XML 23 R10.htm IDEA: XBRL DOCUMENT v3.23.1

Investments

3 Months Ended

Mar. 31, 2023

Investments, Debt and Equity Securities [Abstract]

Investments

3. Investments

a) Fixed maturities

March 31, 2023			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			$	2,798					$	—					$	8					$	(127)					$	2,679
Non-U.S.			28,860						(60)						263						(1,671)						27,392
Corporate and asset-backed securities			41,316						(106)						104						(2,854)						38,460
Mortgage-backed securities			17,863						(2)						11						(1,770)						16,102
Municipal			3,872						—						12						(153)						3,731
			$	94,709					$	(168)					$	398					$	(6,575)					$	88,364

			Amortized Cost						Valuation Allowance						Net Carrying Value						Gross Unrealized Appreciation						Gross Unrealized Depreciation						Fair Value
Held to maturity
U.S. Treasury / Agency			$	1,371					$	—					$	1,371					$	4					$	(35)					$	1,340
Non-U.S.			1,110						(4)						1,106						—						(70)						1,036
Corporate and asset-backed securities			1,699						(28)						1,671						2						(97)						1,576
Mortgage-backed securities			1,373						(1)						1,372						—						(90)						1,282
Municipal			2,905						—						2,905						2						(32)						2,875
			$	8,458					$	(33)					$	8,425					$	8					$	(324)					$	8,109

December 31, 2022			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			$	2,792					$	—					$	5					$	(171)					$	2,626
Non-U.S.			28,064						(59)						108						(2,205)						25,908
Corporate and asset-backed securities			40,547						(107)						49						(3,534)						36,955
Mortgage-backed securities			17,871						(3)						4						(2,021)						15,851
Municipal			4,081						—						8						(209)						3,880
			$	93,355					$	(169)					$	174					$	(8,140)					$	85,220

			Amortized Cost						Valuation Allowance						Net Carrying Value						Gross Unrealized Appreciation						Gross Unrealized Depreciation						Fair Value
Held to maturity
U.S. Treasury / Agency			$	1,417					$	—					$	1,417					$	1					$	(48)					$	1,370
Non-U.S.			1,140						(4)						1,136						—						(82)						1,054
Corporate and asset-backed securities			1,733						(28)						1,705						1						(126)						1,580
Mortgage-backed securities			1,456						(1)						1,455						—						(104)						1,351
Municipal			3,136						(1)						3,135						1						(52)						3,084
			$	8,882					$	(34)					$	8,848					$	3					$	(412)					$	8,439

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

			March 31, 2023												December 31, 2022
(in millions of U.S. dollars, except for percentages)			Amortized cost						% of Total						Amortized cost						% of Total
AAA			$	1,505					18		%				$	1,612					18		%
AA			4,760						56		%				5,023						57		%
A			1,594						19		%				1,634						18		%
BBB			579						7		%				593						7		%
BB			20						—		%				20						—		%
Total			$	8,458					100		%				$	8,882					100		%

The following table presents fixed maturities by contractual maturity:

			March 31, 2023												December 31, 2022
(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			$	3,020					$	3,020					$	2,962					$	2,962
Due after 1 year through 5 years			26,248						26,248						24,791						24,791
Due after 5 years through 10 years			27,608						27,608						26,679						26,679
Due after 10 years			15,386						15,386						14,937						14,937
			72,262						72,262						69,369						69,369
Mortgage-backed securities			16,102						16,102						15,851						15,851
			$	88,364					$	88,364					$	85,220					$	85,220
Held to maturity
Due in 1 year or less			$	1,048					$	1,035					$	1,015					$	1,003
Due after 1 year through 5 years			3,409						3,313						3,658						3,531
Due after 5 years through 10 years			1,385						1,361						1,460						1,423
Due after 10 years			1,211						1,118						1,260						1,131
			7,053						6,827						7,393						7,088
Mortgage-backed securities			1,372						1,282						1,455						1,351
			$	8,425					$	8,109					$	8,848					$	8,439

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, 2023, and December 31, 2022, comprised both investment grade and below investment grade securities for which fair value declined, principally due to rising interest rates since the date of purchase. Refer to Note 1 e) in the 2022 Form 10-K for further information on factors considered in the evaluation of expected credit losses.

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 been in an unrealized loss position:

			0 – 12 Months												Over 12 Months												Total
March 31, 2023			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			$	1,564					$	(39)					$	912					$	(88)					$	2,476					$	(127)
Non-U.S.			7,195						(243)						11,689						(1,004)						18,884						(1,247)
Corporate and asset-backed securities			13,577						(507)						15,222						(1,356)						28,799						(1,863)
Mortgage-backed securities			4,769						(205)						10,427						(1,528)						15,196						(1,733)
Municipal			2,172						(30)						735						(123)						2,907						(153)
Total AFS fixed maturities			$	29,277					$	(1,024)					$	38,985					$	(4,099)					$	68,262					$	(5,123)

			0 – 12 Months												Over 12 Months												Total
December 31, 2022			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			$	2,152					$	(125)					$	386					$	(46)					$	2,538					$	(171)
Non-U.S.			15,538						(1,012)						5,490						(704)						21,028						(1,716)
Corporate and asset-backed securities			25,687						(1,793)						4,190						(552)						29,877						(2,345)
Mortgage-backed securities			10,561						(1,033)						4,770						(941)						15,331						(1,974)
Municipal			3,251						(152)						155						(48)						3,406						(200)
Total AFS fixed maturities			$	57,189					$	(4,115)					$	14,991					$	(2,291)					$	72,180					$	(6,406)

At March 31, 2023, the tax benefit on certain unrealized losses in our investment portfolio was reduced by a valuation allowance of $646 million necessary due to limitations on the utilization of these losses. As part of evaluating whether it was more likely than not that we could realize these losses, we considered realized gains, carryback capacity and available tax planning strategies.

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)			2023						2022
Available for sale
Valuation allowance for expected credit losses - beginning of period			$	169					$	14
Provision for expected credit loss			59						17
Write-offs charged against the expected credit loss			(2)						—
Recovery of expected credit loss			(58)						(4)
Valuation allowance for expected credit losses - end of period			$	168					$	27
Held to maturity
Valuation allowance for expected credit losses - beginning of period			$	34					$	35
Recovery of expected credit loss			(1)						(1)
Valuation allowance for expected credit losses - end of period			$	33					$	34

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)			2023						2022
Fixed maturities:
Gross realized gains			$	2					$	39
Gross realized losses			(159)						(127)
Net (provision for) recovery of expected credit losses			2						(12)
Impairment (1)			(25)						(36)
Total fixed maturities			(180)						(136)
Equity securities			11						56
Other investments			15						55
Foreign exchange			131						74
Investment and embedded derivative instruments			(46)						47
Other derivative instruments			(1)						1
Other			(7)						(74)
Net realized gains (losses) (pre-tax)			$	(77)					$	23

(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
			2023																		2022
(in millions of U.S. dollars)			Equity Securities						Other Investments						Total						Equity Securities						Other Investments						Total
Net gains (losses) recognized during the period			$	11					$	15					$	26					$	56					$	55					$	111
Less: Net gains (losses) recognized from sales of securities			(5)						—						(5)						255						—						255
Unrealized gains (losses) recognized for securities still held at reporting date			$	16					$	15					$	31					$	(199)					$	55					$	(144)

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:

			Expected Liquidation Period of Underlying Assets						March 31, 2023												December 31, 2022
(in millions of U.S. dollars)									Fair Value						Maximum Future Funding Commitments						Fair Value						Maximum Future Funding Commitments
Financial			2 to 10 Years						$	1,146					$	472					$	1,074					$	505
Real assets			2 to 13 Years						2,114						640						2,166						681
Distressed			2 to 8 Years						1,096						659						1,048						755
Private credit			3 to 8 Years						216						322						215						429
Traditional			2 to 14 Years						7,800						4,654						7,424						5,025
Vintage			1 to 2 Years						56						—						55						—
Investment funds			Not Applicable						377						—						373						—
									$	12,805					$	6,747					$	12,355					$	7,395

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 March 31, 2023 and December 31, 2022 are investments, primarily fixed maturities, totaling $16,021 million and $15,721 million, respectively, and cash of $94 million and $115 million, respectively.

The following table presents the components of restricted assets:

			March 31						December 31
(in millions of U.S. dollars)			2023						2022
Trust funds			$	8,263					$	8,120
Deposits with U.S. regulatory authorities			2,350						2,345
Deposits with non-U.S. regulatory authorities			3,094						2,959
Assets pledged under repurchase agreements			1,503						1,527
Other pledged assets			905						885
Total			$	16,115					$	15,836

X

- 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 https://asc.fasb.org/topic&trid=75115024

Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 320
-URI https://asc.fasb.org/topic&trid=2196928

Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 325
-URI https://asc.fasb.org/topic&trid=2197064

Reference 4: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 323
-URI https://asc.fasb.org/topic&trid=2196965

+ Details

Name:	us-gaap_InvestmentTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration