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Market risk benefits | 9 Months Ended
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Sep. 30, 2024
Market Risk Benefit [Abstract] |
Market Risk Benefits | Policyholders' account balances, Separate accounts, and Unearned revenue liabilities Policyholders' account balances The following tables present a roll-forward of policyholders' account balances:
| Nine Months Ended September 30, 2024
(in millions of U.S. dollars) | Universal Life |  | Annuities (2) |  | Other (3) |  | Total
Balance – beginning of period | $ | 1,876 |  |  | $ | 2,411 |  |  | $ | 2,502 |  |  | $ | 6,789 |
Premiums received | 204 |  |  | 294 |  |  | 320 |  |  | 818 |
Policy charges (1) | (98) |  |  | — |  |  | (7) |  |  | (105) |
Surrenders and withdrawals | (95) |  |  | (30) |  |  | (202) |  |  | (327) |
Benefit payments (4) | (59) |  |  | (116) |  |  | (40) |  |  | (215) |
Interest credited | 38 |  |  | 29 |  |  | 41 |  |  | 108 |
Other (including foreign exchange) | 3 |  |  | 20 |  |  | (223) |  |  | (200) |
Balance – end of period | $ | 1,869 |  |  | $ | 2,608 |  |  | $ | 2,391 |  |  | $ | 6,868 |
Unearned revenue liability |  |  |  |  |  |  | 712 |
Other |  |  |  |  |  |  | 556 |
Policyholders' account liability, per consolidated balance sheet |  |  |  |  |  |  | $ | 8,136 |
(1)Contracts included in the policyholder account balances are generally charged a premium and/or monthly assessments on the basis of the account balance. (2)Relates to Huatai Life. (3)Primarily comprises policyholder account balances related to investment linked products including endowment and investment contracts, none of which bear significant insurance risk. (4)Includes benefit payments upon maturity as well as death benefits.
| Nine Months Ended September 30, 2023
(in millions of U.S. dollars) | Universal Life |  | Annuities (2) |  | Other (3) |  | Total
Balance – beginning of period | $ | 1,199 |  |  | $ | — |  |  | $ | 1,374 |  |  | $ | 2,573 |
Consolidation of Huatai Group | 602 |  |  | 2,325 |  |  | 1,087 |  |  | 4,014 |
Premiums received | 174 |  |  | 79 |  |  | 165 |  |  | 418 |
Policy charges (1) | (96) |  |  | — |  |  | (8) |  |  | (104) |
Surrenders and withdrawals | (62) |  |  | (8) |  |  | (113) |  |  | (183) |
Benefit payments (4) | (6) |  |  | (38) |  |  | (43) |  |  | (87) |
Interest credited | 30 |  |  | 16 |  |  | 22 |  |  | 68 |
Other (including foreign exchange) | (56) |  |  | (34) |  |  | (35) |  |  | (125) |
Balance – end of period | $ | 1,785 |  |  | $ | 2,340 |  |  | $ | 2,449 |  |  | $ | 6,574 |
Unearned revenue liability |  |  |  |  |  |  | 604 |
Policyholders' account liability, per consolidated balance sheet |  |  |  |  |  |  | $ | 7,178 |
(1)Contracts included in the policyholder account balances are generally charged a premium and/or monthly assessments on the basis of the account balance. (2)Relates to Huatai Life. (3)Primarily comprises policyholder account balances related to investment linked products including endowment and investment contracts, none of which bear significant insurance risk. (4)Includes benefit payments upon maturity as well as death benefits.
| September 30
| 2024 |  | 2023
(in millions of U.S. dollars, except for percentages) | Universal Life |  | Annuities |  | Other |  | Universal Life |  | Annuities |  | Other
Weighted-average crediting rate | 2.7 | % |  | 1.6 | % |  | 2.7 | % |  | 3.1 | % |  | 2.7 | % |  | 1.2 | %
Net amount at risk (1) | $ | 12,648 |  |  | $ | — |  |  | $ | 440 |  |  | $ | 11,705 |  |  | $ | — |  |  | $ | 576 |
Cash Surrender Value | $ | 1,699 |  |  | $ | 1,691 |  |  | $ | 2,091 |  |  | $ | 1,573 |  |  | $ | 1,474 |  |  | $ | 2,173 |
(1)For those guarantees of benefits that are payable in the event of death, the net amount at risk is defined as the current guaranteed minimum death benefit in excess of the current account balance at the balance sheet date. The following tables present the balance of account values by range of guaranteed minimum crediting rates and the related range of difference, in basis points, between rates being credited to policyholders and the respective guaranteed minimum: Universal Life
| September 30, 2024
(in millions of U.S. dollars) | At Guaranteed Minimum |  | 1 Basis Point - 50 Basis Points Above |  | 51 Basis Points - 150 Basis Points Above |  | Greater Than 150 Basis Points Above |  | Total
Guaranteed minimum crediting rates |  |  |  |  |  |  |  |  |
Up to 2.00% | $ | 464 |  |  | $ | — |  |  | $ | 47 |  |  | $ | 92 |  |  | $ | 603 |
2.01% – 4.00% | 249 |  |  | 371 |  |  | 633 |  |  | — |  |  | 1,253 |
Greater than 4.00% | 13 |  |  | — |  |  | — |  |  | — |  |  | 13 |
Total | $ | 726 |  |  | $ | 371 |  |  | $ | 680 |  |  | $ | 92 |  |  | $ | 1,869 |
| September 30, 2023
(in millions of U.S. dollars) | At Guaranteed Minimum |  | 1 Basis Point - 50 Basis Points Above |  | 51 Basis Points - 150 Basis Points Above |  | Greater Than 150 Basis Points Above |  | Total
Guaranteed minimum crediting rates |  |  |  |  |  |  |  |  |
Up to 2.00% | $ | 421 |  |  | $ | — |  |  | $ | 30 |  |  | $ | 11 |  |  | $ | 462 |
2.01% – 4.00% | 80 |  |  | 330 |  |  | 559 |  |  | 333 |  |  | 1,302 |
Greater than 4.00% | 21 |  |  | — |  |  | — |  |  | — |  |  | 21 |
Total | $ | 522 |  |  | $ | 330 |  |  | $ | 589 |  |  | $ | 344 |  |  | $ | 1,785 |
Annuities
| September 30, 2024
(in millions of U.S. dollars) | At Guaranteed Minimum |  | 1 Basis Point - 50 Basis Points Above |  | 51 Basis Points - 150 Basis Points Above |  | Greater Than 150 Basis Points Above |  | Total
Guaranteed minimum crediting rates |  |  |  |  |  |  |  |  |
Up to 2.00% | $ | 72 |  |  | $ | — |  |  | $ | 1,645 |  |  | $ | 47 |  |  | $ | 1,764 |
2.01% – 4.00% | 844 |  |  | — |  |  | — |  |  | — |  |  | 844 |
Greater than 4.00% | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total | $ | 916 |  |  | $ | — |  |  | $ | 1,645 |  |  | $ | 47 |  |  | $ | 2,608 |
| September 30, 2023
(in millions of U.S. dollars) | At Guaranteed Minimum |  | 1 Basis Point - 50 Basis Points Above |  | 51 Basis Points - 150 Basis Points Above |  | Greater Than 150 Basis Points Above |  | Total
Guaranteed minimum crediting rates |  |  |  |  |  |  |  |  |
Up to 2.00% | $ | 693 |  |  | $ | — |  |  | $ | 1,543 |  |  | $ | — |  |  | $ | 2,236 |
2.01% – 4.00% | 104 |  |  | — |  |  | — |  |  | — |  |  | 104 |
Greater than 4.00% | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total | $ | 797 |  |  | $ | — |  |  | $ | 1,543 |  |  | $ | — |  |  | $ | 2,340 |
Other policyholders' account balances
| September 30, 2024
(in millions of U.S. dollars) | At Guaranteed Minimum |  | 1 Basis Point - 50 Basis Points Above |  | 51 Basis Points - 150 Basis Points Above |  | Greater Than 150 Basis Points Above |  | Total
Guaranteed minimum crediting rates |  |  |  |  |  |  |  |  |
Up to 2.00% | $ | 349 |  |  | $ | 2 |  |  | $ | 214 |  |  | $ | 459 |  |  | $ | 1,024 |
2.01% – 4.00% | 1,317 |  |  | 50 |  |  | — |  |  | — |  |  | 1,367 |
Greater than 4.00% | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total | $ | 1,666 |  |  | $ | 52 |  |  | $ | 214 |  |  | $ | 459 |  |  | $ | 2,391 |
| September 30, 2023
(in millions of U.S. dollars) | At Guaranteed Minimum |  | 1 Basis Point - 50 Basis Points Above |  | 51 Basis Points - 150 Basis Points Above |  | Greater Than 150 Basis Points Above |  | Total
Guaranteed minimum crediting rates |  |  |  |  |  |  |  |  |
Up to 2.00% | $ | 738 |  |  | $ | — |  |  | $ | 230 |  |  | $ | 545 |  |  | $ | 1,513 |
2.01% – 4.00% | 373 |  |  | 531 |  |  | 27 |  |  | — |  |  | 931 |
Greater than 4.00% | 5 |  |  | — |  |  | — |  |  | — |  |  | 5 |
Total | $ | 1,116 |  |  | $ | 531 |  |  | $ | 257 |  |  | $ | 545 |  |  | $ | 2,449 |
Separate accounts Separate account assets represent segregated funds where investment risks are borne by the customers, except to the extent of certain guarantees made by Chubb. The assets that support variable contracts are measured at fair value and are reported as Separate account assets and corresponding liabilities are reported within Separate account liabilities on the Consolidated balance sheets. Policy charges assessed against the policyholders for mortality, administration, and other services are included in Net premiums earned on the Consolidated statements of operations. The following table presents the aggregate fair value of Separate account assets, by major security type:
| September 30 |  | September 30
(in millions of U.S. dollars) | 2024 |  | 2023
Cash and cash equivalents | $ | 75 |  |  | $ | 88 |
Mutual funds | 5,844 |  |  | 5,129 |
Fixed maturities | 77 |  |  | 89 |
Total | $ | 5,996 |  |  | $ | 5,306 |
The following table presents a roll-forward of separate account liabilities:
| Nine Months Ended
| September 30
(in millions of U.S. dollars) | 2024 |  | 2023
Balance – beginning of period | $ | 5,573 |  |  | $ | 5,190 |
Premiums and deposits | 945 |  |  | 724 |
Policy charges | (118) |  |  | (103) |
Surrenders and withdrawals | (666) |  |  | (407) |
Benefit payments | (320) |  |  | (291) |
Investment performance | 625 |  |  | 382 |
Other (including foreign exchange) | (43) |  |  | (189) |
Balance – end of period | $ | 5,996 |  |  | $ | 5,306 |
Cash surrender value (1) | $ | 5,790 |  |  | $ | 5,285 |
(1)Cash surrender value represents the amount of the policyholders account balances distributable at the balance sheet date less certain surrender charges. Unearned revenue liabilities Unearned revenue liabilities represent policy charges for services to be provided in future periods. The charges are reflected as deferred revenue and are generally amortized over the expected life of the contract using the same methodology, factors, and assumptions used to amortize deferred acquisition costs. Unearned revenue liabilities pertaining to both policyholders' account balances and separate accounts are recorded in Policyholders' account balances in the Consolidated balance sheets. The following table presents a roll-forward of unearned revenue liabilities:
| Nine Months Ended
| September 30
(in millions of U.S. dollars) | 2024 |  | 2023
Balance – beginning of period | $ | 673 |  |  | $ | 567 |
Deferred revenue | 106 |  |  | 96 |
Amortization | (54) |  |  | (44) |
Other (including foreign exchange) | (13) |  |  | (15) |
Balance – end of period | $ | 712 |  |  | $ | 604 |
Market risk benefits Our reinsurance programs covering variable annuity guarantees, comprising guaranteed living benefits (GLB) and guaranteed minimum death benefits (GMDB), meet the definition of Market risk benefits (MRB). The following table presents a roll-forward of MRB:
| Nine Months Ended September 30
(in millions of U.S. dollars) | 2024 |  | 2023
Balance – beginning of period | $ | 771 |  |  | $ | 800 |
Balance, beginning of period, before effect of changes in the instrument-specific credit risk | 749 |  |  | 776 |
Interest rate changes | 10 |  |  | (117) |
Effect of changes in equity markets | (147) |  |  | (69) |
Effect of changes in volatilities | 9 |  |  | 51 |
Actual policyholder behavior different from expected behavior | 55 |  |  | 16 |
Effect of changes in future expected policyholder behavior | 87 |  |  | 89 |
Effect of timing and all other | (34) |  |  | 3 |
Balance, end of period, before effect of changes in the instrument-specific credit risk | $ | 729 |  |  | $ | 749 |
Effect of changes in the instrument-specific credit risk | 19 |  |  | 21 |
Balance – end of period | $ | 748 |  |  | $ | 770 |
Weighted-average age of policyholders (years) | 74 |  | 73
Net amount at risk (1) | $ | 1,595 |  |  | $ | 2,138 |
(1) The net amount at risk is defined as the present value of future claim payments assuming policy account values and guaranteed values are fixed at the valuation date, and reinsurance coverage ends at the earlier of the maturity of the underlying variable annuity policy or the reinsurance treaty. No withdrawals, lapses, and mortality improvements are assumed in the projection. GLB-related risks contain conservative mortality and annuitization assumptions. Excluded from the table above are MRB losses of $258 million and $181 million for the nine months ended September 30, 2024 and 2023, respectively, reported in the Consolidated statements of operations, relating to the market risk benefits' economic hedge and other net cash flows. There is no reinsurance recoverable associated with our liability for MRB. In the third quarter of 2024, we completed a review of policyholder behavior related to annuitizations, partial withdrawals, lapses, and mortality for our variable annuity reinsurance business. These refinements resulted in a net increase of approximately $87 million to the MRB fair value, recognized as a Market risk benefits loss. •We refreshed our partial withdrawal and annuitization assumptions to include an additional year of experience. The annuitization updates included treaty-based and age-based behavior. •We updated the lapse assumptions to include an additional year of experience and refined the lapse rates for policies with guaranteed values far in excess of their account values. •We updated the mortality assumptions to include an additional year of experience. For MRB, Chubb estimates fair value using an internal valuation model which includes 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. All reinsurance treaties contain claim limits, which are also factored into the valuation model.
|  |  | Valuation Technique |  | Significant Unobservable Inputs |  | September 30, 2024 |  | September 30, 2023
|  |  | Ranges |  | Weighted Average(1) |  | Ranges |  | Weighted Average(1)
MRB (1) |  |  | Actuarial model |  | Lapse rate |  | 0.5% – 27.3% |  | 3.4 | % |  | 0.5% – 30% |  | 4.0 | %
|  |  |  |  | Annuitization rate |  | 0% – 100% |  | 4.6 | % |  | 0% – 100% |  | 4.8 | %
(1)The weighted-average lapse and annuitization rates are determined by weighting each treaty's rates by the MRB contract's fair value. The most significant policyholder behavior assumptions include lapse rates for MRBs, and GLB annuitization rates. Assumptions regarding lapse rates and GLB 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 GLB annuitization rate is the percentage of policies for which the policyholder will elect to annuitize using the guaranteed benefit provided under the GLB. All else equal, as GLB annuitization rates increase, ultimate claim payments will increase, subject to treaty claim limits. 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 by blending the experience with data received from other ceding companies. 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 detailed information on our lapse and annuitization rate assumptions, refer to Note 11 to the Consolidated Financial Statements of our 2023 Form 10-K.

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- Definition The entire disclosure for long duration contracts. This may include the information pertinent to an understanding of the types of traditional and nontraditional insurance and investment contracts sold and serviced, including the nature and amount of estimated guaranteed obligations pertaining to such contracts and the assumptions underlying such estimated amounts, hedging strategies, and sales inducements offered. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 944 -SubTopic 40 -Name Accounting Standards Codification -Section 65 -Paragraph 2 -Subparagraph (u) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480016/944-40-65-2 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 944 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/944/tableOfContent + Details
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