ | 38 |  |  | $ | — |  |  | $ | 1,247 |  |
Non-U.S. | 1,259 |  |  | (5) |  |  | 1,254 |  |  | 76 |  |  | — |  |  | 1,330 |  |
Corporate and asset-backed securities | 2,079 |  |  | (28) |  |  | 2,051 |  |  | 209 |  |  | — |  |  | 2,260 |  |
Mortgage-backed securities | 1,771 |  |  | (1) |  |  | 1,770 |  |  | 99 |  |  | (1) |  |  | 1,868 |  |
Municipal | 4,232 |  |  | (1) |  |  | 4,231 |  |  | 183 |  |  | — |  |  | 4,414 |  |
| $ | 10,550 |  |  | $ | (35) |  |  | $ | 10,515 |  |  | $ | 605 |  |  | $ | (1) |  |  | $ | 11,119 |  |
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 Held to Maturity (HTM) securities according to S&P rating:
| September 30, 2021 | December 31, 2020
(in millions of U.S. dollars, except for percentages) | Amortized cost |  | % of Total | Amortized cost |  | % of Total
AAA | $ | 2,216 |  |  | 21 | % | $ | 2,511 |  |  | 22 | %
AA | 5,479 |  |  | 52 | % | 6,193 |  |  | 53 | %
A | 2,011 |  |  | 19 | % | 2,138 |  |  | 18 | %
BBB | 815 |  |  | 8 | % | 826 |  |  | 7 | %
BB | 28 |  |  | — | % | 28 |  |  | — | %
Other | 1 |  |  | — | % | 1 |  |  | — | %
Total | $ | 10,550 |  |  | 100 | % | $ | 11,697 |  |  | 100 | %
The following table presents fixed maturities by contractual maturity:
|  |  | September 30 |  |  |  | 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 | $ | 4,568 |  |  | $ | 4,568 |  |  | $ | 4,760 |  |  | $ | 4,760 |
Due after 1 year through 5 years | 25,747 |  |  | 25,747 |  |  | 26,227 |  |  | 26,227 |
Due after 5 years through 10 years | 28,117 |  |  | 28,117 |  |  | 27,232 |  |  | 27,232 |
Due after 10 years | 14,290 |  |  | 14,290 |  |  | 14,010 |  |  | 14,010 |
| 72,722 |  |  | 72,722 |  |  | 72,229 |  |  | 72,229 |
Mortgage-backed securities | 19,963 |  |  | 19,963 |  |  | 18,470 |  |  | 18,470 |
| $ | 92,685 |  |  | $ | 92,685 |  |  | $ | 90,699 |  |  | $ | 90,699 |
Held to maturity |  |  |  |  |  |  |
Due in 1 year or less | $ | 947 |  |  | $ | 954 |  |  | $ | 1,231 |  |  | $ | 1,240 |
Due after 1 year through 5 years | 3,666 |  |  | 3,792 |  |  | 3,592 |  |  | 3,760 |
Due after 5 years through 10 years | 2,498 |  |  | 2,627 |  |  | 3,029 |  |  | 3,228 |
Due after 10 years | 1,634 |  |  | 1,878 |  |  | 1,802 |  |  | 2,136 |
| 8,745 |  |  | 9,251 |  |  | 9,654 |  |  | 10,364 |
Mortgage-backed securities | 1,770 |  |  | 1,868 |  |  | 1,999 |  |  | 2,146 |
| $ | 10,515 |  |  | $ | 11,119 |  |  | $ | 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 September 30, 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 Available for Sale (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
September 30, 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 | $ | 231 |  |  | $ | (5) |  |  | $ | — |  |  | $ | — |  |  | $ | 231 |  |  | $ | (5) |
Non-U.S. | 5,704 |  |  | (147) |  |  | 780 |  |  | (40) |  |  | 6,484 |  |  | (187) |
Corporate and asset-backed securities | 6,686 |  |  | (124) |  |  | 662 |  |  | (20) |  |  | 7,348 |  |  | (144) |
Mortgage-backed securities | 5,948 |  |  | (61) |  |  | 157 |  |  | (4) |  |  | 6,105 |  |  | (65) |
Municipal | 239 |  |  | (2) |  |  | 8 |  |  | (1) |  |  | 247 |  |  | (3) |
Total AFS fixed maturities | $ | 18,808 |  |  | $ | (339) |  |  | $ | 1,607 |  |  | $ | (65) |  |  | $ | 20,415 |  |  | $ | (404) |
| 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 |  | Nine Months Ended
| September 30 |  | September 30
(in millions of U.S. dollars) | 2021 |  | 2020 |  | 2021 |  | 2020
Fixed maturities: |  |  |  |  |  |  |
Gross realized gains | $ | 27 |  |  | $ | 50 |  |  | $ | 120 |  |  | $ | 195 |
Gross realized losses | (27) |  |  | (32) |  |  | (99) |  |  | (331) |
Net (provision for) recovery of expected credit losses | 1 |  |  | 42 |  |  | 17 |  |  | (4) |
Impairment (1) | (11) |  |  | (11) |  |  | (12) |  |  | (163) |
Total fixed maturities | $ | (10) |  |  | $ | 49 |  |  | $ | 26 |  |  | $ | (303) |
Equity securities | (42) |  |  | — |  |  | 475 |  |  | 119 |
Other investments | 11 |  |  | 31 |  |  | 111 |  |  | (71) |
Foreign exchange | 106 |  |  | (222) |  |  | 85 |  |  | (351) |
Investment and embedded derivative instruments | (9) |  |  | 9 |  |  | 9 |  |  | 38 |
Fair value adjustments on insurance derivative | (59) |  |  | 46 |  |  | 252 |  |  | (426) |
S&P futures | (4) |  |  | (52) |  |  | (112) |  |  | (30) |
Other derivative instruments | (10) |  |  | 1 |  |  | (8) |  |  | (2) |
Other | (4) |  |  | (3) |  |  | (5) |  |  | (43) |
Net realized gains (losses) (pre-tax) | $ | (21) |  |  | $ | (141) |  |  | $ | 833 |  |  | $ | (1,069) |
(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
|  |  | September 30
| 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 | $ | (42) |  |  | $ | 11 |  |  | $ | (31) |  |  | $ | — |  |  | $ | 31 |  |  | $ | 31 |
Less: Net gains recognized from sales of securities | 19 |  |  | — |  |  | 19 |  |  | 34 |  |  | — |  |  | 34 |
Unrealized gains (losses) recognized for securities still held at reporting date | $ | (61) |  |  | $ | 11 |  |  | $ | (50) |  |  | $ | (34) |  |  | $ | 31 |  |  | $ | (3) |
|  |  | Nine Months Ended
|  |  | September 30
| 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 | $ | 475 |  |  | $ | 111 |  |  | $ | 586 |  |  | $ | 119 |  |  | $ | (71) |  |  | $ | 48 |
Less: Net gains recognized from sales of securities | 109 |  |  | — |  |  | 109 |  |  | 197 |  |  | — |  |  | 197 |
Unrealized gains (losses) recognized for securities still held at reporting date | $ | 366 |  |  | $ | 111 |  |  | $ | 477 |  |  | $ | (78) |  |  | $ | (71) |  |  | $ | (149) |
The following table presents a roll-forward of valuation allowance for expected credit losses on fixed maturities:
| Three Months Ended |  | Nine Months Ended
| September 30 |  | September 30
(in millions of U.S. dollars) | 2021 |  | 2020 |  | 2021 |  | 2020
Available for sale |  |  |  |  |  |  |
Valuation allowance for expected credit losses - beginning of period | $ | 11 |  |  | $ | 69 |  |  | $ | 20 |  |  | $ | — |
Impact of adoption of new accounting guidance | — |  |  | — |  |  | — |  |  | 25 |
Provision for expected credit loss | 3 |  |  | 5 |  |  | 8 |  |  | 183 |
Initial allowance for purchased securities with credit deterioration | — |  |  | — |  |  | — |  |  | 5 |
Write-offs charged against the expected credit loss | — |  |  | — |  |  | — |  |  | (5) |
Recovery of expected credit loss | (2) |  |  | (40) |  |  | (16) |  |  | (174) |
Valuation allowance for expected credit losses - end of period | $ | 12 |  |  | $ | 34 |  |  | $ | 12 |  |  | $ | 34 |
Held to maturity |  |  |  |  |  |  |
Valuation allowance for expected credit losses - beginning of period | $ | 37 |  |  | $ | 51 |  |  | $ | 44 |  |  | $ | — |
Impact of adoption of new accounting guidance | — |  |  | — |  |  | — |  |  | 44 |
Provision for expected credit loss | — |  |  | 2 |  |  | — |  |  | 9 |
Recovery of expected credit loss | (2) |  |  | (8) |  |  | (9) |  |  | (8) |
Valuation allowance for expected credit losses - end of period | $ | 35 |  |  | $ | 45 |  |  | $ | 35 |  |  | $ | 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:
|  |  |  |  | September 30 |  |  |  | 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 |  | $ | 1,064 |  |  | $ | 309 |  |  | $ | 673 |  |  | $ | 237 |
Real Assets | 2 to 11 Years |  | 1,092 |  |  | 772 |  |  | 805 |  |  | 598 |
Distressed | 2 to 8 Years |  | 568 |  |  | 813 |  |  | 358 |  |  | 970 |
Private Credit | 3 to 8 Years |  | 82 |  |  | 279 |  |  | 88 |  |  | 270 |
Traditional | 2 to 14 Years |  | 6,616 |  |  | 4,958 |  |  | 4,519 |  |  | 1,125 |
Vintage | 1 to 2 Years |  | 64 |  |  | — |  |  | 73 |  |  | — |
Investment funds | Not Applicable |  | 282 |  |  | — |  |  | 254 |  |  | — |
|  |  | $ | 9,768 |  |  | $ | 7,131 |  |  | $ | 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.
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 September 30, 2021 and December 31, 2020 are investments, primarily fixed maturities, totaling $18.82 billion and $19.61 billion, respectively, and cash of $176 million and $89 million, respectively. The following table presents the components of restricted assets:
| September 30 |  | December 31
(in millions of U.S. dollars) | 2021 |  | 2020
Trust funds | $ | 11,669 |  |  | $ | 12,305 |
Deposits with U.S. regulatory authorities | 2,418 |  |  | 2,438 |
Deposits with non-U.S. regulatory authorities | 2,858 |  |  | 2,905 |
Assets pledged under repurchase agreements | 1,425 |  |  | 1,462 |
Other pledged assets | 632 |  |  | 584 |
Total | $ | 19,002 |  |  | $ | 19,694 |

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- Definition The entire disclosure for investment. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 321 -URI http://asc.fasb.org/topic&trid=75115024 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 325 -URI http://asc.fasb.org/topic&trid=2197064 Reference 4: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 323 -URI http://asc.fasb.org/topic&trid=2196965 + Details
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