Chubb Ltd 10-Q

ITEM 1. Financial Statements CONSOLIDATED BALANCE SHEETS (Unaudited) Chubb Limited and Subsidiaries June 30 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 - $ 193 and $ 169 (amortized cost – $ 104,224 and $ 93,355 ) $ 96,789 $ 85,220 Fixed maturities held to maturity, at amortized cost, net of valuation allowance - nil and $ 34 (fair value – nil and $ 8,439 ) — 8,848 Equity securities, at fair value 1,043 827 Short-term investments, at fair value (amortized cost – $ 4,099 and $ 4,962 ) 4,097 4,960 Other investments, at fair value 14,707 13,696 Total investments 116,636 113,551 Cash 2,285 2,012 Restricted cash 90 115 Securities lending collateral 1,525 1,523 Accrued investment income 983 941 Insurance and reinsurance balances receivable, net of valuation allowance - $ 52 and $ 52 14,128 11,933 Reinsurance recoverable on losses and loss expenses, net of valuation allowance - $ 361 and $ 351 18,398 18,859 Reinsurance recoverable on policy benefits 315 302 Deferred policy acquisition costs 6,666 6,031 Value of business acquired 3,575 3,702 Goodwill 16,322 16,228 Other intangible assets 5,320 5,441 Prepaid reinsurance premiums 3,599 3,136 Investments in partially-owned insurance companies 3,542 2,507 Separate account assets 5,574 5,190 Other assets 6,490 7,546 Total assets $ 205,448 $ 199,017 Liabilities Unpaid losses and loss expenses $ 76,480 $ 75,747 Unearned premiums 21,860 19,713 Future policy benefits 11,064 10,476 Market risk benefits 722 800 Policyholders' account balances 3,215 3,140 Separate account liabilities 5,574 5,190 Insurance and reinsurance balances payable 8,429 7,780 Securities lending payable 1,525 1,523 Accounts payable, accrued expenses, and other liabilities 6,864 7,148 Deferred tax liabilities 533 377 Repurchase agreements 1,518 1,419 Short-term debt 699 475 Long-term debt 13,782 14,402 Trust preferred securities 308 308 Total liabilities 152,573 148,498 Commitments and contingencies (refer to Note 13) Shareholders’ equity Common Shares (CHF 0.50 and 24.15 par value; 431,451,586 and 446,376,614 shares issued; 410,691,354 and 414,594,856 shares outstanding) 241 10,346 Common Shares in treasury ( 20,760,232 and 31,781,758 shares) ( 3,174 ) ( 5,113 ) Additional paid-in capital 16,163 7,166 Retained earnings 49,467 48,305 Accumulated other comprehensive income (loss) (AOCI) ( 9,822 ) ( 10,185 ) Total shareholders’ equity 52,875 50,519 Total liabilities and shareholders’ equity $ 205,448 $ 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 Six Months Ended June 30 June 30 2023 2022 2023 2022 (in millions of U.S. dollars, except per share data) As Adjusted As Adjusted Revenues Net premiums written $ 11,951 $ 10,293 $ 22,661 $ 19,482 Increase in unearned premiums ( 952 ) ( 744 ) ( 1,520 ) ( 1,196 ) Net premiums earned 10,999 9,549 21,141 18,286 Net investment income 1,145 888 2,252 1,710 Net realized gains (losses) ( 304 ) ( 503 ) ( 381 ) ( 480 ) Market risk benefits gains (losses) ( 7 ) ( 33 ) ( 122 ) 16 Total revenues 11,833 9,901 22,890 19,532 Expenses Losses and loss expenses 5,683 5,206 10,831 9,770 Policy benefits (includes remeasurement losses of $ 5 , nil , $ 4 , and $ 6 ) 830 361 1,627 734 Policy acquisition costs 2,016 1,726 3,964 3,445 Administrative expenses 969 818 1,899 1,596 Interest expense 165 134 325 266 Other (income) expense ( 100 ) 101 ( 396 ) ( 211 ) Amortization of purchased intangibles 70 71 142 142 Cigna integration expenses 15 3 37 3 Total expenses 9,648 8,420 18,429 15,745 Income before income tax 2,185 1,481 4,461 3,787 Income tax expense 392 291 776 644 Net income $ 1,793 $ 1,190 $ 3,685 $ 3,143 Other comprehensive income (loss) Change in: Unrealized appreciation (depreciation) $ ( 1,194 ) $ ( 4,344 ) $ 592 $ ( 8,996 ) Current discount rate on future policy benefits ( 35 ) 632 ( 186 ) 1,067 Instrument-specific credit risk on market risk benefits 11 17 8 40 Cumulative foreign currency translation adjustment 215 ( 756 ) 38 ( 689 ) Other, including postretirement benefit liability adjustment 48 5 15 24 Other comprehensive income (loss), before income tax ( 955 ) ( 4,446 ) 467 ( 8,554 ) Income tax (expense) benefit related to OCI items 28 183 ( 104 ) 962 Other comprehensive income (loss) ( 927 ) ( 4,263 ) 363 ( 7,592 ) Comprehensive income (loss) $ 866 $ ( 3,073 ) $ 4,048 $ ( 4,449 ) Earnings per share Basic earnings per share $ 4.35 $ 2.82 $ 8.92 $ 7.42 Diluted earnings per share $ 4.32 $ 2.80 $ 8.84 $ 7.35 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 Six Months Ended June 30 June 30 2023 2022 2023 2022 (in millions of U.S. dollars) As Adjusted As Adjusted Common Shares Balance – beginning of period $ 10,346 $ 10,666 $ 10,346 $ 10,985 Par value reduction ( 9,759 ) — ( 9,759 ) — Cancellation of treasury shares ( 346 ) — ( 346 ) ( 319 ) Balance – end of period 241 10,666 241 10,666 Common Shares in treasury Balance – beginning of period ( 5,341 ) ( 5,700 ) ( 5,113 ) ( 7,464 ) Common Shares repurchased ( 724 ) ( 1,129 ) ( 1,152 ) ( 2,130 ) Cancellation of treasury shares 2,869 — 2,869 2,510 Net shares issued under employee share-based compensation plans 22 35 222 290 Balance – end of period ( 3,174 ) ( 6,794 ) ( 3,174 ) ( 6,794 ) Additional paid-in capital Balance – beginning of period 6,680 7,988 7,166 8,478 Net shares redeemed (issued) under employee share-based compensation plans 5 4 ( 206 ) ( 195 ) Exercise of stock options — ( 6 ) ( 13 ) ( 27 ) Share-based compensation expense 73 69 155 139 Par value reduction 9,759 — 9,759 — Funding of dividends declared to Retained earnings ( 354 ) ( 348 ) ( 698 ) ( 688 ) Balance – end of period 16,163 7,707 16,163 7,707 Retained earnings Balance – beginning of period 50,197 47,165 48,305 47,403 Net income 1,793 1,190 3,685 3,143 Cancellation of treasury shares ( 2,523 ) — ( 2,523 ) ( 2,191 ) Funding of dividends declared from Additional paid-in capital 354 348 698 688 Dividends declared on Common Shares ( 354 ) ( 348 ) ( 698 ) ( 688 ) Balance – end of period 49,467 48,355 49,467 48,355 Accumulated other comprehensive income (loss) (AOCI) Balance – beginning of period ( 8,895 ) ( 4,403 ) ( 10,185 ) ( 1,074 ) Other comprehensive income (loss) ( 927 ) ( 4,263 ) 363 ( 7,592 ) Balance – end of period ( 9,822 ) ( 8,666 ) ( 9,822 ) ( 8,666 ) Total shareholders’ equity $ 52,875 $ 51,268 $ 52,875 $ 51,268 See accompanying notes to the Consolidated Financial Statements 5 Table of Contents CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) Chubb Limited and Subsidiaries Six Months Ended June 30 2023 2022 (in millions of U.S. dollars) As Adjusted Cash flows from operating activities Net income $ 3,685 $ 3,143 Adjustments to reconcile net income to net cash flows from operating activities Net realized (gains) losses 381 480 Market risk benefits (gains) losses 122 ( 16 ) Amortization of premiums/discounts on fixed maturities ( 38 ) 148 Amortization of purchased intangibles 142 142 Equity in net income of partially-owned entities ( 460 ) ( 291 ) Deferred income taxes 43 108 Unpaid losses and loss expenses 561 1,949 Unearned premiums 1,913 1,554 Future policy benefits 351 99 Insurance and reinsurance balances payable 588 670 Accounts payable, accrued expenses, and other liabilities ( 388 ) 67 Income taxes payable ( 38 ) ( 83 ) Insurance and reinsurance balances receivable ( 2,044 ) ( 1,560 ) Reinsurance recoverable 455 ( 642 ) Deferred policy acquisition costs ( 546 ) ( 232 ) Other 39 ( 370 ) Net cash flows from operating activities 4,766 5,166 Cash flows from investing activities Purchases of fixed maturities available for sale ( 12,800 ) ( 13,474 ) Purchases of fixed maturities held to maturity ( 208 ) ( 380 ) Purchases of equity securities ( 240 ) ( 664 ) Sales of fixed maturities available for sale 7,229 8,053 Sales of equity securities 81 2,445 Maturities and redemptions of fixed maturities available for sale 3,203 5,753 Maturities and redemptions of fixed maturities held to maturity 708 820 Net change in short-term investments 898 ( 340 ) Net derivative instruments settlements ( 63 ) 117 Private equity contributions ( 1,046 ) ( 1,287 ) Private equity distributions 568 448 Acquisition of subsidiaries ( 23 ) — Payment for Huatai Group interest ( 229 ) ( 113 ) Other ( 340 ) ( 253 ) Net cash flows from (used for) investing activities ( 2,262 ) 1,125 Cash flows from financing activities Dividends paid on Common Shares ( 688 ) ( 681 ) Common Shares repurchased ( 1,267 ) ( 2,127 ) Proceeds from issuance of repurchase agreements 3,774 3,002 Repayment of long-term debt ( 475 ) — Repayment of repurchase agreements ( 3,674 ) ( 1,000 ) Proceeds from share-based compensation plans 102 170 Policyholder contract deposits 170 188 Policyholder contract withdrawals ( 101 ) ( 144 ) Tax withholding payments for share-based compensation plans ( 97 ) ( 98 ) Other ( 56 ) ( 35 ) Net cash flows used for financing activities ( 2,312 ) ( 725 ) Effect of foreign currency rate changes on cash and restricted cash 56 ( 138 ) Net increase in cash and restricted cash 248 5,428 Cash and restricted cash – beginning of period 2,127 1,811 Cash and restricted cash – end of period $ 2,375 $ 7,239 Supplemental cash flow information Taxes paid $ 753 $ 612 Interest paid $ 306 $ 290 See accompanying notes to the Consolidated Financial Statements 6 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) Chubb Limited and Subsidiaries 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: June 30 December 31 (in millions of U.S. dollars) 2023 2022 Cash $ 2,285 $ 2,012 Restricted cash 90 115 Total cash and restricted cash shown in the Consolidated statements of cash flows $ 2,375 $ 2,127 7 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. 8 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries Three Months Ended Six Months Ended June 30, 2022 June 30, 2022 (in millions of U.S. dollars) As Previously Reported LDTI Adoption Adjustment As Adjusted As Previously Reported LDTI Adoption Adjustment As Adjusted Consolidated statements of operations and comprehensive income Net premiums written $ 10,302 $ ( 9 ) $ 10,293 $ 19,501 $ ( 19 ) $ 19,482 Net premiums earned 9,557 ( 8 ) 9,549 18,303 ( 17 ) 18,286 Net realized gains (losses) ( 504 ) 1 ( 503 ) ( 403 ) ( 77 ) ( 480 ) Market risk benefits gains (losses) — ( 33 ) ( 33 ) — 16 16 Losses and loss expenses 5,408 ( 202 ) 5,206 10,195 ( 425 ) 9,770 Policy benefits 159 202 361 304 430 734 Policy acquisition costs 1,739 ( 13 ) 1,726 3,476 ( 31 ) 3,445 Other (income) expense 101 — 101 ( 209 ) ( 2 ) ( 211 ) Income tax expense 293 ( 2 ) 291 648 ( 4 ) 644 Net Income 1,215 ( 25 ) 1,190 3,189 ( 46 ) 3,143 Other comprehensive income Change in current discount rate on future policy benefits — 632 632 — 1,067 1,067 Change in instrument-specific credit risk on market risk benefits — 17 17 — 40 40 Income tax benefit related to OCI items 245 ( 62 ) 183 1,057 ( 95 ) 962 Comprehensive income ( 3,656 ) 583 ( 3,073 ) ( 5,436 ) 987 ( 4,449 ) Six Months Ended June 30,2022 (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 $ 5,160 $ 6 $ 5,166 Net cash flows used for financing activities ( 719 ) ( 6 ) ( 725 ) 9 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 10 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. Direct costs related to the acquisition were expensed as incurred. 11 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries The following table summarizes the fair value of the assets acquired and liabilities assumed at July 1, 2022. 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 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 Six Months Ended Pro forma: June 30 June 30 (in millions of U.S. dollars) 2022 2022 Net premiums earned $ 10,299 $ 19,811 Total revenues $ 10,620 $ 21,037 Net income $ 1,276 $ 3,335 Huatai Group Huatai Insurance Group Co., Ltd. (Huatai Group) is a Chinese financial services holding company, and the parent company of, among others, Huatai Property & Casualty Insurance Co., Ltd. (Huatai P&C), Huatai Life Insurance Co., Ltd. (Huatai Life), and Huatai Asset Management Co., Ltd., of which Huatai Group owns 100 percent, 80 percent, and 82 percent, respectively (collectively, Huatai). As of June 30, 2023, Chubb's aggregate ownership interest in Huatai Group was approximately 64.2 percent. Chubb applied th e equity method of accounting to its investment in Huatai Group by recording its share of net income or loss in Other (income) expense in the Consolidated statements of operations. 12 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries On July 1, 2023, Chubb completed the acquisition of an additional 5.4 percent of ownership interest in Huatai Group, increasing its aggregate ownership interest to approximately 69.6 percent. Effective July 1, 2023, and starting with our third quarter 2023 reporting, Chubb will apply consolidation accounting to its investment in Huatai Group. Chubb has agreements in place to acquire approximately 16.6 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 $ 464 million for the approximately 16.6 percent of ownership interests, and the remaining aggregate purchase price to be paid upon closing is approximately $ 0.5 billion, based on current exchange rates. Refer to Note 2 to the Consolidated Financial Statements in our 2022 Form 10-K for additional information. 13 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries 3. Investments a) Transfers of securities In June 2023, we determined that we no longer have the intent to hold securities in our held to maturity (HTM) portfolio until maturity. As a result, our entire HTM securities portfolio was transferred to the available for sale (AFS) portfolio. This decision allowed us to increase our flexibility to execute on our investment strategy and take advantage of the continuing higher reinvestment environment while not making any major change to our current asset allocation. At the time of the transfer on June 30, 2023, these securities had a carrying value of $ 8.2 billion and a fair value of $ 7.8 billion, resulting in an increase to Unrealized depreciation in OCI of $ 428 million, after-tax. This transfer represents a non-cash transaction and does not impact the Consolidated Statements of Cash Flows. b) Fixed maturities June 30, 2023 Amortized Cost Valuation Allowance Gross Unrealized Appreciation Gross Unrealized Depreciation Fair Value (in millions of U.S. dollars) Available for sale U.S. Treasury / Agency $ 3,942 $ — $ 6 $ ( 204 ) $ 3,744 Non-U.S. 31,513 ( 64 ) 267 ( 2,014 ) 29,702 Corporate and asset-backed securities 43,348 ( 127 ) 90 ( 3,134 ) 40,177 Mortgage-backed securities 20,032 ( 2 ) 10 ( 2,068 ) 17,972 Municipal 5,389 — 9 ( 204 ) 5,194 $ 104,224 $ ( 193 ) $ 382 $ ( 7,624 ) $ 96,789 December 31, 2022 Amortized Cost Valuation Allowance Gross Unrealized Appreciation Gross Unrealized Depreciation Fair Value (in millions of U.S. dollars) Available for sale U.S. Treasury / Agency $ 2,792 $ — $ 5 $ ( 171 ) $ 2,626 Non-U.S. 28,064 ( 59 ) 108 ( 2,205 ) 25,908 Corporate and asset-backed securities 40,547 ( 107 ) 49 ( 3,534 ) 36,955 Mortgage-backed securities 17,871 ( 3 ) 4 ( 2,021 ) 15,851 Municipal 4,081 — 8 ( 209 ) 3,880 $ 93,355 $ ( 169 ) $ 174 $ ( 8,140 ) $ 85,220 December 31, 2022 Amortized Cost Valuation Allowance Net Carrying Value Gross Unrealized Appreciation Gross Unrealized Depreciation Fair Value (in millions of U.S. dollars) Held to maturity U.S. Treasury / Agency $ 1,417 $ — $ 1,417 $ 1 $ ( 48 ) $ 1,370 Non-U.S. 1,140 ( 4 ) 1,136 — ( 82 ) 1,054 Corporate and asset-backed securities 1,733 ( 28 ) 1,705 1 ( 126 ) 1,580 Mortgage-backed securities 1,456 ( 1 ) 1,455 — ( 104 ) 1,351 Municipal 3,136 ( 1 ) 3,135 1 ( 52 ) 3,084 $ 8,882 $ ( 34 ) $ 8,848 $ 3 $ ( 412 ) $ 8,439 14 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries The following table presents the amortized cost of our held to maturity securities according to S&P rating: December 31, 2022 (in millions of U.S. dollars, except for percentages) Amortized cost % of Total AAA $ 1,612 18 % AA 5,023 57 % A 1,634 18 % BBB 593 7 % BB 20 — % Total $ 8,882 100 % The following table presents fixed maturities by contractual maturity: June 30, 2023 December 31, 2022 (in millions of U.S. dollars) Net Carrying Value Fair Value Net Carrying Value Fair Value Available for sale Due in 1 year or less $ 4,355 $ 4,355 $ 2,962 $ 2,962 Due after 1 year through 5 years 30,067 30,067 24,791 24,791 Due after 5 years through 10 years 28,491 28,491 26,679 26,679 Due after 10 years 15,904 15,904 14,937 14,937 78,817 78,817 69,369 69,369 Mortgage-backed securities 17,972 17,972 15,851 15,851 $ 96,789 $ 96,789 $ 85,220 $ 85,220 Held to maturity Due in 1 year or less $ — $ — $ 1,015 $ 1,003 Due after 1 year through 5 years — — 3,658 3,531 Due after 5 years through 10 years — — 1,460 1,423 Due after 10 years — — 1,260 1,131 — — 7,393 7,088 Mortgage-backed securities — — 1,455 1,351 $ — $ — $ 8,848 $ 8,439 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. c) Gross unrealized loss Fixed maturities in an unrealized loss position at June 30, 2023, and December 31, 2022, comprised both investment grade and below investment grade securities for which fair value declined, principally due to rising interest rates since the date of purchase. Refer to Note 1 e) in the 2022 Form 10-K for further information on factors considered in the evaluation of expected credit losses. 15 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries The following tables present, for AFS fixed maturities in an unrealized loss position (including securities on loan) that are not deemed to have expected credit losses, the aggregate fair value and gross unrealized loss by length of time the security has been in an unrealized loss position: 0 – 12 Months Over 12 Months Total June 30, 2023 Fair Value Gross Unrealized Loss Fair Value Gross Unrealized Loss Fair Value Gross Unrealized Loss (in millions of U.S. dollars) U.S. Treasury / Agency $ 1,843 $ ( 70 ) $ 1,779 $ ( 134 ) $ 3,622 $ ( 204 ) Non-U.S. 7,895 ( 243 ) 14,825 ( 1,377 ) 22,720 ( 1,620 ) Corporate and asset-backed securities 11,053 ( 352 ) 19,674 ( 1,718 ) 30,727 ( 2,070 ) Mortgage-backed securities 6,081 ( 258 ) 11,418 ( 1,763 ) 17,499 ( 2,021 ) Municipal 3,626 ( 63 ) 856 ( 141 ) 4,482 ( 204 ) Total AFS fixed maturities $ 30,498 $ ( 986 ) $ 48,552 $ ( 5,133 ) $ 79,050 $ ( 6,119 ) 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 June 30, 2023, the tax benefit on certain unrealized losses in our investment portfolio was reduced by a valuation allowance of $ 768 million necessary due to limitations on the utilization of these losses. As part of evaluating whether it was more likely than not that we could realize these losses, we considered realized gains, carryback ability and available tax planning strategies. The following table presents a roll-forward of valuation allowance for expected credit losses on fixed maturities: Three Months Ended Six Months Ended June 30 June 30 (in millions of U.S. dollars) 2023 2022 2023 2022 Available for sale Valuation allowance for expected credit losses - beginning of period $ 168 $ 27 $ 169 $ 14 Provision for expected credit loss 79 61 138 78 Write-offs charged against the expected credit loss ( 2 ) — ( 4 ) — Recovery of expected credit loss ( 52 ) ( 10 ) ( 110 ) ( 14 ) Valuation allowance for expected credit losses - end of period $ 193 $ 78 $ 193 $ 78 Held to maturity Valuation allowance for expected credit losses - beginning of period $ 33 $ 34 $ 34 $ 35 Provision for expected credit loss — 1 — 1 Recovery of expected credit loss ( 33 ) ( 1 ) ( 34 ) ( 2 ) Valuation allowance for expected credit losses - end of period $ — $ 34 $ — $ 34 16 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries d) Net realized gains (losses) The following table presents the components of Net realized gains (losses): Three Months Ended Six Months Ended June 30 June 30 (in millions of U.S. dollars) 2023 2022 2023 2022 Fixed maturities: Gross realized gains $ 17 $ 362 $ 19 $ 401 Gross realized losses ( 113 ) ( 700 ) ( 272 ) ( 827 ) Net (provision for) recovery of expected credit losses 8 ( 51 ) 10 ( 63 ) Impairment (1) ( 19 ) ( 53 ) ( 44 ) ( 89 ) Total fixed maturities ( 107 ) ( 442 ) ( 287 ) ( 578 ) Equity securities 28 ( 263 ) 39 ( 207 ) Other investments 20 4 35 59 Foreign exchange ( 186 ) 270 ( 55 ) 344 Investment and embedded derivative instruments ( 55 ) ( 81 ) ( 101 ) ( 34 ) Other derivative instruments 2 9 1 10 Other ( 6 ) — ( 13 ) ( 74 ) Net realized gains (losses) (pre-tax) $ ( 304 ) $ ( 503 ) $ ( 381 ) $ ( 480 ) (1) Relates to certain securities we intended to sell and securities written to market entering default. 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 June 30 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 $ 28 $ 20 $ 48 $ ( 263 ) $ 4 $ ( 259 ) Less: Net gains (losses) recognized from sales of securities 2 — 2 163 — 163 Unrealized gains (losses) recognized for securities still held at reporting date $ 26 $ 20 $ 46 $ ( 426 ) $ 4 $ ( 422 ) Six Months Ended June 30 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 $ 39 $ 35 $ 74 $ ( 207 ) $ 59 $ ( 148 ) Less: Net gains (losses) recognized from sales of securities ( 3 ) — ( 3 ) 418 — 418 Unrealized gains (losses) recognized for securities still held at reporting date $ 42 $ 35 $ 77 $ ( 625 ) $ 59 $ ( 566 ) 17 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries e) 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 June 30, 2023 December 31, 2022 (in millions of U.S. dollars) Fair Value Maximum Future Funding Commitments Fair Value Maximum Future Funding Commitments Financial 2 to 10 Years $ 1,177 $ 428 $ 1,074 $ 505 Real assets 2 to 13 Years 2,149 560 2,166 681 Distressed 2 to 8 Years 1,141 620 1,048 755 Private credit 3 to 8 Years 304 316 215 429 Traditional 2 to 14 Years 8,068 4,297 7,424 5,025 Vintage 1 to 2 Years 50 — 55 — Investment funds Not Applicable 399 — 373 — $ 13,288 $ 6,221 $ 12,355 $ 7,395 Included in all categories in the above table, except for Investment funds, are investments for which Chubb will never have the contractual option to redeem but receives distributions based on the liquidation of the underlying assets. Further, for all categories except for Investment funds, Chubb does not have the ability to sell or transfer the investments without consent from the general partner of the individual funds. Investment Category: Consists of investments in private equity funds: Financial targeting financial services companies, such as financial institutions and insurance services worldwide Real assets targeting investments related to hard physical assets, such as real estate, infrastructure and natural resources Distressed targeting distressed corporate debt/credit and equity opportunities in the U.S. Private credit targeting privately originated corporate debt investments, including senior secured loans and subordinated bonds Traditional employing traditional private equity investment strategies, such as buyout and growth equity globally Vintage funds where the initial fund term has expired Investment funds employ various investment strategies, such as long/short equity and arbitrage/distressed. Included in this category are investments for which Chubb has the option to redeem at agreed upon value as described in each investment fund’s subscription agreement. Depending on the terms of the various subscription agreements, investment fund investments may be redeemed monthly, quarterly, semi-annually, or annually. If Chubb wishes to redeem an investment fund investment, it must first determine if the investment fund is still in a lock-up period (a time when Chubb cannot redeem its investment so that the investment fund manager has time to build the portfolio). If the investment fund is no longer in its lock-up period, Chubb must then notify the investment fund manager of its intention to redeem by the notification date prescribed by the subscription agreement. Subsequent to notification, the investment fund can redeem Chubb’s investment within several months of the notification. Notice periods for redemption of the investment funds are up to 270 days. Chubb can redeem its investment funds without consent from the investment fund managers. f) 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 June 18 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries 30, 2023, and December 31, 2022, are investments, primarily fixed maturities, totaling $ 15,982 million and $ 15,721 million, respectively, and cash of $ 90 million and $ 115 million, respectively. The following table presents the components of restricted assets: June 30 December 31 (in millions of U.S. dollars) 2023 2022 Trust funds $ 8,194 $ 8,120 Deposits with U.S. regulatory authorities 2,337 2,345 Deposits with non-U.S. regulatory authorities 3,115 2,959 Assets pledged under repurchase agreements 1,565 1,527 Other pledged assets 861 885 Total $ 16,072 $ 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 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 19 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries 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 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. 20 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries 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. Financial instruments measured at fair value on a recurring basis, by valuation hierarchy June 30, 2023 Level 1 Level 2 Level 3 Total (in millions of U.S. dollars) Assets: Fixed maturities available for sale U.S. Treasury / Agency $ 3,121 $ 623 $ — $ 3,744 Non-U.S. — 29,053 649 29,702 Corporate and asset-backed securities — 37,653 2,524 40,177 Mortgage-backed securities — 17,962 10 17,972 Municipal — 5,194 — 5,194 3,121 90,485 3,183 96,789 Equity securities 957 — 86 1,043 Short-term investments 2,335 1,759 3 4,097 Other investments (1) 542 441 — 983 Securities lending collateral — 1,525 — 1,525 Investment derivatives 27 — — 27 Derivatives designated as hedging instruments — 64 — 64 Other derivative instruments 10 — — 10 Separate account assets 5,480 94 — 5,574 Total assets measured at fair value (1) $ 12,472 $ 94,368 $ 3,272 $ 110,112 Liabilities: Investment derivatives $ 158 $ — $ — $ 158 Derivatives designated as hedging instruments — 47 — 47 Other derivative instruments 32 4 — 36 Market risk benefits (2) — — 722 722 Total liabilities measured at fair value $ 190 $ 51 $ 722 $ 963 (1) Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $ 13,288 million, policy loans of $ 389 million, and other investments of $ 47 million at June 30, 2023, 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 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. 22 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). Excluded from the following tables is the reconciliation of Market risk benefits, refer to Note 11 for additional information: Three Months Ended June 30, 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 $ 561 $ 2,544 $ 10 $ 88 $ 7 Transfers into Level 3 21 3 — — — Transfers out of Level 3 — ( 2 ) — — — Change in Net Unrealized Gains/Losses in OCI 15 4 — — — Net Realized Gains/Losses ( 1 ) ( 5 ) — ( 2 ) — Purchases 62 118 — 4 ( 2 ) Sales ( 4 ) ( 10 ) — ( 4 ) ( 2 ) Settlements ( 5 ) ( 128 ) — — — Balance, end of period $ 649 $ 2,524 $ 10 $ 86 $ 3 Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date $ — $ ( 6 ) $ — $ ( 3 ) $ — Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date $ 15 $ 3 $ — $ — $ 1 Three Months Ended June 30, 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 $ 618 $ 2,229 $ 20 $ 82 $ 4 Transfers into Level 3 5 10 — — — Transfers out of Level 3 — ( 43 ) — — Change in Net Unrealized Gains/Losses in OCI ( 41 ) ( 30 ) — — — Purchases 26 179 — — 5 Sales ( 19 ) ( 24 ) — ( 1 ) — Settlements ( 40 ) ( 60 ) ( 1 ) — — Balance, end of period $ 549 $ 2,261 $ 19 $ 81 $ 9 Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date $ — $ ( 1 ) $ — $ ( 1 ) $ — Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date $ ( 41 ) $ ( 30 ) $ — $ — $ — 23 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries Six Months Ended June 30, 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 into Level 3 21 3 — — — Transfers out of Level 3 — ( 13 ) — — — Change in Net Unrealized Gains/Losses in OCI 11 2 — — ( 1 ) Net Realized Gains/Losses ( 1 ) ( 3 ) — ( 6 ) — Purchases 105 323 — 11 3 Sales ( 35 ) ( 30 ) — ( 9 ) ( 2 ) Settlements ( 16 ) ( 207 ) ( 1 ) — — Balance, end of period $ 649 $ 2,524 $ 10 $ 86 $ 3 Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date $ — $ ( 2 ) $ — $ ( 6 ) $ — Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date $ 9 $ ( 2 ) $ — $ — $ — Six Months Ended June 30, 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 23 39 — 1 — Transfers out of Level 3 ( 23 ) ( 93 ) ( 5 ) — — Change in Net Unrealized Gains/Losses in OCI ( 54 ) ( 52 ) — — — Net Realized Gains/Losses ( 2 ) — — 4 — Purchases 69 494 — 3 7 Sales ( 25 ) ( 51 ) — ( 4 ) — Settlements ( 72 ) ( 125 ) ( 2 ) — ( 5 ) Balance, end of period $ 549 $ 2,261 $ 19 $ 81 $ 9 Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date $ ( 2 ) $ ( 1 ) $ — $ 3 $ — Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date $ ( 54 ) $ ( 52 ) $ — $ — $ — 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. 24 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: June 30, 2023 Fair Value Net Carrying Value (in millions of U.S. dollars) Level 1 Level 2 Level 3 Total Liabilities: Repurchase agreements $ — $ 1,518 $ — $ 1,518 $ 1,518 Short-term debt — 686 — 686 699 Long-term debt — 12,133 — 12,133 13,782 Trust preferred securities — 369 — 369 308 Total liabilities $ — $ 14,706 $ — $ 14,706 $ 16,307 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 25 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries 5. Reinsurance Reinsurance recoverable on ceded reinsurance June 30, 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 $ 16,608 $ 306 $ 17,086 $ 289 Reinsurance recoverable on paid losses and loss expenses 1,790 55 1,773 62 Reinsurance recoverable on losses and loss expenses $ 18,398 $ 361 $ 18,859 $ 351 Reinsurance recoverable on policy benefits $ 315 $ 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 insurance recoverables. The following table presents a roll-forward of valuation allowance for uncollectible reinsurance related to Reinsurance recoverable on loss and loss expenses: Six Months Ended June 30 (in millions of U.S. dollars) 2023 2022 Valuation allowance for uncollectible reinsurance - beginning of period $ 351 $ 329 Provision for uncollectible reinsurance 15 17 Write-offs charged against the valuation allowance ( 6 ) ( 4 ) Foreign exchange revaluation 1 ( 1 ) Valuation allowance for uncollectible reinsurance - end of period $ 361 $ 341 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 $ 3,201 million and $ 2,876 million and long-duration contracts of $ 3,465 million and $ 2,929 million at June 30, 2023, and June 30, 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: Six Months Ended June 30, 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 75 54 62 246 7 444 Amortization expense ( 49 ) ( 38 ) ( 11 ) ( 63 ) ( 10 ) ( 171 ) Other (including foreign exchange) 10 11 10 ( 4 ) — 27 Balance - end of period $ 356 $ 803 $ 456 $ 1,081 $ 118 $ 2,814 Overseas General Insurance segment excluded from table 651 Total deferred acquisition costs on long-duration contracts $ 3,465 26 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries Six Months Ended June 30, 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 72 58 19 50 29 228 Amortization expense ( 36 ) ( 37 ) ( 9 ) ( 47 ) ( 10 ) ( 139 ) Other (including foreign exchange) 1 ( 27 ) ( 8 ) ( 8 ) ( 9 ) ( 51 ) Balance - end of period $ 283 $ 765 $ 336 $ 740 $ 118 $ 2,242 Overseas General Insurance segment excluded from table 687 Total deferred acquisition costs on long-duration contracts $ 2,929 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 10 4 — 139 — ( 59 ) 94 Balance at June 30, 2023 $ 6,955 $ 2,234 $ 134 $ 4,744 $ 371 $ 1,884 $ 16,322 VOBA Value of business acquired (VOBA) represents the fair value of the future profits of in-force long duration contracts from businesses acquired, principally Cigna's Asian business, and is amortized in relation to the profit emergence of the underlying contracts. 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: Six Months Ended June 30 (in millions of U.S. dollars) 2023 Balance, beginning of period $ 3,702 Amortization of VOBA (1) ( 162 ) Foreign exchange revaluation and other 35 Balance, end of period $ 3,575 (1) Recognized in Policy acquisition costs in the Consolidated statements of operations. 27 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: Six Months Ended June 30 2023 2022 (in millions of U.S. dollars) As Adjusted 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 11,227 10,391 Prior years (2) ( 396 ) ( 621 ) Total 10,831 9,770 Net losses and loss expenses paid in respect of losses occurring in: Current year 2,264 1,881 Prior years 7,527 6,566 Total 9,791 8,447 Foreign currency revaluation and other 171 ( 577 ) Net unpaid losses and loss expenses – end of period 59,872 56,944 Reinsurance recoverable on unpaid losses (1) 16,608 16,504 Gross unpaid losses and loss expenses – end of period $ 76,480 $ 73,448 (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 $ 0 million and $ 134 million for the six months ended June 30, 2023 and 2022, respectively. Gross and net unpaid losses and loss expenses increased $ 733 million and $ 1.2 billion for the six months ended June 30, 2023, respectively, principally reflecting underlying exposure growth and the unfavorable impact of foreign currency movement. This increase was partially offset by large payments related to the Boy Scouts of America and favorable prior period development. The increase in net unpaid losses also reflected seasonality in our crop insurance business. 28 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 June 30 Six Months Ended June 30 (in millions of U.S. dollars) Long-tail Short-tail Total Long-tail Short-tail Total 2023 North America Commercial P&C Insurance $ ( 139 ) $ ( 7 ) $ ( 146 ) $ ( 130 ) $ ( 88 ) $ ( 218 ) North America Personal P&C Insurance — ( 33 ) ( 33 ) — ( 16 ) ( 16 ) North America Agricultural Insurance — ( 3 ) ( 3 ) — ( 3 ) ( 3 ) Overseas General Insurance — ( 61 ) ( 61 ) — ( 204 ) ( 204 ) Global Reinsurance 7 ( 24 ) ( 17 ) 7 ( 32 ) ( 25 ) Corporate 60 — 60 70 — 70 Total $ ( 72 ) $ ( 128 ) $ ( 200 ) $ ( 53 ) $ ( 343 ) $ ( 396 ) 2022 North America Commercial P&C Insurance $ ( 266 ) $ ( 21 ) $ ( 287 ) $ ( 286 ) $ ( 109 ) $ ( 395 ) North America Personal P&C Insurance — ( 3 ) ( 3 ) — ( 54 ) ( 54 ) North America Agricultural Insurance — — — — ( 26 ) ( 26 ) Overseas General Insurance — ( 173 ) ( 173 ) — ( 233 ) ( 233 ) Global Reinsurance ( 7 ) 32 25 ( 7 ) 29 22 Corporate 191 — 191 199 — 199 Total $ ( 82 ) $ ( 165 ) $ ( 247 ) $ ( 94 ) $ ( 393 ) $ ( 487 ) 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 and six months ended June 30, 2023 included $ 264 million and $ 308 million, respectively, from workers' compensation lines due to lower-than-expected loss experience and our annual assessment of multi-claimant events, including industrial accidents. The favorable development was partially offset by net adverse development of $ 119 million and $ 125 million, respectively, in commercial auto liability due to adverse reported loss experience. Net favorable development for the three and six months ended June 30, 2022 included $ 286 million and $ 328 million, respectively, from workers' compensation lines due to lower-than-expected loss experience, related updates to loss development factors, and our annual assessment of multi-claimant events, including industrial accidents. Favorable development also included $ 132 million and $ 136 million, respectively, in primary general liability portfolios, due to lower-than-expected paid and reported case incurred activity. The favorable development was partially offset by net adverse development of $ 123 million and $ 116 million, respectively, in commercial auto liability due to adverse reported loss experience. Development for the six months ended June 30, 2022 also included favorable development of $ 78 million in A&H due to lower-than-expected loss emergence. North America Personal P&C Insurance . Net favorable development for the three and six months ended June 30, 2023 had no individually significant movements. Net favorable development for the six months ended June 30, 2022 included favorable development in the homeowners line of business driven by lower-than-expected paid and reported loss activity. 29 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries Overseas General Insurance . Net favorable development for the three months ended June 30, 2023 included $ 61 million in short-tail property and casualty and A&H due to favorable claim development. Net favorable development for the six months ended June 30, 2023 was $ 204 million and included $ 110 million of favorable catastrophe development and non-catastrophe property loss emergence. Net favorable development for the three and six months ended June 30, 2022 included $ 173 million and $ 233 million primarily due to favorable loss development in A&H and property lines, as well as reduced loss frequency in personal lines. Corporate. Net adverse development for the three and six months ended June 30, 2023 was $ 60 million and $ 70 million, respectively, driven primarily by adverse development for molestation claims. Net adverse development for the three and six months ended June 30, 2022 was $ 191 million and $ 199 million, respectively, driven by adverse development of $ 155 million for molestation claims, primarily from updated modeling and specific account reviews. The remainder of the adverse development was driven by increased claim costs on non-A&E runoff workers’ compensation exposures, and charges relating to run-off operating expenses incurred. 9. Future 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 Six Months Ended June 30, 2023 (in millions of U.S. dollars) Term Life Whole Life A&H Other Total Balance – beginning of period $ 818 $ 2,301 $ 9,863 $ 42 $ 13,024 Beginning balance at original discount rate 879 2,354 10,409 43 13,685 Effect of changes in cash flow assumptions 15 ( 1 ) ( 771 ) 1 ( 756 ) Effect of actual variances from expected experience ( 4 ) ( 7 ) ( 35 ) — ( 46 ) Adjusted beginning of period balance 890 2,346 9,603 44 12,883 Issuances 62 157 564 3 786 Interest accrual 37 35 226 1 299 Net premiums collected (1) ( 86 ) ( 171 ) ( 654 ) ( 10 ) ( 921 ) Other (including foreign exchange) 17 23 118 ( 1 ) 157 Ending balance at original discount rate 920 2,390 9,857 37 13,204 Effect of changes in discount rate assumptions ( 56 ) ( 21 ) ( 347 ) — ( 424 ) Balance – end of period $ 864 $ 2,369 $ 9,510 $ 37 $ 12,780 (1) Net premiums collected represent the portion of gross premiums collected from policyholders that is used to fund expected benefit. 30 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries Present Value of Expected Future Policy Benefits Six Months Ended June 30, 2023 (in millions of U.S. dollars) Term Life Whole Life A&H Other Total Balance – beginning of period $ 1,427 $ 6,048 $ 14,206 $ 239 $ 21,920 Beginning balance at original discount rate 1,555 6,225 15,022 250 23,052 Effect of changes in cash flow assumptions 17 ( 1 ) ( 780 ) 2 ( 762 ) Effect of actual variances from expected experience ( 3 ) ( 3 ) ( 30 ) — ( 36 ) Adjusted beginning of period balance 1,569 6,221 14,212 252 22,254 Issuances 62 158 562 3 785 Interest accrual 43 105 289 3 440 Benefits payments ( 84 ) ( 130 ) ( 708 ) ( 5 ) ( 927 ) Other (including foreign exchange) 71 400 ( 178 ) 6 299 Ending balance at original discount rate 1,661 6,754 14,177 259 22,851 Effect of changes in discount rate assumptions ( 130 ) ( 76 ) ( 574 ) ( 4 ) ( 784 ) Balance – end of period $ 1,531 $ 6,678 $ 13,603 $ 255 $ 22,067 June 30, 2023 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 $ 667 $ 4,309 $ 4,093 $ 218 $ 751 $ 10,038 Deferred profit liability 225 638 149 14 — 1,026 Net liability for future policy benefits, per consolidated balance sheet 892 4,947 4,242 232 751 11,064 Less: Reinsurance recoverable on future policy benefits 110 41 126 — 38 315 Net liability for future policy benefits, after reinsurance recoverable $ 782 $ 4,906 $ 4,116 $ 232 $ 713 $ 10,749 Weighted average duration (years) 9.3 25.0 10.6 14.0 4.8 16.4 31 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries Present Value of Expected Net Premiums Six Months Ended June 30, 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 ( 27 ) ( 11 ) ( 75 ) 1 ( 112 ) Adjusted beginning of period balance 370 1,230 2,248 29 3,877 Issuances 66 71 67 2 206 Interest accrual 31 21 72 — 124 Net premiums collected (1) ( 51 ) ( 80 ) ( 127 ) ( 5 ) ( 263 ) Other (including foreign exchange) ( 12 ) ( 30 ) ( 17 ) ( 1 ) ( 60 ) Ending balance at original discount rate 404 1,212 2,243 25 3,884 Effect of changes in discount rate assumptions ( 24 ) ( 27 ) ( 104 ) — ( 155 ) Balance – end of period $ 380 $ 1,185 $ 2,139 $ 25 $ 3,729 (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 Six Months Ended June 30, 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 ( 25 ) ( 9 ) ( 79 ) 1 ( 112 ) Adjusted beginning of period balance 828 3,822 4,510 134 9,294 Issuances 69 71 67 2 209 Interest accrual 35 74 100 — 209 Benefits payments ( 44 ) ( 95 ) ( 167 ) — ( 306 ) Other (including foreign exchange) ( 32 ) ( 77 ) ( 49 ) — ( 158 ) Ending balance at original discount rate 856 3,795 4,461 136 9,248 Effect of changes in discount rate assumptions ( 68 ) 76 ( 204 ) ( 7 ) ( 203 ) Balance – end of period $ 788 $ 3,871 $ 4,257 $ 129 $ 9,045 32 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries June 30, 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 $ 408 $ 2,686 $ 2,118 $ 104 $ 748 $ 6,064 Deferred profit liability 165 415 104 8 — 692 Net liability for future policy benefits, per consolidated balance sheet 573 3,101 2,222 112 748 6,756 Less: Reinsurance recoverable on future policy benefits 108 33 58 — 43 242 Net liability for future policy benefits, after reinsurance recoverable $ 465 $ 3,068 $ 2,164 $ 112 $ 705 $ 6,514 Weighted average duration (years) 9.3 19.5 10.3 27.5 5.2 14.1 The following table presents the amount of undiscounted expected gross premiums and expected future policy benefit payments included in the Life Insurance segment: June 30 June 30 (in millions of U.S. dollars) 2023 2022 Term Life Undiscounted expected future benefit payments $ 2,381 $ 1,266 Undiscounted expected future gross premiums 2,701 1,382 Discounted expected future benefit payments 1,531 788 Discounted expected future gross premiums 1,805 1,045 Whole Life Undiscounted expected future benefit payments 16,890 9,799 Undiscounted expected future gross premiums 6,971 3,457 Discounted expected future benefit payments 6,678 3,871 Discounted expected future gross premiums 5,455 2,499 A&H Undiscounted expected future benefit payments 22,461 5,903 Undiscounted expected future gross premiums 33,371 8,752 Discounted expected future benefit payments 13,603 4,257 Discounted expected future gross premiums 20,339 5,683 Other Undiscounted expected future benefit payments 374 216 Undiscounted expected future gross premiums 94 72 Discounted expected future benefit payments 255 129 Discounted expected future gross premiums $ 84 $ 64 33 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 Six Months Ended Six Months Ended June 30 June 30 (in millions of U.S. dollars) 2023 2022 2023 2022 Life Insurance Term Life $ 339 $ 172 $ 6 $ 4 Whole Life 487 173 70 53 A&H 1,409 533 63 28 Other 32 134 2 — Overseas General Insurance A&H 768 705 — — Total $ 3,035 $ 1,717 $ 141 $ 85 The following table presents the weighted-average interest rates: Interest Accretion Rate Current Discount Rate June 30 June 30 2023 2022 2023 2022 Life Insurance Term Life 2.9 % 2.4 % 5.8 % 4.9 % Whole Life 4.0 % 4.4 % 5.3 % 6.0 % A&H 3.8 % 3.9 % 6.3 % 5.0 % Other 3.8 % 3.3 % 5.1 % 4.4 % 10. Policyholders' account balances The following tables present a roll-forward of policyholders' account balances: Six Months Ended June 30, 2023 (in millions of U.S. dollars) Universal Life Other Total Balance – beginning of period $ 1,719 $ 1,421 $ 3,140 Premiums received 175 53 228 Policy charges (1) ( 89 ) ( 5 ) ( 94 ) Surrenders and withdrawals ( 41 ) ( 35 ) ( 76 ) Benefit payments ( 4 ) ( 22 ) ( 26 ) Interest credited 22 15 37 Other (including foreign exchange) 19 ( 13 ) 6 Balance, end of period $ 1,801 $ 1,414 $ 3,215 34 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries Six Months Ended June 30, 2022 (in millions of U.S. dollars) Universal Life Other Total Balance – beginning of period $ 1,612 $ 1,154 $ 2,766 Premiums received 195 58 253 Policy charges (1) ( 92 ) ( 5 ) ( 97 ) Surrenders and withdrawals ( 37 ) ( 35 ) ( 72 ) Benefit payments ( 3 ) ( 11 ) ( 14 ) Interest credited 20 18 38 Other (including foreign exchange) ( 36 ) ( 89 ) ( 125 ) Balance, end of period $ 1,659 $ 1,090 $ 2,749 (1) Contracts included in the policyholder account balances are generally charged a premium and/or monthly assessments on the basis of the account balance . June 30 2023 2022 (in millions of U.S. dollars, except for percentages) Universal Life Other Universal Life Other Weighted-average crediting rate 3.8 % 2.2 % 3.5 % 3.1 % Net amount at risk (1) $ 10,405 $ 1,447 $ 10,041 $ 507 Cash Surrender Value $ 978 $ 1,122 $ 876 $ 831 (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 June 30, 2023 (in millions of U.S. dollars) At Guaranteed Minimum 1 Basis Point - 50 Basis Points Above 51 Basis Points - 150 Basis Points Above Greater Than 150 Basis Points Above Total Guaranteed minimum crediting rates Up to 2.00 % $ 4 $ — $ 382 $ 873 $ 1,259 2.01 % – 4.00 % 471 50 — — 521 Greater than 4.00 % 20 — — 1 21 Total $ 495 $ 50 $ 382 $ 874 $ 1,801 June 30, 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 Up to 2.00 % $ 4 $ — $ 410 $ 730 $ 1,144 2.01 % – 4.00 % 236 211 37 — 484 Greater than 4.00 % 31 — — — 31 Total $ 271 $ 211 $ 447 $ 730 $ 1,659 35 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries Other policyholders' account balances June 30, 2023 (in millions of U.S. dollars) At Guaranteed Minimum 1 Basis Point - 50 Basis Points Above 51 Basis Points - 150 Basis Points Above Greater Than 150 Basis Points Above Total Guaranteed minimum crediting rates Up to 2.00 % $ 430 $ 550 $ 189 $ 235 $ 1,404 Greater than 4.00 % 10 — — — 10 Total $ 440 $ 550 $ 189 $ 235 $ 1,414 June 30, 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 Up to 2.00 % $ 120 $ 521 $ 209 $ 236 $ 1,086 Greater than 4.00 % 4 — — — 4 Total $ 124 $ 521 $ 209 $ 236 $ 1,090 36 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: Six Months Ended June 30 (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 37 ( 356 ) Effect of changes in equity markets ( 144 ) 482 Effect of changes in volatilities 31 62 Effect of timing and all other 6 ( 46 ) Balance, end of period, before effect of changes in the instrument-specific credit risk $ 706 $ 897 Effect of changes in the instrument-specific credit risk 16 17 Balance – end of period $ 722 $ 914 Weighted-average age of policyholders (years) 73 73 Net amount at risk $ 2,048 $ 2,667 Excluded from the table above are MRB gains (losses) of $( 192 ) million and $ 158 million for the six months ended June 30, 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 June 30, 2023 June 30, 2022 Ranges Weighted Average (1) Ranges Weighted Average (1) MRB (1) Actuarial model Lapse rate 1 % – 30 % 4.0 % 3 % – 31 % 4.0 % Annuitization rate 0 % – 100 % 4.2 % 0 % – 100 % 4.4 % (1) The weighted-average lapse and annuitization rates are determined by weighting each treaty's rates by the MRB contract's fair value. The most significant policyholder behavior assumptions include lapse rates for MRBs, and GLB annuitization rates. Assumptions regarding lapse rates and GLB annuitization rates differ by treaty, but the underlying methodologies to determine rates applied to each treaty are comparable. A lapse rate is the percentage of in-force policies surrendered in a given calendar year. All else equal, as lapse rates increase, ultimate claim payments will decrease. 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 37 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: June 30 December 31 (in millions of U.S. dollars) 2023 2022 Cash and cash equivalents $ 98 $ 141 Mutual funds 5,382 4,960 Fixed maturities 94 89 Total $ 5,574 $ 5,190 The following table presents a roll-forward of separate account liabilities: Six Months Ended June 30 (in millions of U.S. dollars) 2023 2022 Balance – beginning of period $ 5,190 $ 5,560 Premiums and deposits 517 796 Policy charges ( 70 ) ( 60 ) Surrenders and withdrawals ( 246 ) ( 196 ) Benefit payments ( 193 ) ( 193 ) Investment performance 361 ( 936 ) Other (including foreign exchange) 15 ( 146 ) Balance – end of period $ 5,574 $ 4,825 Cash surrender value (1) $ 5,369 $ 4,625 (1) Cash surrender value represents the amount of the contract holder's account balances distributable at the balance sheet date less certain surrender charges. 38 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: June 30, 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) $ 24 $ ( 131 ) $ 3,849 $ 64 $ ( 115 ) $ 4,134 Options/Futures contracts on notes and bonds OA / (AP) 3 ( 27 ) 2,170 18 ( 24 ) 1,511 Convertible securities (1) FM AFS / ES 26 — 32 30 — 37 $ 53 $ ( 158 ) $ 6,051 $ 112 $ ( 139 ) $ 5,682 Other derivative instruments: Futures contracts on equities (2) OA / (AP) $ — $ ( 32 ) $ 1,080 $ 33 $ — $ 939 Other OA / (AP) 10 ( 4 ) 348 — — — $ 10 $ ( 36 ) $ 1,428 $ 33 $ — $ 939 Derivatives designated as hedging instruments: Cross-currency swaps - fair value hedges OA / (AP) $ 64 $ — $ 1,625 $ 17 $ — $ 1,595 Cross-currency swaps - net investment hedges OA / (AP) — ( 47 ) 1,625 — ( 53 ) 1,604 $ 64 $ ( 47 ) $ 3,250 $ 17 $ ( 53 ) $ 3,199 (1) Includes fair value of embedded derivatives. (2) Related to MRB book of business. At June 30, 2023, and December 31, 2022, net derivative liabilities of $ 139 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. 39 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 June 30, 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. The following table presents pre-tax gains (losses) recognized in OCI and reclassified into earnings for fair value hedges: Three Months Ended Six Months Ended June 30 June 30 (in millions of U.S. dollars) 2023 2023 Gain recognized in OCI $ 57 $ 40 Net realized gains reclassified from OCI 11 31 Interest expense reclassified from OCI ( 4 ) ( 8 ) OCI gain/(loss) after reclassifications $ 50 $ 17 (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. The following table presents pre-tax gains (losses) recognized in OCI and reclassified into earnings for net investment hedges: Three Months Ended Six Months Ended June 30 June 30 (in millions of U.S. dollars) 2023 2023 Gain recognized in OCI $ 35 $ 12 Interest income reclassified from OCI 4 7 OCI gain/(loss) after reclassifications $ 31 $ 5 40 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 Six Months Ended June 30 June 30 (in millions of U.S. dollars) 2023 2022 2023 2022 Investment and embedded derivative instruments: Foreign currency forward contracts $ ( 27 ) $ ( 214 ) $ ( 78 ) $ ( 268 ) All other futures contracts, options, and equities ( 29 ) 134 ( 24 ) 236 Convertible securities (1) 1 ( 1 ) 1 ( 2 ) Total investment and embedded derivative instruments $ ( 55 ) $ ( 81 ) $ ( 101 ) $ ( 34 ) Other derivative instruments: Futures contracts on equities (2) $ ( 75 ) $ 144 $ ( 132 ) $ 186 Other 2 9 1 10 Total other derivative instruments $ ( 73 ) $ 153 $ ( 131 ) $ 196 $ ( 128 ) $ 72 $ ( 232 ) $ 162 (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 41 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 June 30, 2023 December 31, 2022 (in millions of U.S. dollars) Overnight and Continuous Collateral held under securities lending agreements: Cash $ 741 $ 820 U.S. Treasury / Agency 89 72 Non-U.S. 663 604 Corporate and asset-backed securities 28 27 Municipal 4 — $ 1,525 $ 1,523 Gross amount of recognized liability for securities lending payable $ 1,525 $ 1,523 42 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries At June 30, 2023, and December 31, 2022, our repurchase agreement obligations of $ 1,518 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 June 30, 2023 December 31, 2022 Up to 30 Days 30-90 Days Greater than 90 Days Total Up to 30 Days 30-90 Days Total (in millions of U.S. dollars) Collateral pledged under repurchase agreements: Cash $ — $ — $ 2 $ 2 $ 12 $ — $ 12 U.S. Treasury / Agency — — 102 102 — 101 101 Mortgage-backed securities 1 51 1,409 1,461 921 493 1,414 $ 1 $ 51 $ 1,513 $ 1,565 $ 933 $ 594 $ 1,527 Gross amount of recognized liabilities for repurchase agreements $ 1,518 $ 1,419 Difference (1) $ 47 $ 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 June 30, 2023, and December 31, 2022, commitments to purchase fixed income securities over the next several years were $ 892 million and $ 770 million, respectively. f) Other investments At June 30, 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 $ 12.9 billion. In connection with these investments, we have commitments that may require funding of up to $ 6.2 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 June 30, 2023, $ 61 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 43 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries regulatory actions in the normal course of business that do not arise from or directly relate to claims on insurance policies. This category of business litigation typically involves, among other things, allegations of underwriting errors or misconduct, employment claims, regulatory activity, or disputes arising from our business ventures. 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 June 30, 2023, and December 31, 2022, the right-of-use asset was $ 543 million and $ 607 million, respectively, recorded within Other assets , and the lease liability was $ 575 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 our May 2023 annual general meeting, our shareholders approved the reduction of share capital by reducing par value from CHF 24.15 per share to CHF 0.50 per share and thereby increasing capital contribution reserves. The par value reduction did not change our number of Common Shares issued. At June 30, 2023, our Common Shares had a par value of CHF 0.50 per share. At our May 2023 annual general meeting, our shareholders approved an annual dividend for the following year of up to $ 3.44 per share, expected to be paid in four quarterly installments of $ 0.86 per share after the general meeting by way of distribution from capital contribution reserves, transferred to free reserves for payment. The Board of Directors (Board) will determine the record and payment dates at which the annual dividend may be paid until the date of 2024 annual general meeting, and is authorized to abstain from distributing a dividend at its discretion. 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 after the annual general meetings by way of a distribution from capital contribution reserves, transferred to free reserves for payment. The following table presents dividend distributions per Common Share in Swiss francs (CHF) and U.S. dollars (USD): Three Months Ended Six Months Ended June 30 June 30 2023 2022 2023 2022 CHF USD CHF USD CHF USD CHF USD Total dividend distributions per common share 0.77 $ 0.86 0.80 $ 0.83 1.54 $ 1.69 1.54 $ 1.63 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. At our May 2023 annual general meeting, held on May 17, 2023, our shareholders approved the cancellation of 14,925,028 shares purchased under our share repurchase programs during 2022. The capital reduction was subject to publication requirements and became effective in 44 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries accordance with Swiss law on May 22, 2023. During the six months ended June 30, 2023, 5,684,700 shares were repurchased, 14,925,028 shares were canceled, and 1,781,198 net shares were issued under employee share-based compensation plans. At June 30, 2023, 20,760,232 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; • $ 2.5 billion of Chubb Common Shares from May 19, 2022 through June 30, 2023; and • $ 5.0 billion of Chubb Common Shares effective July 1, 2023 with no expiration date. The following table presents repurchases of Chubb's Common Shares conducted in a series of open market transactions under the Board authorizations: Three Months Ended Six Months Ended June 30 June 30 (in millions of U.S. dollars, except share data) 2023 2022 2023 2022 Number of shares repurchased 3,674,300 5,476,300 5,684,700 10,346,200 Cost of shares repurchased $ 724 $ 1,129 $ 1,152 $ 2,130 Repurchase authorization remaining at end of period (1) $ — $ 2,500 $ — $ 2,500 (1) As of June 30, 2023, $ 474 million expired under the May 2022 $ 2.5 billion share repurchase authorization. 45 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 Six Months Ended June 30 June 30 2023 2022 2023 2022 (in millions of U.S. dollars) As Adjusted As Adjusted Accumulated other comprehensive income (loss) (AOCI) Net unrealized appreciation (depreciation) on investments Balance – beginning of period, net of tax $ ( 5,659 ) $ ( 1,584 ) $ ( 7,279 ) $ 2,256 Change in period, before reclassification from AOCI (before tax) ( 1,301 ) ( 4,786 ) 305 ( 9,574 ) Amounts reclassified from AOCI (before tax) 107 442 287 578 Change in period, before tax ( 1,194 ) ( 4,344 ) 592 ( 8,996 ) Income tax (expense) benefit 44 215 ( 122 ) 1,027 Balance – end of period, net of tax ( 6,809 ) ( 5,713 ) ( 6,809 ) ( 5,713 ) Current discount rate on liability for future policy benefits Balance – beginning of period, net of tax ( 205 ) ( 997 ) ( 75 ) ( 1,399 ) Change in period, before tax ( 35 ) 632 ( 186 ) 1,067 Income tax (expense) benefit ( 7 ) ( 62 ) 14 ( 95 ) Balance – end of period, net of tax ( 247 ) ( 427 ) ( 247 ) ( 427 ) Instrument-specific credit risk on market risk benefits Balance – beginning of period, net of tax ( 27 ) ( 34 ) ( 24 ) ( 57 ) Change in period, before and net of tax 11 17 8 40 Balance – end of period, net of tax ( 16 ) ( 17 ) ( 16 ) ( 17 ) Cumulative foreign currency translation adjustment Balance – beginning of period, net of tax ( 3,136 ) ( 2,043 ) ( 2,966 ) ( 2,114 ) Change in period, before reclassification from AOCI (before tax) 219 ( 756 ) 45 ( 689 ) Amounts reclassified from AOCI (before tax) ( 4 ) — ( 7 ) — Change in period, before tax 215 ( 756 ) 38 ( 689 ) Income tax benefit 1 31 8 35 Balance – end of period, net of tax ( 2,920 ) ( 2,768 ) ( 2,920 ) ( 2,768 ) Fair value hedging instruments Balance – beginning of period, net of tax ( 92 ) — ( 66 ) — Change in period, before reclassification from AOCI (before tax) 57 — 40 — Amounts reclassified from AOCI (before tax) ( 7 ) — ( 23 ) — Change in period, before tax 50 — 17 — Income tax expense ( 11 ) — ( 4 ) — Balance – end of period, net of tax ( 53 ) — ( 53 ) — Postretirement benefit liability adjustment Balance – beginning of period, net of tax 224 255 225 240 Change in period, before tax ( 2 ) 5 ( 2 ) 24 Income tax (expense) benefit 1 ( 1 ) — ( 5 ) Balance – end of period, net of tax 223 259 223 259 Accumulated other comprehensive income (loss) $ ( 9,822 ) $ ( 8,666 ) $ ( 9,822 ) $ ( 8,666 ) 46 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 Six Months Ended Consolidated Statement of Operations Location June 30 June 30 (in millions of U.S. dollars) 2023 2022 2023 2022 Fixed maturities available for sale $ ( 107 ) $ ( 442 ) $ ( 287 ) $ ( 578 ) Net realized gains (losses) Income tax benefit 16 77 34 99 Income tax expense $ ( 91 ) $ ( 365 ) $ ( 253 ) $ ( 479 ) Net income Cumulative foreign currency translation adjustment Cross-currency swaps $ 4 $ — $ 7 $ — Interest expense Income tax expense — — ( 1 ) — Income tax expense $ 4 $ — $ 6 $ — Net income Net gains (losses) of fair value hedging instruments Cross-currency swaps $ 11 $ — $ 31 $ — Net realized gains (losses) Cross-currency swaps ( 4 ) — ( 8 ) — Interest expense Income tax expense ( 2 ) — ( 5 ) — Income tax expense $ 5 $ — $ 18 $ — Net income Total amounts reclassified from AOCI $ ( 82 ) $ ( 365 ) $ ( 229 ) $ ( 479 ) 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. 47 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 June 30 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 22 6 1 1 Expected return on plan assets ( 56 ) ( 13 ) ( 71 ) ( 11 ) ( 1 ) ( 1 ) Amortization of net actuarial loss — — — — — — Amortization of prior service cost — — — — — — Settlements — — — — — — Total non-service cost (benefit) ( 22 ) ( 4 ) ( 49 ) ( 5 ) — — Net periodic benefit cost (benefit) $ ( 22 ) $ ( 2 ) $ ( 49 ) $ ( 4 ) $ — $ — Pension Benefit Plans Other Postretirement Benefit Plans 2023 2022 2023 2022 Six Months Ended June 30 U.S. Plans Non-U.S. Plans U.S. Plans Non-U.S. Plans (in millions of U.S. dollars) Service cost: $ — $ 4 $ — $ 2 $ — $ — Non-service cost (benefit): Interest cost 68 18 43 12 1 1 Expected return on plan assets ( 112 ) ( 25 ) ( 142 ) ( 22 ) ( 2 ) ( 1 ) Amortization of net actuarial loss — — — — — — Amortization of prior service cost — — — — — — Settlements — — — — — — Total non-service cost (benefit) ( 44 ) ( 7 ) ( 99 ) ( 10 ) ( 1 ) — Net periodic benefit cost (benefit) $ ( 44 ) $ ( 3 ) $ ( 99 ) $ ( 8 ) $ ( 1 ) $ — 48 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries The line items in which the service cost and non-service cost (benefit) components of net periodic cost (benefit) are included in the Consolidated statements of operations were as follows: Pension Benefit Plans Other Postretirement Benefit Plans Three Months Ended June 30 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 ( 3 ) ( 5 ) — — Administrative expenses ( 23 ) ( 49 ) — — Total non-service cost (benefit) ( 26 ) ( 54 ) — — Net periodic benefit cost (benefit) $ ( 24 ) $ ( 53 ) $ — $ — Pension Benefit Plans Other Postretirement Benefit Plans Six Months Ended June 30 2023 2022 2023 2022 (in millions of U.S. dollars) Service cost: Losses and loss expenses $ — $ — $ — $ — Administrative expenses 4 2 — — Total service cost 4 2 — — Non-service cost (benefit): Losses and loss expenses ( 5 ) ( 10 ) — — Administrative expenses ( 46 ) ( 99 ) ( 1 ) — Total non-service cost (benefit) ( 51 ) ( 109 ) ( 1 ) — Net periodic benefit cost (benefit) $ ( 47 ) $ ( 107 ) $ ( 1 ) $ — 49 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries 17. Other income and expense Three Months Ended Six Months Ended June 30 June 30 (in millions of U.S. dollars) 2023 2022 2023 2022 Equity in net income (loss) of partially-owned entities (1) $ 120 $ ( 72 ) $ 460 $ 291 Gains (losses) from fair value changes in separate account assets (2) ( 12 ) ( 18 ) ( 37 ) ( 49 ) Federal excise and capital taxes ( 6 ) ( 5 ) ( 11 ) ( 9 ) Other ( 2 ) ( 6 ) ( 16 ) ( 22 ) Total $ 100 $ ( 101 ) $ 396 $ 211 (1) Equity in net income (loss) of partially-owned entities includes mark-to-market gains (losses) on private equities where we own more than three percent of $( 3 ) million and $ 239 million for the three and six months ended June 30, 2023, respectively, and $( 134 ) million and $ 121 million, respectively, for the prior year periods. This line item also includes net income of $ 22 million and $ 36 million attributable to our investments in Huatai for the three and six months ended June 30, 2023, respectively, compared to $ 15 million and $ 55 million, respectively, for the prior year periods. (2) Related to gains (losses) from fair value changes in separate account assets that do not qualify for separate account reporting under GAAP. 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 and six months ended June 30, 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 primarily related to the acquisition of Cigna's business in Asia. 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 50 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries commodity pricing impacts underwriting results. We view gains and losses on these derivatives as part of the results of our underwriting operations, and therefore realized gains (losses) from these derivatives are reclassified to losses and loss expenses. • 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. The following tables present the Statement of Operations by segment: For the Three Months Ended June 30, 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 $ 5,155 $ 1,581 $ 767 $ 2,885 $ 293 $ 1,270 $ — $ — $ 11,951 Net premiums earned 4,606 1,357 635 2,908 237 1,256 — — 10,999 Losses and loss expenses 2,871 846 507 1,267 91 35 61 5 5,683 Policy benefits — — — 137 — 705 — ( 12 ) 830 Policy acquisition costs 614 277 37 746 65 277 — — 2,016 Administrative expenses 316 84 3 292 9 170 95 — 969 Underwriting income (loss) 805 150 88 466 72 69 ( 156 ) 7 1,501 Net investment income 726 86 14 200 48 161 3 ( 93 ) 1,145 Other (income) expense 5 ( 1 ) ( 1 ) ( 10 ) — ( 26 ) 14 ( 81 ) ( 100 ) Amortization expense of purchased intangibles — 3 7 15 — 2 43 — 70 Segment income (loss) $ 1,526 $ 234 $ 96 $ 661 $ 120 $ 254 $ ( 210 ) $ ( 5 ) $ 2,676 Net realized gains (losses) ( 309 ) 5 ( 304 ) Market risk benefits gains (losses) ( 7 ) — ( 7 ) Interest expense 165 — 165 Cigna integration expenses 15 — 15 Income tax expense 392 — 392 Net income (loss) $ ( 1,098 ) $ — $ 1,793 51 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries For the Three Months Ended June 30, 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 $ 4,665 $ 1,426 $ 738 $ 2,640 $ 262 $ 562 $ — $ — $ 10,293 Net premiums earned 4,248 1,271 573 2,696 222 539 — — 9,549 Losses and loss expenses 2,446 773 478 1,143 139 27 191 9 5,206 Policy benefits — — — 81 — 298 — ( 18 ) 361 Policy acquisition costs 545 258 31 697 57 138 — — 1,726 Administrative expenses 277 73 2 278 10 88 90 — 818 Underwriting income (loss) 980 167 62 497 16 ( 12 ) ( 281 ) 9 1,438 Net investment income (loss) 522 64 7 162 76 109 ( 4 ) ( 48 ) 888 Other (income) expense — 1 — 3 1 ( 12 ) 138 ( 30 ) 101 Amortization expense of purchased intangibles — 3 6 14 — 3 45 — 71 Segment income (loss) $ 1,502 $ 227 $ 63 $ 642 $ 91 $ 106 $ ( 468 ) $ ( 9 ) $ 2,154 Net realized gains (losses) ( 512 ) 9 ( 503 ) Market risk benefits gains (losses) ( 33 ) — ( 33 ) Interest expense 134 — 134 Cigna integration expenses 3 — 3 Income tax expense 291 — 291 Net income (loss) $ ( 1,441 ) $ — $ 1,190 For the Six Months Ended June 30, 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 $ 9,443 $ 2,877 $ 1,060 $ 6,148 $ 570 $ 2,563 $ — $ — $ 22,661 Net premiums earned 8,975 2,677 794 5,694 481 2,520 — — 21,141 Losses and loss expenses 5,600 1,734 647 2,504 203 67 72 4 10,831 Policy benefits — — — 247 — 1,417 — ( 37 ) 1,627 Policy acquisition costs 1,227 549 52 1,459 127 550 — — 3,964 Administrative expenses 611 163 6 572 18 337 192 — 1,899 Underwriting income (loss) 1,537 231 89 912 133 149 ( 264 ) 33 2,820 Net investment income 1,424 168 31 388 97 314 14 ( 184 ) 2,252 Other (income) expense 12 — — ( 19 ) ( 1 ) ( 41 ) ( 200 ) ( 147 ) ( 396 ) Amortization expense of purchased intangibles — 5 13 33 — 6 85 — 142 Segment income (loss) $ 2,949 $ 394 $ 107 $ 1,286 $ 231 $ 498 $ ( 135 ) $ ( 4 ) $ 5,326 Net realized gains (losses) ( 385 ) 4 ( 381 ) Market risk benefits gains (losses) ( 122 ) — ( 122 ) Interest expense 325 — 325 Cigna integration expenses 37 — 37 Income tax expense 776 — 776 Net income (loss) $ ( 1,780 ) $ — $ 3,685 52 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries For the Six Months Ended June 30, 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 $ 8,704 $ 2,606 $ 800 $ 5,719 $ 515 $ 1,138 $ — $ — $ 19,482 Net premiums earned 8,362 2,518 544 5,324 457 1,081 — — 18,286 Losses and loss expenses 4,943 1,486 386 2,439 254 51 201 10 9,770 Policy benefits — — — 174 — 609 — ( 49 ) 734 Policy acquisition costs 1,118 518 43 1,376 119 271 — — 3,445 Administrative expenses 542 142 1 547 19 172 173 — 1,596 Underwriting income (loss) 1,759 372 114 788 65 ( 22 ) ( 374 ) 39 2,741 Net investment income (loss) 1,011 123 14 309 161 212 ( 9 ) ( 111 ) 1,710 Other (income) expense 6 2 — 5 1 ( 42 ) ( 121 ) ( 62 ) ( 211 ) Amortization expense of purchased intangibles — 5 13 28 — 5 91 — 142 Segment income (loss) $ 2,764 $ 488 $ 115 $ 1,064 $ 225 $ 227 $ ( 353 ) $ ( 10 ) $ 4,520 Net realized gains (losses) ( 490 ) 10 ( 480 ) Market risk benefits gains (losses) 16 — 16 Interest expense 266 — 266 Cigna integration expenses 3 — 3 Income tax expense 644 — 644 Net income (loss) $ ( 1,740 ) $ — $ 3,143 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 Six Months Ended June 30 June 30 2023 2022 2023 2022 (in millions of U.S. dollars, except share and per share data) As Adjusted As Adjusted Numerator: Net income $ 1,793 $ 1,190 $ 3,685 $ 3,143 Denominator: Denominator for basic earnings per share: Weighted-average shares outstanding 412,487,400 421,624,660 413,383,304 423,703,328 Denominator for diluted earnings per share: Share-based compensation plans 3,084,476 3,793,686 3,387,233 3,982,116 Weighted-average shares outstanding and assumed conversions 415,571,876 425,418,346 416,770,537 427,685,444 Basic earnings per share $ 4.35 $ 2.82 $ 8.92 $ 7.42 Diluted earnings per share $ 4.32 $ 2.80 $ 8.84 $ 7.35 Potential anti-dilutive share conversions 3,143,311 1,690,893 2,190,304 1,196,180 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 53 Table of Contents NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited) Chubb Limited and Subsidiaries 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. 54 Table of Contents