What changed in this filing

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Item 1. Financial Statements

2023-05-02 compared with 2022-10-28 · 686 added, 480 removed, 1027 unchanged (53% of the section changed)

2 unchanged sentences

Chubb Limited and Subsidiaries

September 30 December 31

March 31 December 31

(in millions of U.S.

dollars, except share and per share data) 2022 2021

dollars, except share and per share data) As Adjusted

Fixed maturities available for sale, at fair value, net of valuation allowance - $ 168 and $ 169

22 unchanged sentences

Investments in partially-owned insurance companies 3,728 2,507

Separate account assets 5,300 5,190

Other assets 6,490 7,546

3 unchanged sentences

Future policy benefits 10,782 10,476

Market risk benefits 830 800

Policyholders' account balances 3,178 3,140

Separate account liabilities 5,300 5,190

Insurance and reinsurance balances payable 7,778 7,780

23 unchanged sentences

Chubb Limited and Subsidiaries

Three Months Ended Nine Months Ended

September 30 September 30

Three Months Ended

(in millions of U.S.

dollars, except per share data) 2022 2021 2022 2021

dollars, except per share data) As Adjusted

Net premiums written $ 10,710 $ 9,189

3 unchanged sentences

Net realized gains (losses) ( 77 ) 23

Market risk benefits gains (losses) ( 115 ) 49

Total revenues 11,057 9,631

Losses and loss expenses 5,148 4,564

Policy benefits 486 151 790 503

Policy benefits (includes remeasurement gains (losses) of $ 1 and $( 5 ))

Policy acquisition costs 1,948 1,719

9 unchanged sentences

Other comprehensive income (loss)

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

Unrealized appreciation (depreciation) $ 1,786 $ ( 4,652 )

Current discount rate on future policy benefits ( 151 ) 435

Instrument-specific credit risk on market risk benefits ( 3 ) 23

Cumulative foreign currency translation adjustment ( 177 ) 67

Other, including postretirement benefit liability adjustment ( 33 ) 19

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 )

Other comprehensive income (loss), before income tax 1,422 ( 4,108 )

Income tax (expense) benefit related to OCI items ( 132 ) 779

Other comprehensive income (loss) 1,290 ( 3,329 )

Comprehensive income (loss) $ 3,182 $ ( 1,376 )

5 unchanged sentences

Chubb Limited and Subsidiaries

Three Months Ended Nine Months Ended

September 30 September 30

Three Months Ended

(in millions of U.S.

dollars) 2022 2021 2022 2021

dollars) As Adjusted

Common Shares

10 unchanged sentences

Balance – beginning of period 7,166 8,478

Net shares redeemed (issued) under employee share-based

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

Net shares issued under employee share-based compensation plans ( 211 ) ( 199 )

Exercise of stock options ( 13 ) ( 21 )

11 unchanged sentences

Balance – beginning of period ( 10,185 ) ( 1,074 )

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

Other comprehensive income (loss) 1,290 ( 3,329 )

Balance – end of period ( 8,895 ) ( 4,403 )

3 unchanged sentences

Chubb Limited and Subsidiaries

Nine Months Ended

Three Months Ended

(in millions of U.S.

dollars) 2022 2021

dollars) As Adjusted

Cash flows from operating activities

2 unchanged sentences

Net realized (gains) losses 77 ( 23 )

Market risk benefits (gains) losses 115 ( 49 )

Amortization of premiums/discounts on fixed maturities ( 14 ) 91

25 unchanged sentences

Private equity distributions 273 207

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

Acquisition of subsidiaries ( 23 ) —

Payment for Huatai Group interest — ( 113 )

5 unchanged sentences

Proceeds from issuance of repurchase agreements 1,308 146

Repayment of long-term debt ( 475 ) —

Repayment of repurchase agreements ( 1,307 ) ( 146 )

Proceeds from share-based compensation plans 55 114

Policyholder contract deposits and other 357 365

Policyholder contract withdrawals and other ( 362 ) ( 331 )

Policyholder contract deposits 95 106

Policyholder contract withdrawals ( 101 ) ( 88 )

Tax withholding payments for share-based compensation plans ( 76 ) ( 81 )

Other ( 33 ) ( 15 )

Net cash flows used for financing activities ( 1,424 ) ( 1,306 )

Effect of foreign currency rate changes on cash and restricted cash ( 2 ) ( 40 )

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

Net increase in cash and restricted cash 255 103

Cash and restricted cash – beginning of period 2,127 1,811

4 unchanged sentences

See accompanying notes to the Consolidated Financial Statements

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)

Chubb Limited and Subsidiaries

General and significant accounting policies

a) Basis of presentation

13 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:

September 30 December 31

March 31 December 31

(in millions of U.S.

3 unchanged sentences

Total cash and restricted cash shown in the Consolidated statements of cash flows $ 2,382 $ 2,127

c) Accounting guidance not yet adopted

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

c) Accounting guidance adopted in 2023

Targeted Improvements to the Accounting for Long-Duration Contracts

In August 2018, the FASB issued guidance to improve the existing recognition, measurement, presentation, and disclosure requirements for long-duration contracts issued by an insurance entity.

The amendments in this update require more frequent updating of assumptions and a standardized discount rate for the future policy benefit liability, a requirement to use the fair value measurement model for policies with market risk benefits, simplified amortization of deferred acquisition costs, and enhanced disclosures.

This standard will be effective in the first quarter of 2023 with early adoption permitted.

We are currently assessing the effect of adopting this guidance on our financial condition and results of operations.

We will be better able to quantify the effect of adopting this standard as we progress in our implementation process and draw nearer to the date of adoption.

Effective January 1, 2023, we adopted new guidance on the accounting for long-duration contracts (LDTI).

The new accounting guidance requires more frequent updating of assumptions and a standardized discount rate for the future policy benefit liability, a requirement to use the fair value measurement model for policies with market risk benefits, simplified amortization of deferred acquisition costs, and enhanced disclosures.

With the exception of market risk benefits, we adopted this guidance on a modified retrospective basis.

Under the modified retrospective basis, the liability for future policy benefits is updated to remove any amounts related to changes to the original discount rate at January 1, 2021 (the transition date) in AOCI and future cash flow assumptions are applied to contracts in force.

The liability for future policy benefits prior to the transition date continues to use the original discount rate (interest accretion rate).

The guidance for long-duration contracts applicable to market risk benefits, primarily assumed reinsurance programs involving minimum benefit guarantees under variable annuity contracts, was adopted on a retrospective transition approach.

Under the retrospective transition approach, we calculated the fair value of market risk benefits which were previously accounted for under an insurance accounting model and recognized an adjustment to retained earnings as of January 1, 2021.

On January 1, 2021, we recognized a cumulative effect adjustment and increased beginning retained earnings by $ 52 million, and decreased AOCI by $ 1.8 billion.

Results for the prior reporting periods in this report are presented in accordance with the new guidance.

We also adopted the required disclosures in Note 6 Deferred acquisition costs, Note 9 Future policy benefits, Note 10 Policyholders’ account balances, Note 11 Market risk benefits, and Note 12 Separate accounts.

The impact of adoption of the new guidance on our historical financial statements is as follows:

December 31, 2022

(in millions of U.S.

dollars) As Previously Reported LDTI Adoption Adjustment As

Consolidated balance sheet

Reinsurance recoverable on losses and loss expenses $ 18,901 ( 42 ) $ 18,859

Reinsurance recoverable on policy benefits 303 ( 1 ) 302

Deferred policy acquisition costs 5,788 243 6,031

Value of business acquired 3,596 106 3,702

Prepaid reinsurance premiums 3,140 ( 4 ) 3,136

Investments in partially-owned insurance companies 2,877 ( 370 ) 2,507

Unpaid losses and loss expenses 76,323 ( 576 ) 75,747

Unearned premiums 20,360 ( 647 ) 19,713

Future policy benefits 10,120 356 10,476

Market risk benefits — 800 800

Insurance and reinsurance balances payable 7,795 ( 15 ) 7,780

Deferred tax liabilities 292 85 377

Retained Earnings 48,334 ( 29 ) 48,305

Accumulated other comprehensive income (loss) ( 10,193 ) 8 ( 10,185 )

Excluded from the table above is the reclassification of separate accounts assets, separate account liabilities, and Policyholders' account balances as separate line items on the consolidated balance sheets.

Separate accounts assets were previously classified in Other assets, and separate account liabilities and Policyholders' account balances were previously classified in Accounts payable, accrued expenses, and other liabilities.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Three Months Ended

March 31, 2022

(in millions of U.S.

dollars) As Previously Reported LDTI Adoption Adjustment As

Consolidated statement of operations and comprehensive income

Net premiums written $ 9,199 $ ( 10 ) $ 9,189

Net premiums earned 8,746 ( 9 ) 8,737

Net realized gains (losses) 101 ( 78 ) 23

Market risk benefits gains (losses) — 49 49

Losses and loss expenses 4,787 ( 223 ) 4,564

Policy benefits 145 228 373

Policy acquisition costs 1,737 ( 18 ) 1,719

Other (income) expense ( 310 ) ( 2 ) ( 312 )

Income tax expense 355 ( 2 ) 353

Net Income 1,974 ( 21 ) 1,953

Other comprehensive income

Change in current discount rate on future policy benefits — 435 435

Change in instrument-specific credit risk on market risk benefits — 23 23

Income tax benefit related to OCI items 812 ( 33 ) 779

Comprehensive income ( 1,780 ) 404 ( 1,376 )

Three Months Ended

March 31, 2022

(in millions of U.S.

dollars) As Previously Reported LDTI Adoption Adjustment As

Consolidated statement of cash flows

Net cash flows from operating activities $ 2,440 $ 4 $ 2,444

Net cash flows used for financing activities ( 1,302 ) ( 4 ) ( 1,306 )

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

The following table presents a reconciliation of the pre-adoption December 31, 2020, to the post adoption January 1, 2021, balance of future policy benefits:

Life Insurance Overseas General Insurance Offsetting Equity Line Classification

(in millions of U.S.

dollars) Term Life Whole Life A&H Other A&H Total

Future policy benefits

Balance – December 31, 2020 (1)

$ 391 $ 2,578 $ 2,270 $ 72 $ 754 $ 6,065

Effect of change in current discount rate 63 1,189 299 17 19 1,587 AOCI

Balance – January 1, 2021 $ 454 $ 3,767 $ 2,569 $ 89 $ 773 $ 7,652

(1) Includes future policy benefits previously included within Unpaid losses on the pre-adoption consolidated balance sheets, primarily certain international A&H business, and excludes deferred profit liability and certain guaranteed minimum death benefits reclassified to Market risk benefits on the post adoption period balance sheets.

The following table presents a reconciliation of the pre-adoption December 31, 2020, to the post adoption January 1, 2021, balance of market risk benefits:

(in millions of U.S.

dollars) Offsetting Equity Line Classification

Market risk benefits

Balance – December 31, 2020 $ 1,138

Cumulative effect of changes in instrument-specific credit risk between original contract issuance date and transition date (1)

Other fair value adjustments ( 59 ) Retained Earnings

Balance – January 1, 2021 $ 1,163

(1) Includes $ 77 million of instrument-specific credit risk allocated from retained earnings to AOCI.

Significant accounting policies

The following accounting policies have been updated to reflect the adoption of LDTI.

Refer to Note 1 in the 2022 Form 10-K for a complete description of our accounting policies.

Deferred policy acquisition costs (DAC)

Policy acquisition costs on long-duration contracts are grouped by contract type and issue year into cohorts consistent with the grouping used in estimating the associated liability.

Deferred policy acquisition costs are amortized on a constant level basis over the expected term of the related contracts to approximate straight-line amortization.

The constant level basis used for amortization is the face amount in force and is projected using the same assumptions used in estimating the liability for future policy benefits.

If those projected assumptions change in future periods, they will be reflected in the cohort level amortization basis at that time.

Unexpected changes in the in-force portfolio, due to variances in mortality and lapse experience, are recognized over the contract term.

Changes in future mortality and lapse assumptions are also recognized prospectively over the remaining expected contract term.

Future policy benefits

For traditional and limited-payment contracts, contracts are grouped into cohorts by contract type and issue year to determine a liability for future policy benefits.

The future policy benefit liability (FPBL) is the present value of estimated future policy benefits to be paid to or on behalf of policyholders and certain related expenses less the present value of estimated future net premiums to be collected from policyholders, and is accrued as premium revenue is recognized.

The valuation of this liability requires management to make estimates and assumptions regarding expenses, mortality, and persistency.

Estimates are primarily based on historical experience.

Actual results could differ materially from these estimates.

The liability is adjusted for differences between actual and expected experience.

With the exception of the expense assumption, we review our future cash flow assumptions at least annually to determine if the net premium ratio (NPR), the mechanism used to record the liability as premium is earned, used to calculate the liability should be changed at that time.

We have elected to use expense assumptions that are locked in at contract inception and are not subsequently reviewed or updated.

Each quarter, we update the cash flows expected over the entire life of each cohort for actual historical experience and projected future cash

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

These updated cash flows are used to calculate the revised NPR, which is used to derive an updated FPBL as of the beginning of the current reporting period, discounted at the original contract issuance discount rate.

This amount is then compared to the carrying amount of the liability as of that same date, but before the updating of cash flow assumptions, to determine the current period change in FPBL.

This current period change in the liability is the liability remeasurement gain or loss and is recorded in Policy benefits in the Consolidated statements of operations.

In subsequent periods, the revised NPR is used to measure the FPBL until future revisions become required.

For traditional and limited-payment contracts, the discount rate assumption based on an upper-medium grade fixed-income instrument yield.

An equivalent rate is derived based on A-credit-rated fixed-income instruments with similar duration to the liability.

The discount rate assumption is updated quarterly and used to remeasure the liability at each reporting date, with the resulting change reflected in Other comprehensive income.

For liability cash flows that are projected beyond the duration of market-observable A-credit-rated fixed-income instruments, we use the last market-observable yield level, as the basis for a linear interpolation to determine yield assumptions for durations that do not have market-observable yields.

Deferred profit liability

For limited-payment products, gross premiums received in excess of net premiums are deferred at initial recognition as a deferred profit liability (DPL) and recorded as a component of Future policy benefits in the Consolidated balance sheets.

Net premiums are measured using actual cash flows and future cash flow assumptions consistent with those used in the measurement of the liability for future policy benefits and remeasured quarterly.

The DPL is amortized in proportion to the discounted in-force policies.

Interest is accreted on the balance of the DPL using the discount rate consistent with the interest accretion on the FPBL.

The recalculated DPL, including adjusted amortization through the current period, is compared to the current carrying amount and the difference is recognized as an adjustment to Policy benefits in the Consolidated statements of operations as a remeasurement gain or loss.

Market risk benefits

Chubb reinsures various death and living benefit guarantees associated with variable annuities issued primarily in the United States, which are referred to as market risk benefits.

These reinsurance contracts provide both protection to the ceding entity from other-than-nominal capital market risk and expose us to other-than-nominal capital market risk.

Market risk benefits are measured at fair value using a valuation model based on current net exposures, market data, our experience, and other factors.

Changes in fair value are recognized in Market risk benefits gains (losses) in the Consolidated statements of operations, except the change in fair value due to a change in the instrument-specific credit risk, which is recognized in other comprehensive income.

Refer to Note 11 for additional information.

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

Chubb paid approximately $ 5.4 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.

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.

Refer to the 2022 Form 10-K for additional information on this acquisition.

The acquisition of Cigna's business in Asia generated $ 1,177 million of goodwill, attributable to expected growth and profitability, and $ 309 million of other intangible assets.

1 unchanged sentence

Additionally, the acquisition of Cigna's business in Asia generated $ 3,633 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.

Chubb financed the transaction through a combination of available cash and $ 2.0 billion in repurchase agreements that expired at 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.

These estimates remain preliminary and are subject to adjustment.

While they are not expected to be materially different than those shown, any material adjustments to the estimates will be reflected, retroactively, as of the date of the acquisition as a measurement period adjustment.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

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

7 unchanged sentences

Value of business acquired 3,633

Goodwill and other intangible assets 1,609

Goodwill and intangible assets 1,486

Other assets 648

10 unchanged sentences

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

Cigna integration expenses were $ 22 million for the three months ended March 31, 2023, 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.

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.

1 unchanged sentence

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

Three Months Ended

(in millions of U.S.

6 unchanged sentences

Huatai Group is the parent company of, and owns 100 percent of, Huatai Property & Casualty Insurance Co., Ltd.

(Huatai P&C), approximately 80 percent of Huatai Life Insurance Co., Ltd.

(Huatai Life), and approximately 82 percent of Huatai Asset Management Co., Ltd.

(Huatai P&C), 80 percent of Huatai Life Insurance Co., Ltd.

(Huatai Life), and 82 percent of Huatai Asset Management Co., Ltd.

(collectively, Huatai).

Chubb also holds a direct 20 percent interest in Huatai Life.

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

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.

During 2021, Chubb entered into agreements with several counterparties to purchase incremental ownership interests in Huatai Group totaling approximately 31.8 percent for approximately $ 2.2 billion.

In connection with these agreements, Chubb paid approximately $ 1.1 billion in deposits.

In January 2022, we paid $ 113 million relating to these agreements.

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 interest is contingent upon important conditions.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

On Ja nuary 4, 2023, we completed transactions that increased our ownership interest in Huatai Group from 47.3 percent to approximately 64.2 percent.

At March 31, 2023, we have agreements in place to acquire approximately 22 percent of incremental ownership interests, pending completion of certain closing conditions.

Of those incremental ownership interests, approximately 3 percent also require regulatory approval.

We have paid deposits of $ 567 million for the approximately 22 percent of ownership interests and, at March 31, 2023, the remaining aggregate purchase price to be paid upon closing is approximately $ 0.8 billion, based on current exchange rates.

Chubb applies the equity method of accounting to its investment in Huatai Group by recording its share of net income or loss in Other (inco me) expense in the Consolidated statements of operations.

Refer to Note 2 to the Consolidated Financial Statements in our 2022 Form 10-K for additional information.

a) Fixed maturities

September 30, 2022 Amortized

March 31, 2023 Amortized

Cost Valuation Allowance Gross

31 unchanged sentences

$ 93,355 $ ( 169 ) $ 174 $ ( 8,140 ) $ 85,220

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Cost Valuation Allowance Net Carrying Value Gross

8 unchanged sentences

$ 8,882 $ ( 34 ) $ 8,848 $ 3 $ ( 412 ) $ 8,439

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

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

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

(in millions of U.S.

5 unchanged sentences

BB 20 — % 20 — %

Other — — % 1 — %

Total $ 8,458 100 % $ 8,882 100 %

The following table presents fixed maturities by contractual maturity:

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

(in millions of U.S.

17 unchanged sentences

Expected maturities could differ from contractual maturities because borrowers may have the right to call or prepay obligations, with or without call or prepayment penalties.

b) Gross unrealized loss

Fixed maturities in an unrealized loss position at September 30, 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.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

b) Gross unrealized loss

Fixed maturities in an unrealized loss position at March 31, 2023, and December 31, 2022, comprised both investment grade and below investment grade securities for which fair value declined, principally due to rising interest rates since the date of purchase.

Refer to Note 1 e) in the 2022 Form 10-K for further information on factors considered in the evaluation of expected credit losses.

The following tables present, for available for sale (AFS) fixed maturities in an unrealized loss position (including securities on loan) that are not deemed to have expected credit losses, the aggregate fair value and gross unrealized loss by length of time the security has been in an unrealized loss position:

0 – 12 Months Over 12 Months Total

September 30, 2022 Fair Value Gross

March 31, 2023 Fair Value Gross

Loss Fair Value Gross

18 unchanged sentences

Total AFS fixed maturities $ 57,189 $ ( 4,115 ) $ 14,991 $ ( 2,291 ) $ 72,180 $ ( 6,406 )

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.

At March 31, 2023, the tax benefit on certain unrealized losses in our investment portfolio was reduced by a valuation allowance of $ 646 million necessary due to limitations on the utilization of these losses.

As part of evaluating whether it was more likely than not that we could realize these losses, we considered realized gains, carryback capacity and available tax planning strategies.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

The following table presents a roll-forward of valuation allowance for expected credit losses on fixed maturities:

Three Months Ended Nine Months Ended

September 30 September 30

Three Months Ended

(in millions of U.S.

3 unchanged sentences

Provision for expected credit loss 59 17

Foreign currency revaluation ( 2 ) — ( 2 ) —

Write-offs charged against the expected credit loss ( 2 ) —

Recovery of expected credit loss ( 58 ) ( 4 )

2 unchanged sentences

Valuation allowance for expected credit losses - beginning of period $ 34 $ 35

Provision for expected credit loss — — 1 —

Recovery of expected credit loss ( 1 ) ( 1 )

Valuation allowance for expected credit losses - end of period $ 33 $ 34

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

c) Net realized gains (losses)

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

Three Months Ended Nine Months Ended

September 30 September 30

Three Months Ended

(in millions of U.S.

11 unchanged sentences

Investment and embedded derivative instruments ( 46 ) 47

Fair value adjustments on insurance derivative 22 ( 59 ) ( 86 ) 252

S&P futures 54 ( 4 ) 240 ( 112 )

Other derivative instruments ( 1 ) 1

( 40 ) ( 4 ) ( 114 ) ( 5 )

Other ( 7 ) ( 74 )

Net realized gains (losses) (pre-tax) $ ( 77 ) $ 23

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

(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.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

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:

5 unchanged sentences

Unrealized gains (losses) recognized for securities still held at reporting date $ 16 $ 15 $ 31 $ ( 199 ) $ 55 $ ( 144 )

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Nine Months Ended

(in millions of U.S.

dollars) Equity Securities Other Investments Total Equity Securities Other Investments Total

Net gains (losses) recognized during the period $ ( 287 ) $ 17 $ ( 270 ) $ 475 $ 111 $ 586

Net gains recognized from sales of securities 406 — 406 109 — 109

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

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 September 30, 2022 December 31, 2021

Period of Underlying Assets March 31, 2023 December 31, 2022

(in millions of U.S.

45 unchanged sentences

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

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.

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

The following table presents the components of restricted assets:

September 30 December 31

March 31 December 31

(in millions of U.S.

61 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 derivatives not designated as hedging instruments

Investment derivatives

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.

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Investment 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.

Other derivative instruments

We maintain positions in exchange-traded equity futures contracts designed to limit exposure to a severe equity market decline, which would cause an increase in expected claims and, therefore, an increase in future policy benefit reserves for our guaranteed minimum death benefits (GMDB) and an increase in the fair value liability for our guaranteed living benefits (GLB) reinsurance business.

We maintain positions in exchange-traded equity futures contracts designed to limit exposure to a severe equity market decline, which would cause an increase in expected claims and, therefore, an increase in market risk benefits (MRB) reserves and our MRB reinsurance business.

Our positions in exchange-traded equity futures contracts are classified within Level 1.

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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

Separate account assets represent segregated funds where investment risks are borne by the customers, except to the extent of certain guarantees made by Chubb.

Separate account assets comprise mutual funds classified within Level 1 in the valuation hierarchy on the same basis as other equity securities traded in active markets.

Separate account assets principally comprise mutual funds classified within Level 1 in the valuation hierarchy on the same basis as other equity securities traded in active markets.

Separate account assets also include fixed maturities classified within Level 2 because the most significant inputs used in the pricing techniques are observable.

Excluded from the valuation hierarchy are the corresponding liabilities as they are reported at contract value and not fair value in the Consolidated balance sheets.

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

Guaranteed living benefits

The GLB arises from life reinsurance programs covering living benefit guarantees whereby we assume the risk of guaranteed minimum income benefits (GMIB) associated with variable annuity contracts.

GLBs are recorded in Accounts payable, accrued expenses, and other liabilities in the Consolidated balance sheets.

For GLB reinsurance, Chubb estimates fair value using an internal valuation model which includes current market information and estimates of policyholder behavior.

All of the treaties contain claim limits, which are factored into the valuation model.

The fair value depends on 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.

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)

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

September 30, 2022 Level 1 Level 2 Level 3 Total

March 31, 2023 Level 1 Level 2 Level 3 Total

(in millions of U.S.

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Securities lending collateral — 1,582 — 1,582

Investment derivatives not designated as hedging instruments 129 — — 129

Other derivative instruments 109 — — 109

Investment derivatives 59 — — 59

Derivatives designated as hedging instruments — 8 — 8

Other derivative instruments 5 — — 5

Separate account assets 5,198 102 — 5,300

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$ 10,650 $ 87,075 $ 3,210 $ 100,935

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

Investment derivatives $ 158 $ — $ — $ 158

Derivatives designated as hedging instruments — 82 — 82

Other derivative instruments 45 2 — 47

Market risk benefits (2)

Total liabilities measured at fair value $ 203 $ 84 $ 830 $ 1,117

(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.

(1) Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $ 12,805 million, policy loans of $ 358 million, and other investments of $ 47 million at March 31, 2023, measured using NAV as a practical expedient.

(2) Refer to Note 11 for additional information on Market risk benefits.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

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Investment derivative instruments 82 — — 82

Derivatives designated as hedging instruments — 17 — 17

Other derivative instruments 33 — — 33

Separate account assets 5,101 89 — 5,190

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$ 11,713 $ 83,973 $ 3,117 $ 98,803

Investment derivative instruments $ 166 $ — $ — $ 166

Other derivative instruments 16 — — 16

Investment derivatives $ 139 $ — $ — $ 139

Derivatives designated as hedging instruments — 53 — 53

Market risk benefits (2)

Total liabilities measured at fair value $ 139 $ 53 $ 800 $ 992

(1) Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $ 12,355 million, policy loans of $ 343 million and other investments of $ 47 million at December 31, 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.

Level 3 financial instruments

The following table presents the significant unobservable inputs used in the Level 3 liability valuations.

Excluded from the table below are inputs used to determine the fair value of Level 3 assets which are based on single broker quotes and contain no quantitative unobservable inputs developed by management.

The majority of our fixed maturities classified as Level 3 used external pricing when markets are less liquid due to the lack of market inputs (i.e., stale pricing, broker quotes).

(in millions of U.S.

dollars, except for percentages) Fair Value Valuation

Technique Significant

Unobservable Inputs Ranges Weighted Average (1)

September 30, 2022 December 31, 2021

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

Annuitization rate 0 % – 100 %

(1) The weighted-average lapse and annuitization rates are determined by weighting each treaty's rates by the GLB contracts fair value.

The most significant policyholder behavior assumptions include lapse rates and the GMIB annuitization rates.

Assumptions regarding lapse rates and GMIB 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 GMIB annuitization rate is the percentage of policies for which the policyholder will elect to annuitize using the guaranteed benefit provided under the GMIB.

All else equal, as GMIB annuitization rates increase, ultimate claim payments will increase, subject to treaty claim limits.

(2) Refer to Note 11 for additional information on Market risk benefits.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

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.

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.

Level 3 financial instruments

The following tables present a reconciliation of the beginning and ending balances of financial instruments measured at fair value using significant unobservable inputs (Level 3):

Assets Liabilities

Three Months Ended

September 30, 2022

March 31, 2023

(in millions of U.S.

dollars) Available-for-Sale Debt Securities Equity

securities Short-term investments GLB (1)

securities Short-term investments

Corporate and asset-

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Balance, beginning of period $ 564 $ 2,449 $ 11 $ 90 $ 3

Transfers into Level 3 — 2 — — — —

Transfers out of Level 3 — ( 11 ) — — —

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Settlements ( 11 ) ( 79 ) ( 1 ) — —

Other — — — — — ( 26 )

Balance, end of period $ 561 $ 2,544 $ 10 $ 88 $ 7

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Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date $ ( 6 ) $ ( 5 ) $ — $ — $ ( 1 )

(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

September 30, 2021

(in millions of U.S.

dollars) Available-for-Sale Debt Securities Equity

securities Short-term investments Other

investments GLB (1)

Corporate and asset-

backed securities Mortgage-backed securities

Balance, beginning of period $ 642 $ 1,688 $ 47 $ 78 $ 3 $ 10 $ 760

Transfers into Level 3 22 45 — — — — —

Transfers out of Level 3 — — — — — ( 10 ) —

Change in Net Unrealized Gains/Losses in OCI ( 15 ) 2 — — — — —

Net Realized Gains/Losses ( 3 ) — — 1 — — 59

Purchases 60 272 17 4 7 — —

Sales ( 19 ) ( 13 ) — ( 4 ) — — —

Settlements ( 27 ) ( 135 ) ( 11 ) — — — —

Other — — — — — — ( 1 )

Balance, end of period $ 660 $ 1,859 $ 53 $ 79 $ 10 $ — $ 818

Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date $ — $ — $ — $ ( 1 ) $ — $ — $ 59

Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date $ ( 15 ) $ — $ — $ — $ — $ — $ —

(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

Nine Months Ended

September 30, 2022

(in millions of U.S.

dollars) Available-for-Sale Debt Securities Equity

securities Short-term investments GLB (1)

Corporate and asset-

backed securities Mortgage-backed securities

Balance, beginning of period $ 633 $ 2,049 $ 26 $ 77 $ 7 $ 745

Transfers into Level 3 23 41 — 1 — —

Transfers out of Level 3 ( 23 ) ( 97 ) ( 5 ) — — —

Change in Net Unrealized Gains/Losses in OCI ( 88 ) ( 68 ) — — — —

Net Realized Gains/Losses ( 6 ) ( 9 ) — 7 ( 1 ) 86

Purchases 108 658 4 6 8 —

Sales ( 44 ) ( 59 ) — ( 8 ) — —

Settlements ( 97 ) ( 219 ) ( 6 ) — ( 11 ) —

Other — — — — — ( 47 )

Balance, end of period $ 506 $ 2,296 $ 19 $ 83 $ 3 $ 784

Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date $ ( 3 ) $ ( 4 ) $ — $ 6 $ ( 1 ) $ 86

Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date $ ( 89 ) $ ( 71 ) $ — $ — $ — $ —

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

Assets Liabilities

Nine Months Ended

September 30, 2021

March 31, 2022

(in millions of U.S.

dollars) Available-for-Sale Debt Securities Equity

securities Short-term investments Other

investments GLB (1)

securities Short-term investments

Corporate and asset-

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Settlements ( 32 ) ( 65 ) ( 1 ) — ( 5 )

Other — — — — — — ( 19 )

Balance, end of period $ 618 $ 2,229 $ 20 $ 82 $ 4

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Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date $ ( 13 ) $ ( 22 ) $ — $ — $ —

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

Excluded from the tables above is the reconciliation of Market risk benefits, which are presented in Note 11 Market risk benefits.

Refer to Note 11 for additional information.

b) Financial instruments disclosed, but not measured, at fair value

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

September 30, 2022 Fair Value Net Carrying

March 31, 2023 Fair Value Net Carrying

(in millions of U.S.

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Repurchase agreements $ — $ 1,420 $ — $ 1,420 $ 1,420

Short-term debt — 1,469 — 1,469 1,475

Long-term debt — 12,892 — 12,892 14,375

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Total liabilities $ — $ 14,770 $ — $ 14,770 $ 16,604

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Reinsurance recoverable on ceded reinsurance

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

(in millions of U.S.

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(1) Net of valuation allowance for uncollectible reinsurance.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

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, partially offset by foreign currency movement.

The decrease in reinsurance recoverable on losses and loss expenses was primarily due to a seasonal decrease in crop recoverables, and collections.

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

Nine Months Ended

Three Months Ended

(in millions of U.S.

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For additional information, refer to Note 1 d) to the Consolidated Financial Statements of our 2022 Form 10-K.

Deferred acquisition costs

Deferred acquisition costs comprise capitalized costs on short-duration contracts of $ 3,010 million and $ 2,808 million and long-duration contracts of $ 3,286 million and $ 2,974 million at March 31, 2023, and March 31, 2022, respectively.

The assumptions used to amortize DAC were consistent with the assumptions used to estimate the liability for future policy benefits for nonparticipating traditional and limited-payment contracts.

The following tables present a roll-forward of deferred acquisitions costs on long-duration contracts included in the Life Insurance segment:

Three Months ended March 31, 2023

(in millions of U.S.

dollars) Term Life Universal Life Whole Life A&H Other Total

Balance – beginning of period $ 320 $ 776 $ 395 $ 902 $ 121 $ 2,514

Capitalizations 36 25 24 126 3 214

Amortization expense ( 24 ) ( 19 ) ( 5 ) ( 30 ) ( 5 ) ( 83 )

Other (including foreign exchange) 5 1 ( 1 ) ( 7 ) — ( 2 )

Balance - end of period $ 337 $ 783 $ 413 $ 991 $ 119 $ 2,643

Overseas General Insurance segment excluded from table 643

Total deferred acquisition costs on long-duration contracts $ 3,286

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Three Months ended March 31, 2022

(in millions of U.S.

dollars) Term Life Universal Life Whole Life A&H Other Total

Balance – beginning of period $ 246 $ 771 $ 334 $ 745 $ 108 $ 2,204

Capitalizations 34 29 10 24 20 117

Amortization expense ( 16 ) ( 18 ) ( 5 ) ( 25 ) ( 5 ) ( 69 )

Other (including foreign exchange) 5 ( 8 ) ( 2 ) — ( 3 ) ( 8 )

Balance - end of period $ 269 $ 774 $ 337 $ 744 $ 120 $ 2,244

Overseas General Insurance segment excluded from table 730

Total deferred acquisition costs on long-duration contracts $ 2,974

Goodwill and Value of business acquired

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, 2022 $ 6,945 $ 2,230 $ 134 $ 4,605 $ 371 $ 1,943 $ 16,228

Foreign exchange revaluation and other ( 9 ) ( 3 ) — ( 3 ) — ( 38 ) ( 53 )

Balance at March 31, 2023 $ 6,936 $ 2,227 $ 134 $ 4,602 $ 371 $ 1,905 $ 16,175

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:

Three Months Ended

(in millions of U.S.

dollars) 2023

Balance, beginning of period $ 3,702

Amortization of VOBA (1)

Foreign exchange revaluation and other ( 16 )

Balance, end of period $ 3,603

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

During the three months ended March 31, 2023, amortization of VOBA associated with the acquisition of Cigna’s business in Asia was $ 78 million pre-tax.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Unpaid losses and loss expenses

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

Nine Months Ended

Three Months Ended

(in millions of U.S.

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(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 $ 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.

(2) Relates to prior period loss reserve development only and excludes prior period development related to reinstatement premiums, expense adjustments, earned premiums, and development on international A&H lines totaling $( 8 ) million and $ 159 million for the three months ended March 31, 2023 and 2022, respectively.

Gross unpaid losses and loss expenses decreased $ 330 million for the three months ended March 31, 2023, principally reflecting underlying exposure growth that was more than offset by the favorable impact of foreign currency movement, a large payment related to the Boy Scouts of America agreement, and a non-recurring transaction in the quarter.

In addition, there was an increase in net unpaid losses and loss expenses of $ 236 million reflecting the factors noted above as well as higher collections in the quarter.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

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

Three Months Ended September 30 Nine Months Ended September 30

Three Months Ended March 31

(in millions of U.S.

dollars) Long-tail Short-tail Total Long-tail Short-tail Total

dollars) Long-tail Short-tail Total

North America Commercial P&C Insurance $ 9 $ ( 81 ) $ ( 72 )

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North America Commercial P&C Insurance .

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.

Net favorable development for the three months ended March 31, 2023, was $ 72 million favorable with $ 81 million favorable in short-tail lines and $ 9 million adverse in long-tail lines.

The short tail development was primarily in surety and A&H, partially offset by adverse development in property and marine due to the net impact of positive development from Hurricane Ian and negative development from Winter Storm Elliott.

The long tail development was the net of favorable developments in specialty casualty and workers comp due to lower than expected paid and reported loss activity offset by adverse development in general liability and certain financial lines due to higher than expected development.

Net favorable development for the three months ended March 31, 2022, included favorable development in A&H lines of $ 76 million, which experienced lower than expected loss emergence.

The favorable development was partially offset by adverse development in commercial umbrella and excess portfolios of $ 60 million driven by higher than expected loss emergence.

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.

Net adverse development for the three months ended March 31, 2023, was $ 17 million with no individually significant movements.

Net favorable development for the three months ended March 31, 2022, included favorable development in the homeowners line of business from a reserve release due to lower than expected paid and reported loss activity attributable to the indirect effects of COVID related economic slowdown.

Overseas General Insurance .

Net favorable development for the three months ended March 31, 2023, included $ 85 million in property lines, driven by favorable catastrophe development of $ 43 million, and non-catastrophe loss emergence in Continental Europe and the U.K.

Net favorable development for the three months ended March 31, 2022, included favorable development in property and A&H lines of business.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

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

The following table presents a roll-forward of VOBA:

Nine months ended

In the first quarter of 2023, the District Court issued an order approving the Boy Scouts of America (BSA) bankruptcy plan in full.

There are no changes to the terms of the agreement which are consistent with the 2022 10-K disclosure.

We paid $ 800 million per the agreement, with $ 300 million paid in 2022, $ 200 million paid during the first quarter of 2023, and the remaining $ 300 million paid in April 2023.

Refer to the 2022 10-K for additional information on molestation claim s.

F uture policy benefits

The following tables present a roll-forward of the liability for future policy benefits included in the Life Insurance segment:

Present Value of Expected Net Premiums Three Months Ended

March 31, 2023

(in millions of U.S.

dollars) Term Life Whole Life A&H Other Total

Balance – beginning of period $ 818 $ 1,546 $ 10,618 $ 42 $ 13,024

Beginning balance at original discount rate 879 1,600 11,163 43 13,685

Effect of changes in cash flow assumptions 17 ( 1 ) ( 786 ) 1 ( 769 )

Effect of actual variances from expected experience ( 3 ) ( 9 ) ( 29 ) — ( 41 )

Adjusted beginning of period balance 893 1,590 10,348 44 12,875

Issuances 36 50 312 1 399

Interest accrual 29 15 126 — 170

Net premiums collected (1)

( 44 ) ( 60 ) ( 349 ) ( 6 ) ( 459 )

Derecognition (lapses) ( 2 ) 1 ( 54 ) ( 1 ) ( 56 )

Other (including foreign exchange) — ( 1 ) 32 1 32

Ending balance at original discount rate 912 1,595 10,415 39 12,961

Effect of changes in discount rate assumptions ( 62 ) ( 40 ) ( 206 ) ( 3 ) ( 311 )

Balance – end of period $ 850 $ 1,555 $ 10,209 $ 36 $ 12,650

(1) Net premiums collected represent the portion of gross premiums collected from policyholders that is used to fund expected benefit.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Present Value of Expected Future Policy Benefits Three Months Ended

March 31, 2023

(in millions of U.S.

dollars) Term Life Whole Life A&H Other Total

Balance – beginning of period $ 1,429 $ 4,781 $ 15,457 $ 253 $ 21,920

Beginning balance at original discount rate 1,556 4,973 16,259 264 23,052

Effect of changes in cash flow assumptions 20 ( 1 ) ( 798 ) 2 ( 777 )

Effect of actual variances from expected experience ( 1 ) ( 7 ) ( 26 ) 1 ( 33 )

Adjusted beginning of period balance 1,575 4,965 15,435 267 22,242

Issuances 36 49 309 1 395

Interest accrual 32 48 160 2 242

Benefits payments ( 46 ) ( 59 ) ( 368 ) ( 3 ) ( 476 )

Derecognition (lapses) ( 2 ) 1 ( 56 ) ( 1 ) ( 58 )

Other (including foreign exchange) ( 70 ) ( 292 ) 448 ( 24 ) 62

Ending balance at original discount rate 1,525 4,712 15,928 242 22,407

Effect of changes in discount rate assumptions ( 135 ) ( 98 ) ( 388 ) ( 4 ) ( 625 )

Balance – end of period $ 1,390 $ 4,614 $ 15,540 $ 238 $ 21,782

March 31, 2023

Liability for Future Policy Benefits Life Insurance Overseas General Insurance Chubb Consolidated

(in millions of U.S.

dollars) Term Life Whole Life A&H Other A&H Total

Net liability for future policy benefits $ 540 $ 3,059 $ 5,331 $ 202 $ 713 $ 9,845

Deferred profit liability 209 555 160 13 — 937

Net liability for future policy benefits, per consolidated balance sheet 749 3,614 5,491 215 713 10,782

Reinsurance recoverable on future policy benefits 143 30 82 — 24 279

Net liability for future policy benefits, after reinsurance recoverable $ 606 $ 3,584 $ 5,409 $ 215 $ 689 $ 10,503

Weighted average duration (years) 8.0 21.2 10.3 14.5 5.0 13.5

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Present Value of Expected Net Premiums Three Months Ended

March 31, 2022

(in millions of U.S.

dollars) Term Life Whole Life A&H Other Total

Balance – beginning of period $ 422 $ 1,341 $ 2,520 $ 30 $ 4,313

Beginning balance at original discount rate 397 1,243 2,323 28 3,991

Effect of changes in cash flow assumptions — ( 2 ) — — ( 2 )

Effect of actuarial variances from expected experience ( 9 ) ( 8 ) ( 37 ) — ( 54 )

Adjusted beginning of period balance 388 1,233 2,286 28 3,935

Issuances 41 38 33 1 113

Interest accrual 25 11 37 — 73

Net premiums collected (1)

( 27 ) ( 41 ) ( 64 ) ( 3 ) ( 135 )

Other (including foreign exchange) ( 2 ) ( 6 ) — — ( 8 )

Ending balance at original discount rate 425 1,235 2,292 26 3,978

Effect of changes in discount rate assumptions 6 46 94 1 147

Balance – end of period $ 431 $ 1,281 $ 2,386 $ 27 $ 4,125

(1) Net premiums collected represent the portion of gross premiums collected from policyholders that is used to fund expected benefit.

Present Value of Expected Future Policy Benefits Three Months Ended

March 31, 2022

(in millions of U.S.

dollars) Term Life Whole Life A&H Other Total

Balance – beginning of period $ 921 $ 4,785 $ 4,939 $ 130 $ 10,775

Beginning balance at original discount rate 858 3,833 4,589 122 9,402

Effect of changes in cash flow assumptions ( 5 ) ( 2 ) — 11 4

Effect of actuarial variances from expected experience ( 9 ) ( 7 ) ( 38 ) — ( 54 )

Adjusted beginning of period balance 844 3,824 4,551 133 9,352

Issuances 42 38 34 — 114

Interest accrual 27 37 51 1 116

Benefits payments ( 21 ) ( 46 ) ( 83 ) — ( 150 )

Other (including foreign exchange) ( 9 ) ( 27 ) ( 6 ) — ( 42 )

Ending balance at original discount rate 883 3,826 4,547 134 9,390

Effect of changes in discount rate assumptions 7 568 162 4 741

Balance – end of period $ 890 $ 4,394 $ 4,709 $ 138 $ 10,131

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

March 31, 2022

Liability for Future Policy Benefits Life Insurance Overseas General Insurance Chubb Consolidated

(in millions of U.S.

dollars, except for years) Term Life Whole Life A&H Other A&H Total

Net liability for future policy benefits $ 459 $ 3,113 $ 2,323 $ 111 $ 772 $ 6,778

Deferred profit liability 152 401 98 8 — 659

Net liability for future policy benefits, per consolidated balance sheet 611 3,514 2,421 119 772 7,437

Reinsurance recoverable on future policy benefits 115 33 61 — 33 242

Net liability for future policy benefits, after reinsurance recoverable $ 496 $ 3,481 $ 2,360 $ 119 $ 739 $ 7,195

Weighted average duration (years) 8.3 20.1 10.4 30.0 5.3 14.2

The following table presents the amount of undiscounted expected gross premiums and expected future policy benefit payments included in the Life Insurance segment:

March 31 March 31

(in millions of U.S.

dollars) 2023 2022

Undiscounted expected future benefit payments $ 2,352 $ 1,309

Undiscounted expected future gross premiums 2,673 1,437

Discounted expected future benefit payments 1,390 890

Discounted expected future gross premiums 1,787 1,122

Undiscounted expected future benefit payments 14,656 9,870

Undiscounted expected future gross premiums 5,375 3,531

Discounted expected future benefit payments 4,614 4,394

Discounted expected future gross premiums 3,994 2,597

Undiscounted expected future benefit payments 21,563 6,027

Undiscounted expected future gross premiums 31,611 8,914

Discounted expected future benefit payments 15,540 4,709

Discounted expected future gross premiums 18,958 6,209

Undiscounted expected future benefit payments 370 215

Undiscounted expected future gross premiums 97 74

Discounted expected future benefit payments 238 138

Discounted expected future gross premiums $ 87 $ 65

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

The following table presents the amount of revenue and interest recognized in the statement of operations:

Gross Premiums or Assessments Interest Accretion

Three Months Ended Three Months Ended

March 31 March 31

(in millions of U.S.

dollars) 2023 2022 2023 2022

Life Insurance

Term Life $ 170 $ 49 $ 3 $ 2

Whole Life 162 74 33 26

A&H 795 290 34 14

Other 19 82 2 1

Overseas General Insurance

A&H 364 365 — —

Total $ 1,510 $ 860 $ 72 $ 43

The following table presents the weighted-average interest rates:

Interest Accretion Rate Current Discount Rate

Three Months Ended Three Months Ended

March 31 March 31

2023 2022 2023 2022

Life Insurance

Term Life 2.9 % 2.4 % 6.5 % 3.6 %

Whole Life 4.4 % 4.4 % 6.1 % 4.6 %

A&H 4.2 % 3.9 % 6.7 % 4.0 %

Other 3.8 % 3.7 % 4.8 % 3.4 %

P olicyholders' account balances

The following tables present a roll-forward of policyholders' account balances:

Three Months Ended

March 31, 2023

(in millions of U.S.

dollars) Universal Life Other Total

Balance, beginning of period $ 1,719 $ 1,421 $ 3,140

Acquisition of Cigna's business in Asia 3,379

Amortization of VOBA (1)

Foreign exchange revaluation and other ( 184 )

Premiums received 85 25 110

Policy charges (1)

( 45 ) ( 3 ) ( 48 )

Surrenders and withdrawals ( 16 ) ( 15 ) ( 31 )

Benefit payments ( 4 ) ( 7 ) ( 11 )

Interest credited 11 5 16

Other (including foreign exchange) ( 4 ) 6 2

Balance, end of period $ 1,746 $ 1,432 $ 3,178

(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

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

Three Months Ended

March 31, 2022

(in millions of U.S.

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.

dollars) Universal Life Other Total

Balance, beginning of period $ 1,612 $ 1,154 $ 2,766

Premiums received 95 28 123

Policy charges (1)

( 46 ) ( 2 ) ( 48 )

Surrenders and withdrawals ( 14 ) ( 17 ) ( 31 )

Benefit payments ( 2 ) ( 5 ) ( 7 )

Interest credited 11 6 17

Other (including foreign exchange) ( 6 ) ( 46 ) ( 52 )

Balance, end of period $ 1,650 $ 1,118 $ 2,768

(1) Contracts included in the policyholder account balances are generally charged a premium and/or monthly assessments on the basis of the account balance .

(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

dollars, except for percentages) Universal Life Other Universal Life Other

Weighted-average crediting rate 3.6 % 2.6 % 3.6 % 3.4 %

Net amount at risk (1)

$ 9,934 $ 1,450 $ 10,259 $ 518

Cash Surrender Value $ 937 $ 1,137 $ 869 $ 865

(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

March 31, 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

0.00 % – 2.00 %

$ 3 $ — $ 388 $ 846 $ 1,237

2.01 % – 4.00 %

453 56 — — 509

Total $ 456 $ 56 $ 388 $ 846 $ 1,746

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

March 31, 2022

(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

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

0.00 % – 2.00 %

2 unchanged sentences

238 210 35 — 483

Total $ 242 $ 210 $ 455 $ 743 $ 1,650

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Other policyholders' account balances

March 31, 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

0.00 % – 2.00 %

$ 154 $ 547 $ 188 $ 543 $ 1,432

Total $ 154 $ 547 $ 188 $ 543 $ 1,432

(1) Recorded in Life Insurance segment.

(2) Recorded in Corporate.

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

March 31, 2022

(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

0.00 % – 2.00 %

$ — $ 530 $ 219 $ 369 $ 1,118

Total $ — $ 530 $ 219 $ 369 $ 1,118

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

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:

Three Months Ended

(in millions of U.S.

dollars) 2023 2022

Balance – beginning of period $ 800 $ 812

Balance, beginning of period, before effect of changes in the instrument-specific credit risk 776 755

Interest rate changes 63 ( 140 )

Effect of changes in equity markets ( 75 ) 111

Effect of changes in volatilities 57 37

Effect of timing and all other ( 18 ) ( 32 )

Balance, end of period, before effect of changes in the instrument-specific credit risk $ 803 $ 731

Effect of changes in the instrument-specific credit risk 27 34

Balance – end of period $ 830 $ 765

Weighted-average age of policyholders (years) 73 73

Net amount at risk $ 2,296 $ 1,913

Excluded from the table above are MRB gains (losses) of $( 89 ) million and $ 26 million for the three months ended March 31, 2023 and 2022, 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.

For MRB reinsurance, 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 March 31, 2023 March 31, 2022

Ranges Weighted Average (1)

Actuarial model Lapse rate 1 % – 30 %

4.0 % 3 % – 31 %

Annuitization rate 0 % – 100 %

4.4 % 0 % – 100 %

(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 the annuitization rates which is applicable to GLB only.

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.

In general, the base lapse function assumes low lapse rates during the surrender charge period, followed by a "spike" lapse rate in the year immediately following the surrender charge period, and then reverting to an ultimate lapse rate, typically over a 2-year period.

This base rate is adjusted downward for policies with more valuable guarantees (policies with guaranteed values far in excess of their account values).

Partial withdrawals and the impact of older policyholders with tax-qualified contracts (due to required minimum distributions) are also reflected in our modeling.

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.

All GLB reinsurance treaties include claim limits to protect Chubb in the event that actual annuitization behavior is significantly higher than expected.

In general, Chubb assumes that GLB annuitization rates will be

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

higher for policies with more valuable guarantees (policies with guaranteed values far in excess of their account values).

Chubb also assumes that GLB annuitization rates increase as policyholders get older.

In addition, it is also assumed that GLB annuitization rates are higher in the first year immediately following the waiting period (the first year the policies are eligible to annuitize using the GLB) in comparison to all subsequent years.

Chubb does not yet have fully credible annuitization experience for all clients.

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.

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:

March 31 December 31

(in millions of U.S.

dollars) 2023 2022

Cash and cash equivalents $ 116 $ 141

Mutual funds 5,082 4,960

Fixed maturities 102 89

Total $ 5,300 $ 5,190

The following table presents a roll-forward of separate account liabilities:

Three Months Ended

(in millions of U.S.

dollars) 2023 2022

Balance – beginning of period $ 5,190 $ 5,560

Premiums and deposits 158 467

Policy charges ( 15 ) ( 31 )

Surrenders and withdrawals ( 6 ) ( 124 )

Benefit payments ( 98 ) ( 95 )

Investment performance 83 ( 283 )

Other (including foreign exchange) ( 12 ) 66

Balance – end of period $ 5,300 $ 5,560

Cash surrender value (1)

$ 5,124 $ 4,994

(1) Cash surrender value represents the amount of the contract holder's account balances distributable at the balance sheet date less certain surrender charges.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Commitments, contingencies, and guarantees

1 unchanged sentence

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 and derivatives designated as hedges are recorded in either Other assets (OA) or Accounts payable, accrued expenses, and other liabilities (AP);

Chubb also maintains positions in convertible securities that contain embedded derivatives, and exchange-traded equity futures contracts on equity market indices to limit equity exposure in the MRB book of business.

Investment derivative instruments and derivatives designated as hedges for accounting purposes 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);

6 unchanged sentences

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.

The GMIB risk is triggered if, at the time the contract holder elects to convert the accumulated account value to a periodic payment stream (annuitize), the accumulated account value is not sufficient to provide a guaranteed minimum level of monthly income.

The GLB reinsurance product meets the definition of a derivative instrument and is classified within AP.

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.

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:

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Balance Sheet

5 unchanged sentences

Foreign currency forward contracts OA / (AP) $ 33 $ ( 128 ) $ 4,387 $ 64 $ ( 115 ) $ 4,134

Options/Futures contracts on notes, bonds, and equities OA / (AP) 57 ( 29 ) 1,366 33 ( 27 ) 12,944

Options/Futures contracts on notes and bonds OA / (AP) 26 ( 30 ) 1,861 18 ( 24 ) 1,511

Convertible securities (1)

6 unchanged sentences

$ 5 $ ( 47 ) $ 1,382 $ 33 $ — $ 939

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

Derivatives designated as hedging instruments:

3 unchanged sentences

(1) Includes fair value of embedded derivatives.

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

(3) Note that the payment provision related to GLB is the net amount at risk.

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

(2) Related to MRB book of business.

At March 31, 2023, and December 31, 2022, net derivative liabilities of $ 214 million and $ 60 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.

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.

We designate 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.

1 unchanged sentence

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.

The objective of these cross-currency swaps is to hedge the foreign currency risk on € 1.5 billion, or approximately $ 1.6 billion at March 31, 2023, of our euro denominated debt, by converting cash flows back into the U.S.

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).

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).

The remaining change in fair value is recorded in Other comprehensive income (OCI), with an immaterial amount recorded in Interest expense.

For the three months ended March 31, 2023, we recognized a net loss of $ 17 million, comprising $ 20 million of net realized gains, $ 4 million of interest expense, and a remaining change in fair value of $ 33 million pre-tax of other comprehensive loss recorded within OCI.

(ii) Cross-currency swaps - net investment hedges

3 unchanged sentences

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.

These net investment hedges are carried at fair value, with changes in fair value recorded in Cumulative translation adjustments (CTA) within OCI, and an immaterial amount recorded to Interest expense.

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.

For the three months ended March 31, 2023, we recognized a net loss of $ 23 million, comprising $ 26 million pre-tax of cumulative translation losses recorded in OCI, and $ 3 million of interest income.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

1 unchanged sentence

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.

Derivative instruments which are not designated as hedges are carried at fair value with changes in fair value recorded in Net realized gains (losses) or, for futures contracts on equities, Market risk benefits 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 Nine Months Ended

September 30 September 30

Three Months Ended

(in millions of U.S.

5 unchanged sentences

Total investment and embedded derivative instruments $ ( 46 ) $ 47

GLB and other derivative instruments:

GLB $ 22 $ ( 59 ) $ ( 86 ) $ 252

Other derivative instruments:

Futures contracts on equities (2)

54 ( 4 ) 240 ( 112 )

Other ( 1 ) 1

Total GLB and other derivative instruments $ 57 $ ( 73 ) $ 145 $ 132

Total other derivative instruments $ ( 58 ) $ 43

$ ( 104 ) $ 90

(1) Includes embedded derivatives.

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

(2) Related to MRB book of business.

(i) Foreign currency exposure management

6 unchanged sentences

Investments in futures contracts may be made only to the extent that there are assets under management not otherwise committed.

Exchange-traded equity futures contracts are used to limit exposure to a severe equity market decline, which would cause an increase in expected claims and, therefore, an increase in future policy benefit reserves for GMDB and an increase in the fair value liability for GLB reinsurance business.

An option contract conveys to the holder the right, but not the obligation, to purchase or sell a specified amount or value of an underlying security at a fixed price.

3 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.

Although non-performance is not anticipated, in order to minimize the risk of loss, management monitors the creditworthiness of its counterparties and obtains collateral.

The performance of exchange-traded instruments is guaranteed by the exchange on which they trade.

The performance of exchange-traded instruments is guaranteed by

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

the exchange on which they trade.

For non-exchange-traded instruments, the counterparties are principally banks which must meet certain criteria according to our investment guidelines.

1 unchanged sentence

The economic benefit provided by these derivatives is similar to purchased reinsurance.

For example, Chubb may enter into crop derivative contracts to protect underwriting results in the event of a significant decline in commodity prices.

For example, Chubb may, from time to time, enter into crop derivative contracts to protect underwriting results in the event of a significant decline in commodity prices.

(iii) Convertible security investments

5 unchanged sentences

Chubb purchases TBAs, from time to time, both for their total return and for the flexibility they provide related to our mortgage-backed security strategy.

Under the GLB program, as the assuming entity, Chubb is obligated to provide coverage until the expiration or maturity of the underlying deferred annuity contracts or the expiry of the reinsurance treaty.

The GLB is accounted for as a derivative and is recorded at fair value.

Fair value represents management’s estimate of an exit price and thus, includes a risk margin.

We may recognize a realized loss for other changes in fair value due to adverse changes in the capital markets (e.g., declining interest rates and/or declining U.S.

and/or international equity markets) and changes in actual or estimated future policyholder behavior (e.g., increased annuitization or decreased lapse rates) although we expect the business to be profitable.

(v) Futures contracts on equities

Under the MRB program, as the assuming entity, Chubb is obligated to provide coverage until the expiration or maturity of the underlying deferred annuity contracts or the expiry of the reinsurance treaty.

We may recognize a loss for changes in fair value due to adverse changes in the capital markets (e.g., declining interest rates and/or declining U.S.

and/or international equity markets).

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 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).

The net impact of gains or losses related to changes in fair value of the MRB liability and the exchange-traded equity futures are included in Market risk benefits gains (losses) in the Consolidated statements of operations.

d) Securities lending and secured borrowings

3 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

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

(in millions of U.S.

4 unchanged sentences

Corporate and asset-backed securities 36 27

Mortgage-backed securities — 1

Equity securities — 7

$ 1,582 $ 1,523

Gross amount of recognized liability for securities lending payable $ 1,582 $ 1,523

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

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

At March 31, 2023, and December 31, 2022, our repurchase agreement obligations of $ 1,420 million and $ 1,419 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

September 30, 2022 December 31, 2021

Up to 30 Days 30-90 Days Greater than

90 Days Total 30-90 Days Greater than

90 Days Total

March 31, 2023 December 31, 2022

Up to 30 Days 30-90 Days Total Up to 30 Days 30-90 Days Total

(in millions of U.S.

13 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.

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.

At March 31, 2023, and December 31, 2022, commitments to purchase fixed income securities over the next several years were $ 810 million and $ 770 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.

At March 31, 2023, included in Other investments in the Consolidated balance sheet are investments in limited partnerships and partially-owned investment companies with a carrying value of $ 12.4 billion.

In connection with these investments, we have commitments that may require funding of up to $ 6.7 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.

At December 31, 2022, these investments had a carrying value of $ 12.0 billion with commitments that may have required funding of up to $ 7.4 billion.

g) Income taxes

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

At March 31, 2023, $ 66 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.

4 unchanged sentences

In addition to claims litigation, we are subject to lawsuits and regulatory actions in the normal course of business that do not arise from or directly relate to claims on insurance policies.

This category of business litigation typically involves, among other things, allegations of underwriting errors or misconduct, employment claims, regulatory activity, or disputes arising from our business ventures.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

category of business litigation typically involves, among other things, allegations of underwriting errors or misconduct, employment claims, regulatory activity, or disputes arising from our business ventures.

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.

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.

At March 31, 2023, and December 31, 2022, the right-of-use asset was $ 571 million and $ 607 million, respectively, recorded within Other assets , and the lease liability was $ 595 million and $ 633 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 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.

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.

The following table presents dividend distributions per Common Share in Swiss francs (CHF) and U.S.

dollars (USD):

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

CHF USD CHF USD CHF USD CHF USD

Total dividend distributions per common share 0.78 $ 0.83 0.73 $ 0.80 2.32 $ 2.46 2.14 $ 2.38

At March 31, 2023, our Common Shares had a par value of CHF 24.15 per share.

At our May 2022 and 2021 annual general meetings, our shareholders approved annual dividends for the following year of up to $ 3.32 per share and $ 3.20 per share, respectively, which were paid in four quarterly installments of $ 0.83 per share and $ 0.80 per share, respectively, at dates determined by the Board of Directors (Board) after the annual general meetings by way of a distribution from capital contribution reserves, transferred to free reserves for payment.

Dividend distributions per Common Share for the three months ended March 31, 2023 and 2022, were $ 0.83 (CHF 0.77 ) and $ 0.80 (CHF 0.74 ), respectively.

Increases in Common Shares in treasury are due to open market repurchases of Common Shares and the surrender of Common Shares to satisfy tax withholding obligations in connection with the vesting of restricted stock and the forfeiture of unvested restricted stock.

4 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 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.

During the three months ended March 31, 2023, 2,010,400 shares were repurchased and 1,574,224 net shares were issued under employee share-based compensation plans.

At March 31, 2023, 32,217,934 Common Shares remain in treasury.

Chubb Limited securities repurchase authorizations

The Board has authorized share repurchase programs as follows:

• $ 1.5 billion of Chubb Common Shares from November 19, 2020 through December 31, 2021;

• $ 1.0 billion increase to the November 2020 share repurchase program to a total of $ 2.5 billion in February 2021, effective through December 31, 2021;

• One-time incremental share repurchase program of $ 5.0 billion of Chubb Common Shares from July 19, 2021, through June 30, 2022;

• $ 2.5 billion of Chubb Common Shares from May 19, 2022, through June 30, 2023.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

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 Nine Months Ended

September 30 September 30

Three Months Ended April 1, 2023

(in millions of U.S.

6 unchanged sentences

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

Three Months Ended Nine Months Ended

September 30 September 30

Three Months Ended

(in millions of U.S.

dollars) 2022 2021 2022 2021

dollars) As Adjusted

Accumulated other comprehensive income (loss) (AOCI)

4 unchanged sentences

Change in period, before tax 1,786 ( 4,652 )

Income tax benefit 147 98 1,174 390

Income tax (expense) benefit ( 166 ) 812

Balance – end of period, net of tax ( 5,659 ) ( 1,584 )

Current discount rate on liability for future policy benefits

Balance – beginning of period, net of tax ( 75 ) ( 1,399 )

Change in period, before tax ( 151 ) 435

Income tax (expense) benefit 21 ( 33 )

Balance – end of period, net of tax ( 205 ) ( 997 )

Instrument-specific credit risk on market risk benefits

Balance – beginning of period, net of tax ( 24 ) ( 57 )

Change in period, before and net of tax ( 3 ) 23

Balance – end of period, net of tax ( 27 ) ( 34 )

Cumulative foreign currency translation adjustment

Balance – beginning of period, net of tax ( 2,966 ) ( 2,114 )

Change in period, before reclassification from AOCI (before tax) ( 174 ) —

Amounts reclassified from AOCI (before tax) ( 3 ) —

Change in period, before tax ( 177 ) 67

11 unchanged sentences

Change in period, before tax — 19

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

Income tax expense ( 1 ) ( 4 )

Balance – end of period, net of tax 224 255

Accumulated other comprehensive income (loss) $ ( 8,895 ) $ ( 4,403 )

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

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

Three Months Ended Consolidated Statement of Operations Location

(in millions of U.S.

1 unchanged sentence

Fixed maturities available for sale $ ( 180 ) $ ( 136 ) Net realized gains (losses)

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

Income tax benefit 18 22 Income tax expense

$ ( 162 ) $ ( 114 ) Net income

Cumulative foreign currency translation adjustment

Cross-currency swaps $ 3 $ — Interest expense

Income tax expense ( 1 ) — Income tax expense

$ 2 $ — Net income

Net gains (losses) of fair value hedging instruments

Cross-currency swaps $ 20 $ — Net realized gains (losses)

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

Cross-currency swaps ( 4 ) — Interest expense

Income tax expense ( 3 ) — Income tax expense

$ 13 $ — Net income

Total amounts reclassified from AOCI $ ( 147 ) $ ( 114 )

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Share-based compensation

11 unchanged sentences

Each restricted stock unit represents our obligation to deliver to the holder one Common Share upon vesting.

Postretirement benefits

The components of net pension and other postretirement benefit costs (benefits) reflected in Net income in the Consolidated statements of operations were as follows:

Pension Benefit Plans Other Postretirement

Benefit Plans

2022 2021 2022 2021

Three Months Ended September 30 U.S.

Plans Non-U.S.

(in millions of U.S.

Service cost $ — $ 1 $ — $ 1 $ — $ 1

Non-service cost (benefit):

Interest cost 21 5 18 5 — 1

Expected return on plan assets ( 70 ) ( 11 ) ( 64 ) ( 10 ) — ( 1 )

Amortization of net actuarial loss — — — — — —

Amortization of prior service cost — — — — — —

Settlements — — 1 — — —

Total non-service cost (benefit) ( 49 ) ( 6 ) ( 45 ) ( 5 ) — —

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

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Postretirement benefits

The components of net pension and other postretirement benefit costs (benefits) reflected in Net income in the Consolidated statements of operations were as follows:

Pension Benefit Plans Other Postretirement

1 unchanged sentence

2023 2022 2023 2022

Nine Months Ended September 30 U.S.

Three Months Ended March 31 U.S.

Plans Non-U.S.

10 unchanged sentences

Net periodic benefit cost (benefit) $ ( 22 ) $ ( 1 ) $ ( 50 ) $ ( 4 ) $ ( 1 ) $ —

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

The line items in which the service cost and non-service cost (benefit) components of net periodic benefit cost (benefit) are included in the Consolidated statements of operations were as follows:

1 unchanged sentence

Benefit Plans

Three Months Ended September 30 2022 2021 2022 2021

(in millions of U.S.

Service cost:

Losses and loss expenses $ — $ — $ — $ —

Administrative expenses 1 1 — 1

Total service cost 1 1 — 1

Non-service cost (benefit):

Losses and loss expenses ( 5 ) ( 5 ) — —

Administrative expenses ( 50 ) ( 45 ) — —

Total non-service cost (benefit) ( 55 ) ( 50 ) — —

Net periodic benefit cost (benefit) $ ( 54 ) $ ( 49 ) $ — $ 1

Pension Benefit Plans Other Postretirement

Benefit Plans

Nine Months Ended September 30 2022 2021 2022 2021

Three Months Ended March 31 2023 2022 2023 2022

(in millions of U.S.

8 unchanged sentences

Net periodic benefit cost (benefit) $ ( 23 ) $ ( 54 ) $ ( 1 ) $ —

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Other income and expense

Three Months Ended Nine Months Ended

September 30 September 30

Three Months Ended

(in millions of U.S.

dollars) 2023 2022

Equity in net income (loss) of partially-owned entities (1)

$ ( 98 ) $ 802 $ 192 $ 2,073

Equity in net income of partially-owned entities (1)

Gains (losses) from fair value changes in separate account assets (2)

3 unchanged sentences

Total $ 296 $ 312

(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.

(1) Equity in net income of partially-owned entities includes mark-to-market gains on private equities where we own more than three percent of $ 242 million and $ 255 million for the three months ended March 31, 2023 and 2022, respectively.

This line item also includes net income of $ 14 million and $ 42 million attributable to our investments in Huatai for the three months ended March 31, 2023 and 2022, respectively.

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

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Other income and expense includes equity in net income of partially-owned entities, which includes our share of net income or loss, both underlying operating income and mark-to-market movement, related to partially-owned investment companies (private equity) and partially-owned insurance companies.

5 unchanged sentences

Chubb operates through six business segments:

North America Commercial P&C Insurance, North America Personal P&C Insurance, North America Agricultural Insurance, Overseas General Insurance, Global Reinsurance, and Life Insurance.

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.

Chubb calculates underwriting income (loss) by subtracting Losses and loss expenses, Policy benefits, Policy acquisition costs, and Administrative expenses from Net premiums earned.

North America Commercial P&C Insurance, North America Personal P&C Insurance, North America Agricultural Insuran ce, Overseas General Insurance, Global Reinsurance, and Life Insurance.

These segments distribute their products through various forms of brokers, agencies, and direct marketing programs.

All business segments have established relationships with reinsurance intermediaries.

Segment results for the three months ended March 31, 2023, include the results of Cigna's business in Asia, which are principally assigned to our Life Insurance segment and, to a lesser extent, our Overseas General Insurance segment according to the nature of the business written.

Management uses underwriting income (loss) as the basis for segment performance for its P&C operations.

P&C underwriting income (loss) excludes the Life Insurance segment and is calculated by subtracting Losses and loss expenses, Policy benefits, Policy acquisition costs, and Administrative expenses from Net premiums earned.

Segment income (loss) includes underwriting income (loss), net investment income (loss), and other operating income and expense items such as each segment's share of the operating income (loss) related to partially-owned entities and miscellaneous income and expense items for which the segments are held accountable.

2 unchanged sentences

We continue to evaluate our segments as our business continues to evolve and may further refine our segments and segment income (loss) measures.

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, 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.

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

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.

4 unchanged sentences

These derivatives were purchased to provide economic benefit, in a manner similar to reinsurance protection, in the event that a significant decline in commodity pricing impacts underwriting results.

We view gains and losses on these derivatives as part of the results of our underwriting operations, and therefore realized gains (losses) from these derivatives are reclassified to losses and loss expenses.

We view gains and losses on these derivatives as part of the results of

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

our underwriting operations, and therefore realized gains (losses) from these derivatives are reclassified to losses and loss expenses.

• Policy benefits include fair value changes on separate accounts that do not qualify for separate accounting under GAAP.

7 unchanged sentences

For the Three Months Ended

September 30, 2022

March 31, 2023

(in millions of U.S.

12 unchanged sentences

purchased intangibles — 2 6 18 — 4 42 — 72

Segment income (loss) $ 975 $ 205 $ 159 $ 457 $ ( 52 ) $ 271 $ ( 400 ) $ 19 $ 1,634

Segment income $ 1,423 $ 160 $ 11 $ 625 $ 111 $ 244 $ 75 $ 1 $ 2,650

Net realized gains (losses) ( 76 ) ( 1 ) ( 77 )

Market risk benefits gains (losses) ( 115 ) — ( 115 )

Interest expense 160 — 160

3 unchanged sentences

For the Three Months Ended

September 30, 2021

March 31, 2022 (As Adjusted)

(in millions of U.S.

14 unchanged sentences

Net realized gains (losses) 22 1 23

Interest expense 122 — 122

Income tax expense 218 — 218

Net income $ 170 $ — $ 1,833

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

For the Nine Months Ended

September 30, 2022

(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 Corporate Segment Measure Reclass Chubb Consolidated

Net premiums written $ 13,426 $ 3,998 $ 2,523 $ 8,364 $ 780 $ 2,430 $ — $ — $ 31,521

Net premiums earned 12,645 3,852 2,217 8,065 712 2,347 — — 29,838

Losses and loss expenses 7,979 2,343 1,830 4,054 565 437 275 ( 9 ) 17,474

Policy benefits — — — — — 906 — ( 116 ) 790

Policy acquisition costs 1,701 792 111 2,096 178 573 — — 5,451

Administrative expenses 814 213 4 811 27 346 264 — 2,479

Underwriting income (loss) 2,151 504 272 1,104 ( 58 ) 85 ( 539 ) 125 3,644

Net investment income (loss) 1,600 199 23 460 232 359 ( 4 ) ( 180 ) 2,689

Other (income) expense 12 3 1 3 1 ( 50 ) 73 ( 64 ) ( 21 )

Amortization expense of

purchased intangibles — 7 20 40 — 7 137 — 211

Segment income (loss) $ 3,739 $ 693 $ 274 $ 1,521 $ 173 $ 487 $ ( 753 ) $ 9 $ 6,143

Net realized gains (losses) ( 778 ) ( 9 ) ( 787 )

Market risk benefits gains (losses) 49 — 49

Interest expense 132 — 132

Cigna integration expenses 26 — 26

Income tax expense 353 — 353

Net income (loss) $ ( 299 ) $ — $ 1,953

For the Nine Months Ended

September 30, 2021

(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 Corporate Segment Measure Reclass Chubb

Net premiums written $ 12,318 $ 3,761 $ 2,110 $ 7,983 $ 702 $ 1,844 $ — $ — $ 28,718

Net premiums earned 11,431 3,652 1,858 7,721 583 1,789 — — 27,034

Losses and loss expenses 7,740 2,341 1,554 3,936 422 562 141 ( 8 ) 16,688

Policy benefits — — — — — 508 — ( 5 ) 503

Policy acquisition costs 1,540 746 100 2,070 147 538 — — 5,141

Administrative expenses 772 200 10 811 27 247 258 — 2,325

Underwriting income (loss) 1,379 365 194 904 ( 13 ) ( 66 ) ( 399 ) 13 2,377

Net investment income (loss) 1,582 189 21 447 250 301 ( 42 ) ( 135 ) 2,613

Other (income) expense 24 ( 3 ) — 3 — ( 79 ) ( 1,845 ) ( 130 ) ( 2,030 )

Amortization expense of

purchased intangibles — 8 20 36 — 4 148 — 216

Segment income $ 2,937 $ 549 $ 195 $ 1,312 $ 237 $ 310 $ 1,256 $ 8 $ 6,804

Net realized gains (losses) 841 ( 8 ) 833

Interest expense 366 — 366

Income tax expense 873 — 873

Net income $ 858 $ — $ 6,398

Underwriting assets are reviewed in total by management for purposes of decision-making.

Other than Unpaid losses and loss expenses, Future policy benefits, Reinsurance recoverables, Goodwill and Other intangible assets, Chubb does not allocate assets to its segments.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Underwriting assets are reviewed in total by management for purposes of decision-making.

Other than Unpaid losses and loss expenses, Future policy benefits, Reinsurance recoverables, DAC, VOBA, Goodwill and Other intangible assets, Chubb does not allocate assets to its segments.

Earnings per share

Three Months Ended Nine Months Ended

September 30 September 30

Three Months Ended

(in millions of U.S.

dollars, except share and per share data) 2022 2021 2022 2021

dollars, except share and per share data) As Adjusted

Net income $ 1,892 $ 1,953

12 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