What changed in this filing

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Item 1. Financial Statements

2022-10-28 compared with 2022-07-29 · 374 added, 236 removed, 1133 unchanged (35% of the section changed)

2 unchanged sentences

Chubb Limited and Subsidiaries

June 30 December 31

September 30 December 31

(in millions of U.S.

22 unchanged sentences

Other intangible assets 5,383 5,455

Deferred tax assets 564 —

Prepaid reinsurance premiums 3,265 3,028

30 unchanged sentences

Chubb Limited and Subsidiaries

Three Months Ended Six Months Ended

June 30 June 30

Three Months Ended Nine Months Ended

September 30 September 30

(in millions of U.S.

4 unchanged sentences

Net investment income 979 866 2,689 2,613

Net realized gains (losses) (includes $( 442 ), $ 12 , $( 578 ), and $ 36

reclassified from AOCI)

( 504 ) ( 33 ) ( 403 ) 854

Net realized gains (losses) ( 384 ) ( 21 ) ( 787 ) 833

Total revenues 12,130 10,845 31,740 30,480

9 unchanged sentences

Income before income tax 1,077 2,051 4,914 7,271

Income tax expense (includes $( 77 ), $( 6 ), $( 99 ), and $( 2 ) on unrealized gains and losses reclassified from AOCI)

293 317 648 655

Income tax expense 265 218 913 873

Net income $ 812 $ 1,833 $ 4,001 $ 6,398

Other comprehensive income (loss)

Unrealized appreciation (depreciation) $ ( 4,786 ) $ 706 $ ( 9,574 ) $ ( 1,587 )

Reclassification adjustment for net realized (gains) losses included in net income

442 ( 12 ) 578 ( 36 )

( 4,344 ) 694 ( 8,996 ) ( 1,623 )

Unrealized depreciation $ ( 3,045 ) $ ( 554 ) $ ( 12,041 ) $ ( 2,177 )

Cumulative foreign currency translation adjustment ( 966 ) ( 414 ) ( 1,676 ) ( 84 )

Postretirement benefit liability adjustment 5 ( 9 ) 24 ( 37 )

Other comprehensive income (loss), before income tax ( 5,116 ) 993 ( 9,682 ) ( 1,330 )

Income tax (expense) benefit related to OCI items 245 ( 129 ) 1,057 283

Other comprehensive income (loss) ( 4,871 ) 864 ( 8,625 ) ( 1,047 )

Other, including postretirement benefit liability adjustment ( 59 ) 4 ( 35 ) ( 33 )

Other comprehensive loss, before income tax ( 4,070 ) ( 964 ) ( 13,752 ) ( 2,294 )

Income tax benefit related to OCI items 165 120 1,222 403

Other comprehensive loss ( 3,905 ) ( 844 ) ( 12,530 ) ( 1,891 )

Comprehensive income (loss) $ ( 3,093 ) $ 989 $ ( 8,529 ) $ 4,507

5 unchanged sentences

Chubb Limited and Subsidiaries

Three Months Ended Six Months Ended

June 30 June 30

Three Months Ended Nine Months Ended

September 30 September 30

(in millions of U.S.

12 unchanged sentences

Balance – beginning of period 7,707 9,046 8,478 9,815

Net shares issued under employee share-based compensation plans 4 5 ( 195 ) ( 182 )

Net shares redeemed (issued) under employee share-based

compensation plans 10 ( 2 ) ( 185 ) ( 184 )

Exercise of stock options ( 8 ) ( 15 ) ( 35 ) ( 45 )

10 unchanged sentences

Accumulated other comprehensive income (loss) (AOCI)

Net unrealized appreciation (depreciation) on investments

Balance – beginning of period ( 8,275 ) 1,822 350 2,869

Change in period, before reclassification from AOCI, net of income tax

(expense) benefit of $ 292 , $( 107 ), $ 1,126 , and $ 294

( 4,494 ) 599 ( 8,448 ) ( 1,293 )

Amounts reclassified from AOCI, net of income tax expense of $( 77 ),

$( 6 ), $( 99 ), and $( 2 )

365 ( 18 ) 479 ( 38 )

Change in period, net of income tax (expense) benefit of $ 215 , $( 113 ),

$ 1,027 , and $ 292

( 4,129 ) 581 ( 7,969 ) ( 1,331 )

Balance – end of period ( 5,713 ) 3,342 ( 5,713 ) 3,342

Cumulative foreign currency translation adjustment

Balance – beginning of period ( 2,075 ) ( 1,613 ) ( 2,146 ) ( 1,637 )

Change in period, net of income tax (expense) benefit of $ 31 , $( 18 ),

$ 35 , and $( 16 )

( 746 ) 290 ( 675 ) 314

Balance – end of period ( 2,821 ) ( 1,323 ) ( 2,821 ) ( 1,323 )

Postretirement benefit liability adjustment

Balance – beginning of period 255 ( 190 ) 240 ( 167 )

Change in period, net of income tax (expense) benefit of $( 1 ), $ 2 ,

$( 5 ), and $ 7

4 ( 7 ) 19 ( 30 )

Total other comprehensive loss ( 3,905 ) ( 844 ) ( 12,530 ) ( 1,891 )

Balance – end of period ( 12,180 ) 978 ( 12,180 ) 978

Accumulated other comprehensive income (loss) ( 8,275 ) 1,822 ( 8,275 ) 1,822

Total shareholders’ equity $ 47,639 $ 59,318 $ 47,639 $ 59,318

2 unchanged sentences

Chubb Limited and Subsidiaries

Six Months Ended

Nine Months Ended

(in millions of U.S.

31 unchanged sentences

Private equity distributions 649 891

Acquisition of subsidiaries (net of cash acquired of $ 366 and nil )

Payment for Huatai Group interest ( 113 ) ( 208 )

Other ( 414 ) ( 217 )

Net cash flows from (used for) investing activities 1,125 ( 2,025 )

Net cash flows used for investing activities ( 5,202 ) ( 3,751 )

Cash flows from financing activities

9 unchanged sentences

Effect of foreign currency rate changes on cash and restricted cash ( 215 ) ( 33 )

Net increase in cash and restricted cash 5,428 162

Net increase (decrease) in cash and restricted cash 453 ( 40 )

Cash and restricted cash – beginning of period 1,811 1,836

21 unchanged sentences

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:

June 30 December 31

September 30 December 31

(in millions of U.S.

dollars) 2022 2021

$ 7,122 $ 1,659

Cash $ 2,128 $ 1,659

Restricted cash 136 152

Total cash and restricted cash shown in the Consolidated statements of cash flows $ 2,264 $ 1,811

(1) O n July 1, 2022, we paid $ 5.36 billion for the acquisition of Cigna's life and non-life insurance companies in six Asia-Pacific markets.

Refer to Note 2 for additional information .

During the six months ended June 30, 2022, Goodwill decreased $ 168 million, primarily reflecting the impact of foreign exchange.

d) Accounting guidance not yet adopted

c) Accounting guidance not yet adopted

Targeted Improvements to the Accounting for Long-Duration Contracts

6 unchanged sentences

Chubb Limited and Subsidiaries

Cigna’s Life and Accident and Health (A&H) Insurance Business in Asia-Pacific Markets

On July 1, 2022 , we completed the acquisition of the life and non-life insurance companies that house the personal accident, supplemental health, and life insurance business of Cigna in six Asia-Pacific markets.

Chubb paid $ 5.36 billion in cash for the operations, which include Cigna's accident and health (A&H) and life business in Korea, Taiwan, New Zealand, Thailand, Hong Kong, and Indonesia.

Cigna’s Accident and Health (A&H) and Life Insurance Business in Asian Markets

Chubb paid $ 5.36 billion in cash for the operations, which include Cigna's accident and health (A&H) and life business in Korea, Taiwan, New Zealand, Thailand, Hong Kong, and Indonesia, collectively referred to as Cigna's business in Asia.

The reduction in the final purchase price from the original agreement reflects the impacts of rising interest rates and foreign exchange rates on acquired book value and other minor adjustments.

This complementary strategic acquisition expands our presence and advances our long-term growth opportunity in the Asia-Pacific region.

Effective July 1, 2022, the results of operations of this acquired business will be reported primarily in our Life Insurance segment and, to a lesser extent, our Overseas General Insurance segment.

This complementary strategic acquisition expands our presence and advances our long-term growth opportunity in Asia.

Effective July 1, 2022, the results of operations of this acquired business are reported primarily in our Life Insurance segment and, to a lesser extent, our Overseas General Insurance segment.

The interim consolidated financial statements include the results of Cigna's business in Asia from July 1, 2022.

The acquisition of Cigna's business in Asia generated $ 1,340 million of goodwill, attributable to expected growth and profitability, and $ 269 million of other intangible assets.

None of the goodwill is expected to be deductible for income tax purposes.

Additionally, the acquisition of Cigna's business in Asia generated $ 3,379 million of value of business acquired (VOBA).

Refer to Note 7 for more information.

Chubb financed the transaction through a combination of available cash and $ 2.0 billion in repurchase agreement transactions, of which $ 1.0 billion were outstanding as of September 30, 2022, and due to expire by the end of 2022.

The following table summarizes Chubb's best estimate of fair value of the assets acquired and liabilities assumed at July 1, 2022.

The fair value of assets and liabilities, including intangible assets and tax-related items (classified below in Other assets and Other liabilities), are preliminary and may change with offsetting adjustments to goodwill.

Chubb may make further adjustments to its purchase price allocation through the end of the permissible one-year measurement period.

Chubb does not expect changes, if any, to materially affect its financial position, results of operations, or cash flows.

Preliminary estimate of assets acquired and liabilities assumed from Cigna's business in Asia July 1

(in millions of U.S.

dollars) 2022

Investments and Cash $ 5,311

Accrued investment income 33

Insurance and reinsurance balances receivable 52

Reinsurance recoverable on losses and loss expenses 3

Reinsurance recoverable on future policy benefits 82

Value of business acquired 3,379

Goodwill and other intangible assets 1,609

Other assets 655

Total assets $ 11,124

Unpaid losses and loss expenses $ 10

Unearned premiums 60

Future policy benefits 3,844

Insurance and reinsurance balances payable 115

Accounts payable, accrued expenses, and other liabilities 925

Deferred tax liabilities 839

Total liabilities $ 5,793

Net acquired assets, including goodwill 5,331

Total $ 11,124

Direct costs related to the acquisition were expensed as incurred.

Cigna integration expenses were $ 23 million and $ 26 million for the three and nine months ended September 30, 2022, respectively, and include one-time costs that are directly attributable to third-party consulting fees, employee-related retention costs, and other professional and legal fees related to the acquisition.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

The following table summarizes the results of operations of the acquired Cigna business in Asia since the acquisition date that have been included within our Consolidated statements of operations for both the three and nine months ended September 30, 2022.

(in millions of U.S.

Total revenues $ 681

Net income $ 21

The preliminary purchase price allocation to intangible assets recorded in connection with the Cigna acquisition and their related useful lives at July 1, 2022, are as follows:

(in millions of U.S.

dollars) Amount Weighted-average useful life

Definite life

Agency distribution relationships and renewal rights $ 190 20 years

Unearned premium reserves (UPR) intangible asset 9 1 year

Indefinite life

Trademarks 70 Indefinite

Total identified intangible assets $ 269

The following table presents supplemental unaudited pro forma consolidated information for the periods indicated as though the acquisition of Cigna's business in Asia that occurred on July 1, 2022, had instead occurred on January 1, 2021.

The unaudited pro forma consolidated financial information is presented for informational purposes only and is not necessarily indicative of the operating results that would have occurred had the acquisition been consummated on January 1, 2021, nor is it necessarily indicative of future operating results.

Significant assumptions used to determine pro forma operating results include amortization of VOBA and other intangible assets and recognition of interest expense associated with the repurchase agreement transactions used to effect the acquisition.

Three Months Ended Nine Months Ended

September 30 September 30

(in millions of U.S.

dollars) 2022 2021 2022 2021

Net premiums earned $ 11,535 $ 10,788 $ 31,362 $ 29,406

Total revenues $ 12,132 $ 11,632 $ 33,253 $ 32,879

Net income $ 825 $ 1,894 $ 4,203 $ 6,649

Chubb maintains a direct investment in Huatai Insurance Group Co., Ltd.

5 unchanged sentences

Huatai Group's insurance operations have more than 700 branches and approximately 19 million customers in China.

As of June 30, 2022, Chubb's aggregate ownership interest in Huatai Group was approximately 47.3 percent.

As of September 30, 2022, Chubb's aggregate ownership interest in Huatai Group was approximately 47.3 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.

3 unchanged sentences

Chubb entered into an agreement to acquire an approximate 7.1 percent ownership interest in Huatai Group for approximately $ 0.5 billion, which was paid as a deposit in 2020.

The purchase of the additional ownership interests is contingent upon important conditions.

As Chubb’s ownership interest increases, we will continue to evaluate the appropriateness of consolidation accounting in accordance with the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 810, Consolidation , and other applicable regulations.

The purchase of the additional ownership interest is contingent upon important conditions.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

1 unchanged sentence

a) Fixed maturities

June 30, 2022 Amortized

September 30, 2022 Amortized

Cost Valuation Allowance Gross

44 unchanged sentences

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

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

(in millions of U.S.

8 unchanged sentences

The following table presents fixed maturities by contractual maturity:

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

(in millions of U.S.

18 unchanged sentences

b) Gross unrealized loss

Fixed maturities in an unrealized loss position at June 30, 2022 and December 31, 2021 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.

Fixed maturities in an unrealized loss position at September 30, 2022 and December 31, 2021 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 3 in the 2021 Form 10-K for further information on factors considered in the evaluation of expected credit losses.

3 unchanged sentences

0 – 12 Months Over 12 Months Total

June 30, 2022 Fair Value Gross

September 30, 2022 Fair Value Gross

Loss Fair Value Gross

5 unchanged sentences

Mortgage-backed securities 12,776 ( 1,459 ) 3,324 ( 728 ) 16,100 ( 2,187 )

2,643 ( 117 ) 10 ( 2 ) 2,653 ( 119 )

Municipal 3,905 ( 216 ) 70 ( 18 ) 3,975 ( 234 )

Total AFS fixed maturities $ 63,672 $ ( 6,132 ) $ 10,149 $ ( 1,819 ) $ 73,821 $ ( 7,951 )

8 unchanged sentences

Mortgage-backed securities 8,086 ( 116 ) 190 ( 7 ) 8,276 ( 123 )

226 ( 5 ) — — 226 ( 5 )

Municipal 226 ( 5 ) — — 226 ( 5 )

Total AFS fixed maturities $ 25,041 $ ( 465 ) $ 2,159 $ ( 104 ) $ 27,200 $ ( 569 )

During the three months ended June 30, 2022, the tax benefit on certain unrealized losses in our investment portfolio was reduced by a valuation allowance of $ 485 million necessary due to limitations on the utilization of these losses.

During the nine months ended September 30, 2022, the tax benefit on certain unrealized losses in our investment portfolio was reduced by a valuation allowance of $ 950 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 Six Months Ended

June 30 June 30

Three Months Ended Nine Months Ended

September 30 September 30

(in millions of U.S.

3 unchanged sentences

Provision for expected credit loss 91 3 169 8

Foreign currency revaluation ( 2 ) — ( 2 ) —

Recovery of expected credit loss ( 20 ) ( 2 ) ( 34 ) ( 16 )

9 unchanged sentences

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

Three Months Ended Six Months Ended

June 30 June 30

Three Months Ended Nine Months Ended

September 30 September 30

(in millions of U.S.

17 unchanged sentences

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

(2) Other realized losses include impairment of assets related to Chubb's Russian entities.

(2) Other realized losses includes $36 million related to impairment of fixed assets.

The nine months ended September 30, 2022 also includes impairment of assets related to Chubb’s Russian entities.

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:

3 unchanged sentences

Net gains (losses) recognized during the period $ ( 80 ) $ ( 42 ) $ ( 122 ) $ ( 42 ) $ 11 $ ( 31 )

Net gains recognized from sales of securities 163 — 163 45 — 45

Net gains (losses) recognized from sales of securities ( 12 ) — ( 12 ) 19 — 19

Unrealized gains (losses) recognized for securities still held at reporting date $ ( 68 ) $ ( 42 ) $ ( 110 ) $ ( 61 ) $ 11 $ ( 50 )

Six Months Ended

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Nine Months Ended

(in millions of U.S.

3 unchanged sentences

Unrealized gains (losses) recognized for securities still held at reporting date $ ( 693 ) $ 17 $ ( 676 ) $ 366 $ 111 $ 477

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

d) Alternative investments

1 unchanged sentence

The following table presents, by investment category, the expected liquidation period, fair value, and maximum future funding commitments of alternative investments:

Period of Underlying Assets June 30, 2022 December 31, 2021

Period of Underlying Assets September 30, 2022 December 31, 2021

(in millions of U.S.

28 unchanged sentences

Vintage funds where the initial fund term has expired

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Investment funds employ various investment strategies, such as long/short equity and arbitrage/distressed.

13 unchanged sentences

We have investments in segregated portfolios primarily to provide collateral or guarantees for LOC and derivative transactions.

Included in restricted assets at June

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

30, 2022 and December 31, 2021 are investments, primarily fixed maturities, totaling $ 17,392 million and $ 17,092 million, respectively, and cash of $ 117 million and $ 152 million, respectively.

Included in restricted assets at September 30, 2022 and December 31, 2021 are investments, primarily fixed maturities, totaling $ 16,202 million and $ 17,092 million, respectively, and cash of $ 136 million and $ 152 million, respectively.

The following table presents the components of restricted assets:

June 30 December 31

September 30 December 31

(in millions of U.S.

21 unchanged sentences

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 management’s understanding of the methodologies used, these pricing services only produce an estimate of fair value if there is observable

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

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.

13 unchanged sentences

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

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

require the use of models to be priced.

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.

18 unchanged sentences

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

Investment derivatives not designated as hedging 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.

The fair value of cross-currency swaps and interest rate swaps is based on

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

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.

6 unchanged sentences

Other derivative instruments are recorded in either Other assets or Accounts payable, accrued expenses, and other liabilities in the Consolidated balance sheets.

Derivatives designated as hedging instruments

Certain of our derivatives are cross-currency swaps designated as fair value and net investment hedging instruments.

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.

Separate account assets

4 unchanged sentences

Separate account assets are recorded in Other assets in the Consolidated balance sheets.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Guaranteed living benefits

5 unchanged sentences

Because of the significant use of unobservable inputs including policyholder behavior, GLB reinsurance is classified within Level 3.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Financial instruments measured at fair value on a recurring basis, by valuation hierarchy

June 30, 2022 Level 1 Level 2 Level 3 Total

September 30, 2022 Level 1 Level 2 Level 3 Total

(in millions of U.S.

11 unchanged sentences

Securities lending collateral — 1,626 — 1,626

Investment derivative instruments 148 — — 148

Investment derivatives not designated as hedging instruments 129 — — 129

Other derivative instruments 109 — — 109

Derivatives designated as hedging instruments — 71 — 71

Separate account assets 4,810 81 — 4,891

1 unchanged sentence

$ 11,129 $ 82,796 $ 2,907 $ 96,832

Investment derivative instruments $ 163 $ — $ — $ 163

Investment derivatives not designated as hedging instruments $ 306 $ — $ — $ 306

Derivatives designated as hedging instruments — 101 — 101

Total liabilities measured at fair value $ 306 $ 101 $ 784 $ 1,191

(1) Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $ 11,238 million, policy loans of $ 245 million and other investments of $ 50 million at June 30, 2022 measured using NAV as a practical expedient.

(1) Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $ 12,392 million, policy loans of $ 316 million, and other investments of $ 50 million at September 30, 2022 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.

32 unchanged sentences

Unobservable Inputs Ranges Weighted Average (1)

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

$ 784 $ 745 Actuarial model Lapse rate 3 % – 30 %

12 unchanged sentences

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 and six months ended June 30, 2022 and 2021, no material refinements were made to the model.

In the third quarter of 2022, we completed a review of policyholder behavior related to annuitizations, partial withdrawals, lapses, and mortality for our variable annuity reinsurance business.

As a result, we refined our policyholder behavior assumptions (mainly those relating to annuitizations and partial withdrawals).

This refinement increased the fair value of GLB liabilities, and resulted in a realized loss of approximately $ 40 million.

We also made routine model refinements to the internal valuation model which had an insignificant impact on net income.

For detailed information on our lapse and annuitization rate assumptions, refer to Note 4 to the Consolidated Financial Statements of our 2021 Form 10-K.

2 unchanged sentences

Three Months Ended

June 30, 2022

September 30, 2022

(in millions of U.S.

16 unchanged sentences

(1) Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Assets Liabilities

Three Months Ended

June 30, 2021

September 30, 2021

(in millions of U.S.

20 unchanged sentences

Assets Liabilities

Six Months Ended

June 30, 2022

Nine Months Ended

September 30, 2022

(in millions of U.S.

17 unchanged sentences

Assets Liabilities

Six Months Ended

June 30, 2021

Nine Months Ended

September 30, 2021

(in millions of U.S.

25 unchanged sentences

The following tables present fair value, by valuation hierarchy, and carrying value of the financial instruments not measured at fair value:

June 30, 2022 Fair Value Net Carrying

September 30, 2022 Fair Value Net Carrying

(in millions of U.S.

28 unchanged sentences

Reinsurance recoverable on ceded reinsurance

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

(in millions of U.S.

9 unchanged sentences

Chubb Limited and Subsidiaries

The increase in reinsurance recoverable on losses and loss expenses was primarily due to prior period development in certain lines and higher underlying ceded exposures due to premium growth.

The increase in reinsurance recoverable on losses and loss expenses was primarily due to prior period development in certain lines and higher underlying ceded exposures due to premium growth, partially offset by foreign currency movement.

The following table presents a roll-forward of valuation allowance for uncollectible reinsurance related to Reinsurance recoverable on loss and loss expenses:

Six Months Ended

Nine Months Ended

(in millions of U.S.

8 unchanged sentences

The following table presents a reconciliation of beginning and ending Unpaid losses and loss expenses:

Six Months Ended

Nine Months Ended

(in millions of U.S.

19 unchanged sentences

(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 $ 164 million and $ 27 million for the six months ended June 30, 2022 and 2021, respectively.

Gross and net unpaid losses and loss expenses increased $ 1,149 million and $ 760 million, respectively, for the six months ended June 30, 2022, driven by an increase in underlying exposure due to premium growth, partially offset by catastrophe loss payments, favorable prior period development, and favorable foreign exchange movement.

(2) Relates to prior period loss reserve development only and excludes prior period development related to reinstatement premiums, expense adjustments, and earned premiums totaling $ 243 million and $ 87 million for the nine months ended September 30, 2022 and 2021, respectively.

Gross and net unpaid losses and loss expenses increased $ 3,049 million and $ 1,853 million, respectively, for the nine months ended September 30, 2022, driven by an increase in underlying exposure due to premium growth and net catastrophe losses, partially offset by favorable prior period development, and favorable foreign exchange movement.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

5 unchanged sentences

The following table summarizes (favorable) and adverse PPD by segment:

Three Months Ended June 30 Six Months Ended June 30

Three Months Ended September 30 Nine Months Ended September 30

(in millions of U.S.

17 unchanged sentences

North America Commercial P&C Insurance .

For the three months ended June 30, 2022, net favorable PPD was $ 287 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 $ 266 million in long-tail business, primarily from:

• Net favorable development of $ 286 million in workers’ compensation lines.

This included favorable development of $ 59 million related to our annual assessment of multi-claimant events, including industrial accidents, in the 2021 accident year.

Consistent with prior years, we reviewed these potential exposures after the close of the accident year to allow for late reporting or identification of significant losses.

The remaining overall favorable development was mainly in accident years 2017 and prior, driven by lower than expected loss experience and related updates to loss development factors;

• Net favorable development of $ 132 million in primary general liability portfolios, driven by lower than expected paid and reported case incurred activity in accident years 2017 and prior;

Net favorable development for the three months ended September 30, 2022, included $ 164 million from lower than expected loss experience in workers’ compensation lines and $ 66 million, net of premium adjustments, from lower claims activity in large multi-line loss sensitive accounts.

The favorable development was partially offset by net adverse development of $ 58 million from higher than expected claims severity in commercial auto liability, and $ 71 million from commercial umbrella/excess portfolios.

Net favorable development on our short-tail businesses primarily included $ 132 million from property and marine portfolios, where paid and reported loss activity for the most recent accident years was lower than expected.

Net favorable development for the nine months ended September 30, 2022, also included favorable development in workers’ compensation lines due to updates to loss development factors and our annual assessment of multi-claimant events, including industrial accidents.

Net favorable development for the three and nine months ended September 30, 2021, included $ 97 million and $ 255 million from workers' compensation lines due to lower than expected loss experience.

This favorable development for the nine months ended September 30, 2021, from workers' compensation lines also included related updates to loss development factors and our annual assessment of multi-claimant events, including industrial accidents.

The favorable development for the nine months ended September 30, 2021, was partially offset by net adverse development in commercial auto liability of $ 74 million and commercial excess and umbrella portfolios of $ 74 million.

North America Personal P&C Insurance .

Net favorable development for the three and nine months ended September 30, 2022, included favorable development in the homeowners and valuables lines of business, driven by lower than expected claims reserve development.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

• Net adverse development of $ 123 million in commercial automobile liability, including $ 90 million in our high deductible and excess automobile liability portfolios, driven by adverse reported loss experience, mainly impacting accident years 2018 through 2021.

For the six months ended June 30, 2022, net favorable PPD was $ 395 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 $ 286 million in long-tail business, primarily from:

• Net favorable development of $ 328 million in workers’ compensation lines, mainly due to the same factors experienced for the three months ended June 30, 2022, as described above;

• Net favorable development of $ 136 million in primary general liability portfolios, mainly due to the same factors experienced for the three months ended June 30, 2022, as described above;

• Net adverse development of $ 116 million in commercial automobile liability, mainly due to the same factors experienced for the three months ended June 30, 2022, as described above.

• Net favorable development of $ 109 million in short-tail business, primarily from net favorable development of $ 78 million in A&H, in accident years 2020 and 2021, driven by lower than expected loss emergence.

For the three months ended June 30, 2021, net favorable PPD was $ 156 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 $ 96 million in long-tail business, primarily from:

• Net favorable development of $ 137 million in workers’ compensation lines.

This included favorable development of $ 36 million related to our annual assessment of multi-claimant events, including industrial accidents, in the 2020 accident year.

Consistent with prior years, we reviewed these potential exposures after the close of the accident year to allow for late reporting or identification of significant losses.

The remaining overall favorable development was mainly in accident years 2016 and prior, driven by lower than expected loss experience and related updates to loss development factors;

• Net favorable development of $ 45 million in general liability portfolios, driven by lower than expected paid and reported case incurred activity in accident years 2017 and prior, partly offset by higher than expected reported case incurred activity in accident years 2018 and 2019;

• Net adverse development of $ 76 million in commercial automobile liability, driven by adverse reported loss experience, mainly impacting accident years 2017 and 2019.

• Net favorable development of $ 60 million in short-tail business, primarily from net favorable development of $ 41 million in surety, $ 35 million of which was due to lower than expected COVID-19 claim activity in accident year 2020.

The remaining favorable development is predominantly driven by automobile, which experienced lower than expected claim development related to physical damage coverages in the 2020 accident year.

For the six months ended June 30, 2021, net favorable PPD was $ 283 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 $ 142 million in long-tail business, primarily from:

• Net favorable development of $ 158 million in workers’ compensation lines, mainly due to the same factors experienced for the three months ended June 30, 2021, as described above;

• Net adverse development of $ 74 million in commercial automobile liability, due to the same factors experienced for the three months ended June 30, 2021.

Net favorable development for the three and nine months ended September 30, 2021, included favorable development in homeowners and valuables, which experienced lower than expected loss development.

Overseas General Insurance .

Net favorable development for the three months ended September 30, 2022, included lower than expected paid and reported loss activity of $ 82 million in casualty lines, including primary and excess lines in Continental Europe, the U.K., and Asia Pacific, and $ 34 million in environmental lines.

The favorable development was partially offset by net adverse development of $ 114 million from financial lines, including Directors and Officers (D&O) due to a combination of higher than expected development on specific claims and increased expected future development in the U.K., Continental Europe, Asia Pacific, and London wholesale business.

Net favorable development for the nine months ended September 30, 2022, also included net favorable development of $ 75 million in A&H lines, $ 67 million in property lines, and $ 53 million in personal lines.

Net favorable development for the three months ended September 30, 2021, included favorable development in casualty lines partially offset by adverse development in financial lines, primarily D&O.

Net favorable development for the nine months ended September 30, 2021, also included favorable development in A&H and property lines, the latter of which included a $ 21 million favorable reduction in COVID-19 estimates.

Net adverse development for the three months ended September 30, 2022 and 2021, included adverse development for environmental liabilities.

Net adverse development for the nine months ended September 30, 2022 and 2021, also included adverse development for molestation claims of $ 155 million and $ 68 million, respectively.

Molestation claims

In the third quarter of 2022, the bankruptcy court approved the agreement-in-principle regarding the bankruptcy of the Boy Scouts of America (BSA), which will proceed to further approval before the U.S.

District Court.

The terms of the agreement are consistent with the 2021 10-K disclosure.

Of the $ 800 million that will be paid per the agreement, we paid $ 200 million during the third quarter and expect to pay the remaining $ 600 million liability within the next twelve months.

Refer to the 2021 10-K for additional information on molestation claims.

Value of business acquired, Goodwill, and Other intangible assets

Value of business acquired

Value of business acquired (VOBA) represents the fair value of the future profits of in-force long duration contracts, and is amortized in relation to the profit emergence of the underlying contracts, in a manner similar to deferred acquisition costs.

The VOBA calculation is based on many factors including mortality, morbidity, persistency, investment yields, expenses, and the discount rate, with the discount rate being the most significant factor.

The following table presents a roll-forward of VOBA:

Nine months ended

(in millions of U.S.

dollars) 2022

Balance, beginning of period $ 236

Acquisition of Cigna's business in Asia 3,379

Amortization of VOBA (1)

Foreign exchange revaluation and other ( 184 )

Balance, end of period $ 3,324

(1) Recognized in Policy acquisition costs in the Consolidated statements of operations.

During the three months ended September 30, 2022, amortization of VOBA associated with the acquisition of Cigna’s business in Asia was $ 93 million pre-tax.

The expected pre-tax amortization expense related to VOBA associated with the acquisition of Cigna’s business in Asia for the fourth quarter of 2022 at current exchange rates is approximately $ 100 million.

Amortization of VOBA beyond next quarter will be determined in conjunction with the adoption of long-duration accounting guidance effective January 1, 2023.

Refer to Note 1 for more information.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

• Net favorable development of $ 141 million in short-tail business, primarily from net favorable development of $ 89 million in surety, mainly in accident years 2018 through 2020, driven by lower than expected loss emergence.

Overseas General Insurance

For the three months ended June 30, 2022, net favorable PPD was $ 173 million across short-tail lines, which was the net result of several underlying favorable and adverse movements, and was driven by the following principal changes:

• Net favorable development of $ 53 million in A&H lines driven by favorable loss developments across all regions in accident years 2019 through 2021;

• Net favorable development of $ 44 million in property lines mainly due to favorable loss development across most regions, favorable catastrophe development in accident years 2019 through 2021, specific case reductions, and salvage and subrogation recoveries in accident year 2018 and prior;

• Net favorable development of $ 41 million in personal lines mainly due to favorable loss frequency in Latin America and Asia Pacific automobile in accident years 2020 and 2021, UK and Asia Pacific high net worth homeowners in accident year 2021 and Asia Pacific and Continental Europe cell phones in accident year 2021.

For the six months ended June 30, 2022, net favorable PPD was $ 233 million across a number of short-tail lines, which was the net of several underlying favorable and adverse movements, and was driven by the following principal changes:

• Net favorable development of $ 75 million in A&H lines, net favorable development of $ 67 million in property lines, and net favorable development of $ 53 million in personal lines, mainly due to the same factors experienced for the three months ended June 30, 2022.

• Net favorable development of $ 161 million in short-tail business, primarily from:

• Net favorable development of $ 50 million, in property lines in accident years 2019 and 2020, including a $ 21 million favorable reduction in COVID-19 estimates in accident year 2020.

The remaining favorable development was across most regions in accident years 2019 and 2020;

• Net favorable development of $ 49 million, in A&H lines, mainly due to favorable loss development across all regions in accident years 2019 and 2020;

• Net favorable development of $ 31 million in marine lines in accident years 2018 through 2020, driven by favorable loss development, specific claim reductions, and salvage and subrogation recoveries in Continental Europe and Asia Pacific.

For the six months ended June 30, 2021, net favorable PPD in short-tail business was $ 186 million principally comprising favorable development of $ 58 million in property lines, and $ 55 million in A&H lines, due to the same factors experienced for the three months ended June 30, 2021.

Global Reinsurance

For the three and six months ended June 30, 2022, net adverse PPD was $ 25 million and $ 22 million, respectively, driven by adverse development of $ 32 million in property lines, mainly in accident years 2020 and 2021.

The adverse development was driven by higher costs due to the current economic environment and increased litigation costs.

The following table presents a roll-forward of Goodwill by segment:

(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 Chubb Consolidated

Balance at December 31, 2021 $ 6,972 $ 2,240 $ 134 $ 4,653 $ 371 $ 843 $ 15,213

Acquisition of Cigna's business in Asia — — — 103 — 1,237 1,340

Foreign exchange revaluation and other ( 11 ) ( 4 ) — ( 431 ) — — ( 446 )

Balance at September 30, 2022 $ 6,961 $ 2,236 $ 134 $ 4,325 $ 371 $ 2,080 $ 16,107

Other intangible assets

Other intangible assets that are subject to amortization principally relate to agency distribution relationships, renewal rights, and patents, and other intangible assets that are not subject to amortization principally relate to trademarks.

(in millions of U.S.

dollars) September 30

2022 December 31

Subject to amortization $ 2,417 $ 2,508

Not subject to amortization 2,966 2,947

Total $ 5,383 $ 5,455

The following table presents, as of September 30, 2022, the expected pre-tax amortization expense of purchased intangibles, at current foreign currency exchange rates, for the fourth quarter of 2022 and for the next five years:

For the Years Ending December 31

(in millions of U.S.

dollars) Associated with the Cigna acquisition in Asia (1)

Associated with the Chubb acquisition (2)

Other intangible assets (3)

Total amortization of purchased intangibles

Fourth quarter of 2022 $ 1 $ 45 $ 25 $ 71

2023 2 170 96 268

2024 4 153 89 246

2025 5 137 87 229

2026 6 123 84 213

2027 9 108 81 198

Total $ 27 $ 736 $ 462 $ 1,225

(1) Recorded in Life Insurance segment.

(2) Recorded in Corporate.

(3) Recorded in applicable segment(s) that acquired the intangible assets .

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

For the three and six months ended June 30, 2022, net adverse PPD was $ 191 million and $ 199 million, respectively, driven by adverse development of $ 155 million for molestation claims, primarily from updated modeling and specific account reviews.

The remainder of the adverse development was driven by increased claim costs on non-A&E runoff workers’ compensation exposures, and charges relating to run-off operating expenses incurred.

For the three and six months ended June 30, 2021, net adverse PPD was $ 88 million and $ 97 million, respectively, driven by adverse development of $ 68 million for molestation claims.

The remainder of the adverse development was driven by increased claim costs on non-A&E runoff workers’ compensation exposures, and charges relating to run-off operating expenses incurred.

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);

Investment derivative instruments and derivatives designated as hedges 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);

2 unchanged sentences

In addition, Chubb, from time to time, purchases to be announced mortgage-backed securities (TBAs) as part of its investing activities.

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.

Some of Chubb's derivatives satisfy hedge accounting requirements, as discussed below.

We also consider economic hedging for planned cross border transactions.

Under reinsurance programs covering GLBs, Chubb assumes the risk of GLBs, principally GMIB, associated with variable annuity contracts.

2 unchanged sentences

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.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

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:

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Balance Sheet

3 unchanged sentences

dollars) Derivative Asset Derivative (Liability) Derivative Asset Derivative (Liability)

Investment and embedded derivative

Investment and embedded derivatives not designated as hedging instruments:

Foreign currency forward contracts OA / (AP) $ 72 $ ( 277 ) $ 5,211 $ 25 $ ( 139 ) $ 6,182

9 unchanged sentences

(AP) $ — $ ( 784 ) $ 2,210 $ — $ ( 745 ) $ 1,432

Derivatives designated as hedging instruments:

Cross-currency swaps - fair value hedges OA / (AP) $ — $ ( 94 ) $ 1,501 $ — $ — $ —

Cross-currency swaps - net investment hedges OA / (AP) 71 ( 7 ) 1,501 — — —

$ 71 $ ( 101 ) $ 3,002 $ — $ — $ —

(1) Includes fair value of embedded derivatives.

2 unchanged sentences

The concept of a notional value does not apply to the GLB reinsurance contracts.

At June 30, 2022 and December 31, 2021, net derivative assets of $ 46 million and net derivative liabilities of $ 123 million, respectively, included in the table above were subject to a master netting agreement.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

At September 30, 2022, and December 31, 2021, net derivative liabilities of $ 98 million and $ 123 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.

b) Hedge accounting

We designated certain derivatives as fair value hedges and net investment hedges for accounting purposes to hedge for foreign currency exposure associated with portions of our Euro denominated debt and the net investment in certain foreign subsidiaries, respectively.

These derivatives comprise cross-currency swaps, which are agreements under which two counterparties exchange interest payments and principal denominated in different currencies at a future date.

(i) Cross-currency swaps - fair value hedges

In September 2022, Chubb entered into certain cross-currency swaps designated as fair value hedges.

The objective of these cross-currency swaps is to hedge the foreign currency risk on our Euro denominated debt by converting cash flows back into the U.S dollar.

These fair value hedges are carried at fair value.

The hedges are expected to be highly effective, with gains or losses on the fair value hedges offsetting the foreign currency remeasurement on the hedged Euro denominated senior notes within Net realized gains (losses) on the Consolidated statements of operations.

The remaining change in fair value is recorded in Other comprehensive income (OCI).

The carrying value of hedged Euro denominated senior notes, recorded within Long-term debt on the Consolidated balance sheets, was $ 1.5 billion as of September 30, 2022.

This carrying value includes a $ 32 million gain from foreign currency remeasurement since the inception of the hedge.

For the three and nine months ended September 30, 2022, $ 94 million of losses on fair value hedges were recognized in OCI, of which $ 32 million of losses were reclassified from OCI to Net realized gains (losses).

(ii) Cross-currency swaps - net investment hedges

In September 2022, Chubb entered into certain cross-currency swaps designated as net investment hedges.

The objective of these cross-currency swaps is to hedge the foreign currency exposure in the net investments of certain foreign subsidiaries by converting cash flows from U.S.

dollar to the British pound sterling, Japanese yen, and Swiss franc.

The hedged risk is designated as the foreign currency exposure arising between the functional currency of the foreign subsidiary and the functional currency of its parent entity.

These net investment hedges are carried at fair value, with changes in fair value recorded in Cumulative translation adjustments (CTA) within OCI.

The mark-to-market adjustments for foreign currency changes will remain until the underlying hedge subsidiary is deconsolidated or if hedge accounting is discontinued.

For the three and nine months ended September 30, 2022, $ 64 million of gains on net investment hedges were recognized in CTA.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

c) Derivative instruments not designated as hedges

Derivative instruments which are not designated as hedges are carried at fair value with changes in fair value recorded in Net realized gains (losses) in the Consolidated statements of operations.

The following table presents net realized gains (losses) related to derivative instrument activity in the Consolidated statements of operations:

Three Months Ended Six Months Ended

June 30 June 30

Three Months Ended Nine Months Ended

September 30 September 30

(in millions of U.S.

4 unchanged sentences

Convertible securities (1)

( 1 ) 1 ( 2 ) 1

Total investment and embedded derivative instruments $ ( 198 ) $ ( 9 ) $ ( 232 ) $ 9

8 unchanged sentences

(2) Related to GMDB and GLB book of business.

b) Derivative instrument objectives

(i) Foreign currency exposure management

1 unchanged sentence

Chubb uses forwards to minimize the effect of fluctuating foreign currencies as discussed above.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

(ii) Duration management and market exposure

9 unchanged sentences

The price of an option is influenced by the underlying security, level of interest rates, expected volatility, time to expiration, and supply and demand.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

The credit risk associated with the above derivative financial instruments relates to the potential for non-performance by counterparties.

18 unchanged sentences

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

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

value when the S&P 500 index increases).

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

d) 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.

2 unchanged sentences

The collateral is recorded in Securities lending collateral and the liability is recorded in Securities lending payable in the Consolidated balance sheets.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

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

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

(in millions of U.S.

8 unchanged sentences

Gross amount of recognized liability for securities lending payable $ 1,626 $ 1,831

At June 30, 2022 and December 31, 2021, our repurchase agreement obligations of $ 3,411 million and $ 1,406 million, respectively, were fully collateralized.

At September 30, 2022, and December 31, 2021, our repurchase agreement obligations of $ 2,417 million and $ 1,406 million, respectively, were fully collateralized.

In contrast to securities lending programs, the use of cash received is not restricted for the repurchase obligations.

2 unchanged sentences

Remaining contractual maturity

June 30, 2022 December 31, 2021

30-90 Days Greater than

September 30, 2022 December 31, 2021

Up to 30 Days 30-90 Days Greater than

90 Days Total 30-90 Days Greater than

4 unchanged sentences

Treasury / Agency — 102 — 102 103 — 103

Corporate securities 8 — 8 — — $ —

Mortgage-backed securities 350 1,530 471 2,351 — 1,288 1,288

3 unchanged sentences

(1) Per the repurchase agreements, the amount of collateral posted is required to exceed the amount of gross liability.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Potential risks exist in our secured borrowing transactions due to market conditions and counterparty exposure.

4 unchanged sentences

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 June 30, 2022, and December 31, 2021, commitments to purchase fixed income securities over the next several years were $ 632 million and $ 771 million, respectively.

e) Other investments

At June 30, 2022, included in Other investments in the Consolidated balance sheet are investments in limited partnerships and partially-owned investment companies with a carrying value of $ 10.9 billion.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

e) Fixed maturities

At September 30, 2022, and December 31, 2021, commitments to purchase fixed income securities over the next several years were $ 630 million and $ 771 million, respectively.

f) Other investments

At September 30, 2022, included in Other investments in the Consolidated balance sheet are investments in limited partnerships and partially-owned investment companies with a carrying value of $ 12.0 billion.

In connection with these investments, we have commitments that may require funding of up to $ 7.6 billion over the next several years.

At December 31, 2021, these investments had a carrying value of $ 9.8 billion with a commitment that may require funding of up to $ 7.2 billion.

f) Income taxes

At June 30, 2022, $ 58 million of unrecognized tax benefits remain out standing.

g) Income taxes

At September 30, 2022, $ 57 million of unrecognized tax benefits remain out standing.

It is reasonably possible that, over the next twelve months, 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

h) 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.

3 unchanged sentences

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) Lease commitments

At June 30, 2022, and December 31, 2021, the right-of-use asset was $ 433 million and $ 445 million, respectively, recorded within Other assets and the lease liability was $ 461 million and $ 484 million, respectively, recorded within Accounts payable, accrued expenses, and other liabilities on the Consolidated balance sheets.

i) Lease commitments

At September 30, 2022, and December 31, 2021, the right-of-use asset was $ 458 million and $ 445 million, respectively, recorded within Other assets and the lease liability was $ 486 million and $ 484 million, respectively, 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.

j) Letters of credit

In October 2022, Chubb entered into a new group syndicated credit facility through 2027 with capacity of $ 3.0 billion.

This facility consolidated our three existing syndicated facilities with capacity of $ 2.7 billion.

Shareholders’ equity

3 unchanged sentences

Under Swiss corporate law, dividends, including distributions from legal reserves or through a reduction in par value (par value reduction), must be stated in Swiss francs though dividend payments are made by Chubb in U.S.

At June 30, 2022, our Common Shares had a par value of CHF 24.15 per share.

At September 30, 2022, our Common Shares had a par value of CHF 24.15 per share.

At our May 2022 annual general meeting, our shareholders approved an annual dividend for the following year of up to $ 3.32 per share, expected to be paid in four quarterly installments of $ 0.83 per share after the general meeting by way of distribution from capital contribution reserves, transferred to free reserves for payment.

The Board of Directors (Board) will determine the record and payment dates at which the annual dividend may be paid until the date of the 2023 annual general meeting, and is authorized to abstain from distributing a dividend at its discretion.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

At our May 2021 and 2020 annual general meetings, our shareholders approved annual dividends for the following year of up to $ 3.20 per share and $ 3.12 per share, respectively, which were paid in four quarterly installments of $ 0.80 per share and $ 0.78 per share, respectively, at dates determined by the Board after the annual general meetings by way of a distribution from capital contribution reserves, transferred to free reserves for payment.

1 unchanged sentence

dollars (USD):

Three Months Ended Six Months Ended

June 30 June 30

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Three Months Ended Nine Months Ended

September 30 September 30

2022 2021 2022 2021

5 unchanged sentences

The capital reduction by cancellation of shares was subject to publication requirements and a two-month waiting period in accordance with Swiss law and became effective on January 17, 2022.

During the six months ended June 30, 2022, 10,346,200 shares were repurchased, 14,465,400 shares were canceled, and 2,247,675 net shares were issued under employee share-based compensation plans.

At June 30, 2022, 41,081,627 Common Shares remain in treasury.

At our May 2022 annual general meeting, held on May 19, 2022, our shareholders approved the cancellation of 13,179,100 shares purchased under our share repurchase program during the last six months of 2021.

The capital reduction by cancellation of shares was subject to publication requirements and a two-month waiting period in accordance with Swiss law and became effective on August 4, 2022.

During the nine months ended September 30, 2022, 14,022,728 shares were repurchased, 27,644,500 shares were canceled, and 2,470,600 net shares were issued under employee share-based compensation plans.

At September 30, 2022, 31,356,130 Common Shares remain in treasury.

Chubb Limited securities repurchase authorizations

5 unchanged sentences

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 Six Months Ended July 1, 2022 through July 28, 2022

June 30 June 30

Three Months Ended Nine Months Ended

September 30 September 30

(in millions of U.S.

3 unchanged sentences

Repurchase authorization remaining at end of period $ 1,816 $ 3,551 $ 1,816 $ 3,551

$ 2,500 $ 65 $ 2,500 $ 65 $ 2,220

(1) As of June 30, 2022, $ 522 million expired under the July 2021 $ 5.0 billion share repurchase authorization.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

The following table presents changes in accumulated other comprehensive income (loss):

Three Months Ended Nine Months Ended

September 30 September 30

(in millions of U.S.

dollars) 2022 2021 2022 2021

Accumulated other comprehensive income (loss) (AOCI)

Net unrealized appreciation (depreciation) on investments

Balance – beginning of period, net of tax $ ( 5,713 ) $ 3,342 $ 2,256 $ 4,673

Change in period, before reclassification from AOCI (before tax) ( 3,324 ) ( 564 ) ( 12,898 ) ( 2,151 )

Amounts reclassified from AOCI (before tax) 279 10 857 ( 26 )

Change in period, before tax ( 3,045 ) ( 554 ) ( 12,041 ) ( 2,177 )

Income tax benefit 147 98 1,174 390

Balance – end of period, net of tax ( 8,611 ) 2,886 ( 8,611 ) 2,886

Cumulative foreign currency translation adjustment

Balance – beginning of period, net of tax ( 2,821 ) ( 1,323 ) ( 2,146 ) ( 1,637 )

Change in period, before tax ( 966 ) ( 414 ) ( 1,676 ) ( 84 )

Income tax benefit 6 23 41 7

Balance – end of period, net of tax ( 3,781 ) ( 1,714 ) ( 3,781 ) ( 1,714 )

Fair value hedging instruments

Balance – beginning of period, net of tax — — — —

Change in period, before reclassification from AOCI (before tax) ( 94 ) — ( 94 ) —

Amounts reclassified from AOCI (before tax) 32 — 32 —

Change in period, before tax ( 62 ) — ( 62 ) —

Income tax benefit 13 — 13 —

Balance – end of period, net of tax ( 49 ) — ( 49 ) —

Postretirement benefit liability adjustment

Balance – beginning of period, net of tax 259 ( 197 ) 240 ( 167 )

Change in period, before tax 3 4 27 ( 33 )

Income tax (expense) benefit ( 1 ) ( 1 ) ( 6 ) 6

Balance – end of period, net of tax 261 ( 194 ) 261 ( 194 )

Accumulated other comprehensive income (loss) $ ( 12,180 ) $ 978 $ ( 12,180 ) $ 978

The following table presents reclassifications from accumulated other comprehensive income (loss) to the consolidated statements of operations:

Three Months Ended Nine Months Ended Consolidated Statement of Operations Location

September 30 September 30

(in millions of U.S.

dollars) 2022 2021 2022 2021

Fixed maturities available for sale $ ( 279 ) $ ( 10 ) $ ( 857 ) $ 26 Net realized gains (losses)

Income tax (expense) benefit 39 3 138 5 Income tax expense

$ ( 240 ) $ ( 7 ) $ ( 719 ) $ 31 Net income

Net gains (losses) of fair value hedging instruments

Cross-currency swaps $ ( 32 ) $ — $ ( 32 ) $ — Net realized gains (losses)

Income tax (expense) benefit 7 — 7 — Income tax expense

$ ( 25 ) $ — $ ( 25 ) $ — Net income

Total amounts reclassified from AOCI $ ( 265 ) $ ( 7 ) $ ( 744 ) $ 31

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Share-based compensation

4 unchanged sentences

The fair value of the options issued is estimated on the grant date using the Black-Scholes option pricing model.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

The Amended 2016 LTIP also permits grants of service-based restricted stock and restricted stock units as well as performance-based restricted stock awards.

10 unchanged sentences

2022 2021 2022 2021

Three Months Ended June 30 U.S.

Three Months Ended September 30 U.S.

Plans Non-U.S.

10 unchanged sentences

Net periodic benefit cost (benefit) $ ( 49 ) $ ( 5 ) $ ( 45 ) $ ( 4 ) $ — $ 1

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Pension Benefit Plans Other Postretirement

1 unchanged sentence

2022 2021 2022 2021

Six Months Ended June 30 U.S.

Nine Months Ended September 30 U.S.

Plans Non-U.S.

15 unchanged sentences

Benefit Plans

Three Months Ended June 30 2022 2021 2022 2021

Three Months Ended September 30 2022 2021 2022 2021

(in millions of U.S.

10 unchanged sentences

Benefit Plans

Six Months Ended June 30 2022 2021 2022 2021

Nine Months Ended September 30 2022 2021 2022 2021

(in millions of U.S.

9 unchanged sentences

Other income and expense

Three Months Ended Six Months Ended

June 30 June 30

Three Months Ended Nine Months Ended

September 30 September 30

(in millions of U.S.

7 unchanged sentences

Total $ ( 188 ) $ 763 $ 21 $ 2,030

(1) Equity in net income (loss) of partially-owned entities principally comprises market-to-market gain (loss) on private equities where we own more than three percent of $( 134 ) million and $ 121 million for the three and six months ended June 30, 2022, respectively, and $ 674 million and $ 1,074 million, respectively, for the prior year periods.

This line item also includes net income of $ 15 million and $ 55 million attributable to our investments in Huatai (Huatai Group, Huatai P&C, and Huatai Life) for the three and six months ended June 30, 2022, respectively, compared to $ 49 million and $ 98 million, respectively, for the prior year periods.

(1) Equity in net income (loss) of partially-owned entities principally comprises mark-to-market gain (loss) on private equities where we own more than three percent of $( 190 ) million and $( 69 ) million for the three and nine months ended September 30, 2022, respectively, and $ 702 million and $ 1,776 million, respectively, for the prior year periods.

This line item also includes net income of $ 28 million and $ 83 million attributable to our investments in Huatai (Huatai Group, Huatai P&C, and Huatai Life) for the three and nine months ended September 30, 2022, respectively, compared to $ 40 million and $ 144 million, respectively, for the prior year periods.

(2) Related to gains (losses) from fair value changes in separate account assets that do not qualify for separate account reporting under GAAP.

10 unchanged sentences

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.

Segment results for the three and nine months ended September 30, 2022, include the results of Cigna's business in Asia from July 1, 2022.

Results from Cigna's business in Asia are included in our Life Insurance segment and, to a lesser extent, Overseas General Insurance segment according to the nature of the business written.

Management uses underwriting income (loss) as the basis for segment performance.

5 unchanged sentences

Revenue and expenses managed at the corporate level, including net realized gains (losses), interest expense, Cigna integration expenses, and income tax are reported within Corporate.

Cigna integration expenses are one-time costs that are directly attributable to third-party consulting fees and other professional and legal fees related to the acquisition of Cigna's life and non-life insurance companies in six Asia-Pacific markets.

Cigna integration expenses are one-time costs that are directly attributable to third-party consulting fees, employee-related retention costs, and other professional and legal fees related to the acquisition of Cigna's A&H and Life insurance companies in six Asian markets.

These items are not allocated to the segment level as they are one-time in nature and are not related to the ongoing business activities of the segment.

14 unchanged sentences

For the Three Months Ended

June 30, 2022

September 30, 2022

(in millions of U.S.

8 unchanged sentences

Underwriting income (loss) 392 132 158 316 ( 123 ) 116 ( 165 ) 86 912

Net investment income (loss) 522 64 7 162 76 109 ( 4 ) ( 48 ) 888

Net investment income 589 76 9 151 71 147 5 ( 69 ) 979

Other (income) expense 6 1 1 ( 2 ) — ( 10 ) 194 ( 2 ) 188

8 unchanged sentences

For the Three Months Ended

June 30, 2021

September 30, 2021

(in millions of U.S.

16 unchanged sentences

Income tax expense 218 — 218

Net income (loss) $ ( 9 ) $ — $ 2,265

Net income $ 170 $ — $ 1,833

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

For the Six Months Ended

June 30, 2022

For the Nine Months Ended

September 30, 2022

(in millions of U.S.

18 unchanged sentences

Net income (loss) $ ( 2,886 ) $ — $ 4,001

For the Six Months Ended

June 30, 2021

For the Nine Months Ended

September 30, 2021

(in millions of U.S.

22 unchanged sentences

Earnings per share

Three Months Ended Six Months Ended

June 30 June 30

Three Months Ended Nine Months Ended

September 30 September 30

(in millions of U.S.

14 unchanged sentences

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements