Chubb Ltd 10-Q

ITEM 1. Financial Statements CONSOLIDATED BALANCE SHEETS (Unaudited) Chubb Limited and Subsidiaries March 31 December 31 2023 2022 (in millions of U.S. dollars, except share and per share data) As Adjusted Assets Investments Fixed maturities available for sale, at fair value, net of valuation allowance - $ 168 and $ 169 (amortized cost – $ 94,709 and $ 93,355 ) $ 88,364 $ 85,220 Fixed maturities held to maturity, at amortized cost, net of valuation allowance - $ 33 and $ 34 (fair value – $ 8,109 and $ 8,439 ) 8,425 8,848 Equity securities, at fair value 942 827 Short-term investments, at fair value (amortized cost – $ 3,695 and $ 4,962 ) 3,693 4,960 Other investments, at fair value 14,192 13,696 Total investments 115,616 113,551 Cash 2,288 2,012 Restricted cash 94 115 Securities lending collateral 1,582 1,523 Accrued investment income 953 941 Insurance and reinsurance balances receivable, net of valuation allowance - $ 51 and $ 52 12,340 11,933 Reinsurance recoverable on losses and loss expenses, net of valuation allowance - $ 351 and $ 351 18,141 18,859 Reinsurance recoverable on policy benefits 279 302 Deferred policy acquisition costs 6,296 6,031 Value of business acquired 3,603 3,702 Goodwill 16,175 16,228 Other intangible assets 5,364 5,441 Prepaid reinsurance premiums 3,166 3,136 Investments in partially-owned insurance companies 3,728 2,507 Separate account assets 5,300 5,190 Other assets 6,490 7,546 Total assets $ 201,415 $ 199,017 Liabilities Unpaid losses and loss expenses $ 75,417 $ 75,747 Unearned premiums 20,261 19,713 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 Securities lending payable 1,582 1,523 Accounts payable, accrued expenses, and other liabilities 6,656 7,148 Deferred tax liabilities 541 377 Repurchase agreements 1,420 1,419 Short-term debt — 475 Long-term debt 14,375 14,402 Trust preferred securities 308 308 Total liabilities 148,428 148,498 Commitments and contingencies (refer to Note 13) Shareholders’ equity Common Shares (CHF 24.15 par value; 446,376,614 and 446,376,614 shares issued; 414,158,680 and 414,594,856 shares outstanding) 10,346 10,346 Common Shares in treasury ( 32,217,934 and 31,781,758 shares) ( 5,341 ) ( 5,113 ) Additional paid-in capital 6,680 7,166 Retained earnings 50,197 48,305 Accumulated other comprehensive income (loss) (AOCI) ( 8,895 ) ( 10,185 ) Total shareholders’ equity 52,987 50,519 Total liabilities and shareholders’ equity $ 201,415 $ 199,017 See accompanying notes to the Consolidated Financial Statements 3 Table of Contents CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (Unaudited) Chubb Limited and Subsidiaries Three Months Ended March 31 2023 2022 (in millions of U.S. dollars, except per share data) As Adjusted Revenues Net premiums written $ 10,710 $ 9,189 Increase in unearned premiums ( 568 ) ( 452 ) Net premiums earned 10,142 8,737 Net investment income 1,107 822 Net realized gains (losses) ( 77 ) 23 Market risk benefits gains (losses) ( 115 ) 49 Total revenues 11,057 9,631 Expenses Losses and loss expenses 5,148 4,564 Policy benefits (includes remeasurement gains (losses) of $ 1 and $( 5 )) 797 373 Policy acquisition costs 1,948 1,719 Administrative expenses 930 778 Interest expense 160 132 Other (income) expense ( 296 ) ( 312 ) Amortization of purchased intangibles 72 71 Cigna integration expenses 22 — Total expenses 8,781 7,325 Income before income tax 2,276 2,306 Income tax expense 384 353 Net income $ 1,892 $ 1,953 Other comprehensive income (loss) Change in: 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 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 ) Earnings per share Basic earnings per share $ 4.57 $ 4.59 Diluted earnings per share $ 4.53 $ 4.55 See accompanying notes to the Consolidated Financial Statements 4 Table of Contents CONSOLIDATED STATEMENTS OF SHAREHOLDERS' EQUITY (Unaudited) Chubb Limited and Subsidiaries Three Months Ended March 31 2023 2022 (in millions of U.S. dollars) As Adjusted Common Shares Balance – beginning of period $ 10,346 $ 10,985 Cancellation of treasury shares — ( 319 ) Balance – end of period 10,346 10,666 Common Shares in treasury Balance – beginning of period ( 5,113 ) ( 7,464 ) Common Shares repurchased ( 428 ) ( 1,001 ) Cancellation of treasury shares — 2,510 Net shares issued under employee share-based compensation plans 200 255 Balance – end of period ( 5,341 ) ( 5,700 ) Additional paid-in capital Balance – beginning of period 7,166 8,478 Net shares issued under employee share-based compensation plans ( 211 ) ( 199 ) Exercise of stock options ( 13 ) ( 21 ) Share-based compensation expense 82 70 Funding of dividends declared to Retained earnings ( 344 ) ( 340 ) Balance – end of period 6,680 7,988 Retained earnings Balance – beginning of period 48,305 47,403 Net income 1,892 1,953 Cancellation of treasury shares — ( 2,191 ) Funding of dividends declared from Additional paid-in capital 344 340 Dividends declared on Common Shares ( 344 ) ( 340 ) Balance – end of period 50,197 47,165 Accumulated other comprehensive income (loss) (AOCI) Balance – beginning of period ( 10,185 ) ( 1,074 ) Other comprehensive income (loss) 1,290 ( 3,329 ) Balance – end of period ( 8,895 ) ( 4,403 ) Total shareholders’ equity $ 52,987 $ 55,716 See accompanying notes to the Consolidated Financial Statements 5 Table of Contents CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) Chubb Limited and Subsidiaries Three Months Ended March 31 2023 2022 (in millions of U.S. dollars) As Adjusted Cash flows from operating activities Net income $ 1,892 $ 1,953 Adjustments to reconcile net income to net cash flows from operating activities Net realized (gains) losses 77 ( 23 ) Market risk benefits (gains) losses 115 ( 49 ) Amortization of premiums/discounts on fixed maturities ( 14 ) 91 Amortization of purchased intangibles 72 71 Equity in net income of partially-owned entities ( 340 ) ( 363 ) Deferred income taxes 9 91 Unpaid losses and loss expenses ( 14 ) 923 Unearned premiums 591 492 Future policy benefits 136 21 Insurance and reinsurance balances payable ( 9 ) 147 Accounts payable, accrued expenses, and other liabilities ( 390 ) ( 274 ) Income taxes payable 128 128 Insurance and reinsurance balances receivable ( 402 ) ( 125 ) Reinsurance recoverable 622 ( 444 ) Deferred policy acquisition costs ( 254 ) ( 116 ) Other 32 ( 79 ) Net cash flows from operating activities 2,251 2,444 Cash flows from investing activities Purchases of fixed maturities available for sale ( 7,169 ) ( 5,933 ) Purchases of fixed maturities held to maturity ( 88 ) ( 143 ) Purchases of equity securities ( 135 ) ( 380 ) Sales of fixed maturities available for sale 3,854 1,838 Sales of equity securities 43 1,110 Maturities and redemptions of fixed maturities available for sale 1,541 3,003 Maturities and redemptions of fixed maturities held to maturity 472 398 Net change in short-term investments 1,256 ( 267 ) Net derivative instruments settlements ( 38 ) 74 Private equity contributions ( 384 ) ( 669 ) Private equity distributions 273 207 Acquisition of subsidiaries ( 23 ) — Payment for Huatai Group interest — ( 113 ) Other ( 172 ) ( 120 ) Net cash flows used for investing activities ( 570 ) ( 995 ) Cash flows from financing activities Dividends paid on Common Shares ( 345 ) ( 341 ) Common Shares repurchased ( 545 ) ( 1,001 ) 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 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 in cash and restricted cash 255 103 Cash and restricted cash – beginning of period 2,127 1,811 Cash and restricted cash – end of period $ 2,382 $ 1,914 Supplemental cash flow information Taxes paid $ 219 $ 132 Interest paid $ 99 $ 85 See accompanying notes to the Consolidated Financial Statements 1. General and significant accounting policies a) Basis of presentation Chubb Limited is a holding company incorporated in Zurich, Switzerland. Chubb Limited, through its subsidiaries, provides a broad range of insurance and reinsurance products to insureds worldwide. Our results are reported through the following 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. Refer to Note 18 for additional information. The interim unaudited consolidated financial statements, which include the accounts of Chubb Limited and its subsidiaries (collectively, Chubb, we, us, or our), have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP) and, in the opinion of management, reflect all adjustments necessary for a fair statement of the results and financial position for such periods. All significant intercompany accounts and transactions, including internal reinsurance transactions, have been eliminated. The results of operations and cash flows for any interim period are not necessarily indicative of the results for the full year. These consolidated financial statements should be read in conjunction with the consolidated financial statements and related notes included in our 2022 Form 10-K. b) Restricted cash Restricted cash in the Consolidated balance sheets represents amounts held for the benefit of third parties and is legally or contractually restricted as to withdrawal or usage. Amounts include deposits with U.S. and non-U.S. regulatory authorities, trust funds set up for the benefit of ceding companies, and amounts pledged as collateral to meet financing arrangements. 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: March 31 December 31 (in millions of U.S. dollars) 2023 2022 Cash $ 2,288 $ 2,012 Restricted cash 94 115 Total cash and restricted cash shown in the Consolidated statements of cash flows $ 2,382 $ 2,127 6 Table of Contents 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 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 Adjusted 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. 7 Table of Contents 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 Adjusted 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 Adjusted 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 ) 8 Table of Contents 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) 84 AOCI 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 9 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries flows. 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. 2. Acquisitions 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 several Asian markets. 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. 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. None of the goodwill is expected to be deductible for income tax purposes. Additionally, the acquisition of Cigna's business in Asia generated $ 3,633 million of value of business acquired (VOBA). 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. 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. 10 Table of Contents 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 (in millions of U.S. dollars) 2022 Assets Investments and Cash $ 5,274 Accrued investment income 33 Insurance and reinsurance balances receivable 52 Reinsurance recoverable on losses and loss expenses 3 Reinsurance recoverable on future policy benefits 85 Value of business acquired 3,633 Goodwill and intangible assets 1,486 Other assets 648 Total assets $ 11,214 Liabilities Unpaid losses and loss expenses $ 12 Unearned premiums 60 Future policy benefits 3,856 Insurance and reinsurance balances payable 115 Accounts payable, accrued expenses, and other liabilities 926 Deferred tax liabilities 886 Total liabilities $ 5,855 Net acquired assets, including goodwill 5,359 Total $ 11,214 Direct costs related to the acquisition were expensed as incurred. 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. The unaudited pro forma consolidated financial information is presented for informational purposes only and is not necessarily indicative of the operating results that would have occurred had the acquisition been consummated on January 1, 2021, nor is it necessarily indicative of future operating results. Significant assumptions used to determine pro forma operating results include amortization of VOBA and other intangible assets and recognition of interest expense associated with the repurchase agreement transactions used to effect the acquisition. Three Months Ended Pro forma: March 31 (in millions of U.S. dollars) 2022 Net premiums earned $ 9,512 Total revenues $ 10,417 Net income $ 2,059 Huatai Group Chubb maintains a direct investment in Huatai Insurance Group Co., Ltd. (Huatai Group). Huatai Group is the parent company of, and owns 100 percent of, Huatai Property & Casualty Insurance 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. 11 Table of Contents 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. 3. Investments a) Fixed maturities March 31, 2023 Amortized Cost Valuation Allowance Gross Unrealized Appreciation Gross Unrealized Depreciation Fair Value (in millions of U.S. dollars) Available for sale U.S. Treasury / Agency $ 2,798 $ — $ 8 $ ( 127 ) $ 2,679 Non-U.S. 28,860 ( 60 ) 263 ( 1,671 ) 27,392 Corporate and asset-backed securities 41,316 ( 106 ) 104 ( 2,854 ) 38,460 Mortgage-backed securities 17,863 ( 2 ) 11 ( 1,770 ) 16,102 Municipal 3,872 — 12 ( 153 ) 3,731 $ 94,709 $ ( 168 ) $ 398 $ ( 6,575 ) $ 88,364 Amortized Cost Valuation Allowance Net Carrying Value Gross Unrealized Appreciation Gross Unrealized Depreciation Fair Value Held to maturity U.S. Treasury / Agency $ 1,371 $ — $ 1,371 $ 4 $ ( 35 ) $ 1,340 Non-U.S. 1,110 ( 4 ) 1,106 — ( 70 ) 1,036 Corporate and asset-backed securities 1,699 ( 28 ) 1,671 2 ( 97 ) 1,576 Mortgage-backed securities 1,373 ( 1 ) 1,372 — ( 90 ) 1,282 Municipal 2,905 — 2,905 2 ( 32 ) 2,875 $ 8,458 $ ( 33 ) $ 8,425 $ 8 $ ( 324 ) $ 8,109 December 31, 2022 Amortized Cost Valuation Allowance Gross Unrealized Appreciation Gross Unrealized Depreciation Fair Value (in millions of U.S. dollars) Available for sale U.S. Treasury / Agency $ 2,792 $ — $ 5 $ ( 171 ) $ 2,626 Non-U.S. 28,064 ( 59 ) 108 ( 2,205 ) 25,908 Corporate and asset-backed securities 40,547 ( 107 ) 49 ( 3,534 ) 36,955 Mortgage-backed securities 17,871 ( 3 ) 4 ( 2,021 ) 15,851 Municipal 4,081 — 8 ( 209 ) 3,880 $ 93,355 $ ( 169 ) $ 174 $ ( 8,140 ) $ 85,220 12 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries Amortized Cost Valuation Allowance Net Carrying Value Gross Unrealized Appreciation Gross Unrealized Depreciation Fair Value Held to maturity U.S. Treasury / Agency $ 1,417 $ — $ 1,417 $ 1 $ ( 48 ) $ 1,370 Non-U.S. 1,140 ( 4 ) 1,136 — ( 82 ) 1,054 Corporate and asset-backed securities 1,733 ( 28 ) 1,705 1 ( 126 ) 1,580 Mortgage-backed securities 1,456 ( 1 ) 1,455 — ( 104 ) 1,351 Municipal 3,136 ( 1 ) 3,135 1 ( 52 ) 3,084 $ 8,882 $ ( 34 ) $ 8,848 $ 3 $ ( 412 ) $ 8,439 The following table presents the amortized cost of our held to maturity securities according to S&P rating: March 31, 2023 December 31, 2022 (in millions of U.S. dollars, except for percentages) Amortized cost % of Total Amortized cost % of Total AAA $ 1,505 18 % $ 1,612 18 % AA 4,760 56 % 5,023 57 % A 1,594 19 % 1,634 18 % BBB 579 7 % 593 7 % BB 20 — % 20 — % Total $ 8,458 100 % $ 8,882 100 % The following table presents fixed maturities by contractual maturity: March 31, 2023 December 31, 2022 (in millions of U.S. dollars) Net Carrying Value Fair Value Net Carrying Value Fair Value Available for sale Due in 1 year or less $ 3,020 $ 3,020 $ 2,962 $ 2,962 Due after 1 year through 5 years 26,248 26,248 24,791 24,791 Due after 5 years through 10 years 27,608 27,608 26,679 26,679 Due after 10 years 15,386 15,386 14,937 14,937 72,262 72,262 69,369 69,369 Mortgage-backed securities 16,102 16,102 15,851 15,851 $ 88,364 $ 88,364 $ 85,220 $ 85,220 Held to maturity Due in 1 year or less $ 1,048 $ 1,035 $ 1,015 $ 1,003 Due after 1 year through 5 years 3,409 3,313 3,658 3,531 Due after 5 years through 10 years 1,385 1,361 1,460 1,423 Due after 10 years 1,211 1,118 1,260 1,131 7,053 6,827 7,393 7,088 Mortgage-backed securities 1,372 1,282 1,455 1,351 $ 8,425 $ 8,109 $ 8,848 $ 8,439 Expected maturities could differ from contractual maturities because borrowers may have the right to call or prepay obligations, with or without call or prepayment penalties. 13 Table of Contents 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 March 31, 2023 Fair Value Gross Unrealized Loss Fair Value Gross Unrealized Loss Fair Value Gross Unrealized Loss (in millions of U.S. dollars) U.S. Treasury / Agency $ 1,564 $ ( 39 ) $ 912 $ ( 88 ) $ 2,476 $ ( 127 ) Non-U.S. 7,195 ( 243 ) 11,689 ( 1,004 ) 18,884 ( 1,247 ) Corporate and asset-backed securities 13,577 ( 507 ) 15,222 ( 1,356 ) 28,799 ( 1,863 ) Mortgage-backed securities 4,769 ( 205 ) 10,427 ( 1,528 ) 15,196 ( 1,733 ) Municipal 2,172 ( 30 ) 735 ( 123 ) 2,907 ( 153 ) Total AFS fixed maturities $ 29,277 $ ( 1,024 ) $ 38,985 $ ( 4,099 ) $ 68,262 $ ( 5,123 ) 0 – 12 Months Over 12 Months Total December 31, 2022 Fair Value Gross Unrealized Loss Fair Value Gross Unrealized Loss Fair Value Gross Unrealized Loss (in millions of U.S. dollars) U.S. Treasury / Agency $ 2,152 $ ( 125 ) $ 386 $ ( 46 ) $ 2,538 $ ( 171 ) Non-U.S. 15,538 ( 1,012 ) 5,490 ( 704 ) 21,028 ( 1,716 ) Corporate and asset-backed securities 25,687 ( 1,793 ) 4,190 ( 552 ) 29,877 ( 2,345 ) Mortgage-backed securities 10,561 ( 1,033 ) 4,770 ( 941 ) 15,331 ( 1,974 ) Municipal 3,251 ( 152 ) 155 ( 48 ) 3,406 ( 200 ) Total AFS fixed maturities $ 57,189 $ ( 4,115 ) $ 14,991 $ ( 2,291 ) $ 72,180 $ ( 6,406 ) At March 31, 2023, the tax benefit on certain unrealized losses in our investment portfolio was reduced by a valuation allowance of $ 646 million necessary due to limitations on the utilization of these losses. As part of evaluating whether it was more likely than not that we could realize these losses, we considered realized gains, carryback capacity and available tax planning strategies. 14 Table of Contents 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 March 31 (in millions of U.S. dollars) 2023 2022 Available for sale Valuation allowance for expected credit losses - beginning of period $ 169 $ 14 Provision for expected credit loss 59 17 Write-offs charged against the expected credit loss ( 2 ) — Recovery of expected credit loss ( 58 ) ( 4 ) Valuation allowance for expected credit losses - end of period $ 168 $ 27 Held to maturity Valuation allowance for expected credit losses - beginning of period $ 34 $ 35 Recovery of expected credit loss ( 1 ) ( 1 ) Valuation allowance for expected credit losses - end of period $ 33 $ 34 c) Net realized gains (losses) The following table presents the components of Net realized gains (losses): Three Months Ended March 31 (in millions of U.S. dollars) 2023 2022 Fixed maturities: Gross realized gains $ 2 $ 39 Gross realized losses ( 159 ) ( 127 ) Net (provision for) recovery of expected credit losses 2 ( 12 ) Impairment (1) ( 25 ) ( 36 ) Total fixed maturities ( 180 ) ( 136 ) Equity securities 11 56 Other investments 15 55 Foreign exchange 131 74 Investment and embedded derivative instruments ( 46 ) 47 Other derivative instruments ( 1 ) 1 Other ( 7 ) ( 74 ) Net realized gains (losses) (pre-tax) $ ( 77 ) $ 23 (1) Relates to certain securities we intended to sell and securities written to market entering default. 15 Table of Contents 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: Three Months Ended March 31 2023 2022 (in millions of U.S. dollars) Equity Securities Other Investments Total Equity Securities Other Investments Total Net gains (losses) recognized during the period $ 11 $ 15 $ 26 $ 56 $ 55 $ 111 Less: Net gains (losses) recognized from sales of securities ( 5 ) — ( 5 ) 255 — 255 Unrealized gains (losses) recognized for securities still held at reporting date $ 16 $ 15 $ 31 $ ( 199 ) $ 55 $ ( 144 ) d) Alternative investments Alternative investments include partially-owned investment companies, investment funds, and limited partnerships measured at fair value using net asset value (NAV) as a practical expedient. The following table presents, by investment category, the expected liquidation period, fair value, and maximum future funding commitments of alternative investments: Expected Liquidation Period of Underlying Assets March 31, 2023 December 31, 2022 (in millions of U.S. dollars) Fair Value Maximum Future Funding Commitments Fair Value Maximum Future Funding Commitments Financial 2 to 10 Years $ 1,146 $ 472 $ 1,074 $ 505 Real assets 2 to 13 Years 2,114 640 2,166 681 Distressed 2 to 8 Years 1,096 659 1,048 755 Private credit 3 to 8 Years 216 322 215 429 Traditional 2 to 14 Years 7,800 4,654 7,424 5,025 Vintage 1 to 2 Years 56 — 55 — Investment funds Not Applicable 377 — 373 — $ 12,805 $ 6,747 $ 12,355 $ 7,395 Included in all categories in the above table, except for Investment funds, are investments for which Chubb will never have the contractual option to redeem but receives distributions based on the liquidation of the underlying assets. Further, for all categories except for Investment funds, Chubb does not have the ability to sell or transfer the investments without the consent from the general partner of individual funds. Investment Category: Consists of investments in private equity funds: Financial targeting financial services companies, such as financial institutions and insurance services worldwide Real assets targeting investments related to hard physical assets, such as real estate, infrastructure and natural resources Distressed targeting distressed corporate debt/credit and equity opportunities in the U.S. Private credit targeting privately originated corporate debt investments, including senior secured loans and subordinated bonds Traditional employing traditional private equity investment strategies, such as buyout and growth equity globally Vintage funds where the initial fund term has expired 16 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries Investment funds employ various investment strategies, such as long/short equity and arbitrage/distressed. Included in this category are investments for which Chubb has the option to redeem at agreed upon value as described in each investment fund’s subscription agreement. Depending on the terms of the various subscription agreements, investment fund investments may be redeemed monthly, quarterly, semi-annually, or annually. If Chubb wishes to redeem an investment fund investment, it must first determine if the investment fund is still in a lock-up period (a time when Chubb cannot redeem its investment so that the investment fund manager has time to build the portfolio). If the investment fund is no longer in its lock-up period, Chubb must then notify the investment fund manager of its intention to redeem by the notification date prescribed by the subscription agreement. Subsequent to notification, the investment fund can redeem Chubb’s investment within several months of the notification. Notice periods for redemption of the investment funds are up to 270 days. Chubb can redeem its investment funds without consent from the investment fund managers. e) Restricted assets Chubb is required to maintain assets on deposit with various regulatory authorities to support its insurance and reinsurance operations. These requirements are generally promulgated in the statutory regulations of the individual jurisdictions. The assets on deposit are available to settle insurance and reinsurance liabilities. Chubb is also required to restrict assets pledged under repurchase agreements, which represent Chubb's agreement to sell securities and repurchase them at a future date for a predetermined price. We use trust funds in certain large reinsurance transactions where the trust funds are set up for the benefit of the ceding companies and generally take the place of letter of credit (LOC) requirements. We have investments in segregated portfolios primarily to provide collateral or guarantees for LOC and derivative transactions. Included in restricted assets at March 31, 2023 and December 31, 2022 are investments, primarily fixed maturities, totaling $ 16,021 million and $ 15,721 million, respectively, and cash of $ 94 million and $ 115 million, respectively. The following table presents the components of restricted assets: March 31 December 31 (in millions of U.S. dollars) 2023 2022 Trust funds $ 8,263 $ 8,120 Deposits with U.S. regulatory authorities 2,350 2,345 Deposits with non-U.S. regulatory authorities 3,094 2,959 Assets pledged under repurchase agreements 1,503 1,527 Other pledged assets 905 885 Total $ 16,115 $ 15,836 4. Fair value measurements a) Fair value hierarchy Fair value of financial assets and financial liabilities is estimated based on the framework established in the fair value accounting guidance. The guidance defines fair value as the price to sell an asset or transfer a liability (an exit price) in an orderly transaction between market participants and establishes a three-level valuation hierarchy based on the reliability of the inputs. The fair value hierarchy gives the highest priority to quoted prices in active markets and the lowest priority to unobservable data. The three levels of the hierarchy are as follows: • Level 1 – Unadjusted quoted prices for identical assets or liabilities in active markets; • Level 2 – Includes, among other items, inputs other than quoted prices that are observable for the asset or liability such as interest rates and yield curves, quoted prices for similar assets and liabilities in active markets, and quoted prices for identical or similar assets and liabilities in markets that are not active; and • Level 3 – Inputs that are unobservable and reflect management’s judgments about assumptions that market participants would use in pricing an asset or liability. We categorize financial instruments within the valuation hierarchy at the balance sheet date based upon the lowest level of inputs that are significant to the fair value measurement. We use pricing services to obtain fair value measurements for the majority of our investment securities. Based on management’s understanding of the methodologies used, these pricing services only produce an estimate of fair value if there is observable 17 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries market information that would allow them to make a fair value estimate. Based on our understanding of the market inputs used by the pricing services, all applicable investments have been valued in accordance with GAAP. We do not adjust prices obtained from pricing services. The following is a description of the valuation techniques and inputs used to determine fair values for financial instruments carried at fair value, as well as the general classification of such financial instruments pursuant to the valuation hierarchy. Fixed maturities We use pricing services to estimate fair value measurements for the majority of our fixed maturities. The pricing services use market quotations for fixed maturities that have quoted prices in active markets; such securities are classified within Level 1. For fixed maturities other than U.S. Treasury securities that generally do not trade on a daily basis, the pricing services prepare estimates of fair value measurements using their pricing applications or pricing models, which include available relevant market information, benchmark curves, benchmarking of like securities, sector groupings, and matrix pricing. Additional valuation factors that can be taken into account are nominal spreads, dollar basis, and liquidity adjustments. The pricing services evaluate each asset class based on relevant market and credit information, perceived market movements, and sector news. The market inputs used in the pricing evaluation, listed in the approximate order of priority include: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, reference data, and industry and economic events. The extent of the use of each input is dependent on the asset class and the market conditions. Given the asset class, the priority of the use of inputs may change, or some market inputs may not be relevant. Additionally, fixed maturities valuation is more subjective when markets are less liquid due to the lack of market based inputs (i.e., stale pricing) and may require the use of models to be priced. The lack of market based inputs may increase the potential that an investment's estimated fair value is not reflective of the price at which an actual transaction would occur. The overwhelming majority of fixed maturities are classified within Level 2 because the most significant inputs used in the pricing techniques are observable. For a small number of fixed maturities, we obtain a single broker quote (typically from a market maker). Due to the disclaimers on the quotes that indicate that the price is indicative only, we include these fair value estimates in Level 3. Equity securities Equity securities with active markets are classified within Level 1 as fair values are based on quoted market prices. For equity securities in markets which are less active, fair values are based on market valuations and are classified within Level 2. Equity securities for which pricing is unobservable are classified within Level 3. Short-term investments Short-term investments, which comprise securities due to mature within one year of the date of purchase that are traded in active markets, are classified within Level 1 as fair values are based on quoted market prices. Securities such as commercial paper and discount notes are classified within Level 2 because these securities are typically not actively traded due to their approaching maturity, and as such, their cost approximates fair value. Short-term investments for which pricing is unobservable are classified within Level 3. Other investments Fair values for the majority of Other investments including investments in partially-owned investment companies, investment funds, and limited partnerships are based on their respective NAV and are excluded from the fair value hierarchy table below. Certain of our long-duration contracts are supported by assets that do not qualify for separate account reporting under GAAP. These assets comprise mutual funds, classified within Level 1 in the valuation hierarchy on the same basis as other equity securities traded in active markets. Other investments also include equity securities, classified within Level 1 and fixed maturities, classified within Level 2, held in rabbi trusts maintained by Chubb for deferred compensation plans and supplemental retirement plans and are classified within the valuation hierarchy on the same basis as other equity securities and fixed maturities. Securities lending collateral The underlying assets included in Securities lending collateral in the Consolidated balance sheets are fixed maturities which are classified in the valuation hierarchy on the same basis as other fixed maturities. 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 Actively traded investment derivative instruments, including futures, options, and forward contracts are classified within Level 1 as fair values are based on quoted market prices. The fair value of cross-currency swaps and interest rate swaps is based on 18 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries market valuations and is classified within Level 2. Investment derivative instruments are recorded in either Other assets or Accounts payable, accrued expenses, and other liabilities in the Consolidated balance sheets. 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 market risk benefits (MRB) reserves and our MRB reinsurance business. Our positions in exchange-traded equity futures contracts are classified within Level 1. The fair value of the majority of the remaining positions in other derivative instruments is based on significant observable inputs including equity security and interest rate indices. Accordingly, these are classified within Level 2. Other derivative instruments based on unobservable inputs are classified within Level 3. Other 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 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. 19 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries Financial instruments measured at fair value on a recurring basis, by valuation hierarchy March 31, 2023 Level 1 Level 2 Level 3 Total (in millions of U.S. dollars) Assets: Fixed maturities available for sale U.S. Treasury / Agency $ 2,119 $ 560 $ — $ 2,679 Non-U.S. — 26,831 561 27,392 Corporate and asset-backed securities — 35,916 2,544 38,460 Mortgage-backed securities — 16,092 10 16,102 Municipal — 3,731 — 3,731 2,119 83,130 3,115 88,364 Equity securities 854 — 88 942 Short-term investments 1,856 1,830 7 3,693 Other investments (1) 559 423 — 982 Securities lending collateral — 1,582 — 1,582 Investment derivatives 59 — — 59 Derivatives designated as hedging instruments — 8 — 8 Other derivative instruments 5 — — 5 Separate account assets 5,198 102 — 5,300 Total assets measured at fair value (1) $ 10,650 $ 87,075 $ 3,210 $ 100,935 Liabilities: Investment derivatives $ 158 $ — $ — $ 158 Derivatives designated as hedging instruments — 82 — 82 Other derivative instruments 45 2 — 47 Market risk benefits (2) — — 830 830 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 $ 12,805 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. 20 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries December 31, 2022 Level 1 Level 2 Level 3 Total (in millions of U.S. dollars) Assets: Fixed maturities available for sale U.S. Treasury / Agency $ 2,100 $ 526 $ — $ 2,626 Non-U.S. — 25,344 564 25,908 Corporate and asset-backed securities — 34,506 2,449 36,955 Mortgage-backed securities — 15,840 11 15,851 Municipal — 3,880 — 3,880 2,100 80,096 3,024 85,220 Equity securities 737 — 90 827 Short-term investments 3,108 1,849 3 4,960 Other investments (1) 552 399 — 951 Securities lending collateral — 1,523 — 1,523 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 Total assets measured at fair value (1) $ 11,713 $ 83,973 $ 3,117 $ 98,803 Liabilities: Investment derivatives $ 139 $ — $ — $ 139 Derivatives designated as hedging instruments — 53 — 53 Market risk benefits (2) — — 800 800 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) Refer to Note 11 for additional information on Market risk benefits. 21 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries 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 Three Months Ended March 31, 2023 (in millions of U.S. dollars) Available-for-Sale Debt Securities Equity securities Short-term investments Non-U.S. Corporate and asset- backed securities Mortgage-backed securities Balance, beginning of period $ 564 $ 2,449 $ 11 $ 90 $ 3 Transfers out of Level 3 — ( 11 ) — — — Change in Net Unrealized Gains/Losses in OCI ( 4 ) ( 2 ) — — ( 1 ) Net Realized Gains/Losses — 2 — ( 4 ) — Purchases 43 205 — 7 5 Sales ( 31 ) ( 20 ) — ( 5 ) — Settlements ( 11 ) ( 79 ) ( 1 ) — — Balance, end of period $ 561 $ 2,544 $ 10 $ 88 $ 7 Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date $ — $ 4 $ — $ ( 3 ) $ — Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date $ ( 6 ) $ ( 5 ) $ — $ — $ ( 1 ) Assets Three Months Ended March 31, 2022 (in millions of U.S. dollars) Available-for-Sale Debt Securities Equity securities Short-term investments Non-U.S. Corporate and asset- backed securities Mortgage-backed securities Balance, beginning of period $ 633 $ 2,049 $ 26 $ 77 $ 7 Transfers into Level 3 18 29 — 1 — Transfers out of Level 3 ( 23 ) ( 50 ) ( 5 ) — — Change in Net Unrealized Gains/Losses in OCI ( 13 ) ( 22 ) — — — Net Realized Gains/Losses ( 2 ) — — 4 — Purchases 43 315 — 3 2 Sales ( 6 ) ( 27 ) — ( 3 ) — Settlements ( 32 ) ( 65 ) ( 1 ) — ( 5 ) Balance, end of period $ 618 $ 2,229 $ 20 $ 82 $ 4 Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date $ ( 2 ) $ — $ — $ 4 $ — Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date $ ( 13 ) $ ( 22 ) $ — $ — $ — 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 Chubb uses various financial instruments in the normal course of its business. Our insurance contracts are excluded from fair value of financial instruments accounting guidance, and therefore, are not included in the amounts discussed below. The carrying values of cash, other assets, other liabilities, and other financial instruments not included below approximated their fair values. Refer to the 2022 Form 10-K for information on the fair value methods and assumptions for investments in partially-owned insurance companies, short-term and long-term debt, repurchase agreements, and trust-preferred securities. 22 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries The following tables present fair value, by valuation hierarchy, and carrying value of the financial instruments not measured at fair value: March 31, 2023 Fair Value Net Carrying Value (in millions of U.S. dollars) Level 1 Level 2 Level 3 Total Assets: Fixed maturities held to maturity U.S. Treasury / Agency $ 1,267 $ 73 $ — $ 1,340 $ 1,371 Non-U.S. — 1,036 — 1,036 1,106 Corporate and asset-backed securities — 1,576 — 1,576 1,671 Mortgage-backed securities — 1,282 — 1,282 1,372 Municipal — 2,875 — 2,875 2,905 Total assets $ 1,267 $ 6,842 $ — $ 8,109 $ 8,425 Liabilities: Repurchase agreements $ — $ 1,420 $ — $ 1,420 $ 1,420 Long-term debt — 12,892 — 12,892 14,375 Trust preferred securities — 368 — 368 308 Total liabilities $ — $ 14,680 $ — $ 14,680 $ 16,103 December 31, 2022 Fair Value Net Carrying Value (in millions of U.S. dollars) Level 1 Level 2 Level 3 Total Assets: Fixed maturities held to maturity U.S. Treasury / Agency $ 1,299 $ 71 $ — $ 1,370 $ 1,417 Non-U.S. — 1,054 — 1,054 1,136 Corporate and asset-backed securities — 1,580 — 1,580 1,705 Mortgage-backed securities — 1,351 — 1,351 1,455 Municipal — 3,084 — 3,084 3,135 Total assets $ 1,299 $ 7,140 $ — $ 8,439 $ 8,848 Liabilities: Repurchase agreements $ — $ 1,419 $ — $ 1,419 $ 1,419 Short-term debt — 473 — 473 475 Long-term debt — 12,495 — 12,495 14,402 Trust preferred securities — 383 — 383 308 Total liabilities $ — $ 14,770 $ — $ 14,770 $ 16,604 23 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries 5. Reinsurance Reinsurance recoverable on ceded reinsurance March 31, 2023 December 31, 2022 (in millions of U.S. dollars) Net Reinsurance Recoverable (1) Valuation allowance Net Reinsurance Recoverable (1) Valuation allowance Reinsurance recoverable on unpaid losses and loss expenses $ 16,520 $ 294 $ 17,086 $ 289 Reinsurance recoverable on paid losses and loss expenses 1,621 57 1,773 62 Reinsurance recoverable on losses and loss expenses $ 18,141 $ 351 $ 18,859 $ 351 Reinsurance recoverable on policy benefits $ 279 $ 1 $ 302 $ 4 (1) Net of valuation allowance for uncollectible reinsurance. 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: Three Months Ended March 31 (in millions of U.S. dollars) 2023 2022 Valuation allowance for uncollectible reinsurance - beginning of period $ 351 $ 329 Provision for uncollectible reinsurance 5 3 Write-offs charged against the valuation allowance ( 5 ) ( 4 ) Foreign exchange revaluation — 1 Valuation allowance for uncollectible reinsurance - end of period $ 351 $ 329 For additional information, refer to Note 1 d) to the Consolidated Financial Statements of our 2022 Form 10-K. 6. 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 24 Table of Contents 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 7. Goodwill and Value of business acquired Goodwill 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 VOBA 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 March 31 (in millions of U.S. dollars) 2023 Balance, beginning of period $ 3,702 Amortization of VOBA (1) ( 83 ) 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. 25 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries 8. Unpaid losses and loss expenses The following table presents a reconciliation of beginning and ending Unpaid losses and loss expenses: Three Months Ended March 31 (in millions of U.S. dollars) 2023 2022 Gross unpaid losses and loss expenses – beginning of period $ 75,747 $ 72,330 Reinsurance recoverable on unpaid losses – beginning of period (1) ( 17,086 ) ( 16,132 ) Net unpaid losses and loss expenses – beginning of period 58,661 56,198 Net losses and loss expenses incurred in respect of losses occurring in: Current year 5,336 4,963 Prior years (2) ( 188 ) ( 399 ) Total 5,148 4,564 Net losses and loss expenses paid in respect of losses occurring in: Current year 805 593 Prior years 3,911 3,569 Total 4,716 4,162 Foreign currency revaluation and other ( 196 ) 3 Net unpaid losses and loss expenses – end of period 58,897 56,603 Reinsurance recoverable on unpaid losses (1) 16,520 16,593 Gross unpaid losses and loss expenses – end of period $ 75,417 $ 73,196 (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, 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. 26 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries Prior Period Development Prior period development (PPD) arises from changes to loss estimates recognized in the current year that relate to loss events that occurred in previous calendar years and excludes the effect of losses from the development of earned premium from previous accident years. Long-tail lines include lines such as workers' compensation, general liability, and financial lines; while short-tail lines include lines such as most property lines, energy, personal accident, and agriculture. The following table summarizes (favorable) and adverse PPD by segment: Three Months Ended March 31 (in millions of U.S. dollars) Long-tail Short-tail Total 2023 North America Commercial P&C Insurance $ 9 $ ( 81 ) $ ( 72 ) North America Personal P&C Insurance — 17 17 North America Agricultural Insurance — — — Overseas General Insurance — ( 143 ) ( 143 ) Global Reinsurance — ( 8 ) ( 8 ) Corporate 10 — 10 Total $ 19 $ ( 215 ) $ ( 196 ) 2022 North America Commercial P&C Insurance $ ( 20 ) $ ( 88 ) $ ( 108 ) North America Personal P&C Insurance — ( 51 ) ( 51 ) North America Agricultural Insurance — ( 26 ) ( 26 ) Overseas General Insurance — ( 60 ) ( 60 ) Global Reinsurance — ( 3 ) ( 3 ) Corporate 8 — 8 Total $ ( 12 ) $ ( 228 ) $ ( 240 ) Significant prior period movements by segment, principally driven by reserve reviews completed during each respective period, are discussed in more detail below. The remaining net development for long-tail lines and short-tail business for each segment and Corporate comprises numerous favorable and adverse movements across a number of lines and accident years, none of which is significant individually or in the aggregate. North America Commercial P&C Insurance . 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 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. 27 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries Molestation claims 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. 9. 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. 28 Table of Contents 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 Less: 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 29 Table of Contents 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 30 Table of Contents 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 Less: 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 Term Life 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 Whole Life 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 A&H 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 Other 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 31 Table of Contents 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 % 10. 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 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 32 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries Three Months Ended March 31, 2022 (in millions of U.S. 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 . March 31 2023 2022 (in millions of U.S. 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 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 % $ 4 $ — $ 420 $ 743 $ 1,167 2.01 % – 4.00 % 238 210 35 — 483 Total $ 242 $ 210 $ 455 $ 743 $ 1,650 33 Table of Contents 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 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 34 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries 11. 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 March 31 (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) Ranges Weighted Average (1) MRB (1) Actuarial model Lapse rate 1 % – 30 % 4.0 % 3 % – 31 % 4.4 % Annuitization rate 0 % – 100 % 4.4 % 0 % – 100 % 3.7 % (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 35 Table of Contents 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. 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. 12. 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 March 31 (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. 36 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries 13. Commitments, contingencies, and guarantees a) Derivative instruments 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, 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); and convertible equity securities are recorded in Equity securities (ES) in the Consolidated balance sheets. These are the most numerous and frequent derivative transactions. In addition, Chubb, from time to time, purchases to be announced mortgage-backed securities (TBAs) as part of its investing activities. As a global company, Chubb entities transact business in multiple currencies. Our policy is to generally match assets, liabilities, and required capital for each individual jurisdiction in local currency, which would include the use of derivatives discussed below. Some of Chubb's derivatives satisfy hedge accounting requirements, as discussed below. We also consider economic hedging for planned cross border transactions. 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: March 31, 2023 December 31, 2022 Consolidated Balance Sheet Location Fair Value Notional Value/ Payment Provision Fair Value Notional Value/ Payment Provision (in millions of U.S. dollars) Derivative Asset Derivative (Liability) Derivative Asset Derivative (Liability) Investment and embedded derivatives not designated as hedging instruments: Foreign currency forward contracts OA / (AP) $ 33 $ ( 128 ) $ 4,387 $ 64 $ ( 115 ) $ 4,134 Options/Futures contracts on notes and bonds OA / (AP) 26 ( 30 ) 1,861 18 ( 24 ) 1,511 Convertible securities (1) FM AFS / ES 30 — 37 30 — 37 $ 89 $ ( 158 ) $ 6,285 $ 112 $ ( 139 ) $ 5,682 Other derivative instruments: Futures contracts on equities (2) OA / (AP) $ — $ ( 45 ) $ 925 $ 33 $ — $ 939 Other OA / (AP) 5 ( 2 ) 457 — — — $ 5 $ ( 47 ) $ 1,382 $ 33 $ — $ 939 Derivatives designated as hedging instruments: Cross-currency swaps - fair value hedges OA / (AP) $ 8 $ — $ 1,587 $ 17 $ — $ 1,595 Cross-currency swaps - net investment hedges OA / (AP) — ( 82 ) 1,579 — ( 53 ) 1,604 $ 8 $ ( 82 ) $ 3,166 $ 17 $ ( 53 ) $ 3,199 (1) Includes fair value of embedded derivatives. (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. 37 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries b) Hedge accounting 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. (i) Cross-currency swaps - fair value hedges In September 2022, Chubb entered into certain cross-currency swaps designated as fair value hedges. The objective of these cross-currency swaps is to hedge the foreign currency risk on € 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. dollar. These fair value hedges are carried at fair value. The hedges are expected to be highly effective, with gains or losses on the fair value hedges offsetting the foreign currency remeasurement on the hedged euro denominated senior notes within Net realized gains (losses). 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 In September 2022, Chubb entered into certain cross-currency swaps designated as net investment hedges. The objective of these cross-currency swaps is to hedge the foreign currency exposure in the net investments of certain foreign subsidiaries by converting cash flows from U.S. dollar to the British pound sterling, Japanese yen, and Swiss franc. The hedged risk is designated as the foreign currency exposure arising between the functional currency of the foreign subsidiary and the functional currency of its parent entity. These net investment hedges are carried at fair value, with changes in fair value recorded in Cumulative translation adjustments (CTA) within OCI, 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 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. 38 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries c) Derivative instruments not designated as hedges Derivative instruments which are not designated as hedges are carried at fair value with changes in fair value recorded in Net realized gains (losses) 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 March 31 (in millions of U.S. dollars) 2023 2022 Investment and embedded derivative instruments: Foreign currency forward contracts $ ( 51 ) $ ( 54 ) All other futures contracts, options, and equities 5 102 Convertible securities (1) — ( 1 ) Total investment and embedded derivative instruments $ ( 46 ) $ 47 Other derivative instruments: Futures contracts on equities (2) ( 57 ) 42 Other ( 1 ) 1 Total other derivative instruments $ ( 58 ) $ 43 $ ( 104 ) $ 90 (1) Includes embedded derivatives. (2) Related to MRB book of business. (i) Foreign currency exposure management A foreign currency forward contract (forward) is an agreement between participants to exchange specific currencies at a future date. Chubb uses forwards to minimize the effect of fluctuating foreign currencies as discussed above. (ii) Duration management and market exposure Futures Futures contracts give the holder the right and obligation to participate in market movements, determined by the index or underlying security on which the futures contract is based. Settlement is made daily in cash by an amount equal to the change in value of the futures contract times a multiplier that scales the size of the contract. Exchange-traded futures contracts on money market instruments, notes and bonds are used in fixed maturity portfolios to more efficiently manage duration, as substitutes for ownership of the money market instruments, bonds, and notes without significantly increasing the risk in the portfolio. 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 market risk benefit reserves. Options 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. Option contracts are used in our investment portfolio as protection against unexpected shifts in interest rates, which would affect the duration of the fixed maturity portfolio. By using options in the portfolio, the overall interest rate sensitivity of the portfolio can be reduced. Option contracts may also be used as an alternative to futures contracts in the synthetic strategy as described above. The price of an option is influenced by the underlying security, level of interest rates, expected volatility, time to expiration, and supply and demand. 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 39 Table of Contents 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. Other Included within Other are derivatives intended to reduce potential losses which may arise from certain exposures in our insurance business. The economic benefit provided by these derivatives is similar to purchased reinsurance. 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 A convertible security is a debt instrument or preferred stock that can be converted into a predetermined amount of the issuer’s equity. The convertible option is an embedded derivative within the host instruments which are classified in the investment portfolio as either available for sale or as an equity security. Chubb purchases convertible securities for their total return and not specifically for the conversion feature. (iv) TBA By acquiring TBAs, we make a commitment to purchase a future issuance of mortgage-backed securities. For the period between purchase of the TBAs and issuance of the underlying security, we account for our position as a derivative in the Consolidated Financial Statements. 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. (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 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 Chubb participates in a securities lending program operated by a third-party banking institution whereby certain assets are loaned to qualified borrowers and from which we earn an incremental return. The securities lending collateral can only be drawn down by Chubb in the event that the institution borrowing the securities is in default under the lending agreement. An indemnification agreement with the lending agent protects us in the event a borrower becomes insolvent or fails to return any of the securities on loan. The collateral is recorded in Securities lending collateral and the liability is recorded in Securities lending payable in the Consolidated balance sheets. 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 March 31, 2023 December 31, 2022 (in millions of U.S. dollars) Overnight and Continuous Collateral held under securities lending agreements: Cash $ 842 $ 820 U.S. Treasury / Agency 78 72 Non-U.S. 626 604 Corporate and asset-backed securities 36 27 $ 1,582 $ 1,523 Gross amount of recognized liability for securities lending payable $ 1,582 $ 1,523 40 Table of Contents 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. The fair value of the underlying securities sold remains in Fixed maturities available for sale, and the repurchase agreement obligation is recorded in Repurchase agreements in the Consolidated balance sheets. The following table presents the carrying value of collateral pledged under repurchase agreements by investment category and remaining contractual maturity of the underlying agreements: Remaining contractual maturity 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. dollars) Collateral pledged under repurchase agreements: Cash $ 7 $ — $ 7 $ 12 $ — $ 12 U.S. Treasury / Agency — 102 102 — 101 101 Mortgage-backed securities 907 487 1,394 921 493 1,414 $ 914 $ 589 $ 1,503 $ 933 $ 594 $ 1,527 Gross amount of recognized liabilities for repurchase agreements $ 1,420 $ 1,419 Difference (1) $ 83 $ 108 (1) Per the repurchase agreements, the amount of collateral posted is required to exceed the amount of gross liability. Potential risks exist in our secured borrowing transactions due to market conditions and counterparty exposure. With collateral that we pledge, there is a risk that the collateral may not be returned at the expiration of the agreement. If the counterparty fails to return the collateral, Chubb will have free use of the borrowed funds until our collateral is returned. In addition, we may encounter the risk that Chubb may not be able to renew outstanding borrowings with a new term or with an existing counterparty due to market conditions including a decrease in demand as well as more restrictive terms from banks due to increased regulatory and capital constraints. Should this condition occur, Chubb may seek alternative borrowing sources or reduce borrowings. 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. e) Fixed maturities 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 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, 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 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. With few exceptions, Chubb is no longer subject to income tax examinations for years before 2012 . h) Legal proceedings Our insurance subsidiaries are subject to claims litigation involving disputed interpretations of policy coverages and, in some jurisdictions, direct actions by allegedly-injured persons seeking damages from policyholders. These lawsuits, involving claims on policies issued by our subsidiaries which are typical to the insurance industry in general and in the normal course of business, are considered in our loss and loss expense reserves. 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 41 Table of Contents 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 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. 14. Shareholders’ equity All of Chubb’s Common Shares are authorized under Swiss corporate law. Though the par value of Common Shares is stated in Swiss francs, Chubb continues to use U.S. dollars as its reporting currency for preparing the Consolidated Financial Statements. 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. dollars. 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. Decreases in Common Shares in treasury are principally due to grants of restricted stock, exercises of stock options, purchases under the Employee Stock Purchase Plan (ESPP), and share cancellations. At the Chubb Limited Extraordinary General Meeting of Shareholders, held on November 3, 2021, shareholders approved the cancellation of 14,465,400 shares repurchased under our share repurchase program during the first six months of 2021. The capital reduction by cancellation of shares was subject to publication requirements and a two-month waiting period in accordance with Swiss law and became effective on January 17, 2022. At our May 2022 annual general meeting, held on May 19, 2022, our shareholders approved the cancellation of 13,179,100 shares purchased under our share repurchase program during the last six months of 2021. The capital reduction by cancellation of shares was subject to publication requirements and a two-month waiting period in accordance with Swiss law and became effective on August 4, 2022. During the 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: • One-time incremental share repurchase program of $ 5.0 billion of Chubb Common Shares from July 19, 2021, through June 30, 2022; and • $ 2.5 billion of Chubb Common Shares from May 19, 2022, through June 30, 2023. 42 Table of Contents 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 April 1, 2023 through May 1, 2023 March 31 (in millions of U.S. dollars, except share data) 2023 2022 Number of shares repurchased 2,010,400 4,869,900 215,400 Cost of shares repurchased $ 428 $ 1,001 $ 43 Repurchase authorization remaining at end of period $ 1,193 $ 1,648 $ 1,150 43 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries The following table presents changes in accumulated other comprehensive income (loss): Three Months Ended March 31 2023 2022 (in millions of U.S. dollars) As Adjusted Accumulated other comprehensive income (loss) (AOCI) Net unrealized appreciation (depreciation) on investments Balance – beginning of period, net of tax $ ( 7,279 ) $ 2,256 Change in period, before reclassification from AOCI (before tax) 1,606 ( 4,788 ) Amounts reclassified from AOCI (before tax) 180 136 Change in period, before tax 1,786 ( 4,652 ) 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 Income tax benefit 7 4 Balance – end of period, net of tax ( 3,136 ) ( 2,043 ) Fair value hedging instruments Balance – beginning of period, net of tax ( 66 ) — Change in period, before reclassification from AOCI (before tax) ( 17 ) — Amounts reclassified from AOCI (before tax) ( 16 ) — Change in period, before tax ( 33 ) — Income tax benefit 7 — Balance – end of period, net of tax ( 92 ) — Postretirement benefit liability adjustment Balance – beginning of period, net of tax 225 240 Change in period, before tax — 19 Income tax expense ( 1 ) ( 4 ) Balance – end of period, net of tax 224 255 Accumulated other comprehensive income (loss) $ ( 8,895 ) $ ( 4,403 ) 44 Table of Contents 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 Consolidated Statement of Operations Location March 31 (in millions of U.S. dollars) 2023 2022 Fixed maturities available for sale $ ( 180 ) $ ( 136 ) Net realized gains (losses) 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) Cross-currency swaps ( 4 ) — Interest expense Income tax expense ( 3 ) — Income tax expense $ 13 $ — Net income Total amounts reclassified from AOCI $ ( 147 ) $ ( 114 ) 15. Share-based compensation The Chubb Limited 2016 Long-Term Incentive Plan, as amended and restated (the Amended 2016 LTIP), permits grants of both incentive and non-qualified stock options principally at an option price per share equal to the grant date fair value of Chubb's Common Shares. Stock options are generally granted with a 3 -year vesting period and a 10 -year term. Stock options typically vest in equal annual installments over the respective vesting period, which is also the requisite service period. On February 23, 2023, Chubb granted 1,540,002 stock options with a weighted-average grant date fair value of $ 51.32 each. The fair value of the options issued is estimated on the grant date using the Black-Scholes option pricing model. The Amended 2016 LTIP also permits grants of service-based restricted stock and restricted stock units as well as performance-based restricted stock awards. Chubb generally grants service-based restricted stock and restricted stock units with a 4 -year vesting period, based on a graded vesting schedule. The performance-based restricted stock awards granted comprise target awards and premium awards that cliff vest at the end of a 3 -year performance period based on both tangible book value (shareholders' equity less goodwill and intangible assets, net of tax) per share growth and P&C combined ratio compared to a defined group of peer companies. Premium awards are subject to an additional vesting provision based on total shareholder return compared to our peer group. The restricted stock is principally granted at market close price on the grant date. On February 23, 2023, Chubb granted 785,319 service-based restricted stock awards, 315,545 service-based restricted stock units, and 407,825 performance-based stock awards to employees and officers with a grant date fair value of $ 208.60 each. Each restricted stock unit represents our obligation to deliver to the holder one Common Share upon vesting. 45 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries 16. 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 2023 2022 2023 2022 Three Months Ended March 31 U.S. Plans Non-U.S. Plans U.S. Plans Non-U.S. Plans (in millions of U.S. dollars) Service cost $ — $ 2 $ — $ 1 $ — $ — Non-service cost (benefit): Interest cost 34 9 21 6 — — Expected return on plan assets ( 56 ) ( 12 ) ( 71 ) ( 11 ) ( 1 ) — Amortization of net actuarial loss — — — — — — Amortization of prior service cost — — — — — — Settlements — — — — — — Total non-service cost (benefit) ( 22 ) ( 3 ) ( 50 ) ( 5 ) ( 1 ) — Net periodic benefit cost (benefit) $ ( 22 ) $ ( 1 ) $ ( 50 ) $ ( 4 ) $ ( 1 ) $ — 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: Pension Benefit Plans Other Postretirement Benefit Plans Three Months Ended March 31 2023 2022 2023 2022 (in millions of U.S. dollars) Service cost: Losses and loss expenses $ — $ — $ — $ — Administrative expenses 2 1 — — Total service cost 2 1 — — Non-service cost (benefit): Losses and loss expenses ( 2 ) ( 5 ) — — Administrative expenses ( 23 ) ( 50 ) ( 1 ) — Total non-service cost (benefit) ( 25 ) ( 55 ) ( 1 ) — Net periodic benefit cost (benefit) $ ( 23 ) $ ( 54 ) $ ( 1 ) $ — 46 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries 17. Other income and expense Three Months Ended March 31 (in millions of U.S. dollars) 2023 2022 Equity in net income of partially-owned entities (1) $ 340 $ 363 Gains (losses) from fair value changes in separate account assets (2) ( 25 ) ( 31 ) Federal excise and capital taxes ( 5 ) ( 4 ) Other ( 14 ) ( 16 ) Total $ 296 $ 312 (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. 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. Also included in Other income and expense are gains (losses) from fair value changes in separate account assets that do not qualify for separate account reporting under GAAP. The offsetting movement in the separate account liabilities is included in Policy benefits in the Consolidated statements of operations. Certain federal excise and capital taxes incurred as a result of capital management initiatives are included in Other income and expense as these are considered capital transactions and are excluded from underwriting results. Bad debt expense for uncollectible premiums is also included in Other income and expense. 18. Segment information Chubb operates through six business segments: 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. Our main measure of segment performance is Segment income (loss), which also includes amortization of purchased intangibles acquired by the segment. We determined that this definition of segment income (loss) is appropriate and aligns with how the business is managed. 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), market risk benefits 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 several Asian markets. These items are not allocated to the segment level as they are one-time in nature and are not related to the ongoing business activities of the segment. The Chief Executive Officer does not manage segment results or allocate resources to segments when considering these costs, and therefore are excluded from our definition of segment income (loss). Certain items are presented in a different manner for segment reporting purposes than in the Consolidated Financial Statements. These items are reconciled to the consolidated presentation in the Segment measure reclass column below and include: • Losses and loss expenses include realized gains and losses on crop derivatives. 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 47 Table of Contents 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. These gains and losses have been reclassified from Other (income) expense. We view gains and losses from fair value changes in both separate account assets and liabilities as part of the results of our underwriting operations, and therefore these gains and losses are reclassified to policy benefits. • Net investment income includes investment income reclassified from Other (income) expense related to partially-owned investment companies (private equity partnerships) where our ownership interest is in excess of three percent. We view investment income from these equity-method private equity partnerships as net investment income for segment reporting purposes. 48 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries The following tables present the Statement of Operations by segment: For the Three Months Ended March 31, 2023 (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 $ 4,288 $ 1,296 $ 293 $ 3,263 $ 277 $ 1,293 $ — $ — $ 10,710 Net premiums earned 4,369 1,320 159 2,786 244 1,264 — — 10,142 Losses and loss expenses 2,729 888 140 1,237 112 32 11 ( 1 ) 5,148 Policy benefits — — — 110 — 712 — ( 25 ) 797 Policy acquisition costs 613 272 15 713 62 273 — — 1,948 Administrative expenses 295 79 3 280 9 167 97 — 930 Underwriting income (loss) 732 81 1 446 61 80 ( 108 ) 26 1,319 Net investment income 698 82 17 188 49 153 11 ( 91 ) 1,107 Other (income) expense 7 1 1 ( 9 ) ( 1 ) ( 15 ) ( 214 ) ( 66 ) ( 296 ) Amortization expense of purchased intangibles — 2 6 18 — 4 42 — 72 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 Cigna integration expenses 22 — 22 Income tax expense 384 — 384 Net income (loss) $ ( 682 ) $ — $ 1,892 For the Three Months Ended March 31, 2022 (As Adjusted) (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 $ 4,039 $ 1,180 $ 62 $ 3,079 $ 253 $ 576 $ — $ — $ 9,189 Net premiums earned 4,114 1,247 ( 29 ) 2,628 235 542 — — 8,737 Losses and loss expenses 2,497 713 ( 92 ) 1,296 115 24 10 1 4,564 Policy benefits — — — 93 — 311 — ( 31 ) 373 Policy acquisition costs 573 260 12 679 62 133 — — 1,719 Administrative expenses 265 69 ( 1 ) 269 9 84 83 — 778 Underwriting income (loss) 779 205 52 291 49 ( 10 ) ( 93 ) 30 1,303 Net investment income (loss) 489 59 7 147 85 103 ( 5 ) ( 63 ) 822 Other (income) expense 6 1 — 2 — ( 30 ) ( 259 ) ( 32 ) ( 312 ) Amortization expense of purchased intangibles — 2 7 14 — 2 46 — 71 Segment income $ 1,262 $ 261 $ 52 $ 422 $ 134 $ 121 $ 115 $ ( 1 ) $ 2,366 Net realized gains (losses) 22 1 23 Market risk benefits gains (losses) 49 — 49 Interest expense 132 — 132 Income tax expense 353 — 353 Net income (loss) $ ( 299 ) $ — $ 1,953 49 Table of Contents 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. 19. Earnings per share Three Months Ended March 31 2023 2022 (in millions of U.S. dollars, except share and per share data) As Adjusted Numerator: Net income $ 1,892 $ 1,953 Denominator: Denominator for basic earnings per share: Weighted-average shares outstanding 414,289,150 425,805,105 Denominator for diluted earnings per share: Share-based compensation plans 3,639,042 3,985,729 Weighted-average shares outstanding and assumed conversions 417,928,192 429,790,834 Basic earnings per share $ 4.57 $ 4.59 Diluted earnings per share $ 4.53 $ 4.55 Potential anti-dilutive share conversions 1,731,523 681,032 Excluded from weighted-average shares outstanding and assumed conversions is the impact of securities that would have been anti-dilutive during the respective periods. These securities consisted of stock options in which the underlying exercise prices were greater than the average market prices of our Common Shares. Refer to Note 12 to the Consolidated Financial Statements of our 2022 Form 10-K for additional information on stock options. 50 Table of Contents