In June 2023, we determined that we no longer have the intent to hold securities in our held to maturity (HTM) portfolio until maturity. As a result, our entire HTM securities portfolio was transferred to the available for sale (AFS) portfolio. This decision allowed us to increase our flexibility to execute on our investment strategy and take advantage of the continuing higher reinvestment environment while not making any major change to our current asset allocation. At the time of the transfer on June 30, 2023, these securities had a carrying value of $8.2 billion and a fair value of $7.8 billion, resulting in an increase to Unrealized depreciation in OCI of $428 million, after-tax. This transfer represents a non-cash transaction and does not impact the Consolidated Statements of Cash Flows.


September 30, 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	$	3,944	$	—	$	2	$	(265)	$	3,681
Non-U.S.	34,912		(53)		239		(2,381)		32,717
Corporate and asset-backed securities	44,932		(104)		61		(4,034)		40,855
Mortgage-backed securities	22,402		(1)		6		(2,802)		19,605
Municipal	3,165		—		2		(259)		2,908
	$	109,355	$	(158)	$	310	$	(9,741)	$	99,766


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


December 31, 2022	Amortized Cost		Valuation Allowance		Net Carrying Value		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Fair Value
(in millions of U.S. dollars)
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


	September 30, 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	$	4,805	$	4,805	$	2,962	$	2,962
Due after 1 year through 5 years	31,738		31,738		24,791		24,791
Due after 5 years through 10 years	27,452		27,452		26,679		26,679
Due after 10 years	16,166		16,166		14,937		14,937
	80,161		80,161		69,369		69,369
Mortgage-backed securities	19,605		19,605		15,851		15,851
	$	99,766	$	99,766	$	85,220	$	85,220
Held to maturity
Due in 1 year or less	$	—	$	—	$	1,015	$	1,003
Due after 1 year through 5 years	—		—		3,658		3,531
Due after 5 years through 10 years	—		—		1,460		1,423
Due after 10 years	—		—		1,260		1,131
	—		—		7,393		7,088
Mortgage-backed securities	—		—		1,455		1,351
	$	—	$	—	$	8,848	$	8,439

Fixed maturities in an unrealized loss position at September 30, 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 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
September 30, 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	$	1,108	$	(32)	$	2,449	$	(233)	$	3,557	$	(265)
Non-U.S.	8,591		(280)		16,631		(1,670)		25,222		(1,950)
Corporate and asset-backed securities	10,120		(362)		22,672		(2,441)		32,792		(2,803)
Mortgage-backed securities	5,827		(249)		13,450		(2,510)		19,277		(2,759)
Municipal	1,389		(51)		1,269		(208)		2,658		(259)
Total AFS fixed maturities	$	27,035	$	(974)	$	56,471	$	(7,062)	$	83,506	$	(8,036)


	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 September 30, 2023, the tax benefit on certain unrealized losses in our investment portfolio was reduced by a valuation allowance of $1,108 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 ability and available tax planning strategies.


	Three Months Ended				Nine Months Ended
	September 30				September 30
(in millions of U.S. dollars)	2023		2022		2023		2022
Available for sale
Valuation allowance for expected credit losses - beginning of period	$	193	$	78	$	169	$	14


Provision for expected credit loss	34		91		172		169

Write-offs charged against the expected credit loss	(1)		—		(5)		—
Foreign currency revaluation	—		(2)		—		(2)
Recovery of expected credit loss	(68)		(20)		(178)		(34)
Valuation allowance for expected credit losses - end of period	$	158	$	147	$	158	$	147
Held to maturity
Valuation allowance for expected credit losses - beginning of period	$	—	$	34	$	34	$	35


Provision for expected credit loss	—		—		—		1


Recovery of expected credit loss	—		(1)		(34)		(3)
Valuation allowance for expected credit losses - end of period	$	—	$	33	$	—	$	33


	Three Months Ended				Nine Months Ended
	September 30				September 30
(in millions of U.S. dollars)	2023		2022		2023		2022
Fixed maturities:



Gross realized gains	$	97	$	144	$	116	$	545
Gross realized losses	(185)		(331)		(457)		(1,158)
Net (provision for) recovery of expected credit losses	34		(70)		44		(133)
Impairment (1)	(16)		(22)		(60)		(111)
Total fixed maturities	(70)		(279)		(357)		(857)
Equity securities	(100)		(80)		(61)		(287)

Private equities	40		(42)		75		17
Foreign exchange	(67)		202		(122)		546
Investment and embedded derivative instruments	9		(198)		(92)		(232)
Other derivative instruments	(7)		(19)		(6)		(9)
Other (2)	92		(40)		79		(114)
Net realized gains (losses) (pre-tax)	$	(103)	$	(456)	$	(484)	$	(936)


									Three Months Ended
									September 30
	2023								2022
(in millions of U.S. dollars)	Other Investments		Equity Securities		Private Equities		Total		Equity Securities		Private Equities		Total
Net gains (losses) recognized during the period	$	(1)	$	(100)	$	40	$	(61)	$	(80)	$	(42)	$	(122)
Less: Net gains (losses) recognized from sales of securities	—		(45)		—		(45)		(12)		—		(12)
Unrealized gains (losses) recognized for securities still held at reporting date	$	(1)	$	(55)	$	40	$	(16)	$	(68)	$	(42)	$	(110)


									Nine Months Ended
									September 30
	2023								2022
(in millions of U.S. dollars)	Other Investments		Equity Securities		Private Equities		Total		Equity Securities		Private Equities		Total
Net gains (losses) recognized during the period	$	(1)	$	(61)	$	75	$	13	$	(287)	$	17	$	(270)
Less: Net gains (losses) recognized from sales of securities	—		(48)		—		(48)		406		—		406
Unrealized gains (losses) recognized for securities still held at reporting date	$	(1)	$	(13)	$	75	$	61	$	(693)	$	17	$	(676)

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	September 30, 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	$	1,219	$	384	$	1,074	$	505
Real assets	2 to 13 Years	2,136		526		2,166		681
Distressed	2 to 8 Years	1,160		810		1,048		755
Private credit	3 to 8 Years	319		309		215		429
Traditional	2 to 14 Years	8,222		4,280		7,424		5,025
Vintage	1 to 3 Years	78		—		55		—
Investment funds	Not Applicable	228		—		373		—
		$	13,362	$	6,309	$	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 consent from the general partner of the 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.

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, 2023, and December 31, 2022, are investments, primarily fixed maturities, totaling $17,505 million and $15,721 million, respectively, and cash of $192 million and $115 million, respectively.


	September 30		December 31
(in millions of U.S. dollars)	2023		2022
Trust funds	$	8,462	$	8,120
Deposits with U.S. regulatory authorities	2,290		2,345
Deposits with non-U.S. regulatory authorities	3,366		2,959
Assets pledged under repurchase agreements	2,753		1,527
Other pledged assets	826		885
Total	$	17,697	$	15,836

Certain subsidiaries of Huatai Group are the investment manager of, and maintain investments in, sponsored investment products that are considered Variable Interest entities (VIEs). Refer to Note 1 for further information on our consolidation criteria. The assets of these VIEs are not available to our creditors, and the investors in these VIEs have no recourse to Chubb in excess of the assets contained within the VIEs. Our economic exposures are limited to our investments based on our ownership interest in these VIEs. Our total exposure to these sponsored investment products represents the value of our economic ownership interest.


	September 30
(in millions of U.S. dollars)	2023
Short-term investments	$	466

Equity securities	986
Private equities	21
Other investments	3,937
Total investments of consolidated VIEs	5,410
Cash	164
Other assets	22
Total assets of consolidated VIEs	$	5,596
Other liabilities	32
Repurchase agreements	837
Total liabilities of consolidated VIEs	869
Noncontrolling interests	3,176
Chubb's net interest in consolidated VIEs	$	1,551