UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q


☑			QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the Quarterly Period Ended ~~June 30, 2020~~March 31, 2021


☐			TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the Transition Period from to

Commission File No. 1-11778

CHUBB LIMITED

(Exact name of registrant as specified in its charter)


Switzerland			98-0091805
(State or other jurisdiction of incorporation or organization)			(I.R.S. Employer Identification No.)

Baerengasse 32
Zurich, Switzerland CH-8001  ~~(Address~~
(Address of principal executive offices) (Zip Code)

+41 (0)43 456 76 00

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

Title of each class

Trading Symbol(s)

Name of each exchange on which registered

Common Shares, par value CHF 24.15 per share

New York Stock Exchange

Guarantee of Chubb INA Holdings Inc. 0.30% Senior Notes due 2024

CB/24A

New York Stock Exchange

Guarantee of Chubb INA Holdings Inc. 0.875% Senior Notes due 2027

CB/27

New York Stock Exchange

Guarantee of Chubb INA Holdings Inc. 1.55% Senior Notes due 2028

CB/28

New York Stock Exchange

Guarantee of Chubb INA Holdings Inc. 0.875% Senior Notes due 2029

CB/29A

New York Stock Exchange

Guarantee of Chubb INA Holdings Inc. 1.40% Senior Notes due 2031

CB/31

New York Stock Exchange

Guarantee of Chubb INA Holdings Inc. 2.50% Senior Notes due 2038

CB/38A

New York Stock Exchange

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes ☑ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

Yes ☑ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” "smaller reporting company," and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer

☑

Accelerated filer

☐

Non-accelerated filer

☐

Smaller reporting company

☐

Emerging growth company

☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes ☐ No ☑

The number of registrant’s Common Shares (CHF 24.15 par value) outstanding as of ~~July 17, 2020~~April 16, 2021 was ~~451,365,891.~~449,690,575.

Table of Contents

CHUBB LIMITED

INDEX TO FORM 10-Q

Part I.

FINANCIAL INFORMATION

Page

Item 1.

Financial Statements:

Consolidated Balance Sheets (Unaudited) ~~June~~March 31, 2021 3 0 ~~, 2020~~ and December 31, ~~2019~~20 20

Consolidated Statements of Operations and Comprehensive Income (Unaudited)
Three ~~and Six~~Months Ended ~~June~~March 3 01 , ~~2020~~202 1 and ~~2019~~20 20

Consolidated Statements of Shareholders' Equity (Unaudited)
Three ~~and Six~~Months Ended ~~June~~March 3 01 , ~~2020~~202 1 and ~~2019~~20 20

Consolidated Statements of Cash Flows (Unaudited)
~~Six~~Three Months Ended Ju neMarch 3 01 , ~~2020~~202 1 and ~~2019~~20 20

Notes to Consolidated Financial Statements (Unaudited)

Note 1.

General

Note 2.

Acquisitions

Note 3.

Investments

Note 4.

Fair value measurements

1614

Note 5.

Reinsurance

2321

Note 6.

Unpaid losses and loss expenses

2522

Note 7.

Commitments, contingencies, and guarantees

2925

Note 8.

Shareholders’ equity

3329

Note 9.

Share-based compensation

3430

Note 10.

Postretirement benefits

Note 11.

Note 12.

Note 13.

Information provided in connection with outstanding debt of subsidiaries

4034

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

4635

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

8767

Item 4.

Controls and Procedures

9070

Part II.

OTHER INFORMATION

Item 1.

Item 1A.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds and Issuer Repurchases of Equity Securities

Item 6.

PART I FINANCIAL INFORMATION


ITEM 1. Financial Statements

CONSOLIDATED BALANCE SHEETS (Unaudited)

Chubb Limited and Subsidiaries


		June 30		December 31			March 31		December 31
(in millions of U.S. dollars, except share and per share data)	(in millions of U.S. dollars, except share and per share data)	2020		2019		(in millions of U.S. dollars, except share and per share data)	2021		2020
Assets	Assets					Assets
Investments	Investments					Investments
Fixed maturities available for sale, at fair value, net of valuation allowance - $69 at June 30, 2020 (amortized cost – $82,740 and $82,580)		$	86,712	$	85,488
Fixed maturities held to maturity, at amortized cost, net of valuation allowance - $51 at June 30, 2020 (fair value – $12,620 and $13,005)		11,845		12,581
Fixed maturities available for sale, at fair value, net of valuation allowance - $15 and $20 (amortized cost – $87,873 and $85,188)						Fixed maturities available for sale, at fair value, net of valuation allowance - $15 and $20 (amortized cost – $87,873 and $85,188)	$	91,071	$	90,699
Fixed maturities held to maturity, at amortized cost, net of valuation allowance - $43 and $44 (fair value – $11,752 and $12,510)						Fixed maturities held to maturity, at amortized cost, net of valuation allowance - $43 and $44 (fair value – $11,752 and $12,510)	11,132		11,653
Equity securities, at fair value	Equity securities, at fair value	2,394		812		Equity securities, at fair value	4,405		4,027
Short-term investments, at fair value, net of valuation allowance - $2 at June 30, 2020 (amortized cost - $4,004 and $4,291)		4,003		4,291
Short-term investments, at fair value (amortized cost – $3,736 and $4,349)						Short-term investments, at fair value (amortized cost – $3,736 and $4,349)	3,735		4,345
Other investments, at fair value	Other investments, at fair value	5,923		6,062		Other investments, at fair value	8,636		7,945
Total investments	Total investments	110,877		109,234		Total investments	118,979		118,669
Cash	Cash	1,557		1,537		Cash	1,684		1,747
Restricted cash	Restricted cash	152		109		Restricted cash	157		89
Securities lending collateral	Securities lending collateral	1,832		994		Securities lending collateral	2,076		1,844
Accrued investment income	Accrued investment income	845		867		Accrued investment income	857		867
Insurance and reinsurance balances receivable		10,853		10,357
Reinsurance recoverable on losses and loss expenses, net of valuation allowance - $303 and $316		15,207		15,181
Insurance and reinsurance balances receivable, net of valuation allowance - $43 and $44						Insurance and reinsurance balances receivable, net of valuation allowance - $43 and $44	10,573		10,480
Reinsurance recoverable on losses and loss expenses, net of valuation allowance - $317 and $314						Reinsurance recoverable on losses and loss expenses, net of valuation allowance - $317 and $314	15,914		15,592
Reinsurance recoverable on policy benefits	Reinsurance recoverable on policy benefits	197		197		Reinsurance recoverable on policy benefits	202		206
Deferred policy acquisition costs	Deferred policy acquisition costs	5,243		5,242		Deferred policy acquisition costs	5,443		5,402

Value of business acquired	Value of business acquired	290		306		Value of business acquired	258		263
Goodwill	Goodwill	15,184		15,296		Goodwill	15,412		15,400
Other intangible assets	Other intangible assets	5,909		6,063		Other intangible assets	5,749		5,811
Prepaid reinsurance premiums	Prepaid reinsurance premiums	2,725		2,647		Prepaid reinsurance premiums	2,835		2,769
Investments in partially-owned insurance companies	Investments in partially-owned insurance companies	1,364		1,332		Investments in partially-owned insurance companies	2,871		2,813
Other assets	Other assets	9,239		7,581		Other assets	8,967		8,822
Total assets	Total assets	$	181,474	$	176,943	Total assets	$	191,977	$	190,774
Liabilities	Liabilities					Liabilities
Unpaid losses and loss expenses	Unpaid losses and loss expenses	$	65,699	$	62,690	Unpaid losses and loss expenses	$	69,255	$	67,811
Unearned premiums	Unearned premiums	17,081		16,771		Unearned premiums	18,040		17,652
Future policy benefits	Future policy benefits	5,895		5,814		Future policy benefits	5,839		5,713
Insurance and reinsurance balances payable	Insurance and reinsurance balances payable	6,249		6,184		Insurance and reinsurance balances payable	6,566		6,708

Securities lending payable	Securities lending payable	1,832		994		Securities lending payable	2,076		1,844

Accounts payable, accrued expenses, and other liabilities	Accounts payable, accrued expenses, and other liabilities	12,589		11,773		Accounts payable, accrued expenses, and other liabilities	14,051		14,052

Deferred tax liabilities	Deferred tax liabilities	696		804		Deferred tax liabilities	482		892
Repurchase agreements	Repurchase agreements	1,409		1,416		Repurchase agreements	1,405		1,405
Short-term debt		1,300		1,299

Long-term debt	Long-term debt	13,656		13,559		Long-term debt	14,879		14,948
Trust preferred securities	Trust preferred securities	308		308		Trust preferred securities	308		308
Total liabilities	Total liabilities	126,714		121,612		Total liabilities	132,901		131,333
Commitments and contingencies (refer to Note 7)	Commitments and contingencies (refer to Note 7)					Commitments and contingencies (refer to Note 7)	0		0
Shareholders’ equity	Shareholders’ equity					Shareholders’ equity
Common Shares (CHF 24.15 par value; 479,783,864 shares issued; 451,360,023 and 451,971,567 shares outstanding)		11,121		11,121
Common Shares in treasury (28,423,841 and 27,812,297 shares)		(3,866)		(3,754)
Common Shares (CHF 24.15 par value; 477,605,264 shares issued; 449,676,959 and 450,732,625 shares outstanding)						Common Shares (CHF 24.15 par value; 477,605,264 shares issued; 449,676,959 and 450,732,625 shares outstanding)	11,064		11,064
Common Shares in treasury (27,928,305 and 26,872,639 shares)						Common Shares in treasury (27,928,305 and 26,872,639 shares)	(3,901)		(3,644)
Additional paid-in capital	Additional paid-in capital	10,416		11,203		Additional paid-in capital	9,318		9,815
Retained earnings	Retained earnings	35,991		36,142		Retained earnings	41,637		39,337
Accumulated other comprehensive income (AOCI)	Accumulated other comprehensive income (AOCI)	1,098		619		Accumulated other comprehensive income (AOCI)	958		2,869
Total shareholders’ equity	Total shareholders’ equity	54,760		55,331		Total shareholders’ equity	59,076		59,441
Total liabilities and shareholders’ equity	Total liabilities and shareholders’ equity	$	181,474	$	176,943	Total liabilities and shareholders’ equity	$	191,977	$	190,774

See accompanying notes to the consolidated financial statements

Table of Contents

CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (Unaudited)

Chubb Limited and Subsidiaries


		Three Months Ended						Six Months Ended							Three Months Ended
		June 30						June 30							March 31
(in millions of U.S. dollars, except per share data)	(in millions of U.S. dollars, except per share data)	2020		2019		2020		2019		(in millions of U.S. dollars, except per share data)	2021		2020
Revenues	Revenues									Revenues
Net premiums written	Net premiums written	$	8,355	$	8,343	$	16,332	$	15,656	Net premiums written	$	8,662	$	7,977
Increase in unearned premiums	Increase in unearned premiums	(227)		(452)		(410)		(628)		Increase in unearned premiums	(441)		(183)
Net premiums earned	Net premiums earned	8,128		7,891		15,922		15,028		Net premiums earned	8,221		7,794
Net investment income	Net investment income	827		859		1,688		1,695		Net investment income	863		861
Net realized gains (losses):
Other-than-temporary impairment (OTTI) losses gross		—		(14)		—		(27)
Portion of OTTI losses recognized in other comprehensive income (OCI)		—		1		—		1
Net OTTI losses recognized in income		—		(13)		—		(26)
Net realized gains (losses) excluding OTTI losses		—		(210)		—		(294)
Net realized gains (losses) (includes $(33), $12, $(352), and $(32) reclassified from AOCI)		30		(223)		(928)		(320)
Net realized gains (losses) (includes $24 and $(319) reclassified from AOCI)										Net realized gains (losses) (includes $24 and $(319) reclassified from AOCI)	887		(958)
Total revenues	Total revenues	8,985		8,527		16,682		16,403		Total revenues	9,971		7,697
Expenses	Expenses									Expenses
Losses and loss expenses	Losses and loss expenses	6,577		4,715		11,062		8,813		Losses and loss expenses	5,053		4,485
Policy benefits	Policy benefits	223		161		352		357		Policy benefits	167		129
Policy acquisition costs	Policy acquisition costs	1,593		1,544		3,208		3,008		Policy acquisition costs	1,665		1,615
Administrative expenses	Administrative expenses	727		758		1,468		1,468		Administrative expenses	744		741
Interest expense	Interest expense	128		140		260		280		Interest expense	122		132
Other (income) expense	Other (income) expense	58		(230)		113		(269)		Other (income) expense	(490)		55
Amortization of purchased intangibles	Amortization of purchased intangibles	72		77		145		153		Amortization of purchased intangibles	72		73
Chubb integration expenses		—		4		—		7
Total expenses	Total expenses	9,378		7,169		16,608		13,817		Total expenses	7,333		7,230
Income (loss) before income tax		(393)		1,358		74		2,586
Income tax expense (benefit) (includes $(2), $4, $(42), and $(2) on reclassified unrealized gains and losses)		(62)		208		153		396
Net income (loss)		$	(331)	$	1,150	$	(79)	$	2,190
Other comprehensive income
Unrealized appreciation (depreciation)		$	3,248	$	1,252	$	769	$	3,097
Reclassification adjustment for net realized (gains) losses included in net income (loss)		33		(12)		352		32
Income before income tax										Income before income tax	2,638		467
Income tax expense (benefit) (includes $4 and $(40) on unrealized gains and losses reclassified from AOCI)										Income tax expense (benefit) (includes $4 and $(40) on unrealized gains and losses reclassified from AOCI)	338		215
Net income										Net income	$	2,300	$	252
Other comprehensive income (loss)										Other comprehensive income (loss)
Unrealized depreciation										Unrealized depreciation	$	(2,293)	$	(2,479)
Reclassification adjustment for net realized (gains) losses included in net income										Reclassification adjustment for net realized (gains) losses included in net income	(24)		319
		3,281		1,240		1,121		3,129			(2,317)		(2,160)
Change in:	Change in:									Change in:
Cumulative foreign currency translation adjustment	Cumulative foreign currency translation adjustment	445		(97)		(414)		50		Cumulative foreign currency translation adjustment	22		(859)
Postretirement benefit liability adjustment	Postretirement benefit liability adjustment	(22)		(18)		(36)		(45)		Postretirement benefit liability adjustment	(28)		(14)
Other comprehensive income, before income tax		3,704		1,125		671		3,134
Income tax (expense) benefit related to OCI items		(513)		(216)		(192)		(547)
Other comprehensive income		3,191		909		479		2,587
Comprehensive income		$	2,860	$	2,059	$	400	$	4,777
Other comprehensive loss, before income tax										Other comprehensive loss, before income tax	(2,323)		(3,033)
Income tax benefit related to OCI items										Income tax benefit related to OCI items	412		321
Other comprehensive loss										Other comprehensive loss	(1,911)		(2,712)
Comprehensive income (loss)										Comprehensive income (loss)	$	389	$	(2,460)
Earnings per share	Earnings per share									Earnings per share
Basic earnings (loss) per share		$	(0.73)	$	2.52	$	(0.17)	$	4.78
Diluted earnings (loss) per share		$	(0.73)	$	2.50	$	(0.17)	$	4.75
Basic earnings per share										Basic earnings per share	$	5.10	$	0.56
Diluted earnings per share										Diluted earnings per share	$	5.07	$	0.55

See accompanying notes to the consolidated financial statements

Table of Contents

CONSOLIDATED STATEMENTS OF SHAREHOLDERS' EQUITY (Unaudited)

Chubb Limited and Subsidiaries


		Three Months Ended						Six Months Ended							Three Months Ended
		June 30						June 30							March 31
(in millions of U.S. dollars)	(in millions of U.S. dollars)	2020		2019		2020		2019		(in millions of U.S. dollars)	2021		2020
Common Shares	Common Shares									Common Shares
Balance – beginning and end of period	Balance – beginning and end of period	$	11,121	$	11,121	$	11,121	$	11,121	Balance – beginning and end of period	$	11,064	$	11,121

Common Shares in treasury	Common Shares in treasury									Common Shares in treasury
Balance – beginning of period	Balance – beginning of period	(3,872)		(2,775)		(3,754)		(2,618)		Balance – beginning of period	(3,644)		(3,754)
Common Shares repurchased	Common Shares repurchased	—		(376)		(326)		(743)		Common Shares repurchased	(519)		(326)

Net shares issued under employee share-based compensation plans	Net shares issued under employee share-based compensation plans	6		58		214		268		Net shares issued under employee share-based compensation plans	262		208
Balance – end of period	Balance – end of period	(3,866)		(3,093)		(3,866)		(3,093)		Balance – end of period	(3,901)		(3,872)
Additional paid-in capital	Additional paid-in capital									Additional paid-in capital
Balance – beginning of period	Balance – beginning of period	10,710		12,051		11,203		12,557		Balance – beginning of period	9,815		11,203
Net shares issued under employee share-based compensation plans	Net shares issued under employee share-based compensation plans	7		1		(189)		(190)		Net shares issued under employee share-based compensation plans	(187)		(196)
Exercise of stock options	Exercise of stock options	(3)		(14)		(29)		(48)		Exercise of stock options	(24)		(26)
Share-based compensation expense	Share-based compensation expense	55		63		124		117		Share-based compensation expense	66		69
Funding of dividends declared to Retained earnings	Funding of dividends declared to Retained earnings	(353)		(344)		(693)		(679)		Funding of dividends declared to Retained earnings	(352)		(340)
Balance – end of period	Balance – end of period	10,416		11,757		10,416		11,757		Balance – end of period	9,318		10,710
Retained earnings	Retained earnings									Retained earnings
Balance – beginning of period	Balance – beginning of period	36,322		32,728		36,142		31,700		Balance – beginning of period	39,337		36,142
Cumulative effect of adoption of accounting guidance										Cumulative effect of adoption of accounting guidance	0		(63)
Balance – beginning of period, as adjusted										Balance – beginning of period, as adjusted	39,337		36,079
Net income										Net income	2,300		252

Cumulative effect of adoption of accounting guidance (refer to Note 1)		—		—		(72)		(12)
Balance – beginning of period, as adjusted		36,322		32,728		36,070		31,688
Net income (loss)		(331)		1,150		(79)		2,190
Funding of dividends declared from Additional paid-in capital	Funding of dividends declared from Additional paid-in capital	353		344		693		679		Funding of dividends declared from Additional paid-in capital	352		340
Dividends declared on Common Shares	Dividends declared on Common Shares	(353)		(344)		(693)		(679)		Dividends declared on Common Shares	(352)		(340)
Balance – end of period	Balance – end of period	35,991		33,878		35,991		33,878		Balance – end of period	41,637		36,331

Accumulated other comprehensive income
Accumulated other comprehensive income (loss)										Accumulated other comprehensive income (loss)
Net unrealized appreciation (depreciation) on investments	Net unrealized appreciation (depreciation) on investments									Net unrealized appreciation (depreciation) on investments
Balance – beginning of period	Balance – beginning of period	667		1,014		2,543		(545)		Balance – beginning of period	4,673		2,543

Change in period, before reclassification from AOCI, net of income tax expense of $(522), $(225), $(198) and $(549)		2,726		1,027		571		2,548
Amounts reclassified from AOCI, net of income tax (expense) benefit of $(2), $4, $(42) and $(2)		31		(8)		310		30
Change in period, net of income tax expense of $(524), $(221), $(240) and $(551)		2,757		1,019		881		2,578
Change in period, before reclassification from AOCI, net of income tax benefit of $401 and $324										Change in period, before reclassification from AOCI, net of income tax benefit of $401 and $324	(1,892)		(2,155)
Amounts reclassified from AOCI, net of income tax (expense) benefit of $4 and $(40)										Amounts reclassified from AOCI, net of income tax (expense) benefit of $4 and $(40)	(20)		279
Change in period, net of income tax benefit of $405 and $284										Change in period, net of income tax benefit of $405 and $284	(1,912)		(1,876)
Balance – end of period	Balance – end of period	3,424		2,033		3,424		2,033		Balance – end of period	2,761		667
Cumulative foreign currency translation adjustment	Cumulative foreign currency translation adjustment									Cumulative foreign currency translation adjustment
Balance – beginning of period	Balance – beginning of period	(2,764)		(1,836)		(1,939)		(1,976)		Balance – beginning of period	(1,637)		(1,939)
Change in period, net of income tax (expense) benefit of $6, $2, $40 and $(5)		451		(95)		(374)		45
Change in period, net of income tax benefit of $2 and $34										Change in period, net of income tax benefit of $2 and $34	24		(825)
Balance – end of period	Balance – end of period	(2,313)		(1,931)		(2,313)		(1,931)		Balance – end of period	(1,613)		(2,764)
Postretirement benefit liability adjustment	Postretirement benefit liability adjustment									Postretirement benefit liability adjustment
Balance – beginning of period	Balance – beginning of period	4		52		15		73		Balance – beginning of period	(167)		15
Change in period, net of income tax benefit of $5, $3, $8 and $9		(17)		(15)		(28)		(36)
Change in period, net of income tax benefit of $5 and $3										Change in period, net of income tax benefit of $5 and $3	(23)		(11)
Balance – end of period	Balance – end of period	(13)		37		(13)		37		Balance – end of period	(190)		4
Accumulated other comprehensive income		1,098		139		1,098		139

Accumulated other comprehensive income (loss)										Accumulated other comprehensive income (loss)	958		(2,093)
Total shareholders’ equity	Total shareholders’ equity	$	54,760	$	53,802	$	54,760	$	53,802	Total shareholders’ equity	$	59,076	$	52,197

See accompanying notes to the consolidated financial statements

Table of Contents

CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited)

Chubb Limited and Subsidiaries


							Three Months Ended
		Six Months Ended June 30							March 31
(in millions of U.S. dollars)	(in millions of U.S. dollars)	2020		2019		(in millions of U.S. dollars)	2021		2020
Cash flows from operating activities	Cash flows from operating activities					Cash flows from operating activities
Net income (loss)		$	(79)	$	2,190
Net income						Net income	$	2,300	$	252
Adjustments to reconcile net income to net cash flows from operating activities	Adjustments to reconcile net income to net cash flows from operating activities					Adjustments to reconcile net income to net cash flows from operating activities
Net realized (gains) losses	Net realized (gains) losses	928		320		Net realized (gains) losses	(887)		958
Amortization of premiums/discounts on fixed maturities	Amortization of premiums/discounts on fixed maturities	192		209		Amortization of premiums/discounts on fixed maturities	76		87
Amortization of purchased intangibles	Amortization of purchased intangibles	145		153		Amortization of purchased intangibles	72		73
Deferred income taxes	Deferred income taxes	(302)		(133)		Deferred income taxes	0		(13)
Unpaid losses and loss expenses	Unpaid losses and loss expenses	3,172		240		Unpaid losses and loss expenses	1,368		228
Unearned premiums	Unearned premiums	538		808		Unearned premiums	503		192
Future policy benefits	Future policy benefits	87		101		Future policy benefits	47		31
Insurance and reinsurance balances payable	Insurance and reinsurance balances payable	118		(94)		Insurance and reinsurance balances payable	(36)		2
Accounts payable, accrued expenses, and other liabilities	Accounts payable, accrued expenses, and other liabilities	(304)		(357)		Accounts payable, accrued expenses, and other liabilities	(663)		(392)
Income taxes payable	Income taxes payable	2		16		Income taxes payable	101		109
Insurance and reinsurance balances receivable	Insurance and reinsurance balances receivable	(645)		(843)		Insurance and reinsurance balances receivable	(209)		(6)
Reinsurance recoverable	Reinsurance recoverable	(71)		565		Reinsurance recoverable	(290)		116
Deferred policy acquisition costs	Deferred policy acquisition costs	(62)		(194)		Deferred policy acquisition costs	(81)		(65)

Other	Other	(22)		(273)		Other	(196)		140
Net cash flows from operating activities	Net cash flows from operating activities	3,697		2,708		Net cash flows from operating activities	2,105		1,712
Cash flows from investing activities	Cash flows from investing activities					Cash flows from investing activities
Purchases of fixed maturities available for sale	Purchases of fixed maturities available for sale	(13,058)		(12,566)		Purchases of fixed maturities available for sale	(7,738)		(6,474)

Purchases of fixed maturities held to maturity	Purchases of fixed maturities held to maturity	(42)		(73)		Purchases of fixed maturities held to maturity	(102)		(6)
Purchases of equity securities	Purchases of equity securities	(2,824)		(147)		Purchases of equity securities	(351)		(1,380)
Sales of fixed maturities available for sale	Sales of fixed maturities available for sale	7,734		7,832		Sales of fixed maturities available for sale	1,343		4,687

Sales of to be announced mortgage-backed securities		—		6

Sales of equity securities	Sales of equity securities	1,353		266		Sales of equity securities	351		131
Maturities and redemptions of fixed maturities available for sale	Maturities and redemptions of fixed maturities available for sale	5,220		3,963		Maturities and redemptions of fixed maturities available for sale	4,289		2,756
Maturities and redemptions of fixed maturities held to maturity	Maturities and redemptions of fixed maturities held to maturity	642		598		Maturities and redemptions of fixed maturities held to maturity	604		440
Net change in short-term investments	Net change in short-term investments	173		(763)		Net change in short-term investments	595		552
Net derivative instruments settlements	Net derivative instruments settlements	(18)		(536)		Net derivative instruments settlements	87		109
Private equity contributions	Private equity contributions	(546)		(920)		Private equity contributions	(427)		(361)
Private equity distributions	Private equity distributions	443		780		Private equity distributions	206		211
Deposit paid on share acquisition		(1,550)		—
Payment, including deposit, for Huatai Group interest						Payment, including deposit, for Huatai Group interest	(65)		(1,550)
Other	Other	(221)		(727)		Other	(44)		(125)
Net cash flows used for investing activities	Net cash flows used for investing activities	(2,694)		(2,287)		Net cash flows used for investing activities	(1,252)		(1,010)
Cash flows from financing activities	Cash flows from financing activities					Cash flows from financing activities
Dividends paid on Common Shares	Dividends paid on Common Shares	(678)		(671)		Dividends paid on Common Shares	(352)		(339)
Common Shares repurchased	Common Shares repurchased	(333)		(741)		Common Shares repurchased	(519)		(323)
Proceeds from issuance of long-term debt		—		1,289
Repayment of long-term debt		—		(500)
Proceeds from issuance of repurchase agreements	Proceeds from issuance of repurchase agreements	1,402		1,984		Proceeds from issuance of repurchase agreements	450		952
Repayment of repurchase agreements	Repayment of repurchase agreements	(1,402)		(1,986)		Repayment of repurchase agreements	(450)		(952)
Proceeds from share-based compensation plans	Proceeds from share-based compensation plans	74		95		Proceeds from share-based compensation plans	115		47
Policyholder contract deposits		215		237
Policyholder contract withdrawals		(173)		(138)
Policyholder contract deposits and other						Policyholder contract deposits and other	133		135
Policyholder contract withdrawals and other						Policyholder contract withdrawals and other	(124)		(162)
Other	Other	(3)		—		Other	(65)		(3)
Net cash flows used for financing activities	Net cash flows used for financing activities	(898)		(431)		Net cash flows used for financing activities	(812)		(645)
Effect of foreign currency rate changes on cash and restricted cash	Effect of foreign currency rate changes on cash and restricted cash	(42)		38		Effect of foreign currency rate changes on cash and restricted cash	(36)		(45)
Net increase in cash and restricted cash	Net increase in cash and restricted cash	63		28		Net increase in cash and restricted cash	5		12
Cash and restricted cash – beginning of period	Cash and restricted cash – beginning of period	1,646		1,340		Cash and restricted cash – beginning of period	1,836		1,646
Cash and restricted cash – end of period	Cash and restricted cash – end of period	$	1,709	$	1,368	Cash and restricted cash – end of period	$	1,841	$	1,658
Supplemental cash flow information	Supplemental cash flow information					Supplemental cash flow information
Taxes paid	Taxes paid	$	442	$	522	Taxes paid	$	236	$	107
Interest paid	Interest paid	$	286	$	286	Interest paid	$	90	$	91

See accompanying notes to the consolidated financial statements

Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)

Chubb Limited and Subsidiaries

1. General

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 11 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 ~~2019~~2020 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			March 31		December 31
(in millions of U.S. dollars)	(in millions of U.S. dollars)	2020		2019		(in millions of U.S. dollars)	2021		2020
Cash	Cash	$	1,557	$	1,537	Cash	$	1,684	$	1,747
Restricted cash	Restricted cash	152		109		Restricted cash	157		89
Total cash and restricted cash shown in the Consolidated statements of cash flows	Total cash and restricted cash shown in the Consolidated statements of cash flows	$	1,709	$	1,646	Total cash and restricted cash shown in the Consolidated statements of cash flows	$	1,841	$	1,836

c) Goodwill

During the ~~six~~three months ended ~~June 30, 2020,~~March 31, 2021, Goodwill ~~decreased $112~~increased $12 million, primarily reflecting the impact of foreign exchange.

d) Accounting guidance ~~adopted in 2020~~

~~Financial Instruments – Credit Losses: Measurement of Credit Losses on Financial Instruments~~

Effective January 1, 2020, we adopted, on a modified retrospective basis, new guidance on the accounting for credit losses of financial instruments that are measured at amortized cost, including held to maturity securities, and reinsurance recoverables, by applying an approach based on the current expected credit losses (CECL). The estimate of expected credit losses considers historical information, current information, as well as reasonable and supportable forecasts, including estimates of prepayments. In addition, the guidance also replaced the current available for sale (AFS) security other-than-temporary impairment model by requiring an estimate of the expected credit loss (ECL) only when the fair value is below the amortized cost of the asset. The length of time the fair value of an AFS security has been below its amortized cost no longer impacts the determination of whether a potential credit loss exists. The AFS security model also requires the use of a valuation allowance as compared to the previous practice of writing down the asset.

In 2020, we recognized a cumulative effect adjustment and decreased beginning retained earnings by $79 million pre-tax, or $72 million after-tax, principally related to the valuation allowance for credit losses. We also adopted the required disclosures within Note 3 Investments and Note 5 Reinsurance. Results for reporting periods prior to January 1, 2020 are presented in accordance with the previous guidance.

~~Table of Contents~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)~~

~~Chubb Limited and Subsidiaries~~

~~Accounting guidance~~ not yet adopted

~~Effects of Reference Rate Reform on Financial Reporting~~

In March 2020, the FASB issued guidance which provides optional expedients and exceptions for applying GAAP to investments, derivatives, or other transactions that reference the London Interbank Offered Rate (LIBOR) or another reference rate expected to be discontinued because of reference rate reform. Along with the optional expedients, the amendments include a general principle that permits an entity to consider contract modifications due to reference reform to be an event that does not require contract re-measurement at the modification date or reassessment of a previous accounting determination. Additionally, a company may make a one-time election to sell, transfer, or both sell and transfer debt securities classified as held to maturity that reference a rate affected by reference rate reform and that were classified as held to maturity before January 1, 2020. This standard may be elected over time through December 31, 2022 as reference rate reform activities occur. We are currently assessing the effect of adopting this guidance on our financial condition and results of operations.

Targeted Improvements to the Accounting for Long-Duration Contracts

In August 2018, the FASB issued guidance to improve the existing recognition, measurement, presentation, and disclosure requirements for long-duration contracts issued by an insurance entity. The amendments in this update require more frequent updating of assumptions and a standardized discount rate for the future policy benefit liability, a requirement to use the fair value measurement model for policies with market risk benefits, simplified amortization of deferred acquisition costs, and enhanced disclosures. This standard will be effective in the first quarter of ~~2022~~2023 with early adoption permitted. ~~However, in July 2020, the FASB proposed to defer the adoption date by one year, therefore, if the guidance is amended, this standard will be effective for us in the first quarter of 2023.~~ We are currently assessing the effect of adopting this guidance on our financial condition and results of operations. We will be better able to quantify the effect of adopting this standard as we progress in our implementation process and draw nearer to the date of adoption.

~~Refer to the 2019 Form 10-K for information on additional accounting guidance not yet adopted.~~

Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

2. Acquisitions

Huatai Group

Chubb maintains a direct investment in Huatai Insurance Group ~~Company Limited~~Co., Ltd. (Huatai Group). Huatai Group is the parent company of, and owns 100 percent of, Huatai Property & Casualty Insurance Co., Ltd. (Huatai P&C) ~~and~~, approximately 80 percent of Huatai Life Insurance Co., Ltd. (Huatai Life), and approximately 82 percent of Huatai Asset Management Co., Ltd. (collectively, Huatai). Huatai Group's insurance operations have more than 600 branches and 17 million customers in China. In November 2020, we completed the purchase of an incremental 0.9 percent ownership interest in Huatai Group for approximately $65 million, which was paid in January 2021.

As of ~~June 30, 2020~~March 31, 2021, Chubb's aggregate ownership interest in Huatai Group was ~~30.9~~approximately 47.1 percent. Chubb applies the equity method of accounting to its investment in Huatai Group by recording its share of net income or loss in Other (income) expense in the Consolidated statements of operations.

In 2019, Chubb entered into ~~agreements~~an agreement to acquire an additional ~~22.4 percent ownership in Huatai Group for approximately $1.55 billion through two separate purchases, a 15.3 percent ownership interest for approximately $1.1 billion and a~~ 7.1 percent ownership interest ~~for approximately $493 million. On July 13, 2020, we acquired the 15.3 percent ownership interest.~~in Huatai Group. The purchase of the additional 7.1 percent ownership interest is contingent upon important ~~conditions that are expected to be completed by the end of 2021.~~

In connection with these purchase agreements, in January 2020, we paid collateralized deposits totaling $1.55 billion to the selling shareholders. This transaction was recorded to Other assets on the Consolidated balance sheet and within investing activities on the Consolidated statement of cash flows.

conditions. Upon completion of the 7.1 percent purchase, ~~which will result in~~Chubb is expected to obtain majority ownership of Huatai Group ~~Chubb is expected to obtain~~and control of ~~Huatai Group, Huatai P&C and Huatai Life.~~Huatai. At that time, Chubb is expected to apply consolidation accounting and discontinue the application of the equity method of accounting.

3. Investments

a) Fixed maturities


March 31, 2021	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	$	2,413	$	0	$	121	$	(7)	$	2,527
Non-U.S.	25,147		(6)		1,214		(189)		26,166
Corporate and asset-backed securities	35,224		(9)		1,474		(289)		36,400
Mortgage-backed securities	18,788		0		738		(89)		19,437
Municipal	6,301		0		254		(14)		6,541
	$	87,873	$	(15)	$	3,801	$	(588)	$	91,071
	Amortized Cost		Valuation Allowance		Net Carrying Value		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Fair Value

Held to maturity
U.S. Treasury / Agency	$	1,158	$	0	$	1,158	$	39	$	0	$	1,197
Non-U.S.	1,276		(6)		1,270		82		(1)		1,351
Corporate and asset-backed securities	2,163		(35)		2,128		183		0		2,311
Mortgage-backed securities	1,888		(1)		1,887		110		0		1,997
Municipal	4,690		(1)		4,689		207		0		4,896
	$	11,175	$	(43)	$	11,132	$	621	$	(1)	$	11,752

Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

~~3. Investments~~


December 31, 2020	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	$	2,471	$	0	$	199	$	0	$	2,670
Non-U.S.	24,594		(6)		1,808		(42)		26,354
Corporate and asset-backed securities	34,095		(14)		2,322		(72)		36,331
Mortgage-backed securities	17,456		0		1,022		(8)		18,470
Municipal	6,572		0		304		(2)		6,874
	$	85,188	$	(20)	$	5,655	$	(124)	$	90,699
	Amortized Cost		Valuation Allowance		Net Carrying Value		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Fair Value

Held to maturity
U.S. Treasury / Agency	$	1,392	$	0	$	1,392	$	60	$	0	$	1,452
Non-U.S.	1,295		(7)		1,288		118		(1)		1,405
Corporate and asset-backed securities	2,185		(35)		2,150		288		0		2,438
Mortgage-backed securities	2,000		(1)		1,999		148		(1)		2,146
Municipal	4,825		(1)		4,824		245		0		5,069
	$	11,697	$	(44)	$	11,653	$	859	$	(2)	$	12,510

~~a) Fixed maturities~~The following table presents the amortized cost of our HTM securities according to S&P rating:

Effective January 1, 2020, we adopted new accounting guidance that requires a valuation allowance for credit losses to be established for fixed maturity securities classified as held to maturity (HTM) or available for sale (AFS). For information on accounting policies applicable to periods prior to January 1, 2020, refer to the 2019 Form 10-K.

June 30, 2020 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 $ 2,636 $ — $ 239 $ — $ 2,875
Non-U.S. 23,370 (17) 1,420 (166) 24,607
Corporate and asset-backed securities 32,721 (52) 1,658 (410) 33,917
Mortgage-backed securities 17,165 — 1,051 (18) 18,198
Municipal 6,848 — 270 (3) 7,115
$ 82,740 $ (69) $ 4,638 $ (597) $ 86,712
Amortized
Cost Valuation Allowance Net Carrying Value Gross
Unrealized
Appreciation Gross
Unrealized
Depreciation Fair
Value
Held to maturity
U.S. Treasury / Agency $ 1,242 $ — $ 1,242 $ 73 $ — $ 1,315
Non-U.S. 1,278 (8) 1,270 102 (2) 1,370
Corporate and asset-backed securities 2,232 (41) 2,191 247 (10) 2,428
Mortgage-backed securities 2,189 (1) 2,188 146 (3) 2,331
Municipal 4,955 (1) 4,954 223 (1) 5,176
$ 11,896 $ (51) $ 11,845 $ 791 $ (16) $ 12,620

December 31, 2019 Amortized
Cost Gross
Unrealized
Appreciation Gross
Unrealized
Depreciation Fair
Value OTTI Recognized
in AOCI
(in millions of U.S. dollars)
Available for sale
U.S. Treasury / Agency $ 3,188 $ 96 $ (1) $ 3,283 $ —
Non-U.S. 22,670 1,099 (62) 23,707 (25)
Corporate and asset-backed securities 30,689 1,180 (78) 31,791 (5)
Mortgage-backed securities 18,712 494 (14) 19,192 —
Municipal 7,321 205 (11) 7,515 —
$ 82,580 $ 3,074 $ (166) $ 85,488 $ (30)
Held to maturity
U.S. Treasury / Agency $ 1,318 $ 29 $ — $ 1,347 $ —
Non-U.S. 1,423 62 — 1,485 —
Corporate and asset-backed securities 2,349 121 (2) 2,468 —
Mortgage-backed securities 2,331 65 — 2,396 —
Municipal 5,160 150 (1) 5,309 —
$ 12,581 $ 427 $ (3) $ 13,005 $ —


	March 31, 2021				December 31, 2020
(in millions of U.S. dollars, except for percentages)	Amortized cost		% of Total		Amortized cost		% of Total
AAA	$	2,404	22	%	$	2,511	22	%
AA	5,815		52	%	6,193		53	%
A	2,109		19	%	2,138		18	%
BBB	818		7	%	826		7	%
BB	28		0	%	28		0	%
Other	1		0	%	1		0	%
Total	$	11,175	100	%	$	11,697	100	%

Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

Management evaluates CECL for all HTM securities each quarter. U.S. Treasury and agency securities and U.S. government agency mortgage-backed securities are assumed to have no risk of non-payment and therefore are excluded from the CECL evaluation. The remaining HTM securities are evaluated for potential credit loss on a collective pool basis. We elected to pool HTM securities by 1) external credit rating and 2) time to maturity (duration). These characteristics are the most representative of similar risk characteristics within our portfolio. Chubb will pool HTM securities and calculate an expected credit loss for each pool using Moody’s corporate bond default average, corporate bond recovery rate, and an economic cycle multiplier. The multiplier is based on the leading economic index and will adjust the average default frequency for a forward-looking economic outlook. Prior to the adoption of this guidance, HTM securities were evaluated individually for other-than-temporary impairment (OTTI).

Management monitors the credit quality of HTM securities through the review of external credit ratings on a quarterly basis. The following table presents the amortized cost of our HTM securities according to S&P rating:

June 30, 2020
(in millions of U.S. dollars) Amortized cost % of Total
AAA $ 2,583 22 %
AA 6,397 54 %
A 2,302 19 %
BBB 591 5 %
BB 21 — %
Other 2 — %
Total $ 11,896 100 %

Management evaluates expected credit losses (ECL) for AFS securities when fair value is below amortized cost. AFS securities are evaluated for potential credit loss on an individual security level but the evaluation may use assumptions consistent with expectations of credit losses for a group of similar securities. If management has the intent to sell or will be required to sell the security before recovery, the entire impairment loss will be recorded through income to net realized gains and losses. If management does not have the intent to sell or will not be required to sell the security before recovery, an allowance for credit losses is established and the portion of loss that relates to credit losses is recorded in income to Net realized gains (losses) and the portion of loss that relates to non-credit loss is recorded in Other comprehensive income.

~~Examples of criteria that are collectively evaluated to determine if a credit loss has occurred include the following:~~

•~~The extent to which the fair value is less than amortized cost;~~

•~~Adverse conditions related to the security, industry, or geographic area;~~

•~~Downgrades in the security's credit rating by a rating agency; and~~

•~~Failure of the issuer to make scheduled principal or interest payments~~

AFS securities that meet any one of the criteria included above will be subject to a discounted cash flow analysis by comparing the present value of expected future cash flows with the amortized cost basis. If the present value of expected future cash flows is less than the amortized cost, a credit loss exists and an allowance for credit losses will be recognized. If the present value of expected future cash flows is equal to or greater than the amortized cost basis, management will conclude an expected credit loss does not exist.

~~We elected to not measure an allowance for accrued investment income as uncollectible balances are written off in a timely manner, typically 30 to 45 days after uncollected balances are due.~~

~~Table of Contents~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)~~

~~Chubb Limited and Subsidiaries~~

The following table presents fixed maturities by contractual maturity:


				June 30				December 31					March 31				December 31
				2020				2019					2021				2020
(in millions of U.S. dollars)	(in millions of U.S. dollars)	Net Carrying Value		Fair Value		Amortized Cost		Fair Value		(in millions of U.S. dollars)	Net Carrying Value		Fair Value		Net Carrying Value		Fair Value
Available for sale	Available for sale									Available for sale
Due in 1 year or less	Due in 1 year or less	$	4,487	$	4,487	$	3,951	$	3,973	Due in 1 year or less	$	4,767	$	4,767	$	4,760	$	4,760
Due after 1 year through 5 years	Due after 1 year through 5 years	26,867		26,867		27,142		27,720		Due after 1 year through 5 years	26,100		26,100		26,227		26,227
Due after 5 years through 10 years	Due after 5 years through 10 years	25,465		25,465		23,901		24,874		Due after 5 years through 10 years	27,394		27,394		27,232		27,232
Due after 10 years	Due after 10 years	11,695		11,695		8,874		9,729		Due after 10 years	13,373		13,373		14,010		14,010
		68,514		68,514		63,868		66,296			71,634		71,634		72,229		72,229
Mortgage-backed securities	Mortgage-backed securities	18,198		18,198		18,712		19,192		Mortgage-backed securities	19,437		19,437		18,470		18,470
		$	86,712	$	86,712	$	82,580	$	85,488		$	91,071	$	91,071	$	90,699	$	90,699
Held to maturity	Held to maturity									Held to maturity
Due in 1 year or less	Due in 1 year or less	$	890	$	902	$	478	$	479	Due in 1 year or less	$	1,099	$	1,109	$	1,231	$	1,240
Due after 1 year through 5 years	Due after 1 year through 5 years	3,505		3,662		3,869		3,940		Due after 1 year through 5 years	3,471		3,613		3,592		3,760
Due after 5 years through 10 years	Due after 5 years through 10 years	3,328		3,516		3,756		3,883		Due after 5 years through 10 years	2,918		3,072		3,029		3,228
Due after 10 years	Due after 10 years	1,934		2,209		2,147		2,307		Due after 10 years	1,757		1,961		1,802		2,136
		9,657		10,289		10,250		10,609			9,245		9,755		9,654		10,364
Mortgage-backed securities	Mortgage-backed securities	2,188		2,331		2,331		2,396		Mortgage-backed securities	1,887		1,997		1,999		2,146
		$	11,845	$	12,620	$	12,581	$	13,005		$	11,132	$	11,752	$	11,653	$	12,510

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

b) Gross unrealized loss

Fixed maturities in an unrealized loss position at ~~June 30, 2020~~March 31, 2021 comprised both investment grade and below investment grade securities for which fair value declined primarily due to widening credit spreads since the date of purchase.

The following ~~table presents,~~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 continuously been in an unrealized loss position:


		0 – 12 Months												Over 12 Months														Total										0 – 12 Months						Over 12 Months			Total
June 30, 2020		Fair Value			Gross Unrealized Loss				Fair Value					Gross Unrealized Loss						Fair Value				Gross Unrealized Loss
March 31, 2021											March 31, 2021		Fair Value									Gross Unrealized Loss						Fair Value					Gross Unrealized Loss			Fair Value			Gross Unrealized Loss
(in millions of U.S. dollars)	(in millions of U.S. dollars)			Fair Value							Gross Unrealized Loss								Fair Value					Gross Unrealized Loss						Fair Value							Gross Unrealized Loss								(in millions of U.S. dollars)		Gross Unrealized Loss	Fair Value	Gross Unrealized Loss
U.S. Treasury / Agency														U.S. Treasury / Agency		$	220						$			(7)			$				0		$	0			$	220		$	(7)
Non-U.S.	Non-U.S.	$	3,172				$	(117)			$	105					$	(22)					$	3,277			$	(139)	Non-U.S.		4,775			(161)				381			(19)			5,156		(180)
Corporate and asset-backed securities	Corporate and asset-backed securities	7,985			(295)				551					(35)						8,536				(330)		Corporate and asset-backed securities	6,753					(254)			737			(19)			7,490			(273)
Mortgage-backed securities	Mortgage-backed securities	953			(13)				27					(2)						980				(15)		Mortgage-backed securities	5,470					(87)			62			(2)			5,532			(89)
Municipal	Municipal	95			(1)				65					(2)						160				(3)		Municipal	367					(13)			14			(1)			381			(14)
Total AFS fixed maturities	Total AFS fixed maturities	$	12,205		$	(426)			$	748				$	(61)					$	12,953			$	(487)	Total AFS fixed maturities	$	17,585				$	(522)		$	1,194		$	(41)		$	18,779		$	(563)

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Chubb Limited and Subsidiaries

The following table presents, for all securities in an unrealized loss position (including securities on loan), the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position:


		0 – 12 Months										Over 12 Months												Total											0 – 12 Months						Over 12 Months					Total
December 31, 2019		Fair Value			Gross Unrealized Loss			Fair Value				Gross Unrealized Loss				Fair Value			Gross Unrealized Loss
December 31, 2020										December 31, 2020	Fair Value							Gross Unrealized Loss						Fair Value				Gross Unrealized Loss				Fair Value				Gross Unrealized Loss
(in millions of U.S. dollars)	(in millions of U.S. dollars)			Fair Value						Gross Unrealized Loss					Fair Value				Gross Unrealized Loss							Fair Value								Gross Unrealized Loss								(in millions of U.S. dollars)				Gross Unrealized Loss		Fair Value	Gross Unrealized Loss
U.S. Treasury / Agency

Non-U.S.	Non-U.S.	1,846					(34)			802				(28)								2,648						(62)		Non-U.S.	$	1,628			$	(35)		$	114		$	(5)		$	1,742	$	(40)
Corporate and asset-backed securities	Corporate and asset-backed securities	2,121			(40)			988				(40)				3,109					(80)		Corporate and asset-backed securities		2,212				(33)				593				(14)			2,805			(47)
Mortgage-backed securities	Mortgage-backed securities	1,174			(6)			932				(8)				2,106			(14)			Mortgage-backed securities	875				(6)				35				(2)			910			(8)
Municipal	Municipal	188			—			276				(12)				464			(12)			Municipal	40				(1)				16				(1)			56			(2)
Total fixed maturities		$	5,563		$	(81)		$	3,337			$	(88)			$	8,900		$	(169)
Total AFS fixed maturities																						Total AFS fixed maturities	$	4,755			$	(75)			$	758			$	(22)		$	5,513		$	(97)

c) Net realized gains (losses)

Management reviews credit losses and the valuation allowance for expected credit losses each quarter. When all or a portion of a fixed maturity security is identified to be uncollectible and written off, the valuation allowance for expected credit losses is reduced by the same amount. In general, a security is considered uncollectible no later than when all efforts to collect contractual cash flows have been exhausted. Below are considerations for when a security may be deemed uncollectible:

•~~We have sufficient information to determine that the issuer of the security is insolvent;~~

•~~We receive notice that the issuer of the security has filed for bankruptcy, and the collectability is expected to be adversely impacted by the bankruptcy;~~

•~~The issuer of a security has violated multiple debt covenants;~~

•~~Amounts have been past due for a specified period of time with no response from the issuer;~~

•~~A significant deterioration in the value of the collateral has occurred;~~

•~~We have received correspondence from the issuer of the security indicating that it doesn’t intend to pay the contractual principal and interest.~~

Projected cash flows are driven primarily by assumptions regarding probability of default and also the timing and amount of recoveries associated with defaults. Chubb developed the projected cash flows using market data, issuer-specific information, and credit ratings. In combination with contractual cash flows and the use of historical default and recovery data by Moody’s Investors Service (Moody’s) rating category we generate expected cash flows using the average cumulative issuer-weighted global default rates by letter rating.

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~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)~~

~~Chubb Limited and Subsidiaries~~

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


		Three Months Ended						Six Months Ended							Three Months Ended
		June 30						June 30							March 31
(in millions of U.S. dollars)	(in millions of U.S. dollars)	2020		2019		2020		2019		(in millions of U.S. dollars)	2021		2020
Fixed maturities:	Fixed maturities:									Fixed maturities:
OTTI on fixed maturities, gross		$	—	$	(14)	$	—	$	(27)
OTTI on fixed maturities recognized in OCI (pre-tax)		—		1		—		1
OTTI on fixed maturities, net		—		(13)		—		(26)
Gross realized gains excluding OTTI		68		56		145		83
Gross realized losses excluding OTTI		(174)		(31)		(299)		(89)
Provision for expected credit losses		104		—		(46)		—

Gross realized gains										Gross realized gains	$	37	$	77
Gross realized losses										Gross realized losses	(19)		(125)
Net (provision for) recovery of expected credit losses										Net (provision for) recovery of expected credit losses	6		(150)
Impairment ⁽¹⁾	Impairment ⁽¹⁾	(31)		—		(152)		—		Impairment (1)	0		(121)
Total fixed maturities	Total fixed maturities	$	(33)	$	12	$	(352)	$	(32)	Total fixed maturities	$	24	$	(319)
Equity securities	Equity securities	148		5		119		63		Equity securities	367		(29)

Other investments	Other investments	(107)		30		(102)		(14)		Other investments	38		5
Foreign exchange gains (losses)	Foreign exchange gains (losses)	(61)		(11)		(129)		2		Foreign exchange gains (losses)	76		(68)
Investment and embedded derivative instruments	Investment and embedded derivative instruments	14		(181)		29		(311)		Investment and embedded derivative instruments	109		15
Fair value adjustments on insurance derivative	Fair value adjustments on insurance derivative	213		(65)		(472)		49		Fair value adjustments on insurance derivative	319		(685)
S&P futures	S&P futures	(103)		(20)		22		(83)		S&P futures	(44)		125
Other derivative instruments	Other derivative instruments	(1)		7		(3)		6		Other derivative instruments	(1)		(2)
Other	Other	(40)		—		(40)		—		Other	(1)		0
Net realized gains (losses) (pre-tax)	Net realized gains (losses) (pre-tax)	$	30	$	(223)	$	(928)	$	(320)	Net realized gains (losses) (pre-tax)	$	887	$	(958)

⁽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															Three Months Ended
												June 30															March 31
		2020										2019											2021				2020
(in millions of U.S. dollars)	(in millions of U.S. dollars)	Equity Securities		Other Investments		Total		Equity Securities		Other Investments		Total		(in millions of U.S. dollars)	Equity Securities		Other Investments		Total		Equity Securities		Other Investments		Total
Net gains (losses) recognized during the period	Net gains (losses) recognized during the period	$	148	$	(107)	$	41	$	5	$	30	$	35	Net gains (losses) recognized during the period	$	367	$	38	$	405	$	(29)	$	5	$	(24)
Less: Net gains (losses) recognized from sales of securities	Less: Net gains (losses) recognized from sales of securities	187		—		187		32		—		32		Less: Net gains (losses) recognized from sales of securities	45		0		45		(24)		0		(24)
Unrealized gains (losses) recognized for securities still held at reporting date	Unrealized gains (losses) recognized for securities still held at reporting date	$	(39)	$	(107)	$	(146)	$	(27)	$	30	$	3	Unrealized gains (losses) recognized for securities still held at reporting date	$	322	$	38	$	360	$	(5)	$	5	$	0

Six Months Ended
June 30
2020 2019
(in millions of U.S. dollars) Equity Securities Other Investments Total Equity Securities Other Investments Total
Net gains (losses) recognized during the period $ 119 $ (102) $ 17 $ 63 $ (14) $ 49
Less: Net gains (losses) recognized from sales of securities 163 — 163 33 (2) 31
Unrealized gains (losses) recognized for securities still held at reporting date $ (44) $ (102) $ (146) $ 30 $ (12) $ 18

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Chubb Limited and Subsidiaries

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


		Three Months Ended		Six Months Ended			Three Months Ended
		June 30		June 30					March 31
(in millions of U.S. dollars)	(in millions of U.S. dollars)	2020		2020		(in millions of U.S. dollars)	2021		2020
Available for sale	Available for sale					Available for sale
Valuation allowance for expected credit losses - beginning of period	Valuation allowance for expected credit losses - beginning of period	$	176	$	—	Valuation allowance for expected credit losses - beginning of period	$	20	$	0
Impact of adoption of new accounting guidance	Impact of adoption of new accounting guidance	—		25		Impact of adoption of new accounting guidance	—		25
Provision for expected credit loss	Provision for expected credit loss	29		178		Provision for expected credit loss	4		149
Initial allowance for purchased securities with credit deterioration	Initial allowance for purchased securities with credit deterioration	3		5		Initial allowance for purchased securities with credit deterioration	0		2
Write-offs charged against the expected credit loss		(5)		(5)

Recovery of expected credit loss	Recovery of expected credit loss	(134)		(134)		Recovery of expected credit loss	(9)		0
Valuation allowance for expected credit losses - end of period	Valuation allowance for expected credit losses - end of period	$	69	$	69	Valuation allowance for expected credit losses - end of period	$	15	$	176
Held to maturity	Held to maturity					Held to maturity
Valuation allowance for expected credit losses - beginning of period	Valuation allowance for expected credit losses - beginning of period	$	45	$	—	Valuation allowance for expected credit losses - beginning of period	$	44	$	0
Impact of adoption of new accounting guidance	Impact of adoption of new accounting guidance	—		44		Impact of adoption of new accounting guidance	—		44
Provision for expected credit loss	Provision for expected credit loss	6		7		Provision for expected credit loss	0		1

Recovery of expected credit loss						Recovery of expected credit loss	(1)		0
Valuation allowance for expected credit losses - end of period						Valuation allowance for expected credit losses - end of period	$	43	$	45

Valuation allowance for expected credit losses - end of period		$	51	$	51

~~Purchased Credit Deterioration (PCD) Securities~~

During the six months ended June 30, 2020, we purchased $107 million of securities with credit deterioration, categorized as available for sale, and assessed an allowance for credit losses of $5 million at acquisition. These PCD securities had a par value at acquisition of $143 million.

d) Alternative investments

Alternative investments include partially-owned investment companies, investment funds, and limited partnerships measured at fair value using ~~their respective~~ net asset ~~values or equivalent~~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:


					June 30				December 31						March 31				December 31
		Expected Liquidation Period of Underlying Assets			2020				2019			Expected Liquidation Period of Underlying Assets			2021				2020
(in millions of U.S. dollars)	(in millions of U.S. dollars)				Fair Value		Maximum Future Funding Commitments		Fair Value				Expected Liquidation Period of Underlying Assets		Fair Value		Maximum Future Funding Commitments		Fair Value		Maximum Future Funding Commitments
Financial	Financial	2 to 10 Years	$	521	$	309	$	611	$	329	Financial	2 to 10 Years			$	270	$	673	$	237
Real Assets	Real Assets	2 to 11 Years	674		749		712		422		Real Assets	2 to 11 Years	942		621		805		598
Distressed	Distressed	2 to 8 Years	220		158		263		80		Distressed	2 to 8 Years	481		864		358		970
Private Credit	Private Credit	3 to 8 Years	81		272		104		272		Private Credit	3 to 8 Years	86		276		88		270
Traditional	Traditional	2 to 14 Years	3,039		1,852		2,844		2,160		Traditional	2 to 14 Years	4,912		1,039		4,519		1,125
Vintage	Vintage	1 to 2 Years	90		—		116		—		Vintage	1 to 2 Years	72		0		73		0
Investment funds	Investment funds	Not Applicable	228		—		271		—		Investment funds	Not Applicable	254		0		254		0
			$	4,853	$	3,340	$	4,921	$	3,263			$	7,457	$	3,070	$	6,770	$	3,200

Included in all categories in the above table, except for Investment funds, are investments for which Chubb will never have the contractual option to redeem but receives distributions based on the liquidation of the underlying assets. Further, for all categories except for Investment funds, Chubb does not have the ability to sell or transfer the investments without the consent from the general partner of individual funds.

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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 ~~range~~are up to 270 days. Chubb can redeem its investment funds without consent from the investment fund managers.

d)e) Restricted assets

Chubb is required to maintain assets on deposit with various regulatory authorities to support its insurance and reinsurance operations. These requirements are generally promulgated in the statutory regulations of the individual jurisdictions. The assets on deposit are available to settle insurance and reinsurance liabilities. Chubb is also required to restrict assets pledged under repurchase agreements, which represent Chubb's agreement to sell securities and repurchase them at a future date for a predetermined price. We use trust funds in certain large reinsurance transactions where the trust funds are set up for the benefit of the ceding companies and generally take the place of letter of credit (LOC) requirements. We have investments in segregated portfolios primarily to provide collateral or guarantees for LOC and derivative transactions. Included in restricted assets at ~~June 30, 2020~~March 31, 2021 and December 31, ~~2019~~2020 are investments, primarily fixed maturities, totaling ~~$19.6~~$20.8 billion and ~~$21.0~~$19.6 billion, respectively, and cash of~~$152~~ $157 million and ~~$109~~$89 million, respectively.

The following table presents the components of restricted assets:


		June 30		December 31			March 31		December 31
(in millions of U.S. dollars)	(in millions of U.S. dollars)	2020		2019		(in millions of U.S. dollars)	2021		2020
Trust funds	Trust funds	$	12,522	$	14,004	Trust funds	$	13,553	$	12,305
Deposits with U.S. regulatory authorities	Deposits with U.S. regulatory authorities	2,424		2,466		Deposits with U.S. regulatory authorities	2,424		2,438
Deposits with non-U.S. regulatory authorities	Deposits with non-U.S. regulatory authorities	2,807		2,709		Deposits with non-U.S. regulatory authorities	2,917		2,905
Assets pledged under repurchase agreements	Assets pledged under repurchase agreements	1,460		1,464		Assets pledged under repurchase agreements	1,458		1,462
Other pledged assets	Other pledged assets	523		490		Other pledged assets	638		584
Total	Total	$	19,736	$	21,133	Total	$	20,990	$	19,694

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Chubb Limited and Subsidiaries

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)~~, which~~ and may require the use of models to be priced. The lack of market based inputs may increase the potential that an investment's estimated fair value is not reflective of the price at which an actual transaction would occur. The overwhelming majority of fixed maturities are classified within Level 2 because the most significant inputs used in the pricing techniques are observable. For a small number of fixed maturities, we obtain a single broker quote (typically from a market maker). Due to the disclaimers on the quotes that indicate that the price is indicative only, we include these fair value estimates in Level 3.

Equity securities

Equity securities with active markets are classified within Level 1 as fair values are based on quoted market prices. For equity securities in markets which are less active, fair values are based on market valuations and are classified within Level 2. Equity securities for which pricing is unobservable are classified within Level 3.

Short-term investments

Short-term investments, which comprise securities due to mature within one year of the date of purchase that are traded in active markets, are classified within Level 1 as fair values are based on quoted market prices. Securities such as commercial paper and discount notes are classified within Level 2 because these securities are typically not actively traded due to their

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Chubb Limited and Subsidiaries

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 net asset values or equivalent (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. Other investments for which pricing is unobservable are classified within Level 3.

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 derivative instruments

Actively traded investment derivative instruments, including futures, options, and forward contracts are classified within Level 1 as fair values are based on quoted market prices. The fair value of cross-currency swaps and interest rate swaps is based on market valuations and is classified within Level 2. Investment derivative instruments are recorded in either Other assets or Accounts payable, accrued expenses, and other liabilities in the Consolidated balance sheets.

Other derivative instruments

We maintain positions in exchange-traded equity futures contracts designed to limit exposure to a severe equity market decline, which would cause an increase in expected claims and, therefore, an increase in future policy benefit reserves for our guaranteed minimum death benefits (GMDB) and an increase in the fair value liability for our guaranteed living benefits (GLB) reinsurance business. Our positions in exchange-traded equity futures contracts are classified within Level 1. The fair value of the majority of the remaining positions in other derivative instruments is based on significant observable inputs including equity security and interest rate indices. Accordingly, these are classified within Level 2. Other derivative instruments based on unobservable inputs are classified within Level 3. Other derivative instruments are recorded in either Other assets or Accounts payable, accrued expenses, and other liabilities in the Consolidated balance sheets.

Separate account assets

Separate account assets represent segregated funds where investment risks are borne by the customers, except to the extent of certain guarantees made by Chubb. Separate account assets comprise mutual funds classified within Level 1 in the valuation hierarchy on the same basis as other equity securities traded in active markets. Separate account assets also include fixed maturities classified within Level 2 because the most significant inputs used in the pricing techniques are observable. Excluded from the valuation hierarchy are the corresponding liabilities as they are reported at contract value and not fair value in the Consolidated balance sheets. Separate account assets are recorded in Other assets in the Consolidated balance sheets.

Guaranteed living benefits

The GLB arises from life reinsurance programs covering living benefit guarantees whereby we assume the risk of guaranteed minimum income benefits (GMIB) associated with variable annuity contracts. GLB’s are recorded in Accounts payable, accrued expenses, and other liabilities ~~and Future policy benefits~~ in the Consolidated balance sheets. For GLB reinsurance, Chubb estimates fair value using an internal valuation model which includes current market information and estimates of policyholder behavior. All of the treaties contain claim limits, which are factored into the valuation model. The fair value depends on a number of factors, including interest rates, equity markets, credit risk, current account value, market volatility, expected annuitization rates and other policyholder behavior, and changes in policyholder mortality. Because of the significant use of unobservable inputs including policyholder behavior, GLB reinsurance is classified within Level 3.

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Chubb Limited and Subsidiaries

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


June 30, 2020		Level 1			Level 2					Level 3				Total
March 31, 2021							March 31, 2021		Level 1								Level 2					Level 3			Total
(in millions of U.S. dollars)	(in millions of U.S. dollars)			Level 1								Level 2				Level 3								Total							(in millions of U.S. dollars)			Level 3		Total
Assets:	Assets:						Assets:
Fixed maturities available for sale	Fixed maturities available for sale																		Fixed maturities available for sale
U.S. Treasury / Agency	U.S. Treasury / Agency	$	2,316				$	559					$	—						$	2,875	U.S. Treasury / Agency	$		2,044			$	483			$	0	$	2,527
Non-U.S.	Non-U.S.	—			24,138					469					24,607			Non-U.S.		0				25,516			650				26,166
Corporate and asset-backed securities	Corporate and asset-backed securities	—			32,548					1,369				33,917			Corporate and asset-backed securities		0				34,788			1,612				36,400
Mortgage-backed securities	Mortgage-backed securities	—			18,138					60				18,198			Mortgage-backed securities		0				19,386			51				19,437
Municipal	Municipal	—			7,115					—				7,115			Municipal		0				6,541			0				6,541
		2,316			82,498					1,898				86,712					2,044				86,714			2,313				91,071
Equity securities	Equity securities	2,329			1					64				2,394			Equity securities		4,330				0			75				4,405
Short-term investments	Short-term investments	2,707			1,294					2				4,003			Short-term investments		2,279				1,455			1				3,735
Other investments ⁽¹⁾	Other investments ⁽¹⁾	361			383					10				754			Other investments (1)		421				446			10				877
Securities lending collateral	Securities lending collateral	—			1,832					—				1,832			Securities lending collateral		0				2,076			0				2,076
Investment derivative instruments	Investment derivative instruments	19			—					—				19			Investment derivative instruments		69				0			0				69
Other derivative instruments	Other derivative instruments	1			—					—				1			Other derivative instruments		2				0			0				2
Separate account assets	Separate account assets	3,394			132					—				3,526			Separate account assets		4,493				115			0				4,608
Total assets measured at fair value ⁽¹⁾	Total assets measured at fair value ⁽¹⁾	$	11,127		$	86,140				$	1,974			$	99,241		Total assets measured at fair value (1)		$	13,638			$	90,806		$	2,399			$	106,843
Liabilities:	Liabilities:																Liabilities:
Investment derivative instruments	Investment derivative instruments	$	96		$	—				$	—			$	96		Investment derivative instruments		$	79			$	0		$	0			$	79

Other derivative instruments																	Other derivative instruments		7				0			0				7
GLB ⁽²⁾	GLB ⁽²⁾	—			—					928				928			GLB (2)		0				0			760				760
Total liabilities measured at fair value	Total liabilities measured at fair value	$	96		$	—				$	928			$	1,024		Total liabilities measured at fair value		$	86			$	0		$	760			$	846

⁽¹⁾Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of ~~$4,853~~$7,457 million, policy loans of ~~$226~~$232 million and other investments of ~~$90~~$70 million at ~~June 30, 2020~~March 31, 2021 measured using NAV as a practical expedient.

⁽²⁾Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. ~~Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets.~~

1816

Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries


December 31, 2019		Level 1			Level 2					Level 3				Total
December 31, 2020							December 31, 2020		Level 1								Level 2					Level 3			Total
(in millions of U.S. dollars)	(in millions of U.S. dollars)			Level 1								Level 2				Level 3								Total							(in millions of U.S. dollars)			Level 3		Total
Assets:	Assets:						Assets:
Fixed maturities available for sale	Fixed maturities available for sale																		Fixed maturities available for sale
U.S. Treasury / Agency	U.S. Treasury / Agency	$	2,664				$	619					$	—						$	3,283	U.S. Treasury / Agency	$		2,148			$	522			$	0	$	2,670
Non-U.S.	Non-U.S.	—			23,258					449					23,707			Non-U.S.		0				25,808			546				26,354
Corporate and asset-backed securities	Corporate and asset-backed securities	—			30,340					1,451				31,791			Corporate and asset-backed securities		0				34,758			1,573				36,331
Mortgage-backed securities	Mortgage-backed securities	—			19,132					60				19,192			Mortgage-backed securities		0				18,410			60				18,470
Municipal	Municipal	—			7,515					—				7,515			Municipal		0				6,874			0				6,874
		2,664			80,864					1,960				85,488					2,148				86,372			2,179				90,699
Equity securities	Equity securities	728			15					69				812			Equity securities		3,954				0			73				4,027
Short-term investments	Short-term investments	2,803			1,482					6				4,291			Short-term investments		2,866				1,474			5				4,345
Other investments ⁽¹⁾	Other investments ⁽¹⁾	412			377					10				799			Other investments (1)		434				438			10				882
Securities lending collateral	Securities lending collateral	—			994					—				994			Securities lending collateral		0				1,844			0				1,844
Investment derivative instruments	Investment derivative instruments	24			—					—				24			Investment derivative instruments		35				—			0				35
Other derivative instruments		2			—					—				2
Separate account assets	Separate account assets	3,437			136					—				3,573			Separate account assets		4,264				124			0				4,388
Total assets measured at fair value ⁽¹⁾	Total assets measured at fair value ⁽¹⁾	$	10,070		$	83,868				$	2,045			$	95,983		Total assets measured at fair value (1)		$	13,701			$	90,252		$	2,267			$	106,220
Liabilities:	Liabilities:																Liabilities:
Investment derivative instruments	Investment derivative instruments	$	93		$	—				$	—			$	93		Investment derivative instruments		$	52			$	0		$	0			$	52
Other derivative instruments	Other derivative instruments	13			—					—				13			Other derivative instruments		17				0			0				17
GLB ⁽²⁾	GLB ⁽²⁾	—			—					456				456			GLB (2)		0				0			1,089				1,089
Total liabilities measured at fair value	Total liabilities measured at fair value	$	106		$	—				$	456			$	562		Total liabilities measured at fair value		$	69			$	0		$	1,089			$	1,158

⁽¹⁾Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of ~~$4,921~~$6,770 million, policy loans of $233 million and other investments of ~~$95~~$60 million at December 31, ~~2019~~2020 measured using NAV as a practical expedient.

Level 3 financial instruments

The following table presents the significant unobservable inputs used in the Level 3 liability valuations. Excluded from the table below are inputs used to determine the fair value of Level 3 assets which are based on single broker quotes and contain no quantitative unobservable inputs developed by management. The majority of our fixed maturities classified as Level 3 used external pricing when markets are less liquid due to the lack of market inputs (i.e., stale pricing, broker quotes).

(in millions of U.S. dollars, except for percentages)

Fair Value

Valuation
Technique

Significant
Unobservable Inputs

Ranges

Weighted Average ⁽¹⁾

(in millions of U.S. dollars, except for percentages)

Fair Value

Valuation
Technique

Significant
Unobservable Inputs

Ranges

Weighted Average (1)

June 30, 2020

December 31, 2019

(in millions of U.S. dollars, except for percentages)

March 31, 2021

December 31, 2020

Valuation
Technique

Significant
Unobservable Inputs

Ranges

Weighted Average (1)

GLB ⁽¹⁾

928

456

Actuarial model

Lapse rate

3% – 34%

4.6

GLB (1)

760

1,089

Actuarial model

Lapse rate

3% – 34%

4.6

Annuitization rate

0% – 52%

4.1

Annuitization rate

0% – 100%

3.4

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

The most significant policyholder behavior assumptions include lapse rates and the GMIB annuitization rates. Assumptions regarding lapse rates and GMIB annuitization rates differ by treaty, but the underlying methodologies to determine rates applied to each treaty are comparable.

A lapse rate is the percentage of in-force policies surrendered in a given calendar year. All else equal, as lapse rates increase, ultimate claim payments will decrease.

~~Table of Contents~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)~~

~~Chubb Limited and Subsidiaries~~

The GMIB annuitization rate is the percentage of policies for which the policyholder will elect to annuitize using the guaranteed benefit provided under the GMIB. All else equal, as GMIB annuitization rates increase, ultimate claim payments will increase, subject to treaty claim limits.

Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

The effect of changes in key market factors on assumed lapse and annuitization rates reflect emerging trends using data available from cedants. For treaties with limited experience, rates are established in line with data received from other ceding companies adjusted, as appropriate, with industry estimates. The model and related assumptions are regularly re-evaluated by management and enhanced, as appropriate, based upon additional experience obtained related to policyholder behavior and availability of updated information such as market conditions, market participant assumptions, and demographics of in-force annuities. For the three ~~and six~~ months ended ~~June 30,~~March 31, 2021 and 2020, ~~and 2019,~~ no material refinements were made to the model. For detailed information on our lapse and annuitization rate assumptions, refer to Note 4 to the Consolidated Financial Statements of our ~~2019~~2020 Form 10-K.

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


		Assets																																						Liabilities										Assets													Liabilities
Three Months Ended June 30, 2020 (in millions of U.S. dollars)		Available-for-Sale Debt Securities																					Equity securities	Short-term investments			Other investments					GLB ⁽¹⁾
				Non-U.S.			Corporate and asset-backed securities				MBS
																					Short-term investments															GLB ⁽¹⁾
Balance – beginning of period		$	465				$	1,502			$	60			$	67			$	1																		$	10					$	1,141
Three Months Ended March 31, 2021 (in millions of U.S. dollars)																											Three Months Ended March 31, 2021 (in millions of U.S. dollars)	Available-for-Sale Debt Securities												Equity securities		Short-term investments					Other investments								GLB (1)
																													Non-U.S.				Corporate and asset- backed securities				Mortgage-backed securities
																																																	GLB (1)
Balance, beginning of period																											Balance, beginning of period				$	546			$	1,573					$	60									$	73				$	5				$	1,089
Transfers into Level 3																											Transfers into Level 3		0				17				0									0					0							0

Transfers out of Level 3		(13)			(71)				—				—				—						—				—
Change in Net Unrealized Gains (Losses) in OCI		(6)			1				—				(1)				—				—				—
Change in Net Unrealized Gains/Losses in OCI																											Change in Net Unrealized Gains/Losses in OCI		8				6				0						0					0						0						0

Net Realized Gains/Losses	Net Realized Gains/Losses	(1)			(13)				—				(1)				—				—				(213)		Net Realized Gains/Losses		0				(3)				0						2					0					0						(319)

Purchases	Purchases	67			83				—				8				1				—				—		Purchases		121				169				0						3					1					0						0
Sales	Sales	(16)			(48)				—				(9)				—				—				—		Sales		(7)				(25)				0						(3)					0					0						0
Settlements	Settlements	(27)			(85)				—				—				—				—				—		Settlements		(18)				(125)				(9)						0					(5)					0						0
Balance – end of period		$	469		$	1,369			$	60			$	64			$	2			$	10			$	928
Other																											Other		0				0				0						0					0					0						(10)
Balance, end of period																											Balance, end of period		$	650			$	1,612			$	51					$	75				$	1				$	10					$	760
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	5			$	—			$	1			$	—			$	—			$	(213)	Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date		$	0			$	(3)			$	0					$	2				$	0				$	0					$	(319)
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date	Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date	$	(5)		$	7			$	—			$	—			$	—			$	—			$	—	Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date		$	10			$	11			$	0					$	0				$	0				$	0					$	0

⁽¹⁾Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $1,372 million at June 30, 2020, and $1,591 million at March 31, 2020, which includes a fair value derivative adjustment of $928 million and $1,141 million, respectively.

2018

Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries


		Assets																																														Liabilities							Assets																Liabilities
Three Months Ended June 30, 2019 (in millions of U.S. dollars)		Available-for-Sale Debt Securities																		Equity securities			Short-term investments		Other investments											GLB ⁽¹⁾
				Non-U.S.			Corporate and asset-backed securities				MBS
																			Short-term investments								Other investments											GLB ⁽¹⁾
Balance – beginning of period		$	360				$	1,342			$	78			$	55							$	—	$	11
Three Months Ended March 31, 2020 (in millions of U.S. dollars)																																	Available-for-Sale Debt Securities														Equity securities			Short-term investments					Other investments										GLB (1)
																													Three Months Ended March 31, 2020 (in millions of U.S. dollars)			Non-U.S.									Corporate and asset- backed securities				Mortgage-backed securities																			GLB (1)

Balance, beginning of period																																		$	449					$	1,451			$	60						$	69				$	6				$	10				$	897
Transfers into Level 3	Transfers into Level 3	—			10				—				—				—					—								—	Transfers into Level 3						0					91				0							0					0					0							0

Change in Net Unrealized Gains/Losses in OCI, including foreign exchange		—			1				—				1				—			—							—
Transfers out of Level 3																													Transfers out of Level 3					(3)					(1)				0						0					0					0								0
Change in Net Unrealized Gains/ Losses in OCI																													Change in Net Unrealized Gains/ Losses in OCI					(14)					(45)				0						1					0					0								0

Net Realized Gains/Losses	Net Realized Gains/Losses	—			(1)				—				(1)				—			—							65			Net Realized Gains/Losses					(2)					(13)				0						(2)					0					0								685

Purchases	Purchases	43			121				—				5				4			—							—			Purchases					82					139				0						3					1					0								0
Sales	Sales	(14)			(36)				(1)				(4)				—			—							—			Sales					(46)					(19)				0						(4)					0					0								0
Settlements	Settlements	(18)			(78)				(1)				—				—			—							—			Settlements					(1)					(101)				0						0					(6)					0								0
Balance – end of period		$	371		$	1,359			$	76			$	56			$	4		$	11						$	403
Other																													Other					0					0				0						0					0					0								9
Balance, end of period																													Balance, end of period					$	465				$	1,502			$	60					$	67				$	1				$	10							$	1,591
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	(1)			$	—			$	(1)			$	—		$	—						$	65		Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date					$	0				$	(14)			$	0					$	(2)				$	0				$	0							$	685
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date																													Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date					$	(15)				$	(44)			$	0					$	0				$	0				$	0							$	0

⁽¹⁾Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $815 million at June 30, 2019, and $741 million at March 31, 2019, which includes a fair value derivative adjustment of $403 million and $338 million, respectively.

Assets Liabilities
Available-for-Sale Debt Securities Equity
securities Short-term investments Other
investments
GLB ⁽¹⁾
Six Months Ended
June 30, 2020
(in millions of U.S. dollars) Non-U.S. Corporate and asset-backed securities MBS
Balance – beginning of period $ 449 $ 1,451 $ 60 $ 69 $ 6 $ 10 $ 456
Transfers into Level 3 — 91 — — — — —
Transfers out of Level 3 (16) (72) — — — — —
Change in Net Unrealized Gains (Losses) in OCI, including foreign exchange (20) (44) — — — — —
Net Realized Gains/Losses (3) (26) — (3) — — 472
Purchases 149 222 — 11 2 — —
Sales (62) (67) — (13) — — —
Settlements (28) (186) — — (6) — —
Balance – end of period $ 469 $ 1,369 $ 60 $ 64 $ 2 $ 10 $ 928
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date $ — $ (9) $ — $ (1) $ — $ — $ 472
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date $ (20) $ (37) $ — $ — $ — $ — $ —

⁽¹⁾Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $1,372 million at June 30, 2020, and~~$897 millionat December 31, 2019, which includes a fair value derivative adjustment of $928 million and $456 million, respectively.~~

~~Table of Contents~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)~~

~~Chubb Limited and Subsidiaries~~

Assets Liabilities
Available-for-Sale Debt Securities Equity
securities Short-term investments Other
investments
GLB ⁽¹⁾
Six Months Ended
June 30, 2019
(in millions of U.S. dollars) Non-U.S. Corporate and asset-backed securities MBS
Balance – beginning of period $ 345 $ 1,299 $ 61 $ 57 $ 1 $ 11 $ 452
Transfers into Level 3 3 15 — — — — —
Transfers out of Level 3 (15) — — — — — —
Change in Net Unrealized Gains/Losses in OCI, including foreign exchange 6 5 — 2 — — —
Net Realized Gains/Losses (1) — — (3) — — (49)
Purchases 96 249 18 14 4 — —
Sales (19) (73) (1) (14) — — —
Settlements (44) (136) (2) — (1) — —
Balance – end of period $ 371 $ 1,359 $ 76 $ 56 $ 4 $ 11 $ 403
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date $ — $ (1) $ — $ (2) $ — $ — $ (49)

⁽¹⁾Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $815 million at June 30, 2019, and $861 million at December 31, 2018, which includes a fair value derivative adjustment of $403 million and $452 million, respectively.

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 ~~2019~~2020 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.

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

2219

Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

June 30, 2020 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 $ 1,257 $ 58 $ — $ 1,315 $ 1,242
Non-U.S. — 1,370 — 1,370 1,270
Corporate and asset-backed securities — 2,428 — 2,428 2,191
Mortgage-backed securities — 2,331 — 2,331 2,188
Municipal — 5,176 — 5,176 4,954
Total assets $ 1,257 $ 11,363 $ — $ 12,620 $ 11,845
Liabilities:
Repurchase agreements $ — $ 1,409 $ — $ 1,409 $ 1,409
Short-term debt — 1,309 — 1,309 1,300
Long-term debt — 15,650 — 15,650 13,656
Trust preferred securities — 453 — 453 308
Total liabilities $ — $ 18,821 $ — $ 18,821 $ 16,673

December 31, 2019 Fair Value 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 $ 1,292 $ 55 $ — $ 1,347 $ 1,318
Non-U.S. — 1,485 — 1,485 1,423
Corporate and asset-backed securities — 2,436 32 2,468 2,349
Mortgage-backed securities — 2,396 — 2,396 2,331
Municipal — 5,309 — 5,309 5,160
Total assets $ 1,292 $ 11,681 $ 32 $ 13,005 $ 12,581
Liabilities:
Repurchase agreements $ — $ 1,416 $ — $ 1,416 $ 1,416
Short-term debt — 1,307 — 1,307 1,299
Long-term debt — 15,048 — 15,048 13,559
Trust preferred securities — 467 — 467 308
Total liabilities $ — $ 18,238 $ — $ 18,238 $ 16,582

~~5. Reinsurance~~

~~Reinsurance recoverable on ceded reinsurance~~

June 30, 2020 December 31, 2019
(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 $ 14,361 $ 240 $ 14,181 $ 240
Reinsurance recoverable on paid losses and loss expenses 846 63 1,000 76
Reinsurance recoverable on losses and loss expenses $ 15,207 $ 303 $ 15,181 $ 316
Reinsurance recoverable on policy benefits $ 197 $ 4 $ 197 $ 4

⁽¹⁾~~Net~~The following tables present fair value, by valuation hierarchy, and carrying value of ~~valuation allowance for uncollectible reinsurance.~~

~~We evaluate~~ the financial condition of our reinsurers and potential reinsurers on a regular basis and also monitor concentrations of credit risk with reinsurers. The valuation allowance for uncollectible reinsurance is required principally due to the potential failure of reinsurers to indemnify Chubb, primarily because of disputes under reinsurance contracts and insolvencies. We haveinstruments not measured at fair value:


March 31, 2021	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	$	1,144	$	53	$	0	$	1,197	$	1,158
Non-U.S.	0		1,351		0		1,351		1,270
Corporate and asset-backed securities	0		2,311		0		2,311		2,128
Mortgage-backed securities	0		1,997		0		1,997		1,887
Municipal	0		4,896		0		4,896		4,689
Total assets	$	1,144	$	10,608	$	0	$	11,752	$	11,132
Liabilities:
Repurchase agreements	$	0	$	1,405	$	0	$	1,405	$	1,405

Long-term debt	0		16,408		0		16,408		14,879
Trust preferred securities	0		470		0		470		308
Total liabilities	$	0	$	18,283	$	0	$	18,283	$	16,592


December 31, 2020	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	$	1,395	$	57	$	0	$	1,452	$	1,392
Non-U.S.	0		1,405		0		1,405		1,288
Corporate and asset-backed securities	0		2,438		0		2,438		2,150
Mortgage-backed securities	0		2,146		0		2,146		1,999
Municipal	0		5,069		0		5,069		4,824
Total assets	$	1,395	$	11,115	$	0	$	12,510	$	11,653
Liabilities:
Repurchase agreements	$	0	$	1,405	$	0	$	1,405	$	1,405

Long-term debt	0		17,487		0		17,487		14,948
Trust preferred securities	0		473		0		473		308
Total liabilities	$	0	$	19,365	$	0	$	19,365	$	16,661

2320

Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

~~established a valuation allowance for amounts estimated to be uncollectible on both unpaid and paid losses as well as future policy benefits.~~5. Reinsurance

~~Management evaluates the need for a~~Reinsurance recoverable on ceded reinsurance


	March 31, 2021				December 31, 2020
(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	$	14,860	$	258	$	14,647	$	257
Reinsurance recoverable on paid losses and loss expenses	1,054		59		945		57
Reinsurance recoverable on losses and loss expenses	$	15,914	$	317	$	15,592	$	314
Reinsurance recoverable on policy benefits	$	202	$	4	$	206	$	5

(1)Net of valuation allowance for uncollectible reinsurance recoverable using current and historical factors, and forecasts each quarter. These factors include a review of active and run-off lines of business, review of reinsurer financial strength ratings, and review of our largest reinsurers. The evaluation of the valuation allowance includes several judgments including certain aspects of the allocation of reinsurance recoverable on incurred but not reported (IBNR) claims by reinsurer and a default analysis to estimate uncollectible reinsurance. The primary components of the default analysis are reinsurance recoverable balances by reinsurer, net of collateral, and default factors used to determine the portion of a reinsurer's balance deemed uncollectible. Default factors require considerable judgment and are determined using principally the current financial strength rating, or rating equivalent, of each reinsurer. Changes in the valuation allowance for uncollectible reinsurance recoverables are recorded in Losses and loss expenses in the Consolidated statements of operations. For additional information, refer to Note 1 d) to the Consolidated Financial Statements of our 2019 Form 10-K.

The ~~evaluation of~~increase in reinsurance recoverable on losses and loss expenses was primarily due to unfavorable prior period development in certain lines and catastrophe losses in the ~~valuation allowance at December 31, 2019 was consistent with the new accounting guidance adopted January 1, 2020, therefore, there was no material change to the valuation allowance upon adoption.~~quarter.

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)~~	~~2020~~
~~Reinsurance recoverable~~
~~Valuation allowance for uncollectible reinsurance - beginning of period~~	$	~~316~~
~~Provision for uncollectible reinsurance~~	5
~~Write-offs charged against the valuation allowance~~	~~(19)~~

~~Foreign exchange revaluation~~	1
~~Valuation allowance for uncollectible reinsurance - end of period~~	$	~~303~~


	Three Months Ended
	March 31
(in millions of U.S. dollars)	2021		2020
Valuation allowance for uncollectible reinsurance - beginning of period	$	314	$	316
Provision for uncollectible reinsurance	3		2
Write-offs charged against the valuation allowance	0		(13)


Valuation allowance for uncollectible reinsurance - end of period	$	317	$	305

For additional information, refer to Note 1 d) to the Consolidated Financial Statements of our 2020 Form 10-K.

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Chubb Limited and Subsidiaries

6. Unpaid losses and loss expenses

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


							Three Months Ended
		Six Months Ended June 30							March 31
(in millions of U.S. dollars)	(in millions of U.S. dollars)	2020		2019		(in millions of U.S. dollars)	2021		2020
Gross unpaid losses and loss expenses – beginning of period	Gross unpaid losses and loss expenses – beginning of period	$	62,690	$	62,960	Gross unpaid losses and loss expenses – beginning of period	$	67,811	$	62,690
Reinsurance recoverable on unpaid losses - beginning of period ⁽¹⁾		(14,181)		(14,689)
Reinsurance recoverable on unpaid losses – beginning of period (1)						Reinsurance recoverable on unpaid losses – beginning of period (1)	(14,647)		(14,181)
Net unpaid losses and loss expenses – beginning of period	Net unpaid losses and loss expenses – beginning of period	48,509		48,271		Net unpaid losses and loss expenses – beginning of period	53,164		48,509

Net losses and loss expenses incurred in respect of losses occurring in:	Net losses and loss expenses incurred in respect of losses occurring in:					Net losses and loss expenses incurred in respect of losses occurring in:
Current year	Current year	11,111		9,224		Current year	5,249		4,605
Prior years ⁽²⁾	Prior years ⁽²⁾	(49)		(411)		Prior years (2)	(196)		(120)
Total	Total	11,062		8,813		Total	5,053		4,485
Net losses and loss expenses paid in respect of losses occurring in:	Net losses and loss expenses paid in respect of losses occurring in:					Net losses and loss expenses paid in respect of losses occurring in:
Current year	Current year	2,263		2,288		Current year	732		920
Prior years	Prior years	5,842		5,823		Prior years	3,161		3,335
Total	Total	8,105		8,111		Total	3,893		4,255
Foreign currency revaluation and other	Foreign currency revaluation and other	(128)		(1)		Foreign currency revaluation and other	71		(565)
Net unpaid losses and loss expenses – end of period	Net unpaid losses and loss expenses – end of period	51,338		48,972		Net unpaid losses and loss expenses – end of period	54,395		48,174
Reinsurance recoverable on unpaid losses ⁽¹⁾	Reinsurance recoverable on unpaid losses ⁽¹⁾	14,361		14,233		Reinsurance recoverable on unpaid losses (1)	14,860		14,040
Gross unpaid losses and loss expenses – end of period	Gross unpaid losses and loss expenses – end of period	$	65,699	$	63,205	Gross unpaid losses and loss expenses – end of period	$	69,255	$	62,214

⁽¹⁾Net of valuation allowance for uncollectible reinsurance.

⁽²⁾Relates to prior period loss reserve development only and excludes prior period development related to reinstatement premiums, expense adjustments and earned premiums totaling $6$4 million and ~~$19~~$2 million for the ~~six~~three months ended ~~June 30,~~March 31, 2021 and 2020, ~~and 2019,~~ respectively.

Gross and net unpaid losses and loss expenses increased ~~$3,009~~$1,444 million and ~~$2,829~~$1,231 million, respectively, for the ~~six~~three months ended ~~June 30, 2020, driven by catastrophe losses incurred principally related to the COVID-19 pandemic and~~March 31, 2021, reflecting an increase in underlying ~~reserves,~~exposure due to premium growth and catastrophe losses incurred, partially offset by favorable ~~foreign exchange movement.~~prior period development.

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 professional liability; while short-tail lines include lines such as most property lines, energy, personal accident, and agriculture.

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Chubb Limited and Subsidiaries

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


		Three Months Ended June 30										Six Months Ended June 30							Three Months Ended March 31
(in millions of U.S. dollars)	(in millions of U.S. dollars)	Long-tail		Short-tail		Total		Long-tail		Short-tail		Total		(in millions of U.S. dollars)	Long-tail		Short-tail		Total
2021														2021
North America Commercial P&C Insurance														North America Commercial P&C Insurance	$	(46)	$	(81)	$	(127)
North America Personal P&C Insurance														North America Personal P&C Insurance	0		(40)		(40)
North America Agricultural Insurance														North America Agricultural Insurance	0		(2)		(2)
Overseas General Insurance														Overseas General Insurance	0		(25)		(25)
Global Reinsurance														Global Reinsurance	0		(7)		(7)
Corporate														Corporate	9		0		9
Total														Total	$	(37)	$	(155)	$	(192)
2020	2020													2020
North America Commercial P&C Insurance	North America Commercial P&C Insurance	$	(141)	$	(5)	$	(146)	$	(184)	$	(67)	$	(251)	North America Commercial P&C Insurance	$	(43)	$	(62)	$	(105)
North America Personal P&C Insurance	North America Personal P&C Insurance	—		(1)		(1)		—		—		—		North America Personal P&C Insurance	0		1		1
North America Agricultural Insurance	North America Agricultural Insurance	—		—		—		—		(14)		(14)		North America Agricultural Insurance	0		(14)		(14)
Overseas General Insurance	Overseas General Insurance	(1)		(35)		(36)		(1)		(39)		(40)		Overseas General Insurance	0		(4)		(4)
Global Reinsurance	Global Reinsurance	(19)		3		(16)		(19)		(4)		(23)		Global Reinsurance	0		(7)		(7)
Corporate	Corporate	274		—		274		285		—		285		Corporate	11		0		11
Total	Total	$	113	$	(38)	$	75	$	81	$	(124)	$	(43)	Total	$	(32)	$	(86)	$	(118)
2019
North America Commercial P&C Insurance		$	(206)	$	21	$	(185)	$	(271)	$	(45)	$	(316)
North America Personal P&C Insurance		—		(16)		(16)		—		(26)		(26)
North America Agricultural Insurance		—		—		—		—		(61)		(61)
Overseas General Insurance		—		(20)		(20)		—		(24)		(24)
Global Reinsurance		(33)		33		—		(34)		26		(8)
Corporate		33		—		33		43		—		43
Total		$	(206)	$	18	$	(188)	$	(262)	$	(130)	$	(392)

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

~~2020~~2021

For the three months ended ~~June 30, 2020,~~March 31, 2021, net favorable PPD was ~~$146~~$127 million, which was the net result of several underlying favorable and adverse movements, and was driven by the following principal changes:

•Net favorable development of ~~$141~~$46 million in long-tail business, primarily from:

•Net favorable development of ~~$152~~$51 million in ~~our workers’ compensation lines. This included favorable development of $62 million related to our annual assessment of multi-claimant events including industrial accidents, in the 2019~~professional liability (errors & omissions and third-party cyber risk), driven by accident ~~year. Consistent with prior~~ years ~~we reviewed these potential exposures after the close of the accident year to allow for late reporting or identification of significant losses. This~~2016 and 2017, which saw lower than expected loss emergence, partly offset by higher than expected development in accident year 2019 was partially offset by some higher than expected activity from other claims. The remaining overall favorable development was mainly in accident years 2015 and prior, driven by lower than expected loss experience and related updates to loss development factors;2019;

•Net favorable development of ~~$59~~$35 million in ~~general liability portfolios, mainly~~voluntary environmental lines, driven by accident years 2017 and prior, which saw lower than expected ~~paid and reported~~ loss ~~experience in accident years 2016 and prior,~~emergence, partly offset by ~~some adverse emergence~~higher than expected development in accident ~~years 2017 through 2019;~~

•Net adverse development of $75 million in commercial automobile liability, mainly in high deductible and excess portfolios, driven by adverse paid and reported loss experience and related updates to loss development factors, mainly in accident years 2015 throughyear 2019; and

•Net adverse development of $5$57 million ~~for U.S. child molestation claims, predominantly reviver statute-related.~~in excess and umbrella portfolios, with accident years 2015 through 2019 continuing to experience higher than expected loss development, partly offset by favorable development in accident years 2014 and prior.

•Net favorable development of $81 million in short-tail business, primarily from:

•Net favorable development of $49 million in surety, mainly in accident years 2018 and 2019, driven by lower than expected loss emergence;

•Net favorable development of $48 million in accident & health, driven by accident years 2019 and 2020, where loss emergence was lower than expected;

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Chubb Limited and Subsidiaries

•Net favorable development of $25 million in property and marine coverages in accident year 2020, driven by lower than expected non-catastrophe loss development; and

•Net adverse development of $41 million in first-party cyber risk, driven by accident years 2019 and 2020, which experienced higher than expected loss development as well as heightened frequency and severity.

2020

For the ~~six~~three months ended ~~June 30,~~March 31, 2020, net favorable PPD was ~~$251~~$105 million, which was the net result of several underlying favorable and adverse movements, and was driven by the following principal changes:

•Net favorable development of ~~$184~~$43 million in long-tail business, primarily from:

•~~Net favorable development of $182 million in workers’ compensation lines, mainly due to the same factors experienced for the three months ended June 30, 2020, as described above;~~

•Net favorable development of $66 million in professional liability (errors & omissions and ~~cyber)~~third-party cyber risk), indriven by accident years 2016 and prior, ~~due to~~which saw lower than expected emergence;

•Net favorable development of $43 million in voluntary environmental lines, indriven by accident years 2016 and prior, ~~due to~~which saw lower than expected emergence and a favorable revision to loss development patterns;

•Net favorable development of ~~$36~~$28 million in ~~general liability coverages,~~construction workers’ compensation, mainly ~~due to the same factors experienced for the three months ended June 30, 2020, as described above, as well as adverse wholesale general liability results, driven by higher~~in accident years 2016 and prior, which saw lower than expected reported loss emergence ~~in accident years 2014 through 2019;~~and a favorable revision to loss development patterns;

•Net adverse development of ~~$75 million in commercial automobile liability, due to the same factors experienced for the three months ended June 30, 2020, as described above;~~

•~~Net adverse development of $40~~$49 million in excess and umbrella portfolios, with accident years 2015 through 2019 experiencing higher than expected reported development, partially offset by lower than expected emergence in accident years 2014 and prior; and

•Net adverse development of $5$23 million ~~for U.S. child molestation claims, predominantly reviver statute-related.~~in wholesale general liability coverages, driven by higher than expected reported loss emergence in accident years 2014 through 2019.

•Net favorable development of ~~$67~~$62 million in short-tail business, primarily from:

•Net favorable development of ~~$37~~$36 million, in accident & health, mainly in accident years 2018 and 2019, driven by lower than expected paid loss emergence; and

•Net favorable development of $31 million in surety, driven by accident year 2018, where loss emergence was lower than expected.

~~2019~~North America Personal P&C Insurance

2021

For the three months ended ~~June 30, 2019,~~March 31, 2021, net favorable PPD was ~~$185~~$40 million, ~~which was the net result of several underlying favorable and adverse movements, and was~~ driven by ~~the following principal changes:~~accident year 2020, which experienced better than expected non-catastrophe loss development in homeowners and valuables.

•~~Net favorable development of $206 million in long-tail business, primarily from:~~

•Net favorable development of $163 million in our workers’ compensation lines. This included favorable development of $61 million related to our annual assessment of multi-claimant events including industrial accidents, in the 2018 accident year. Consistent with prior years, we reviewed these potential exposures after the close of the accident year to allow for late reporting or identification of significant losses. This development in accident year 2018 was partially offset by some higher than expected activity from other claims and from involuntary pools. The remaining overall favorable development was mainly in accident years 2014 and prior, driven by lower than expected loss experience and related updates to loss development factors;

•Net favorable development of $50 million in our general liability portfolios, mainly driven by lower than expected paid and reported loss experience in accident years 2015 and prior, partly offset by adverse developments in more recent accident years; and

•~~Net adverse development of $25 million in automobile liability, driven by adverse paid and reported loss experience mainly in accident years 2014 through 2018.~~

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~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)~~

~~Chubb Limited and Subsidiaries~~

•Net adverse development of $21 million in short-tail business, which was the result of several adverse movements, in lines such as automobile physical damage and involuntary pools, none of which were significant individually or in the aggregate, mainly impacting accident year 2018.

For the six months ended June 30, 2019, net favorable PPD was $316 million, which was the net result of several underlying favorable and adverse movements, and was driven by the following principal changes:

•~~Net favorable development of $271 million in long-tail business, primarily from:~~

•~~Net favorable development of $200 million in our workers’ compensation lines, mainly due to the same factors experienced for the three months ended June 30, 2019, as described above;~~

•Net favorable development of $54 million in professional liability (errors & omissions and cyber), mainly in the 2015 and prior accident years where case activity was less than expected, partially offset by adverse development in the 2016 accident year, which was driven by several large adverse claim developments;

•Net favorable development of $31 million in commercial excess and umbrella portfolios, driven by the 2013 and prior accident years, where case emergence was less than expected and greater weight was given to experience-based methods; this was partially offset by higher than expected claim activity in the 2015, 2016, and 2018 accident years which led to reserve strengthening in those years; and

•~~Net adverse development of $31 million in automobile liability, mainly due to the same factors experienced for the three months ended June 30, 2019, as described above.~~

•Net favorable development of $45 million in short-tail business, primarily from favorable development of $49 million in surety business, mainly in the 2017 accident year, driven by lower than expected reported loss activity.

~~North America Agricultural Insurance~~

Prior period development in this segment mainly relates to our Multiple Peril Crop Insurance (MPCI) business and was favorable due to better than expected crop yield results in certain states at the prior year-end period (i.e., 2020 results based on 2019 crop year).

Overseas General Insurance

2021

For the three ~~and six~~ months ended ~~June 30, 2020,~~March 31, 2021, net favorable PPD was ~~$36~~$25 million, ~~and $40 million, respectively,~~ which ~~was the net result of~~reflects favorable loss experience across several ~~underlying favorable and adverse movements, including $19 million and $22 million, respectively, in marine~~ lines, ~~across all regions~~ mainly in accident ~~years 2017 and 2018 and favorable case-specific settlements in accident years 2014 and prior.~~

~~Global Reinsurance~~

~~For the three and six months ended June 30,~~year 2020, ~~net favorable PPD was $16 million and $23 million, respectively, which was the net result of several underlying favorable and adverse movements,~~ none of which iswere significant individually or in the aggregate.

~~Corporate~~

~~2020~~

For the three and six months ended June 30, 2020, net adverse development was $274 million and $285 million, respectively, driven by adverse development of $254 million for U.S. child molestation claims, predominantly reviver statute-related. The remainder of the adverse development ($20 million and $31 million, respectively) was driven by increased claim costs on a limited number of non-A&E run-off casualty and workers’ compensation exposures, and charges relating to unallocated loss adjustment expenses due to run-off operating expenses.

~~2019~~

For the three and six months ended June 30, 2019, net adverse development was $33 million and $43 million, respectively, from the non A&E run-off casualty exposures, including workers' compensation, driven by increased claim costs and net adverse settlements on a limited number of claims and charges relating to unallocated loss adjustment expenses due to run-off operating expenses.

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Chubb Limited and Subsidiaries

7. Commitments, contingencies, and guarantees

a) Derivative instruments

Foreign currency management

As a global company, Chubb entities transact business in multiple currencies. Our policy is to generally match assets, liabilities, and required capital for each individual jurisdiction in local currency, which would include the use of derivatives discussed below. We do not hedge our net asset non-U.S. dollar capital positions; however, we do consider economic hedging for planned cross border transactions.

Derivative instruments employed

Chubb maintains positions in derivative instruments such as futures, options, swaps, and foreign currency forward contracts for which the primary purposes are to manage duration and foreign currency exposure, yield enhancement, or to obtain an exposure to a particular financial market. Chubb also maintains positions in convertible securities that contain embedded derivatives. Investment derivative instruments are recorded in either Other assets (OA) or Accounts payable, accrued expenses, and other liabilities (AP), 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 purchases to be announced mortgage-backed securities (TBAs) as part of its investing activities.

Under reinsurance programs covering GLBs, Chubb assumes the risk of GLBs, ~~(principally GMIB)~~principally GMIB, associated with variable annuity contracts. The GMIB risk is triggered if, at the time the contract holder elects to convert the accumulated account value to a periodic payment stream (annuitize), the accumulated account value is not sufficient to provide a guaranteed minimum level of monthly income. The GLB reinsurance product meets the definition of a derivative ~~instrument. Benefit reserves in respect of GLBs are classified as Future policy benefits (FPB) while the fair value derivative adjustment~~instrument and is classified within AP. Chubb also generally maintains positions in exchange-traded equity futures contracts on equity market indices to limit equity exposure in the GMDB and GLB book of business.

All derivative instruments are carried at fair value with changes in fair value recorded in Net realized gains (losses) in the Consolidated statements of operations. None of the derivative instruments are designated as hedges for accounting purposes.

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, 2020										December 31, 2019																	March 31, 2021								December 31, 2020
		Consolidated Balance Sheet Location	Fair Value								Notional Value/ Payment Provision			Fair Value								Notional Value/ Payment Provision			Consolidated Balance Sheet Location				Fair Value						Notional Value/ Payment Provision				Fair Value				Notional Value/ Payment Provision
(in millions of U.S. dollars)	(in millions of U.S. dollars)				Derivative Asset			Derivative (Liability)						Derivative Asset		Derivative (Liability)				Notional Value/ Payment Provision				Consolidated Balance Sheet Location			Derivative Asset				Derivative (Liability)			Notional Value/ Payment Provision			Derivative Asset		Derivative (Liability)		Notional Value/ Payment Provision
Investment and embedded derivative instruments:	Investment and embedded derivative instruments:																	Investment and embedded derivative instruments:
Foreign currency forward contracts	Foreign currency forward contracts	OA / (AP)	$	16		$	(85)		$	2,462		$	11	$	(78)	$	2,579	Foreign currency forward contracts	OA / (AP)			$	21				$	(69)			$	3,657					$	22	$	(49)	$	2,807
Options/Futures contracts on notes, bonds, and equities	Options/Futures contracts on notes, bonds, and equities	OA / (AP)	3			(11)			1,398			13		(15)		1,615		Options/Futures contracts on notes, bonds, and equities	OA / (AP)		48				(10)				2,063						13		(3)		1,749
Convertible securities ⁽¹⁾	Convertible securities ⁽¹⁾	FM AFS / ES	8			—			10			4		—		5		Convertible securities (1)	FM AFS / ES		11				0				13						9		0		11
			$	27		$	(96)		$	3,870		$	28	$	(93)	$	4,199				$	80			$	(79)			$	5,733					$	44	$	(52)	$	4,567
Other derivative instruments:	Other derivative instruments:																	Other derivative instruments:
Futures contracts on equities⁽²⁾	Futures contracts on equities⁽²⁾	OA / (AP)	$	—		$	—		$	598		$	—	$	(13)	$	613	Futures contracts on equities (2)	OA / (AP)		$	0			$	(7)			$	761					$	0	$	(17)	$	709
Other	Other	OA / (AP)	1			—			97			2		—		63		Other	OA / (AP)		2				0				52						0		0		16
			$	1		$	—		$	695		$	2	$	(13)	$	676				$	2			$	(7)			$	813					$	0	$	(17)	$	725
GLB ⁽³⁾	GLB ⁽³⁾	(AP) / (FPB)	$	—		$	(1,372)		$	2,196		$	—	$	(897)	$	1,510	GLB (3)	(AP)		$	0			$	(760)			$	1,506					$	0	$	(1,089)	$	1,658

⁽¹⁾Includes fair value of embedded derivatives.

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

⁽³⁾Includes both future policy benefits reserves of $444 million and $441 million and fair value derivative adjustment of $928 million and $456 million at June 30, 2020 and December 31, 2019, respectively. Note that the payment provision related to GLB is the net amount at risk. The concept of a notional value does not apply to the GLB reinsurance contracts.

~~Table of Contents~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)~~

~~Chubb Limited and Subsidiaries~~

At ~~June 30, 2020~~March 31, 2021 and December 31, ~~2019,~~2020, net derivative liabilities of ~~$71~~$12 million and ~~$75~~$30 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.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

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							Three Months Ended
		June 30						June 30							March 31
(in millions of U.S. dollars)	(in millions of U.S. dollars)	2020		2019		2020		2019		(in millions of U.S. dollars)	2021		2020
Investment and embedded derivative instruments:	Investment and embedded derivative instruments:									Investment and embedded derivative instruments:
Foreign currency forward contracts	Foreign currency forward contracts	$	10	$	(22)	$	53	$	(37)	Foreign currency forward contracts	$	(16)	$	43
Interest rate swaps		—		(135)		—		(215)

All other futures contracts, options, and equities	All other futures contracts, options, and equities	3		(25)		(24)		(61)		All other futures contracts, options, and equities	125		(27)
Convertible securities ⁽¹⁾	Convertible securities ⁽¹⁾	1		1		—		2		Convertible securities (1)	0		(1)

Total investment and embedded derivative instruments	Total investment and embedded derivative instruments	$	14	$	(181)	$	29	$	(311)	Total investment and embedded derivative instruments	$	109	$	15
GLB and other derivative instruments:	GLB and other derivative instruments:									GLB and other derivative instruments:
GLB ⁽²⁾	GLB ⁽²⁾	$	213	$	(65)	$	(472)	$	49	GLB ⁽²⁾	$	319	$	(685)
Futures contracts on equities ⁽³⁾⁽²⁾	Futures contracts on equities ⁽³⁾⁽²⁾	(103)		(20)		22		(83)		Futures contracts on equities ⁽³⁾⁽²⁾	(44)		125
Other	Other	(1)		7		(3)		6		Other	(1)		(2)
Total GLB and other derivative instruments	Total GLB and other derivative instruments	$	109	$	(78)	$	(453)	$	(28)	Total GLB and other derivative instruments	$	274	$	(562)
		$	123	$	(259)	$	(424)	$	(339)		$	383	$	(547)

⁽¹⁾Includes embedded derivatives.

⁽²⁾~~Excludes foreign exchange gains (losses) related to GLB.~~

⁽³⁾Related to GMDB and GLB book of business.

b) Derivative instrument objectives

(i) Foreign currency exposure management

A foreign currency forward contract (forward) is an agreement between participants to exchange specific ~~foreign~~ 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 future policy benefit reserves for GMDB and an increase in the fair value liability for GLB reinsurance business.

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, expected volatility, time to expiration, and supply and demand.

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~~Chubb Limited and Subsidiaries~~

The credit risk associated with the above derivative financial instruments relates to the potential for non-performance by counterparties. Although non-performance is not anticipated, in order to minimize the risk of loss, management monitors the creditworthiness of its counterparties and obtains collateral. The performance of exchange-traded instruments is guaranteed by the exchange on which they trade. For non-exchange-traded instruments, the counterparties are principally banks which must meet certain criteria according to our investment guidelines.

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Interest rate swaps

An interest rate swap is a contract between two counterparties in which interest payments are made based on a notional principal amount, which itself is never paid or received. Under the terms of an interest rate swap, one counterparty makes interest payments based on a fixed interest rate and the other counterparty’s payments are based on a floating rate. Interest rate swap contracts are used occasionally in our investment portfolio as protection against unexpected shifts in interest rates, which would affect the fair value of the fixed maturity portfolio. By using interest rate swaps in the portfolio, the overall duration or interest rate sensitivity of the portfolio can be impacted.

Cross-currency swaps

Cross-currency swaps are agreements under which two counterparties exchange interest payments and principal denominated in different currencies at a future date. We use cross-currency swaps to reduce the foreign currency and interest rate risk by converting cash flows back into local currency. We invest in foreign currency denominated investments to improve credit diversification and also to obtain better duration matching to our liabilities that is limited in the local currency market.

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 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.~~Consolidated Financial Statements. Chubb purchases TBAs both for their total return and for the flexibility they provide related to our mortgage-backed security strategy.

(v) GLB

Under the GLB program, as the assuming entity, Chubb is obligated to provide coverage until the expiration or maturity of the underlying deferred annuity contracts or the expiry of the reinsurance treaty. ~~Premiums received under the reinsurance treaties are classified~~The GLB is accounted for as ~~premium. Expected losses allocated to premiums received are classified as Future policy benefits~~a derivative and ~~valued similar to GMDB reinsurance. Other changes in~~is recorded at fair ~~value arise principally from changes in expected losses allocated to expected future premiums.~~value. Fair value represents management’s estimate of an exit price and thus, includes a risk margin. We may recognize a realized loss for other changes in fair value due to adverse changes in the capital markets (e.g., declining interest rates and/or declining U.S. and/or international equity markets) and changes in actual or estimated future policyholder behavior (e.g., increased annuitization or decreased lapse rates) although we expect the business to be profitable.

To mitigate adverse changes in the capital markets, we maintain positions in exchange-traded equity futures contracts, as noted under section "(ii) Futures" above. These futures increase in fair value when the S&P 500 index decreases (and decrease in fair value when the S&P 500 index increases). The net impact of gains or losses related to changes in fair value of the GLB liability and the exchange-traded equity futures are included in Net realized gains (losses).

c) 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

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~~Chubb Limited and Subsidiaries~~

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.

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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								Remaining contractual maturity

		June 30, 2020		December 31, 2019				March 31, 2021		December 31, 2020
(in millions of U.S. dollars)	(in millions of U.S. dollars)	Overnight and Continuous					(in millions of U.S. dollars)			Overnight and Continuous
Collateral held under securities lending agreements:	Collateral held under securities lending agreements:					Collateral held under securities lending agreements:
Cash	Cash	$	665	$	346	Cash		$	732	$	551
U.S. Treasury / Agency	U.S. Treasury / Agency	52		6		U.S. Treasury / Agency		116		148
Non-U.S.	Non-U.S.	1,059		595		Non-U.S.		1,068		1,032
Corporate and asset-backed securities	Corporate and asset-backed securities	20		5		Corporate and asset-backed securities		21		30
Mortgage-backed securities	Mortgage-backed securities	—		18		Mortgage-backed securities		1		4

Equity securities	Equity securities	36		24		Equity securities		138		79

		$	1,832	$	994			$	2,076	$	1,844
Gross amount of recognized liability for securities lending payable	Gross amount of recognized liability for securities lending payable	$	1,832	$	994	Gross amount of recognized liability for securities lending payable		$	2,076	$	1,844

At ~~June 30, 2020~~March 31, 2021 and December 31, ~~2019,~~2020, our repurchase agreement obligations of ~~$1,409~~$1,405 million ~~and $1,416 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																																		Remaining contractual maturity
		June 30, 2020											December 31, 2019																March 31, 2021														December 31, 2020
			Greater than 90 Days		Total		Up to 30 Days		30-90 Days		Greater than 90 Days			Total				30-90 Days		Greater than 90 Days				Total						30-90 Days				Greater than 90 Days				Total
(in millions of U.S. dollars)	(in millions of U.S. dollars)																											30-90 Days	Greater than 90 Days											30-90 Days		Greater than 90 Days		Total
Collateral pledged under repurchase agreements:	Collateral pledged under repurchase agreements:																Collateral pledged under repurchase agreements:
Cash	Cash		$	1	$	1	$	2	$	—	$	—		$	2		Cash	$	0			$	10			$	10					$	0			$	4			$	4
U.S. Treasury / Agency	U.S. Treasury / Agency		109		109		107		—		—			107			U.S. Treasury / Agency	102		4				106						0				106				106

Mortgage-backed securities	Mortgage-backed securities		1,350		1,350		399		476		480			1,355			Mortgage-backed securities	0		1,342				1,342						481				871				1,352
			$	1,460	$	1,460	$	508	$	476	$	480		$	1,464	��		$	102	$	1,356			$	1,458					$	481			$	981			$	1,462
Gross amount of recognized liabilities for repurchase agreements	Gross amount of recognized liabilities for repurchase agreements				$	1,409								$	1,416		Gross amount of recognized liabilities for repurchase agreements							$	1,405													$	1,405
Difference ⁽¹⁾	Difference ⁽¹⁾				$	51								$	48		Difference (1)							$	53													$	57

⁽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.

d) Fixed maturities

At March 31, 2021, we have commitments to purchase fixed income securities of $591 million over the next several years.

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~~d) Fixed maturities~~

~~At June 30, 2020, we have commitments to purchase fixed income securities of $747 million over the next several years.~~

e) Other investments

At ~~June 30, 2020,~~March 31, 2021, included in Other investments in the Consolidated balance sheet are investments in limited partnerships and partially-owned investment companies with a carrying value of ~~$4.6~~$7.2 billion. In connection with these investments, we have commitments that may require funding of up to ~~$3.3~~$3.1 billion over the next several years. At December 31, 2020, these investments had a carrying value of $6.5 billion with a commitment that may require funding of up to $3.2 billion.

f) Income taxes

At ~~June 30, 2020, $48~~March 31, 2021, $62 million of unrecognized tax benefits remain ~~outstanding.~~outstanding. It is reasonably possible that over the next twelve months, that 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 ~~2010.~~2012.

g) Legal proceedings

Our insurance subsidiaries are subject to claims litigation involving disputed interpretations of policy coverages and, in some jurisdictions, direct actions by allegedly-injured persons seeking damages from policyholders. These lawsuits, involving claims on policies issued by our subsidiaries which are typical to the insurance industry in general and in the normal course of business, are considered in our loss and loss expense reserves. In addition to claims litigation, we are subject to lawsuits and regulatory actions in the normal course of business that do not arise from or directly relate to claims on insurance policies. This 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.

h) Leases

At ~~June 30, 2020~~March 31, 2021 and December 31, ~~2019,~~2020, the right-of-use asset was ~~$483~~$448 million and ~~$551~~$473 million, respectively, ~~and is~~ recorded within Other assets on the Consolidated balance ~~sheets. At June 30, 2020~~sheets and ~~December 31, 2019,~~ the lease liability was ~~$531~~$490 million and ~~$603~~$517 million, respectively, ~~and is~~which was 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.~~lease, which expire at various dates.

8. 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 ~~consolidated financial~~the Consolidated Financial statements. Under Swiss corporate law, dividends, including distributions through a reduction in par value (par value reduction) or from legal reserves, must be stated in Swiss francs though dividend payments are made by Chubb in U.S. dollars. At ~~June 30, 2020,~~March 31, 2021, our Common Shares had a par value of CHF 24.15 per share.

At our May ~~2019~~2020 and ~~2018~~2019 annual general meetings, our shareholders approved annual dividends for the following year of up to ~~$3.00~~$3.12 per share and~~$2.92~~ $3.00 per share, respectively, which were paid in four quarterly installments of ~~$0.75~~$0.78 per share and~~$0.73~~ $0.75 per share, respectively, at dates determined by the Board of Directors (Board) after the annual general meetings by way of a distribution from capital contribution reserves, transferred to free reserves for payment.

At our May 2020 annual general meeting, our shareholders approved an annual dividend for the following year of up to $3.12 per share, expected to be paid in four quarterly installments of $0.78 per share after the general meeting by way of distribution from capital contribution reserves, transferred to free reserves for payment. The Board will determine the record and payment dates at which the annual dividend may be paid until the date of the 2021 annual general meeting, and is authorized to abstain from distributing a dividend at its discretion.

~~The following table presents dividend~~Dividend distributions per Common Share for the three months ended March 31, 2021 and 2020 were $0.78 (CHF 0.70) and $0.75 (CHF 0.72), respectively.

Increases in ~~Swiss francs (CHF)~~Common Shares in treasury are due to open market repurchases of Common Shares and ~~U.S. dollars (USD):~~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 March 31, 2021, 27,928,305 Common Shares remain in treasury after share repurchases and 2,054,334 net shares issued under employee share-based compensation plans.

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Chubb Limited and Subsidiaries

Three Months Ended Six Months Ended
June 30 June 30
2020 2019 2020 2019
CHF USD CHF USD CHF USD CHF USD
Total dividend distributions per common share 0.75 $ 0.78 0.75 $ 0.75 1.47 $ 1.53 1.47 $ 1.48

Common Shares in treasury are used principally for issuance upon the exercise of employee stock options, grants of restricted stock, and purchases under the Employee Stock Purchase Plan (ESPP). At June 30, 2020, 28,423,841 Common Shares remain in treasury after net shares redeemed under employee share-based compensation plans.

Chubb Limited securities repurchase authorizations

~~In December 2018, the Board authorized the repurchase of up to $1.5 billion of Chubb's Common Shares from December 1, 2018 through December 31, 2019.~~ In November 2019, the Board authorized the repurchase of up to $1.5 billion of Chubb's Common Shares from November 21, 2019 through December 31, 2020. ~~On April 22,~~In November 2020, ~~we announced that given~~ the ~~current economic environment and~~Board authorized the repurchase of up to ~~preserve capital for both risk and opportunity, we had suspended share repurchases. Share repurchases may be resumed at any time, at management's discretion. We did not engage in any~~$1.5 billion of Chubb's Common Shares from November 19, 2020 through December 31, 2021. The $1.5 billion November 2019 Board authorization remained effective through December 31, 2020. Repurchases through December 31, 2020 were made under this authorization. In February 2021, the Board approved an increase to the November 2020 share repurchase ~~activity during the three months ended June 30, 2020.~~program of $1.0 billion to a total of $2.5 billion, effective through December 31, 2021.

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							Three Months Ended					April 1, 2021 through April 29, 2021
				June 30				June 30					March 31			April 1, 2021 through April 29, 2021
(in millions of U.S. dollars, except share data)	(in millions of U.S. dollars, except share data)	2020		2019		2020		2019		(in millions of U.S. dollars, except share data)	2021		2020
Number of shares repurchased	Number of shares repurchased	—		2,584,466		2,266,150		5,338,220		Number of shares repurchased	3,110,000		2,266,150				450,000
Cost of shares repurchased	Cost of shares repurchased	$	—	$	376	$	326	$	743	Cost of shares repurchased	$	519	$	326				$	76
Repurchase authorization remaining at end of period	Repurchase authorization remaining at end of period	$	1,124	$	736	$	1,124	$	736	Repurchase authorization remaining at end of period	$	1,982	$	1,124				$	1,906

9. Share-based compensation

The Chubb Limited 2016 Long-Term Incentive Plan (the 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 ~~27, 2020,~~25, 2021, Chubb granted ~~1,957,505~~1,790,056 stock options with a weighted-average grant date fair value of ~~$19.89~~$33.05 each. The fair value of the options issued is estimated on the grant date using the Black-Scholes option pricing model.

The 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. Beginning in 2017, 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 granted at market close price on the grant date. On February ~~27, 2020,~~25, 2021, Chubb granted ~~1,002,341~~848,762 service-based restricted stock awards, ~~344,501~~324,142 service-based restricted stock units, and ~~203,533~~284,766 performance-based stock awards to employees and officers with a grant date fair value of ~~$150.11~~$164.94 each. Each restricted stock unit represents our obligation to deliver to the holder one Common Share upon vesting.

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10. Postretirement benefits

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

Pension Benefit Plans Other Postretirement
Benefit Plans
2020 2019 2020 2019
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 $ — $ 1 $ 13 $ 2 $ — $ —
Non-service cost:
Interest cost 25 5 29 7 — 1
Expected return on plan assets (56) (11) (48) (11) (1) (1)
Amortization of net actuarial loss — 1 — 1 — —
Amortization of prior service cost — — — — (20) (20)
Settlements 1 — — — — —
Total non-service (benefit) cost (30) (5) (19) (3) (21) (20)
Net periodic (benefit) cost $ (30) $ (4) $ (6) $ (1) $ (21) $ (20)

Pension Benefit Plans Other Postretirement
Benefit Plans
2020 2019 2020 2019
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 $ — $ 2 $ 25 $ 5 $ — $ —
Non-service cost:
Interest cost 50 11 59 14 1 2
Expected return on plan assets (112) (21) (95) (22) (2) (2)
Amortization of net actuarial loss — 1 — 1 — —
Amortization of prior service cost — — — — (40) (40)
Settlements 2 — — — — —
Total non-service (benefit) cost (60) (9) (36) (7) (41) (40)
Net periodic (benefit) cost $ (60) $ (7) $ (11) $ (2) $ (41) $ (40)

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~~Chubb Limited and Subsidiaries~~


	Pension Benefit Plans								Other Postretirement Benefit Plans
	2021				2020				2021		2020
Three Months Ended March 31	U.S. Plans		Non-U.S. Plans		U.S. Plans		Non-U.S. Plans
(in millions of U.S. dollars)
Service cost	$	0	$	1	$	0	$	1	$	0	$	0
Non-service cost (benefit):
Interest cost	18		5		25		6		0		1
Expected return on plan assets	(64)		(11)		(56)		(10)		0		(1)
Amortization of net actuarial loss	0		1		0		0		0		0
Amortization of prior service cost	0		0		0		0		(20)		(20)

Settlements	0		0		1		0		0		0
Total non-service cost (benefit)	(46)		(5)		(30)		(4)		(20)		(20)
Net periodic benefit cost (benefit)	$	(46)	$	(4)	$	(30)	$	(3)	$	(20)	$	(20)

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

Pension Benefit Plans Other Postretirement Benefit Plans
Three Months Ended June 30 2020 2019 2020 2019
(in millions of U.S. dollars)
Service cost:
Losses and loss expenses $ — $ 1 $ — $ —
Administrative expenses 1 14 — —
Total service cost 1 15 — —
Non-service cost:
Losses and loss expenses (3) (2) (2) (2)
Administrative expenses (32) (20) (19) (18)
Total non-service (benefit) cost (35) (22) (21) (20)
Net periodic (benefit) cost $ (34) $ (7) $ (21) $ (20)


		Pension Benefit Plans										Other Postretirement Benefit Plans													Pension Benefit Plans										Other Postretirement Benefit Plans
Six Months Ended June 30		2020			2019			2020				2019
Three Months Ended March 31							Three Months Ended March 31				2021				2020				2021				2020
(in millions of U.S. dollars)	(in millions of U.S. dollars)			2020						2019				2020							2019															2021	2020
Service cost:	Service cost:							Service cost:
Losses and loss expenses	Losses and loss expenses	$	—		$	3		$	—			$	—		Losses and loss expenses			$	0				$	0				$	0				$	0
Administrative expenses	Administrative expenses	2			27			—				—		Administrative expenses		1				1						0					0
Total service cost	Total service cost	2			30			—				—		Total service cost		1				1					0					0
Non-service cost:
Non-service cost (benefit):														Non-service cost (benefit):
Losses and loss expenses	Losses and loss expenses	(6)			(4)			(4)				(4)		Losses and loss expenses		(5)				(3)					(2)					(2)
Administrative expenses	Administrative expenses	(63)			(39)			(37)				(36)		Administrative expenses		(46)				(31)					(18)					(18)
Total non-service (benefit) cost		(69)			(43)			(41)				(40)
Net periodic (benefit) cost		$	(67)		$	(13)		$	(41)			$	(40)
Total non-service cost (benefit)														Total non-service cost (benefit)		(51)				(34)					(20)					(20)
Net periodic benefit cost (benefit)														Net periodic benefit cost (benefit)		$	(50)			$		(33)				$	(20)				$	(20)

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11. Segment information

Chubb operates through six business segments: North America Commercial P&C Insurance, North America Personal P&C Insurance, North America Agricultural Insurance, Overseas General Insurance, Global Reinsurance, and Life Insurance.

Corporate results primarily include income and expenses not attributable to reportable segments and losses and loss expenses of asbestos and environmental (A&E) liabilities and certain other non-A&E run-off exposures.

~~For segment reporting purposes, certain items are presented in a different manner below than in the consolidated financial statements.~~ Management uses underwriting income (loss) as the ~~main measure of~~basis for segment performance. Chubb calculates underwriting income (loss) by subtracting Losses and loss expenses, Policy benefits, Policy acquisition costs, and Administrative expenses from Net premiums earned. ~~To calculate~~Our main measure of segment performance is Segment income (loss), ~~include~~which also includes Net investment income (loss), Other (income) expense, and Amortization ~~expense~~ of purchased ~~intangibles. For~~intangibles acquired by the ~~North America Agricultural Insurance~~segment. We determined that this definition of segment ~~management includes~~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. Certain items are presented in a different manner for segment reporting purposes than in the Consolidated Financial Statements. These items are reconciled to the consolidated presentation in the Segment measure reclass column below and include:

•Losses and loss expenses include realized gains and losses on crop derivatives. These derivatives were purchased to provide economic benefit, in a manner similar to reinsurance protection, in the event that a significant decline in commodity pricing impacts underwriting results. We view gains and losses on these derivatives as ~~a component~~part of the results of our underwriting income (loss). For example, for the three months ended June 30, 2020, underwriting income in our North America Agricultural Insurance segment was $31 million. This amount includes $1 million of realized losses related to crop derivatives which are reported in Netoperations, and therefore realized gains (losses) ~~in the Corporate column below.~~from these derivatives are reclassified to losses and loss expenses.

~~For~~•Policy benefits include gains and losses from fair value changes in separate account assets, as well as the ~~Life Insurance segment, management includes Net investment income (loss)~~offsetting movement in separate account liabilities. The gains and ~~(Gains)~~ losses from fair value changes in separate account assets that do not qualify for separate account reporting under GAAP as components of Life Insurance underwriting income (loss). For example, for the three months ended June 30, 2020, Life Insurance underwriting income of $71 million includes Net investment income of $95 millionhave been reclassified from Other (income) expense. We view gains and ~~gains~~losses from fair value changes in both separate account assets and liabilities as part of ~~$40 million. The~~the results of our underwriting operations, and therefore these gains ~~from fair value changes in separate account assets~~and losses are ~~reported in~~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 ~~the table below.~~excess of three percent. We view investment income from these equity-method private equity partnerships as net investment income.

The following tables present the Statement of Operations by segment:


For the Three Months Ended June 30, 2020 (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				Chubb Consolidated

				For the Three Months Ended March 31, 2021 (in millions of U.S. dollars)																										For the Three Months Ended March 31, 2021 (in millions of U.S. dollars)	North America Commercial P&C Insurance		North America Personal P&C Insurance		North America Agricultural Insurance		Overseas General Insurance		Global Reinsurance		Life Insurance				Corporate			Segment Measure Reclass			Chubb Consolidated

Net premiums written	Net premiums written	$	3,720						$	1,327					$	461					$	2,021						$	207																								$	619		$	—		$	8,355	Net premiums written	$	3,664	$	1,098	$	183	$	2,890	$	207	$	620	$	0	$	0	$	8,662
Net premiums earned	Net premiums earned	3,595							1,192						376						2,194							163																									608			—			8,128		Net premiums earned	3,674		1,184		110		2,478		180		595		0		0		8,221
Losses and loss expenses	Losses and loss expenses	3,498							762						312						1,485							73									171		276		6,577		Losses and loss expenses	2,560			819			85		1,263			120			198				9		(1)		5,053
Policy benefits	Policy benefits	—				—		—				—		—				223		—				223		Policy benefits		0				0		0		0		0		163		0				4			167
Policy acquisition costs	Policy acquisition costs	471				231		29				624		42				196		—				1,593		Policy acquisition costs		514				247		12		668		45		179		0				0			1,665
Administrative expenses	Administrative expenses	249			66		3				241		9				82		77				727		Administrative expenses		254				60		3		266		8		82		71				0			744
Underwriting income (loss)	Underwriting income (loss)	(623)			133		32				(156)		39				(64)		(353)				(992)		Underwriting income (loss)		346				58		10		281		7		(27)		(80)				(3)			592
Net investment income (loss)	Net investment income (loss)	507			65		7				124		51				95		(22)				827		Net investment income (loss)		540				65		7		141		70		98		(17)				(41)			863
Other (income) expense	Other (income) expense	4			1		1				8		(8)				(57)		109				58		Other (income) expense		2				1		0		1		0		(34)		(415)				(45)			(490)
Amortization expense of purchased intangibles	Amortization expense of purchased intangibles	—			3		6				11		—				1		51				72		Amortization expense of purchased intangibles		0				3		7		12		0		1		49				0			72
Segment income (loss)		$	(120)		$	194	$	32			$	(51)	$	98			$	87	$	(535)			$	(295)
Segment income																									Segment income		$	884			$	119	$	10	$	409	$	77	$	104	$	269			$	1		$	1,873
Net realized gains (losses)	Net realized gains (losses)																		30				30		Net realized gains (losses)																888				(1)			887
Interest expense	Interest expense																		128				128		Interest expense																122				0			122

Income tax benefit																			(62)				(62)
Net loss																			$	(571)			$	(331)
Income tax expense																									Income tax expense																338				0			338
Net income																									Net income																$	697			$	0		$	2,300

3732

Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

For the Three Months Ended
June 30, 2019
(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 Chubb
Consolidated
Net premiums written $ 3,534 $ 1,309 $ 466 $ 2,258 $ 197 $ 579 $ — $ 8,343
Net premiums earned 3,390 1,168 378 2,225 159 571 — 7,891
Losses and loss expenses 2,214 747 316 1,125 90 189 34 4,715
Policy benefits — — — — — 161 — 161
Policy acquisition costs 459 237 27 629 42 150 — 1,544
Administrative expenses 259 71 4 265 7 78 74 758
Underwriting income (loss) 458 113 31 206 20 (7) (108) 713
Net investment income (loss) 521 64 4 151 55 97 (33) 859
Other (income) expense 2 1 1 3 (15) (7) (215) (230)
Amortization expense of purchased intangibles — 3 7 12 — 1 54 77
Segment income $ 977 $ 173 $ 27 $ 342 $ 90 $ 96 $ 20 $ 1,725
Net realized gains (losses) including OTTI (223) (223)
Interest expense 140 140
Chubb integration expenses 4 4
Income tax expense 208 208
Net income (loss) $ (555) $ 1,150

For the Six Months Ended
June 30, 2020
(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 Chubb Consolidated
Net premiums written $ 6,972 $ 2,434 $ 618 $ 4,619 $ 425 $ 1,264 $ — $ 16,332
Net premiums earned 6,971 2,392 470 4,501 349 1,239 — 15,922
Losses and loss expenses 5,679 1,445 375 2,743 160 373 287 11,062
Policy benefits — — — — — 352 — 352
Policy acquisition costs 963 476 40 1,266 87 376 — 3,208
Administrative expenses 508 134 7 499 19 158 143 1,468
Underwriting income (loss) (179) 337 48 (7) 83 (20) (430) (168)
Net investment income (loss) 1,023 131 16 269 105 190 (46) 1,688
Other (income) expense 1 3 1 12 (23) (13) 132 113
Amortization expense of purchased intangibles — 6 13 23 — 2 101 145
Segment income (loss) $ 843 $ 459 $ 50 $ 227 $ 211 $ 181 $ (709) $ 1,262
Net realized gains (losses) (928) (928)
Interest expense 260 260
Income tax expense 153 153
Net loss $ (2,050) $ (79)

~~Table of Contents~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)~~

~~Chubb Limited and Subsidiaries~~


For the Six Months Ended June 30, 2019 (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				Chubb Consolidated

				For the Three Months Ended March 31, 2020 (in millions of U.S. dollars)																										For the Three Months Ended March 31, 2020 (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	Net premiums written	$	6,485						$	2,365					$	596					$	4,653						$	399								$	1,158						$	—							$	15,656				Net premiums written	$			3,252		$	1,107		$	157		$	2,598		$	218		$	645		$	0		$	0		$	7,977
Net premiums earned	Net premiums earned	6,475							2,322						433						4,339							327									1,132							—								15,028					Net premiums earned	3,376				1,200			94			2,307			186			631			0			0			7,794
Losses and loss expenses	Losses and loss expenses	4,187							1,504						289						2,231							166									391				45			8,813		Losses and loss expenses		2,181			683					65				1,258			87			202			11			(2)			4,485
Policy benefits	Policy benefits	—				—		—				—		—				357		—				357		Policy benefits		0				0		0		0				0			185				0			(56)					129
Policy acquisition costs	Policy acquisition costs	918				468		34				1,225		85				278		—				3,008		Policy acquisition costs		492				245		11		642				45			180				0			0					1,615
Administrative expenses	Administrative expenses	499			139		5				514		17				157		137				1,468		Administrative expenses		259				68		4		258				10			76				66			0					741
Underwriting income (loss)	Underwriting income (loss)	871			211		105				369		59				(51)		(182)				1,382		Underwriting income (loss)		444				204		14		149				44			(12)				(77)			58					824
Net investment income (loss)	Net investment income (loss)	1,031			128		14				295		111				186		(70)				1,695		Net investment income (loss)		525				66		9		145				69			95				(24)			(24)					861
Other (income) expense	Other (income) expense	(3)			1		1				7		(24)				(47)		(204)				(269)		Other (income) expense		6				2		0		4				0			(12)				23			32					55
Amortization expense of purchased intangibles	Amortization expense of purchased intangibles	—			6		14				23		—				1		109				153		Amortization expense of purchased intangibles		0				3		7		12				0			1				50			0					73
Segment income (loss)	Segment income (loss)	$	1,905		$	332	$	104			$	634	$	194			$	181	$	(157)			$	3,193	Segment income (loss)		$	963			$	265	$	16	$	278			$	113		$	94			$	(174)		$	2				$	1,557
Net realized gains (losses) including OTTI																			(320)				(320)
Net realized gains (losses)																									Net realized gains (losses)																					(956)			(2)					(958)
Interest expense	Interest expense																		280				280		Interest expense																					132			0					132
Chubb integration expenses																			7				7

Income tax expense	Income tax expense																		396				396		Income tax expense																					215			0					215
Net income (loss)	Net income (loss)																		$	(1,160)			$	2,190	Net income (loss)																					$	(1,477)		$	0				$	252

Underwriting assets are reviewed in total by management for purposes of decision-making. Other than Unpaid losses and loss expenses, Future policy benefits, Reinsurance recoverables, Goodwill and Other intangible assets, Chubb does not allocate assets to its segments.

12. Earnings per share

Three Months Ended Six Months Ended
June 30 June 30
(in millions of U.S. dollars, except share and per share data) 2020 2019 2020 2019
Numerator:
Net income (loss) $ (331) $ 1,150 $ (79) $ 2,190
Denominator:
Denominator for basic earnings per share:
Weighted-average shares outstanding 451,402,807 457,224,455 451,635,733 458,010,447
Denominator for diluted earnings per share:
Share-based compensation plans ⁽¹⁾
— 2,945,237 — 2,863,109
Weighted-average shares outstanding and assumed conversions 451,402,807 460,169,692 451,635,733 460,873,556
Basic earnings (loss) per share $ (0.73) $ 2.52 $ (0.17) $ 4.78
Diluted earnings (loss) per share $ (0.73) $ 2.50 $ (0.17) $ 4.75
Potential anti-dilutive share conversions 8,378,447 2,660,925 6,583,319 5,037,959

⁽¹⁾For the three and six months ended June 30, 2020, weighted-average shares outstanding used in calculating diluted loss per share excludes the effect of dilutive securities of 1,395,951 and 2,044,144 shares, respectively. In periods where a net loss is recognized, inclusion of incremental dilution is antidilutive.


	Three Months Ended
	March 31
(in millions of U.S. dollars, except share and per share data)	2021		2020
Numerator:
Net income	$	2,300	$	252
Denominator:
Denominator for basic earnings per share:
Weighted-average shares outstanding	450,539,568		451,868,658
Denominator for diluted earnings per share:
Share-based compensation plans	2,795,971		2,651,610
Weighted-average shares outstanding and assumed conversions	453,335,539		454,520,268
Basic earnings per share	$	5.10	$	0.56
Diluted earnings per share	$	5.07	$	0.55
Potential anti-dilutive share conversions	1,952,612		3,154,406

Excluded from weighted-average shares outstanding and assumed conversions is the impact of securities that would have been anti-dilutive during the respective periods.

3933

Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)

Chubb Limited and Subsidiaries

13. Information provided in connection with outstanding debt of subsidiaries

The following tables present condensed consolidating financial information at June 30, 2020 and December 31, 2019, and for the three and six months ended June 30, 2020 and 2019 for Chubb Limited (Parent Guarantor) and Chubb INA Holdings Inc. (Subsidiary Issuer)~~. The Subsidiary Issuer~~ is an indirect 100 percent-owned and consolidated subsidiary of ~~the Parent Guarantor.~~Chubb Limited (Parent Guarantor). The Parent Guarantor fully and unconditionally guarantees certain of the debt of the Subsidiary Issuer. ~~Condensed consolidating financial~~Certain information of the Parent Guarantor and Subsidiary Issuer are presented on the equity method of accounting. The revenues and expenses and cash flows of the subsidiaries of the Subsidiary Issuer are presented in the Other Chubb Limited Subsidiaries column on a combined basis.included relates to our compliance with our debt covenants.

~~Condensed Consolidating Balance Sheet at June 30, 2020~~

(in millions of U.S. dollars) Chubb
Limited
(Parent
Guarantor) Chubb INA
Holdings Inc.
(Subsidiary
Issuer) Other Chubb
Limited
Subsidiaries Consolidating
Adjustments and Eliminations Chubb Limited
Consolidated
Assets
Investments $ — $ 195 $ 110,682 $ — $ 110,877
Cash ⁽¹⁾
1 — 2,624 (1,068) 1,557
Restricted cash — — 152 — 152
Insurance and reinsurance balances receivable — — 13,637 (2,784) 10,853
Reinsurance recoverable on losses and loss expenses — — 24,804 (9,597) 15,207
Reinsurance recoverable on policy benefits — — 292 (95) 197
Value of business acquired — — 290 — 290
Goodwill and other intangible assets — — 21,093 — 21,093
Investments in subsidiaries 52,339 52,752 — (105,091) —
Due from subsidiaries and affiliates, net 3,636 — — (3,636) —
Other assets 8 336 22,858 (1,954) 21,248
Total assets $ 55,984 $ 53,283 $ 196,432 $ (124,225) $ 181,474
Liabilities
Unpaid losses and loss expenses $ — $ — $ 75,013 $ (9,314) $ 65,699
Unearned premiums — — 18,301 (1,220) 17,081
Future policy benefits — — 5,990 (95) 5,895
Due to subsidiaries and affiliates, net — 3,365 271 (3,636) —
Affiliated notional cash pooling programs ⁽¹⁾
882 186 — (1,068) —
Repurchase agreements — — 1,409 — 1,409
Short-term debt — 1,300 — — 1,300
Long-term debt — 13,656 — — 13,656
Trust preferred securities — 308 — — 308
Other liabilities 342 1,415 23,410 (3,801) 21,366
Total liabilities 1,224 20,230 124,394 (19,134) 126,714
Total shareholders’ equity 54,760 33,053 72,038 (105,091) 54,760
Total liabilities and shareholders’ equity $ 55,984 $ 53,283 $ 196,432 $ (124,225) $ 181,474

⁽¹⁾~~Chubb maintains two notional multicurrency cash pools (Pools) with a third-party bank. Various Chubb entities participate in one or~~The following table presents the ~~other~~condensed balance sheets of the Pools, pursuant to which credit and debit balances in individual Chubb accounts are translated daily into a single currency and pooled on a notional basis. Individual Chubb entities are permitted to overdraw on their individual accounts provided the overall Pool balances do not fall below zero. At June 30, 2020, the cash balance of one or more entities was negative; however, the overall Pool balances were positive.

~~Table of Contents~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)~~

Chubb Limited and ~~Subsidiaries~~Chubb INA Holdings Inc.:


	Chubb Limited (Parent Guarantor) (1)				Chubb INA Holdings Inc. (Subsidiary Issuer)
(in millions of U.S. dollars)	March 31, 2021		December 31, 2020		March 31, 2021		December 31, 2020
Assets
Investments	$	0	$	0	$	206	$	197
Cash	23		84		1		1

Due from subsidiaries and affiliates, net	3,510		3,522		0		0
Other assets	8		10		415		463
Total assets	$	3,541	$	3,616	$	622	$	661
Liabilities
Due to subsidiaries and affiliates, net	$	0	$	0	$	3,079	$	3,008
Affiliated notional cash pooling programs	0		0		361		272

Long-term debt	0		0		14,879		14,948
Trust preferred securities	0		0		308		308
Other liabilities	337		323		1,281		1,418
Total liabilities	337		323		19,908		19,954
Total shareholders’ equity (2)	3,204		3,293		(19,286)		(19,293)
Total liabilities and shareholders’ equity	$	3,541	$	3,616	$	622	$	661

(1)Excludes investment in subsidiary issuer (presented separately).

~~Condensed Consolidating Balance Sheet~~(2)Total shareholders' equity of Parent Guarantor excludes $55.9 billion and $56.1 billion of investment in subsidiaries, including Subsidiary Issuer, at March 31, 2021 and December 31, ~~2019~~

(in millions of U.S. dollars) Chubb
Limited
(Parent
Guarantor) Chubb INA
Holdings Inc.
(Subsidiary
Issuer) Other Chubb
Limited
Subsidiaries Consolidating
Adjustments and Eliminations Chubb Limited
Consolidated
Assets
Investments $ — $ 1,013 $ 108,221 $ — $ 109,234
Cash ⁽¹⁾
2 442 1,093 — 1,537
Restricted cash — — 109 — 109
Insurance and reinsurance balances receivable — — 12,920 (2,563) 10,357
Reinsurance recoverable on losses and loss expenses — — 24,780 (9,599) 15,181
Reinsurance recoverable on policy benefits — — 292 (95) 197
Value of business acquired — — 306 — 306
Goodwill and other intangible assets — — 21,359 — 21,359
Investments in subsidiaries 50,853 52,076 — (102,929) —
Due from subsidiaries and affiliates, net 4,776 — — (4,776) —
Other assets 12 408 20,072 (1,829) 18,663
Total assets $ 55,643 $ 53,939 $ 189,152 $ (121,791) $ 176,943
Liabilities
Unpaid losses and loss expenses $ — $ — $ 71,916 $ (9,226) $ 62,690
Unearned premiums — — 17,978 (1,207) 16,771
Future policy benefits — — 5,909 (95) 5,814
Due to subsidiaries and affiliates, net — 4,446 330 (4,776) —
Repurchase agreements — — 1,416 — 1,416
Short-term debt — 1,298 1 — 1,299
Long-term debt — 13,559 — — 13,559
Trust preferred securities — 308 — — 308
Other liabilities 312 1,649 21,352 (3,558) 19,755
Total liabilities 312 21,260 118,902 (18,862) 121,612
Total shareholders’ equity 55,331 32,679 70,250 (102,929) 55,331
Total liabilities and shareholders’ equity $ 55,643 $ 53,939 $ 189,152 $ (121,791) $ 176,943

⁽¹⁾~~Chubb maintains two notional multicurrency cash pools (Pools) with a third-party bank. Refer to the 2019 Form 10-K for additional information.~~2020, respectively. Total shareholders' equity of Subsidiary Issuer excludes $54.5 billion and $55.2 billion of investment in subsidiaries at March 31, 2021 and December 31, 2020, respectively.

The following table presents the condensed statements of operations and comprehensive income of Chubb Limited and Chubb INA Holdings Inc.:


	Chubb Limited (Parent Guarantor) (1)				Chubb INA Holdings Inc. (Subsidiary Issuer)
Three Months Ended March 31	2021		2020		2021		2020
(in millions of U.S. dollars)
Net investment income (loss)	$	1	$	(2)	$	1	$	4

Net realized gains (loss)	13		(21)		67		113
Administrative expenses	22		24		(52)		(38)
Interest (income) expense	(34)		(34)		145		148
Other (income) expense	(13)		(9)		(5)		8
Income tax expense (benefit)	11		0		(22)		7
Net income (loss) (2)	$	28	$	(4)	$	2	$	(8)
Comprehensive income (loss)	$	28	$	(4)	$	1	$	(38)

(1)Excludes investment in subsidiary issuer (presented separately).

(2)

Net income of Parent Guarantor excludes equity in earnings from investment in subsidiaries, including Subsidiary Issuer, of $2,272 million and $256 million for the three months ended March 31, 2021 and 2020, respectively. Net income of Subsidiary Issuer excludes equity in earnings from investment in subsidiaries of $1,031 million and $593 million for the three months ended March 31, 2021 and 2020, respectively.

~~Table of Contents~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)~~

~~Chubb Limited and Subsidiaries~~

~~Condensed Consolidating Statements of Operations and Comprehensive Income (Loss)~~

For the Three Months Ended June 30, 2020 Chubb
Limited
(Parent
Guarantor) Chubb INA
Holdings Inc.
(Subsidiary
Issuer) Other Chubb
Limited
Subsidiaries Consolidating
Adjustments and Eliminations Chubb
Limited
Consolidated
(in millions of U.S. dollars)
Net premiums written $ — $ — $ 8,355 $ — $ 8,355
Net premiums earned — — 8,128 — 8,128
Net investment income — 1 826 — 827
Equity in earnings of subsidiaries (366) (271) — 637 —
Net realized gains (losses) 23 (192) 199 — 30
Losses and loss expenses — — 6,577 — 6,577
Policy benefits — — 223 — 223
Policy acquisition costs and administrative expenses 21 (30) 2,329 — 2,320
Interest (income) expense (35) 149 14 — 128
Other (income) expense (8) (5) 71 — 58
Amortization of purchased intangibles — — 72 — 72
Income tax expense (benefit) 10 (66) (6) — (62)
Net loss $ (331) $ (510) $ (127) $ 637 $ (331)
Comprehensive income $ 2,860 $ 1,872 $ 3,078 $ (4,950) $ 2,860

~~Condensed Consolidating Statements of Operations and Comprehensive Income~~

For the Three Months Ended June 30, 2019 Chubb
Limited
(Parent
Guarantor) Chubb INA
Holdings Inc.
(Subsidiary
Issuer) Other Chubb
Limited
Subsidiaries Consolidating
Adjustments and Eliminations Chubb
Limited
Consolidated
(in millions of U.S. dollars)
Net premiums written $ — $ — $ 8,343 $ — $ 8,343
Net premiums earned — — 7,891 — 7,891
Net investment income 1 (6) 864 — 859
Equity in earnings of subsidiaries 1,104 762 — (1,866) —
Net realized gains (losses) including OTTI 4 (21) (206) — (223)
Losses and loss expenses — — 4,715 — 4,715
Policy benefits — — 161 — 161
Policy acquisition costs and administrative expenses 22 (5) 2,285 — 2,302
Interest (income) expense (62) 180 22 — 140
Other (income) expense (6) 1 (225) — (230)
Amortization of purchased intangibles — — 77 — 77
Chubb integration expenses — — 4 — 4
Income tax expense (benefit) 5 (45) 248 — 208
Net income $ 1,150 $ 604 $ 1,262 $ (1,866) $ 1,150
Comprehensive income $ 2,059 $ 1,397 $ 2,181 $ (3,578) $ 2,059

~~Table of Contents~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)~~

~~Chubb Limited and Subsidiaries~~

~~Condensed Consolidating Statements of Operations and Comprehensive Income~~

For the Six Months Ended June 30, 2020 Chubb Limited (Parent Guarantor) Chubb INA Holdings Inc. (Subsidiary Issuer) Other Chubb Limited Subsidiaries Consolidating Adjustments and Eliminations Chubb Limited Consolidated
(in millions of U.S. dollars)
Net premiums written $ — $ — $ 16,332 $ — $ 16,332
Net premiums earned — — 15,922 — 15,922
Net investment income (2) 5 1,685 — 1,688
Equity in earnings of subsidiaries (110) 322 — (212) —
Net realized gains (losses) 2 (79) (851) — (928)
Losses and loss expenses — — 11,062 — 11,062
Policy benefits — — 352 — 352
Policy acquisition costs and administrative expenses 45 (68) 4,699 — 4,676
Interest (income) expense (69) 297 32 — 260
Other (income) expense (17) 3 127 — 113
Amortization of purchased intangibles — — 145 — 145
Income tax expense (benefit) 10 (59) 202 — 153
Net income (loss) $ (79) $ 75 $ 137 $ (212) $ (79)
Comprehensive income $ 400 $ 672 $ 660 $ (1,332) $ 400

~~Condensed Consolidating Statements of Operations and Comprehensive Income~~

For the Six Months Ended June 30, 2019 Chubb Limited (Parent Guarantor) Chubb INA Holdings Inc. (Subsidiary Issuer) Other Chubb Limited Subsidiaries Consolidating Adjustments and Eliminations Chubb Limited Consolidated
(in millions of U.S. dollars)
Net premiums written $ — $ — $ 15,656 $ — $ 15,656
Net premiums earned — — 15,028 — 15,028
Net investment income 2 (10) 1,703 — 1,695
Equity in earnings of subsidiaries 2,094 1,521 — (3,615) —
Net realized gains (losses) including OTTI 5 (34) (291) — (320)
Losses and loss expenses — — 8,813 — 8,813
Policy benefits — — 357 — 357
Policy acquisition costs and administrative expenses 42 (20) 4,454 — 4,476
Interest (income) expense (128) 365 43 — 280
Other (income) expense (12) 4 (261) — (269)
Amortization of purchased intangibles — — 153 — 153
Chubb integration expenses — 2 5 — 7
Income tax expense (benefit) 9 (87) 474 — 396
Net income $ 2,190 $ 1,213 $ 2,402 $ (3,615) $ 2,190
Comprehensive income $ 4,777 $ 3,338 $ 4,969 $ (8,307) $ 4,777

~~Table of Contents~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)~~

~~Chubb Limited and Subsidiaries~~

~~Condensed Consolidating Statement of Cash Flows~~

Six Months Ended June 30, 2020 Chubb
Limited
(Parent
Guarantor) Chubb INA
Holdings Inc.
(Subsidiary
Issuer) Other Chubb
Limited
Subsidiaries Consolidating
Adjustments and Eliminations Chubb
Limited
Consolidated
(in millions of U.S. dollars)
Net cash flows from (used for) operating activities $ 181 $ (307) $ 3,933 $ (110) $ 3,697
Cash flows from investing activities
Purchases of fixed maturities available for sale — (13) (13,045) — (13,058)
Purchases of fixed maturities held to maturity — — (42) — (42)
Purchases of equity securities — — (2,824) — (2,824)
Sales of fixed maturities available for sale — 7 7,727 — 7,734
Sales of equity securities — — 1,353 — 1,353
Maturities and redemptions of fixed maturities available for sale — 29 5,191 — 5,220
Maturities and redemptions of fixed maturities held to maturity — — 642 — 642
Net change in short-term investments — 761 (588) — 173
Net derivative instruments settlements — 69 (87) — (18)
Private equity contributions — — (546) — (546)
Private equity distributions — — 443 — 443
Deposit paid on share acquisition — — (1,550) — (1,550)
Capital contribution (1,200) — — 1,200 —
Other (1) (3) (217) — (221)
Net cash flows from (used for) investing activities (1,201) 850 (3,543) 1,200 (2,694)
Cash flows from financing activities
Dividends paid on Common Shares (678) — — — (678)
Common Shares repurchased (333) — — — (333)
Proceeds from issuance of repurchase agreements — — 1,402 — 1,402
Repayment of repurchase agreements — — (1,402) — (1,402)
Proceeds from share-based compensation plans — — 74 — 74
Dividend to parent company — — (110) 110 —
Advances (to) from affiliates 1,149 (1,168) 19 — —
Capital contribution — — 1,200 (1,200) —
Net proceeds from (payments to) affiliated notional cash pooling programs ⁽¹⁾
882 186 — (1,068) —
Policyholder contract deposits — — 215 — 215
Policyholder contract withdrawals — — (173) — (173)
Other — (3) — — (3)
Net cash flows from (used for) financing activities 1,020 (985) 1,225 (2,158) (898)
Effect of foreign currency rate changes on cash and restricted cash (1) — (41) — (42)
Net increase (decrease) in cash and restricted cash (1) (442) 1,574 (1,068) 63
Cash and restricted cash – beginning of period ⁽¹⁾
2 442 1,202 — 1,646
Cash and restricted cash – end of period ⁽¹⁾
$ 1 $ — $ 2,776 $ (1,068) $ 1,709

⁽¹⁾Chubb maintains two notional multicurrency cash pools (Pools) with a third-party bank. Various Chubb entities participate in one or the other of the Pools, pursuant to which credit and debit balances in individual Chubb accounts are translated daily into a single currency and pooled on a notional basis. Individual Chubb entities are permitted to overdraw on their individual accounts provided the overall Pool balances do not fall below zero. At June 30, 2020 and December 31, 2019, the cash balance of one or more entities was negative; however, the overall Pool balances were positive.

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~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)~~

~~Chubb Limited and Subsidiaries~~

~~Condensed Consolidating Statement of Cash Flows~~

Six Months Ended June 30, 2019 Chubb
Limited
(Parent
Guarantor) Chubb INA
Holdings Inc.
(Subsidiary
Issuer) Other Chubb
Limited
Subsidiaries Consolidating
Adjustments and Eliminations Chubb
Limited
Consolidated
(in millions of U.S. dollars)
Net cash flows from operating activities $ 323 $ 1,302 $ 2,943 $ (1,860) $ 2,708
Cash flows from investing activities
Purchases of fixed maturities available for sale — (5) (12,561) — (12,566)
Purchases of fixed maturities held to maturity — — (73) — (73)
Purchases of equity securities — — (147) — (147)
Sales of fixed maturities available for sale — — 7,838 — 7,838
Sales of equity securities — — 266 — 266
Maturities and redemptions of fixed maturities
available for sale
— 16 3,947 — 3,963
Maturities and redemptions of fixed maturities held to maturity — — 598 — 598
Net change in short-term investments — (11) (752) — (763)
Net derivative instruments settlements — (35) (501) — (536)
Private equity contributions — — (920) — (920)
Private equity distributions — — 780 — 780
Capital contribution (600) (110) — 710 —
Other — (12) (715) — (727)
Net cash flows used for investing activities (600) (157) (2,240) 710 (2,287)
Cash flows from financing activities
Dividends paid on Common Shares (671) — — — (671)
Common Shares repurchased — — (741) — (741)
Proceeds from issuance of long-term debt — 1,289 — — 1,289
Repayment of long-term debt — (500) — — (500)
Proceeds from issuance of repurchase agreements — — 1,984 — 1,984
Repayment of repurchase agreements — — (1,986) — (1,986)
Proceeds from share-based compensation plans — — 95 — 95
Dividend to parent company — — (1,860) 1,860 —
Advances (to) from affiliates 801 (1,498) 697 — —
Capital contribution — — 710 (710) —
Net proceeds from (payments to) affiliated notional cash pooling programs ⁽¹⁾
142 (437) — 295 —
Policyholder contract deposits — — 237 — 237
Policyholder contract withdrawals — — (138) — (138)
Other — — — — —
Net cash flows from (used for) financing activities 272 (1,146) (1,002) 1,445 (431)
Effect of foreign currency rate changes on cash and restricted cash 5 — 33 — 38
Net increase (decrease) in cash and restricted cash — (1) (266) 295 28
Cash and restricted cash – beginning of period ⁽¹⁾
1 2 1,989 (652) 1,340
Cash and restricted cash – end of period ⁽¹⁾
$ 1 $ 1 $ 1,723 $ (357) $ 1,368

⁽¹⁾Chubb maintains two notional multicurrency cash pools (Pools) with a third-party bank. Various Chubb entities participate in one or the other of the Pools, pursuant to which credit and debit balances in individual Chubb accounts are translated daily into a single currency and pooled on a notional basis. Individual Chubb entities are permitted to overdraw on their individual accounts provided the overall Pool balances do not fall below zero. At June 30, 2019 and December 31, 2018, the cash balance of one or more entities was negative; however, the overall Pool balances were positive.

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ITEM 2. Management's Discussion and Analysis of Financial Condition and Results of Operations

The following is a discussion of our results of operations, financial condition, and liquidity and capital resources as of and for the three ~~and six~~ months ended ~~June 30, 2020.~~March 31, 2021.

All comparisons in this discussion are to the corresponding prior year period unless otherwise indicated. All dollar amounts are rounded. However, percent changes and ratios are calculated using whole dollars. Accordingly, calculations using rounded dollars may differ.

Our results of operations and cash flows for any interim period are not necessarily indicative of our results for the full year. This discussion should be read in conjunction with our consolidated financial statements and related notes and our Management’s Discussion and Analysis of Financial Condition and Results of Operations included in our Annual Report on Form 10-K for the year ended December 31, ~~2019 (2019~~2020 (2020 Form 10-K).

Other Information

We routinely post important information for investors on our website (investors.chubb.com). We use this website as a means of disclosing material, non-public information and for complying with our disclosure obligations under Securities and Exchange Commission (SEC) Regulation FD (Fair Disclosure). Accordingly, investors should monitor the Investor Information portion of our website, in addition to following our press releases, SEC filings, public conference calls, and webcasts. The information contained on, or that may be accessed through, our website is not incorporated by reference into, and is not a part of, this report.

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Forward-Looking Statements

The Private Securities Litigation Reform Act of 1995 provides a “safe harbor” for forward-looking statements. Any written or oral statements made by us or on our behalf may include forward-looking statements that reflect our current views with respect to future events and financial performance. The words “believe,” “anticipate,” “estimate,” “project,” “should,” “plan,” “expect,” “intend,” “hope,” “feel,” “foresee,” “will likely result,” “will continue,” and variations thereof and similar expressions, identify forward-looking statements. These forward-looking statements are subject to certain risks, uncertainties, and other factors that could, should potential events occur, cause actual results to differ materially from such statements. These risks, uncertainties, and other factors, which are described in more detail elsewhere herein and in other documents we file with the U.S. Securities and Exchange Commission (SEC), include but are not limited to:

•actual amount of new and renewal business, premium rates, underwriting margins, market acceptance of our products, and risks associated with the introduction of new products and services and entering new markets; the competitive environment in which we operate, including trends in pricing or in policy terms and conditions, which may differ from our projections and changes in market conditions that could render our business strategies ineffective or obsolete;

•losses arising out of natural or man-made catastrophes such as hurricanes, typhoons, earthquakes, floods, climate change (including effects on weather patterns; greenhouse gases; sea, land and air temperatures; sea levels; and rain and snow), nuclear accidents, pandemics (including COVID-19), or terrorism which could be affected by:

•~~the number of insureds and ceding companies affected;~~

•~~the amount and timing of losses actually incurred and reported by insureds;~~

•~~the impact of these losses on our reinsurers and the amount and timing of reinsurance recoverable actually received;~~

•~~the cost of building materials and labor to reconstruct properties or to perform environmental remediation following a catastrophic event; and~~

•~~complex coverage and regulatory issues such as whether losses occurred from storm surge or flooding and related lawsuits;~~

•~~actions that rating agencies may take from time to time, such as financial strength or credit ratings downgrades or placing these ratings on credit watch negative or the equivalent;~~

•~~the ability to collect reinsurance recoverable, credit developments of reinsurers, and any delays with respect thereto and changes in the cost, quality, or availability of reinsurance;~~

•catastrophes; actual loss experience from insured or reinsured events and the timing of claim payments;

•actual claims may exceed our best estimate of ultimate insurance losses incurred through June 30, 2020 resulting directly from the COVID-19 pandemic and consequent economic crises; our COVID-19 related reserve at June 30, 2020 could change including as a result of, among other things, the impact of legislative or regulatory actions taken in response to COVID-19;

•the continued impact of COVID-19 and related risks, including from shelter-in-place orders, unemployment, and the financial market volatility, could continue to adversely impact our results, including premiums written and investment income;

•the uncertainties of the loss-reserving and claims-settlement processes, including the difficulties associated with assessing environmental damage and asbestos-related latent injuries, the impact of aggregate-policy-coverage limits, the impact of bankruptcy protection sought by various asbestos producers and other related businesses, and the timing of loss payments;

•infection rates and severity of COVID-19 and related risks, and their effects on our business operations and claims activity, and any adverse impact to our insureds, brokers, agents, and employees; actual claims may exceed our best estimate of ultimate insurance losses incurred through March 31, 2021 which could change including as a result of, among other things, the impact of legislative or regulatory actions taken in response to COVID-19;

•changes in the distribution or placement of risks due to increased consolidation of insurance and reinsurance brokers; material differences between actual and expected assessments for guaranty funds and mandatory pooling arrangements; the ability to collect reinsurance recoverable, credit developments of reinsurers, and any delays with respect thereto and changes in the cost, quality, or availability of reinsurance;

•uncertainties relating to governmental, legislative and regulatory policies, developments, actions, investigations, and treaties; judicial decisions and rulings, new theories of liability, legal tactics, and settlement terms; the effects of data privacy or cyber laws or regulation; global political conditions and possible business disruption or economic contraction that may result from such events;

•developments in global financial markets, including changes in interest rates, stock markets, and other financial markets; increased government involvement or intervention in the financial services industry; the cost and availability of financing, and foreign currency exchange rate fluctuations; changing rates of inflation; and other general economic and business conditions, including the depth and duration of potential recession;

•the availability of borrowings and letters of credit under our credit facilities; the adequacy of collateral supporting funded high deductible programs; the amount of dividends received from subsidiaries;

•changes to our assessment as to whether it is more likely than not that we will be required to sell, or have the intent to sell, available for sale fixed maturity investments before their anticipated recovery;

•~~infection rates and severity of pandemics, including COVID-19, and their effects~~actions that rating agencies may take from time to time, such as financial strength or credit ratings downgrades or placing these ratings on ~~our business operations and claims activity, and any adverse impact to our insureds, brokers, agents, and employees;~~

•developments in global financial markets, including changes in interest rates, stock markets, and other financial markets, increased government involvement or intervention in the financial services industry, the cost and availability of financing, and foreign currency exchange rate fluctuations (which we refer to in this report as foreign exchange and foreign currency exchange), which could affect our statement of operations, investment portfolio, financial condition, and financing plans;

•~~general economic and business conditions resulting from volatility in the stock and~~ credit ~~markets and the depth and duration of potential recession;~~

•~~global political conditions, the occurrence of any terrorist attacks, including any nuclear, radiological, biological, or chemical events,~~watch negative or the ~~outbreak and effects of war, and possible business disruption or economic contraction that may result from such events;~~

•~~the potential impact of the United Kingdom’s vote to withdraw from the European Union, including political, regulatory, social, and economic uncertainty and market and exchange rate volatility;~~

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•~~judicial decisions and rulings, new theories of liability, legal tactics, and settlement terms;~~equivalent;

•the effects of public company bankruptcies ~~and/or~~and accounting restatements, as well as disclosures by and investigations of public companies relating to possible accounting irregularities, and other corporate governance ~~issues, including the effects of such events on:~~

•~~the capital markets;~~

•~~the markets for directors and officers (D&O) and errors and omissions (E&O) insurance; and~~

•~~claims and litigation arising out of such disclosures or practices by other companies;~~

•uncertainties relating to governmental, legislative and regulatory policies, developments, actions, investigations, and treaties, which, among other things, could subject us to insurance regulation or taxation in additional jurisdictions or affect our current operations;

•~~the effects of data privacy or cyber laws or regulation on our current or future business;~~

•the actual amount of new and renewal business, market acceptance of our products, and risks associated with the introduction of new products and services and entering new markets, including regulatory constraints on exit strategies;

•the competitive environment in which we operate, including trends in pricing or in policy terms and conditions, which may differ from our projections and changes in market conditions that could render our business strategies ineffective or obsolete;issues;

•acquisitions made ~~by us~~ performing differently than expected, our failure to realize anticipated expense-related efficiencies or growth from acquisitions, the impact of acquisitions on our pre-existing organization, or announced acquisitions not closing;

•risks and uncertainties relating to our planned purchases of additional interests in Huatai Insurance Group ~~Company Limited~~Co., Ltd. (Huatai Group), including our ability to receive Chinese insurance regulatory approval and complete the purchases;

•risks associated with being a Swiss corporation, including reduced flexibility with respect to certain aspects of capital management and the potential for additional regulatory burdens;

•~~the potential impact from government-mandated insurance coverage for acts of terrorism;~~

•~~the availability of borrowings~~ share repurchase plans and ~~letters of credit under our credit facilities;~~

•~~the adequacy of collateral supporting funded high deductible programs;~~

•~~changes in the distribution or placement of risks due to increased consolidation of insurance and reinsurance brokers;~~

•~~material differences between actual and expected assessments for guaranty funds and mandatory pooling arrangements;~~

•~~the effects of investigations into market practices in the property and casualty (P&C) industry;~~

•~~changing rates of inflation and other economic conditions, for example, recession;~~

•~~the amount of dividends received from subsidiaries;~~share cancellations;

•loss of the services of any of our executive officers without suitable replacements being recruited in a reasonable time frame;

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•the ability of our technology resources, including information systems and security, to perform as anticipated such as with respect to preventing material information technology failures or third-party infiltrations or hacking resulting in consequences adverse to Chubb or its customers or partners;

•the ability of our company to increase use of data analytics and technology as part of our business strategy and adapt to new technologies;and

•management’s response to these factors and actual events (including, but not limited to, those described above).

The words “believe,” “anticipate,” “estimate,” “project,” “should,” “plan,” “expect,” “intend,” “hope,” “feel,” “foresee,” “will likely result,” or “will continue,” and variations thereof and similar expressions, identify forward-looking statements. You are cautioned not to place undue reliance on these forward-looking statements, which speak only as of their dates. We undertake no obligation to publicly update or review any forward-looking statements, whether as a result of new information, future events or otherwise.

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Overview

Chubb Limited is the Swiss-incorporated holding company of the Chubb Group of Companies. Chubb Limited, which is headquartered in Zurich, Switzerland, and its direct and indirect subsidiaries (collectively, the Chubb Group of Companies, Chubb, we, us, or our) are a global insurance and reinsurance organization, serving the needs of a diverse group of clients worldwide. At ~~June 30, 2020,~~March 31, 2021, we had total assets of ~~$181~~$192 billion and shareholders’ equity of ~~$55~~$59 billion. Chubb was incorporated in 1985 at which time it opened its first business office in Bermuda and continues to maintain operations in Bermuda. We operate through six business segments: North America Commercial P&C Insurance, North America Personal P&C Insurance, North America Agricultural Insurance, Overseas General Insurance, Global Reinsurance, and Life Insurance. For more information on our segments refer to “Segment Information” under Item 1 in our ~~2019~~2020 Form 10-K.


Financial Highlights for the Three Months Ended ~~June 30, 2020~~March 31, 2021

•~~The COVID-19 global pandemic and related economic conditions adversely impacted our results of operations and growth this quarter, including:~~

◦Net ~~premiums written in the quarter were reduced by adjustments on in-force policies of $160~~income was $2.3 billion compared with $252 million in the North America Commercial P&C Insurance and $24 million in the Overseas General Insurance segments, principally impacting our workers’ compensation and commercial casualty lines. In addition, there were automobile return premiums of $7 million in the North America Personal P&C Insurance segment. These items reduced consolidated and P&C net premiums written growth by 2.3 and 2.5 percentage points, respectively.prior year period.

◦Net catastrophe losses included a COVID-19 charge of $1,365 million pre-tax, with $723 million in short-tail lines, and $642 million in long-tail lines. The short-tail losses were generated primarily from entertainment and commercial property-related business interruption, surety, and accident and health (A&H) products including travel insurance products. The long-tail losses were related to liability insurance products (directors and officers, employment practices, professional liability, etc.), workers’ compensation, political risk and trade credits. Substantially all of the charges for liability and credit-related insurance products are included in the incurred but not reported reserves. These COVID-19 losses added 18.2 percentage points to the P&C combined ratio.

◦~~Net investment income was adversely impacted by lower reinvestment rates on new and reinvested assets, and lower rates on floating rate obligations.~~

◦~~Net loss was $(331) million and included $1,157 million after tax of COVID-19 losses.~~

•Pre-tax net catastrophe losses included $1,365 million related to COVID-19 global pandemic described above, $312 million of natural catastrophe losses, primarily attributable to severe weather-related events in the U.S., as well as civil unrest-related losses in the U.S. of $130 million.

•Total P&C pre-tax and after-tax ~~unfavorable prior period development~~catastrophe losses were ~~$75~~$700 million ~~(1.0 percentage point of the combined ratio) and $52 million, respectively, compared with favorable prior period development of $188 million (2.6~~(9.1 percentage points of the combined ratio) and ~~$152~~$570 million, respectively, compared with $237 million (3.3 percentage points of the combined ratio) and $199 million, respectively, in the prior year period. The current quarter included ~~$259~~$657 million ~~pre-tax, or $205 million after tax, for~~of winter storm losses in the U.S. ~~child molestation claims, predominantly reviver statute-related.~~

•~~Consolidated net premiums written~~Total pre-tax and after-tax favorable prior period development were ~~$8.4 billion, up 0.1 percent, or 1.9 percent~~$192 million (2.5 percentage points of the combined ratio) and $156 million, respectively, compared with $118 million (1.7 percentage points of the combined ratio) and $94 million, respectively, in ~~constant dollars. P&C net premiums written were $7.7 billion, down 0.4 percent, or up 1.4 percent in constant dollars. Excluding~~ the impact of COVID-19, P&C net premiums written were up 3.9 percent in constant dollars. This comprises 9.1 percent positive growth globally in commercial P&C lines and 6.3 percent negative growth in consumer lines, which includes A&H, travel and personal lines.prior year period.

•The P&C combined ratio was ~~112.3%~~91.8 percent compared with ~~90.1%~~89.1 percent in the prior year ~~including catastrophe losses of 23.9 percentage points compared with 3.8 percentage points prior year. The~~period. P&C current accident year combined ratio excluding catastrophe losses was ~~87.4%~~85.2 percent compared with ~~88.9%~~87.5 percent in the prior ~~year.~~year period.

•Consolidated net premiums written were $8.7 billion, up 8.6 percent, or 7.0 percent in constant dollars. P&C net premiums written were $8.0 billion, up 9.7 percent, or up 8.1 percent in constant dollars, comprising 15.6 percent positive growth in commercial P&C lines and 2.5 percent negative growth in consumer lines.

•Consolidated net premiums earned were $8.2 billion, up 5.5 percent, or 4.2 percent in constant dollars. P&C net premiums earned increased 6.5 percent, comprising positive growth of 11.3 percent in commercial P&C lines and negative growth of 2.8 percent in consumer lines.

•Operating cash flow was ~~$1,985~~$2,105 million compared with ~~$1,386~~$1,712 million in the prior year period. Refer to the Liquidity section for additional information on our cash flows.

•Net investment income was $863 million compared with $861 million in the prior year period.

•Share repurchases totaled $519 million during the quarter at an average purchase price of $166.75 per share.

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~~Outlook~~

During the quarter, we recognized a pre-tax COVID-19 charge of $1.4 billion, representing our best estimate of the ultimate insurance losses incurred through June 30, 2020 that are directly attributable to the pandemic and the related economic crises. The use of historical experience and current activity resulted in our best estimate of losses we believe have been incurred as of June 30, 2020. Actual claims and other legislative and other economic factors, including changes in our regulatory environment, could change this estimate in future quarters.

Additionally, the contraction in the economy resulted in the recognition of a charge of $191 million in net premiums written from lower exposure and return premiums. The current economic environment, including a decline in interest rates among other things, also adversely impacted our net investment income for the quarter. The economic contraction may continue to have an impact in future quarters.


Consolidated Operating Results – Three ~~and Six~~ Months Ended ~~June 30,~~March 31, 2021 and 2020 ~~and 2019~~


		Three Months Ended								Six Months Ended									Three Months Ended
		June 30						% Change		June 30								% Change	March 31		% Change
(in millions of U.S. dollars, except for percentages)	(in millions of U.S. dollars, except for percentages)	2020		2019		Q-20 vs. Q-19		2020		2019		YTD-20 vs. YTD-19		(in millions of U.S. dollars, except for percentages)	2021		2020		Q-21 vs. Q-20
Net premiums written	Net premiums written	$	8,355	$	8,343	0.1	%	$	16,332	$	15,656	4.3	%	Net premiums written	$	8,662	$	7,977	8.6	%
Net premiums written - constant dollars (1)														Net premiums written - constant dollars (1)					7.0	%
Net premiums earned	Net premiums earned	8,128		7,891		3.0	%	15,922		15,028		5.9	%	Net premiums earned	8,221		7,794		5.5	%
Net investment income	Net investment income	827		859		(3.8)	%	1,688		1,695		(0.4)	%	Net investment income	863		861		0.2	%
Net realized gains (losses)	Net realized gains (losses)	30		(223)		NM		(928)		(320)		190.2	%	Net realized gains (losses)	887		(958)		NM
Total revenues	Total revenues	8,985		8,527		5.4	%	16,682		16,403		1.7	%	Total revenues	9,971		7,697		29.5	%
Losses and loss expenses	Losses and loss expenses	6,577		4,715		39.5	%	11,062		8,813		25.5	%	Losses and loss expenses	5,053		4,485		12.7	%
Policy benefits	Policy benefits	223		161		38.7	%	352		357		(1.5)	%	Policy benefits	167		129		29.3	%
Policy acquisition costs	Policy acquisition costs	1,593		1,544		3.2	%	3,208		3,008		6.6	%	Policy acquisition costs	1,665		1,615		3.1	%
Administrative expenses	Administrative expenses	727		758		(4.0)	%	1,468		1,468		—		Administrative expenses	744		741		0.4	%
Interest expense	Interest expense	128		140		(8.8)	%	260		280		(7.0)	%	Interest expense	122		132		(7.6)	%
Other (income) expense	Other (income) expense	58		(230)		NM		113		(269)		NM		Other (income) expense	(490)		55		NM
Amortization of purchased intangibles	Amortization of purchased intangibles	72		77		(6.6)	%	145		153		(5.3)	%	Amortization of purchased intangibles	72		73		(1.4)	%
Chubb integration expenses		—		4		NM		—		7		NM

Total expenses	Total expenses	9,378		7,169		30.8	%	16,608		13,817		20.2	%	Total expenses	7,333		7,230		1.4	%
Income (loss) before income tax		(393)		1,358		NM		74		2,586		(97.1)	%
Income tax expense (benefit)		(62)		208		NM		153		396		(61.4)	%
Net income (loss)		$	(331)	$	1,150	NM		$	(79)	$	2,190	NM
Net premiums written - constant dollars ⁽¹⁾						1.9	%					5.5	%
Income before income tax														Income before income tax	2,638		467		NM
Income tax expense														Income tax expense	338		215		57.0	%
Net income														Net income	$	2,300	$	252	NM

NM – not meaningful

⁽¹⁾On a constant-dollar basis. Amounts are calculated by translating prior period results using the same local currency exchange rates as the comparable current period.

~~Net Premiums Written~~

Net premiums written reflect the premiums we retain after purchasing reinsurance protection. For the three and six months ended June 30, 2020, consolidated net premiums written increased $12 million and $676 million, or $155 million and $844 million, respectively, on a constant-dollar basis, reflecting growth across most segments. The growth in net premiums written was depressed by economic contraction resulting from the COVID-19 pandemic including $184 million of exposure adjustments on in-force policies and $7 million of premium returned to insureds.

•Net premiums written in our North America Commercial P&C Insurance segment increased $186 million, or 5.3 percent, and $487 million, or 7.5 percent, for the three and six months ended June 30, 2020, respectively. Growth in net premiums written reflected positive rate increases, strong renewal retention and new business written across a number of

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retail and wholesale lines, including property, financial lines, excess casualty, and commercial multiple peril. Net premiums written also benefited from new business written in large risk casualty, which included a year-over-year increase of $68 million and $82 million in large structured transactions written for the three and six months ended June 30, 2020, respectively. The growth in net premiums written described above was depressed by economic contraction resulting from the COVID-19 pandemic, including $160 million of exposure adjustments on in-force policies, which reduced net premiums written by 4.5 percentage points and 2.5 percentage points for the three and six months ended June 30, 2020, respectively, and lower renewal exposures and new business market limitations that impacted several lines of business, including A&H, surety, large corporate accounts, entertainment, hospitality, retail, and construction.

•~~Net premiums written in our North America Personal P&C Insurance segment increased~~$18 million, or 1.4 percent, and $69 million, or 2.9 percent, for the three and six months ended June 30, 2020, respectively, primarily due to rate increases and high account retention across most lines. This growth was partially offset by $7 million in automobile premium returned to insureds as a result of reduced exposure related to the conditions caused by the COVID-19 pandemic, which impacted growth by 0.6 percentage points and 0.5 percentage points, respectively.


Net Premiums Written	Three Months Ended March 31						% Change
(in millions of U.S. dollars, except for percentages)	2021		2020		Q-21 vs. Q-20		C$ Q-21 vs. Q-20
Commercial casualty	$	1,649	$	1,341	23.0	%	21.4	%
Workers' compensation	563		586		(4.0)	%	(4.0)	%
Professional liability	1,090		912		19.6	%	17.4	%
Surety	158		150		5.5	%	7.8	%
Commercial multiple peril (1)	263		241		9.4	%	9.4	%
Property and other short-tail lines	1,594		1,334		19.5	%	16.1	%
Total Commercial P&C lines	5,317		4,564		16.5	%	14.8	%

Agriculture	183		157		16.5	%	16.5	%

Personal automobile	387		441		(12.4)	%	(10.6)	%
Personal homeowners	775		773		0.3	%	(0.1)	%
Personal other	468		418		11.9	%	8.1	%
Total Personal lines	1,630		1,632		(0.1)	%	(0.7)	%

Total Property and Casualty lines	7,130		6,353		12.2	%	10.9	%

Global A&H lines (2)	982		1,067		(8.0)	%	(10.4)	%
Reinsurance lines	207		218		(5.1)	%	(6.2)	%
Life	343		339		1.3	%	(0.1)	%
Total consolidated	$	8,662	$	7,977	8.6	%	7.0	%

(1)

•Net premiums written in our North America Agricultural Insurance segment decreased $5 million, or 1.1 percent, for the three months ended June 30, 2020 primarily due to MPCI premiums reflecting lower rates that were impacted by year-over-year commodity price declines, partially offset by growth in our Chubb Agribusiness unit. Net premiums written increased $22 million, or 3.8 percent, for the six months ended June 30, 2020 due to the year-over-year increase in MPCI premiums reflecting less premiums returned to the U.S. government under the premium-sharing formulas and the factors noted above. Under the MPCI premium-sharing formulas, we retained more premiums on the 2019 crop year due to higher than expected losses for that year. Net premiums written in the first half of 2019 was lower due to higher cessions to the U.S. government reflecting the more profitable 2018 crop year.

•Net premiums written in our Overseas General Insurance segment decreased $237 million, or $109 million on a constant dollar basis, for the three months ended June 30, 2020, due to the impact of the COVID-19 pandemic which negatively impacted several lines, mainly in personal lines and A&H, resulting from less travel volume and lower exposures. Net premiums written were depressed by economic contraction resulting from the COVID-19 pandemic including $24 million of exposure adjustments on in-force policies and a lower percentage of net premiums written in Latin America. For the six months ended June 30, 2020, net premiums written decreased $34 million, or increased $122 million on a constant dollar basis, as the decrease during the quarter was offset by P&C lines growth due to new business, retention, and positive rate increases.

•Net premiums written in our Global Reinsurance segment increased $10 million and $26 million, or $11 million and $26 million on a constant-dollar basis, for the three and six months ended June 30, 2020, respectively, primarily due to positive rate increases in catastrophe lines and new business written in casualty lines, partially offset by increased ceded retrocessions. In addition, the prior year had unfavorable premium adjustments which lowered premium in 2019.

•Net premiums written in our Life Insurance segment increased $40 million and $106 million, or $49 million and $114 million on a constant-dollar basis, for the three and six months ended June 30, 2020, respectively, primarily reflecting growth in Latin America, principally driven by our expanded presence in Chile, and Asian international life operations, partially offset by a decline in our North America Combined Insurance business.

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~~Net Premiums Written By Line of Business~~

~~Three Months Ended~~

~~Six Months Ended~~

~~June 30~~

~~(in millions of U.S. dollars, except for percentages)~~

~~2020~~

~~2019~~

~~% Change Q-20 vs. Q-19~~

C$⁽¹⁾~~2019~~

C$ ⁽¹⁾ ~~% Change Q-20 vs. Q-19~~

~~2020~~

~~2019~~

~~% Change YTD-20 vs. YTD-19~~

C$⁽¹⁾~~2019~~

C$ ⁽¹⁾ ~~% Change YTD-20 vs. YTD-19~~

~~Commercial casualty~~

~~1,478~~

~~1,472~~

~~0.4~~

~~1,461~~

~~1.2~~

~~2,819~~

~~2,672~~

~~5.5~~

~~2,659~~

~~6.0~~

~~Workers' compensation~~ ⁽²⁾

~~467~~

~~482~~

~~(3.1)~~

~~482~~

~~(3.1)~~

~~1,053~~

~~1,075~~

~~(2.1)~~

~~1,075~~

~~(2.1)~~

~~Professional liability~~

~~997~~

~~909~~

~~9.7~~

~~895~~

~~11.4~~

~~1,909~~

~~1,695~~

~~12.6~~

~~1,678~~

~~13.7~~

~~Surety~~

~~117~~

~~156~~

~~(25.2)~~

~~149~~

~~(21.5)~~

~~267~~

~~308~~

~~(13.5)~~

~~300~~

~~(11.0)~~

~~Commercial multiple peril~~ ⁽³⁾

~~267~~

~~254~~

~~5.3~~

~~254~~

~~5.3~~

~~508~~

~~473~~

~~7.5~~

~~473~~

~~7.5~~

~~Property and other short-tail lines~~

~~1,344~~

~~1,186~~

~~13.4~~

~~1,160~~

~~16.0~~

~~2,678~~

~~2,343~~

~~14.3~~

~~2,304~~

~~16.3~~

~~Total Commercial P&C~~

~~4,670~~

~~4,459~~

~~4.7~~

~~4,401~~

~~6.2~~

~~9,234~~

~~8,566~~

~~7.8~~

~~8,489~~

~~8.8~~

~~Agriculture~~

~~461~~

~~466~~

~~(1.1)~~

~~466~~

~~(1.1)~~

~~618~~

~~596~~

~~3.8~~

~~596~~

~~3.8~~

~~Personal automobile~~

~~353~~

~~473~~

~~(25.3)~~

~~440~~

~~(19.7)~~

~~794~~

~~894~~

~~(11.2)~~

~~868~~

~~(8.5)~~

~~Personal homeowners~~

~~980~~

~~968~~

~~1.3~~

~~963~~

~~1.7~~

~~1,753~~

~~1,711~~

~~2.5~~

~~1,706~~

~~2.7~~

~~Personal other~~

~~402~~

~~383~~

~~4.8~~

~~374~~

~~7.6~~

~~820~~

~~751~~

~~9.2~~

~~737~~

~~11.3~~

~~Total Personal lines~~

~~1,735~~

~~1,824~~

~~(4.9)~~

~~1,777~~

~~(2.3)~~

~~3,367~~

~~3,356~~

~~0.4~~

~~3,311~~

~~1.7~~

~~Total Property and Casualty lines~~

~~6,866~~

~~6,749~~

~~1.7~~

~~6,644~~

~~3.4~~

~~13,219~~

~~12,518~~

~~5.6~~

~~12,396~~

~~6.6~~

~~Global A&H lines~~ ⁽⁴⁾

~~951~~

~~1,130~~

~~(15.9)~~

~~1,099~~

~~(13.5)~~

~~2,018~~

~~2,203~~

~~(8.4)~~

~~2,163~~

~~(6.7)~~

~~Reinsurance lines~~

~~207~~

~~197~~

~~4.6~~

~~196~~

~~4.9~~

~~425~~

~~399~~

~~6.5~~

~~399~~

~~6.4~~

~~Life~~

~~331~~

~~267~~

~~24.2~~

~~261~~

~~27.0~~

~~670~~

~~536~~

~~25.1~~

~~530~~

~~26.5~~

~~Total consolidated~~

~~8,355~~

~~8,343~~

~~0.1~~

~~8,200~~

~~1.9~~

~~16,332~~

~~15,656~~

~~4.3~~

~~15,488~~

~~5.5~~

⁽¹⁾~~On a constant-dollar basis. Amounts are calculated by translating prior period results using the same local currency exchange rates as the comparable current period.~~

⁽²⁾The three and six months ended June 30, 2020 includes $116 million related to a structured transaction written in the quarter, that covers previously incurred losses. This contributed 23.9% to the second quarter growth.

⁽³⁾Commercial multiple peril represents retail package business (property and general liability).

⁽⁴⁾(2)For purposes of this schedule only, A&H results from our Combined North America and International businesses, normally included in the Life Insurance and Overseas General Insurance segments, respectively, as well as the A&H results of our North America Commercial P&C segment, are included in Global A&H lines above.

The increase in net premiums written for the three ~~and six~~ months ended ~~June 30, 2020~~March 31, 2021 reflects growth across most lines of business, partially offset by the adverse impact of the economic contraction resulting from the COVID-19 pandemic.

•The growth in commercial casualty was due to new business and positive rate increases and the year-over-year increase in large structured transactions in North America, as well as growth in Asia, partially offset by the adverse impact of the COVID-19 pandemic, including $58 million of exposure adjustments on in-force policies which depressed growth by 4.0 percentage points and 2.2 percentage points, respectively.across all regions.

•Workers' compensation ~~was adversely impacted by market conditions and by~~experienced lower renewal business in North America reflecting reduced exposures primarily from the ~~adverse impact of the economic contraction resulting from~~ COVID-19 ~~pandemic, including $121 million of exposure adjustments on in-force policies which depressed growth by 25.1 percentage points and 11.3 percentage points, respectively.~~pandemic.

•The increase in professional liability was due to new business and positive rate increases primarily in North America and Europe.

•~~Surety decreased primarily in North America as well as Latin America due to the COVID-19 pandemic.~~

•Commercial multiple peril increased due to ~~new business,~~ higher renewal ~~retention,~~business and positive rate increases in North America, partially offset by the adverse impact of the economic contraction resulting from the COVID-19 pandemic, including $5 million of exposure adjustments on in-force policies which depressed growth by 2.0 percentage points and 1.1 percentage points, respectively.America.

•Property and other short-tail lines increased due to ~~new business and~~ positive rate increases ~~primarily~~in Asia, North America and Europe, as well as new business in North America and Europe.

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•Personal lines ~~decreased for the three months ended June 30, 2020 primarily due to~~was unfavorably impacted by a decline in automobile lines in North America and Latin America reflecting reduced exposures from the impact of the COVID-19 pandemic ~~which caused declines~~and in automobile business in Latin America, as well as automobile premium returned to insureds as a result of reduced exposure in North America. The decrease was partially offset by positive rate increases in North America and growth in Europe, which contributedhomeowners lines from reinstatement premiums related to the ~~increase for~~2021 winter storm losses in the ~~six months ended June 30, 2020.~~U.S. Excluding the reinstatement premiums, personal lines increased globally reflecting strong renewal retention in homeowners and recreational marine lines, primarily in the U.S., and in specialty lines, primarily outside the U.S.

•Global A&H lines decreased due to declines in Asia and Latin America, principally from less travel volume due to the COVID-19 pandemic, and in our North American Combined Insurance supplemental A&H program.

•~~The increase in~~ Life ~~was primarily driven by~~insurance reflects growth in ~~Latin America, principally driven by~~ our ~~expanded presence in Chile, and Asian~~ international life ~~operations.~~operations, principally from new business written in Taiwan, Vietnam and Chile, which was offset by the Chubb Life Re business that has no new business written.

For additional information on net premiums written, refer to the segment results discussions.

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Net Premiums Earned

Net premiums earned for short-duration contracts, typically P&C contracts, generally reflect the portion of net premiums written that was recorded as revenues for the period as the exposure periods expire. Net premiums earned for long-duration contracts, typically traditional life contracts, generally are recognized as earned when due from policyholders. For the three ~~and six~~ months ended ~~June 30, 2020,~~March 31, 2021, net premiums earned increased ~~$237~~$427 million, ~~and $894~~or $330 million reflecting the growth in net premiums written described above, including the impact of premiums that were fully earned when written (e.g., large structured transactions and audit and retrospective premium adjustments). Onon a constant-dollar basis, ~~for the three and six months ended June 30, 2020, net premiums earned increased $374 million and $1,054 million, respectively.~~

comprising 10.1 percent positive growth in commercial P&C ~~Combined Ratio~~

In evaluating our segments excluding Life Insurance financial performance, we use the P&C combined ratio, the loss and loss expense ratio, the policy acquisition cost ratio, and the administrative expense ratio. We calculate these ratios by dividing the respective expense amounts by net premiums earned. We do not calculate these ratios for the Life Insurance segment as we do not use these measures to monitor or manage that segment. The P&C combined ratio is determined by adding the loss and loss expense ratio, the policy acquisition cost ratio, and the administrative expense ratio. A P&C combined ratio under 100 percent indicates underwriting income, and a combined ratio exceeding 100 percent indicates underwriting loss.

Three Months Ended Six Months Ended
June 30 June 30
2020 2019 2020 2019
Loss and loss expense ratio 85.2 % 61.7 % 72.8 % 60.6 %
Policy acquisition cost ratio 18.5 % 19.1 % 19.3 % 19.6 %
Administrative expense ratio 8.6 % 9.3 % 8.9 % 9.4 %
P&C Combined ratio 112.3 % 90.1 % 101.0 % 89.6 %

The loss and loss expense ratio increased 23.5 percentage points and 12.2 percentage points for the three and six months ended June 30, 2020, respectively, principally due to higher catastrophe losses primarily related to COVID-19 pandemic claims of $1,349 million. In addition, the quarter-to-date period increased due to unfavorable prior period development in the current year quarter compared to favorable prior period development in the prior year quarter, while the year-to-date period increased due to lower favorable prior period development.

The policy acquisition cost ratio decreased 0.6 percentage points and 0.3 percentage points for the three and six months ended June 30, 2020, respectively, primarily due to a change in mix of business towards lower acquisition cost ratio lines and ~~the favorable impact of structured transactions of 0.2 percentage points and 0.1 percentage points, respectively, that generated minimal acquisition costs.~~

The administrative expense ratio decreased 0.7 percentage points and 0.5 percentage points for the three and six months ended June 30, 2020, respectively, primarily due to lower business expenses, including travel-related costs, due to strong expense management control during the COVID-19 pandemic and the favorable impact of higher net premiums earned.4.7 percent negative growth in consumer lines on a constant-dollar basis.

Catastrophe Losses and Prior Period Development

Catastrophe losses exclude reinstatement premiums which are additional premiums paid on certain reinsurance agreements in order to reinstate coverage that had been exhausted by loss occurrences. The reinstatement premium amount is typically a pro rata portion of the original ceded premium paid based on how much of the reinsurance limit had been exhausted. Prior period development is net of related adjustments which typically relate to either profit commission reserves or policyholder dividend reserves based on actual claim experience that develops after the policy period ends. The expense adjustments correlate to the

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prior period loss development on these same policies. Refer to the Non-GAAP Reconciliation section for further information on reinstatement premiums on catastrophe losses and adjustments to prior period development.

Three Months Ended Six Months Ended
June 30 June 30
(in millions of U.S. dollars) 2020 2019 2020 2019
Catastrophe losses (excludes reinstatement premiums) ⁽¹⁾
$ 1,787 $ 275 $ 2,024 $ 525
(Unfavorable) Favorable prior period development $ (75) $ 188 $ 43 $ 392

~~(1) Three and six months ended June 30, 2020 excludes reinstatement premiums of $20 million.~~

We generally define catastrophe loss events consistent with the definition of the Property Claims Service (PCS) for events in the U.S. and Canada. PCS defines a catastrophe as an event that causes damage of $25 million or more in insured losses and affects a significant number of insureds. For events outside of the U.S. and Canada, we generally use a similar definition. We also define losses from certain pandemics, such as COVID-19, as a catastrophe loss.

Catastrophe Loss Charge by Event
Three Months Ended North America Commercial P&C Insurance North America Personal P&C Insurance North America Agricultural Insurance Overseas General Insurance Global Reinsurance Life Insurance Total excluding RIPs RIPs expensed Total including RIPs
June 30, 2020
(in millions of U.S. dollars)
Net losses
COVID-19 $ 973 $ — $ — $ 360 $ 10 $ 6 $ 1,349 $ (16) $ 1,365
U.S. Flooding, Hail, Tornadoes and Wind Events 179 109 6 2 3 — 299 (4) 303
Civil unrest 118 — — 12 — — 130 — 130
Other — — — 9 — — 9 — 9
Total $ 1,270 $ 109 $ 6 $ 383 $ 13 $ 6 $ 1,787
RIPs expensed (3) (1) — (16) — — (20)
Total before income tax $ 1,273 $ 110 $ 6 $ 399 $ 13 $ 6 $ 1,807
Income tax benefit 297
Total after income tax $ 1,510

Prior period development includes adjustments relating to either profit commission reserves or policyholder dividend reserves based on actual claim experience that develops after the policy period ends. The expense adjustments correlate to the prior period loss development on these same policies. Refer to the Non-GAAP Reconciliation section for further information on reinstatement premiums on catastrophe losses and adjustments to prior period development.


	Three Months Ended
	March 31
(in millions of U.S. dollars)	2021		2020
Catastrophe losses	$	700	$	237
Favorable prior period development	$	192	$	118

Catastrophe losses through ~~June 30, 2019~~March 31, 2021 and 2020 were primarily ~~due to~~from the following events:

•2021: Winter storm losses in the U.S. and other severe weather-related events in the U.S. and internationally.

•2020: Global weather-related events of $224 million (including Tornado in Nashville, Tennessee and other severe weather-related events in the U.S., ~~including winter-related storms, and~~ storms in ~~Australia.~~Australia, Australia wildfires, and other international weather-related events); and COVID-19 pandemic claims of $13 million.

Pre-tax net ~~adverse prior period development~~favorable PPD for the three months ended ~~June 30,~~March 31, 2021 was $192 million, with 19 percent in long-tail lines, principally from accident years 2017 and prior, and 81 percent in short-tail lines, primarily in accident and health, surety, and homeowners lines.

Pre-tax net favorable PPD for the three months ended March 31, 2020 was ~~$75~~$118 million, including adverse development of $259 million for U.S. child molestation claims, predominantly reviver statute-related. Excluding the adverse development, we had favorable development of $184 million split approximately 79with 28 percent in long-tail lines, principally from accident years 2016 and prior, and 2172 percent in short-tail lines.

Pre-tax net favorable prior period development for the six months ended June 30, 2020 was $43 million, including adverse development of $259 million for U.S. child molestation claims as noted above. Excluding the adverse development, we had favorable development of $302 million split approximately 59 percent long-tail lines, principally from accident years 2016 and prior, and 41 percent short-tail lines.

~~Pre-tax net favorable prior period~~ Favorable development for the three months ended ~~June 30, 2019 was $188~~March 31, 2020 included a $14 million including adverse development of $48 million related to the 2017 and 2018 catastrophe events and $25 million of adverse development related to our run-off non-A&E casualty exposures. The remaining net favorable development of $261 million comprises approximately 90 percent long-tail lines, including workers' compensation lines andbenefit from ~~accident years 2015 and prior, and approximately 10 percent short-tail lines.~~

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~~Pre-tax net favorable prior period development for the six months ended June 30, 2019 was $392 million, including $61 million favorable development related to the 2018~~ crop year loss estimates, $76 million favorable development related to the 2017 and 2018 catastrophe events, adverse development of $122 million principally in homeowners due to elevated non-catastrophe activity, and adverse development of $25 million of related to our run-off non-A&E casualty exposures. The remaining net favorable development of $402 million comprises approximately 70 percent long-tail lines, including workers' compensation lines and from accident years 2015 and prior, and approximately 30 percent short-tail lines.insurance.

Refer to the prior period development discussion in Footnote 6 to the Consolidated Financial Statements for additional information.

~~Current Accident Year (CAY) Loss Ratio excluding CATs and CAY~~

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P&C Combined Ratio

In evaluating our segments excluding ~~CATs~~Life Insurance financial performance, we use the P&C combined ratio. We calculate this ratio by dividing the respective expense amounts by net premiums earned. We do not calculate this ratio for the Life Insurance segment as we do not use this measure to monitor or manage that segment. A P&C combined ratio under 100 percent indicates underwriting income, and a combined ratio exceeding 100 percent indicates underwriting loss.


	Three Months Ended
	March 31
	2021		2020
Loss and loss expense ratio
CAY loss ratio excluding catastrophe losses	57.2	%	58.2	%
Catastrophe losses	9.1	%	3.3	%
Prior period development	(2.6)	%	(1.7)	%
Loss and loss expense ratio	63.7	%	59.8	%
Policy acquisition cost ratio	19.5	%	20.0	%
Administrative expense ratio	8.6	%	9.3	%
P&C Combined ratio	91.8	%	89.1	%

The ~~following table presents the impact of catastrophe losses and prior period development on our~~ loss and loss expense ~~ratio. Refer~~ratio increased 3.9 percentage points for the three months ended March 31, 2021 due to ~~the Non-GAAP Reconciliation section for additional information.~~

Three Months Ended Six Months Ended
June 30 June 30
2020 2019 2020 2019
Loss and loss expense ratio 85.2 % 61.7 % 72.8 % 60.6 %
Catastrophe losses (23.9) % (3.8) % (13.8) % (3.8) %
Prior period development (0.9) % 2.6 % 0.3 % 2.8 %
CAY loss ratio excluding catastrophe losses 60.4 % 60.5 % 59.3 % 59.6 %
higher catastrophe losses, partially offset by higher favorable prior period development.

The CAY loss ratio excluding ~~CATs~~catastrophe losses decreased ~~0.1~~1.0 percentage ~~points and 0.3~~point for the three months ended March 31, 2021 due to margin improvements coming from earned rate exceeding loss cost trends.

The policy acquisition cost ratio decreased 0.5 percentage points for the three ~~and six~~ months ended ~~June 30, 2020, respectively,~~March 31, 2021 primarily due to a ~~decrease~~change in the ~~underlying loss~~mix of business, including less premiums earned from consumer A&H lines that have a higher acquisition cost ratio and higher premiums earned from ~~earned price changes modestly above loss trends, offset by the year-over-year increase in structured transactions of 0.4 percentage points and 0.2 percentage points, respectively.~~commercial P&C lines that have a lower acquisition cost ratio.

~~CAY P&C Combined Ratio excluding Catastrophe Losses~~

Three Months Ended Six Months Ended
June 30 June 30
2020 2019 2020 2019
CAY Loss and loss expense ratio ex CATs 60.4 % 60.5 % 59.3 % 59.6 %
CAY Policy acquisition cost ratio ex CATs 18.4 % 19.1 % 19.3 % 19.6 %
CAY Administrative expense ratio ex CATs 8.6 % 9.3 % 8.9 % 9.5 %
CAY P&C combined ratio ex CATs 87.4 % 88.9 % 87.5 % 88.7 %
The administrative expense ratio decreased 0.7 percentage points for the three months ended March 31, 2021 primarily due to lower expenses during the COVID-19 pandemic, reduced pension obligations reflecting favorable market conditions, and the favorable impact of higher net premiums earned.

Policy benefits

Policy benefits represent losses on contracts classified as long-duration and generally include accident and supplemental health products, term and whole life products, endowment products, and annuities. Refer to the Life Insurance segment operating results section for further discussion.

For the three months ended ~~June 30,~~March 31, 2021 and 2020, ~~and 2019,~~ Policy benefits were ~~$223~~$167 million and ~~$161~~$129 million, respectively, which included separate account liabilities (gains) losses of ~~$40~~$4 million and ~~$(3)~~$(56) million, respectively. The offsetting movements of these liabilities are recorded in Other (income) expense on the Consolidated statements of operations. Excluding the separate account gains and losses, Policy benefits were ~~$183~~$163 million and ~~$164~~$185 million for the three months ended ~~June 30,~~March 31, 2021 and 2020, ~~and 2019,~~ respectively, reflecting a decline in our North America Combined Insurance and Chubb Life Re business, partially offset by growth in ~~new business as described above and our expanded presence in Chile.~~International Life operations.

~~For~~Refer to the ~~six months ended June 30, 2020 and 2019, Policy benefits were $352 million, and $357 million, respectively, which included separate account liabilities (gains) losses~~respective sections that follow for a discussion of ~~$(16) million and $27 million, respectively. The offsetting movements of these liabilities are recorded in~~Net investment income, Other (income) expense, ~~on the Consolidated statements~~Net realized gains (losses), Amortization of ~~operations. Excluding the separate account gains~~purchased intangibles, and losses, Policy benefits were $368 million and $330 million for the six months ended June 30, 2020 and 2019, respectively, reflecting growth in new business as described above and our expanded presence in Chile.Income tax expense.

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~~Refer to the respective sections for a discussion of Net investment income, Other (income) expense, Net realized gains and losses, Amortization of purchased intangibles, and Income tax expense.~~


Segment Operating Results – Three ~~and Six~~ Months Ended ~~June 30,~~March 31, 2021 and 2020 ~~and 2019~~

We operate through six business segments: North America Commercial P&C Insurance, North America Personal P&C Insurance, North America Agricultural Insurance, Overseas General Insurance, Global Reinsurance, and Life Insurance. For more information on our segments refer to “Segment Information” under Item 1 in our ~~2019~~2020 Form 10-K.

For segment reporting purposes, certain items are presented in a different manner than in the consolidated financial statements. Management uses underwriting income (loss) as the main measures of segment performance. For the North America Agricultural Insurance segment, management includes gains and losses on crop derivatives as a component of adjusted losses and loss expenses within underwriting income. For the Life Insurance segment, management includes the gains and losses on separate account assets that do not qualify for separate account reporting under GAAP as a component of Life Insurance underwriting income.

North America Commercial P&C Insurance

The North America Commercial P&C Insurance segment comprises operations that provide property and casualty (P&C) and accident & health (A&H) insurance and services to large, middle market, and small commercial businesses in the U.S., Canada, and Bermuda. This segment includes our North America Major Accounts and Specialty Insurance division (large corporate accounts and wholesale business), and the North America Commercial Insurance division (principally middle market and small commercial accounts).

Three Months Ended Six Months Ended
June 30 % Change June 30 % Change
(in millions of U.S. dollars, except for percentages) 2020 2019 Q-20 vs. Q-19 2020 2019 YTD-20 vs. YTD-19
Net premiums written $ 3,720 $ 3,534 5.3 % $ 6,972 $ 6,485 7.5 %
Net premiums earned 3,595 3,390 6.1 % 6,971 6,475 7.7 %
Losses and loss expenses 3,498 2,214 58.0 % 5,679 4,187 35.6 %
Policy acquisition costs 471 459 2.6 % 963 918 4.9 %
Administrative expenses 249 259 (3.3) % 508 499 1.9 %
Underwriting income (loss) (623) 458 NM (179) 871 NM
Net investment income 507 521 (2.9) % 1,023 1,031 (0.8) %
Other (income) expense 4 2 47.3 % 1 (3) NM
Segment income (loss) $ (120) $ 977 NM $ 843 $ 1,905 (55.8) %
Loss and loss expense ratio 97.3 % 65.3 % 32.0 pts 81.5 % 64.7 % 16.8 pts
Policy acquisition cost ratio 13.1 % 13.6 % (0.5) pts 13.8 % 14.1 % (0.3) pts
Administrative expense ratio 6.9 % 7.6 % (0.7) pts 7.3 % 7.7 % (0.4) pts
Combined ratio 117.3 % 86.5 % 30.8 pts 102.6 % 86.5 % 16.1 pts

~~NM – not meaningful~~

~~Premiums~~

Net premiums written increased $186 million, or 5.3 percent, and $487 million, or 7.5 percent, for the three and six months ended June 30, 2020, respectively. Growth in net premiums written reflected positive rate increases, strong renewal retention and new business written across a number of retail and wholesale lines, including property, financial lines, excess casualty, and commercial multiple peril. Net premiums written also benefited from new business written in large risk casualty, which included a year-over-year increase of $68 million and $82 million in large structured transactions written for the three and six months ended June 30, 2020, respectively. The growth in net premiums written described above was depressed by economic contraction resulting from the COVID-19 pandemic, including $160 million of exposure adjustments on in-force policies, which reduced net premiums written by 4.5 percentage points and 2.5 percentage points for the three and six months ended June 30, 2020, respectively, and lower renewal exposures and new business market limitations that impacted several lines of business, including A&H, surety, large corporate accounts, entertainment, hospitality, retail, and construction.


	Three Months Ended
	March 31						% Change
(in millions of U.S. dollars, except for percentages)	2021			2020			Q-21 vs. Q-20
Net premiums written	$	3,664		$	3,252		12.7		%
Net premiums earned	3,674			3,376			8.8		%
Losses and loss expenses	2,560			2,181			17.4		%
Policy acquisition costs	514			492			4.4		%
Administrative expenses	254			259			(1.5)		%
Underwriting income	346			444			(22.1)		%
Net investment income	540			525			2.9		%
Other (income) expense	2			6			(52.2)		%
Segment income	$	884		$	963		(8.3)		%
Loss and loss expense ratio:
CAY loss ratio excluding catastrophe losses	63.4		%	64.2		%	(0.8)	pts
Catastrophe losses	9.9		%	3.5		%	6.4	pts
Prior period development	(3.6)		%	(3.1)		%	(0.5)	pts
Loss and loss expense ratio	69.7		%	64.6		%	5.1	pts
Policy acquisition cost ratio	14.0		%	14.6		%	(0.6)	pts
Administrative expense ratio	6.9		%	7.6		%	(0.7)	pts
Combined ratio	90.6		%	86.8		%	3.8	pts

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Net premiums earned increased $205 million, or 6.1 percent, and $496 million, or 7.7 percent, for the three and six months ended June 30, 2020, respectively, reflecting the growth in net premiums written, partially offset by $95 million of exposure adjustments on in-force policies from the COVID-19 pandemic described above.

~~The table below shows the impact of large structured transactions as well as other transactions that are fully earned when written (e.g., audit and retrospective premium adjustments).~~

Three Months Ended Six Months Ended
June 30 June 30
(in millions of U.S. dollars) 2020 2019 2020 2019
Net premiums fully earned when written $ 316 $ 290 $ 383 $ 347

~~Combined Ratio~~

The loss and loss expense ratio increased 32.0 percentage points and 16.8 percentage points for the three and six months ended June 30, 2020, respectively, primarily due to higher catastrophe losses, including losses related to COVID-19 pandemic claims, civil unrest in the U.S., and higher natural catastrophes. These items were partially offset by a decrease in the underlying loss ratio from earned price changes modestly above loss trends.

The policy acquisition cost ratio decreased 0.5 percentage points and 0.3 percentage points for the three and six months ended June 30, 2020, respectively, primarily due to a change in mix of business towards lower acquisition cost ratio lines and the favorable impact of the year-over-year increase in structured transactions of 0.4 percentage points and 0.2 percentage points, respectively, that generated minimal acquisition costs.

The administrative expense ratio decreased 0.7 percentage points and 0.4 percentage points for the three and six months ended June 30, 2020, respectively, due to lower business expenses, including travel-related costs, due to strong expense management control during the COVID-19 pandemic. Lower employee benefit-related expenses and the year-over-year increase in structured transactions of 0.1 percentage points for both periods, added to the decrease. This decrease is partially offset by lower net profit from our third-party claims administration business, ESIS, and normal inflationary increases.

~~Catastrophe Losses and Prior Period Development~~


		Three Months Ended						Six Months Ended
Catastrophe Losses and Prior Period Development										Catastrophe Losses and Prior Period Development	Three Months Ended
		June 30						June 30							March 31
(in millions of U.S. dollars)	(in millions of U.S. dollars)	2020		2019		2020		2019		(in millions of U.S. dollars)	2021		2020
Catastrophe losses (excludes reinstatement premiums)		$	1,270	$	137	$	1,388	$	231
Catastrophe losses										Catastrophe losses	$	362	$	118
Favorable prior period development	Favorable prior period development	$	146	$	185	$	251	$	316	Favorable prior period development	$	127	$	105

Catastrophe losses through ~~June 30,~~March 31, 2021 and 2020 ~~and 2019~~ were primarily from the following events:

•~~2020: COVID-19 pandemic claims of $973 million, civil unrest~~2021: Winter storm losses and other severe weather-related events in the U.S. ~~of $118 million, and natural catastrophes including~~

•2020: Nashville, Tennessee tornado and other severe weather-related events in the U.S.

•
~~2019: Winter-related storms and other severe weather-related events~~

Refer to the prior period development discussion in Note 6 to the ~~U.S.~~Consolidated Financial Statements for additional information.

Premiums

Net premiums written increased $412 million, or 12.7 percent, for the three months ended March 31, 2021 comprising positive growth of 14.7 percent in commercial P&C lines and negative growth of 18.5 percent in consumer lines. The growth in commercial P&C lines reflects positive rate increases, net of exposure declines, and growth in new business written across a number of retail and wholesale lines, including financial lines, property, excess casualty, and large risk casualty. This was partially offset by lower new business and exposure declines in A&H, impacting our consumer lines.

Net premiums earned increased $298 million, or 8.8 percent, for the three months ended March 31, 2021, reflecting the growth in net premiums written described above.

Combined Ratio

The loss and loss expense ratio increased 5.1 percentage points for the three months ended March 31, 2021, primarily due to higher catastrophe losses, partially offset by higher favorable prior period development. The CAY loss ratio excluding catastrophe losses decreased 0.8 percentage points for the three months ended March 31, 2021 primarily due to margin improvements coming from earned rate exceeding loss cost trends.

The policy acquisition cost ratio decreased 0.6 percentage points for the three months ended March 31, 2021 primarily due to a change in mix of business towards lines that have a lower acquisition cost ratio.

The administrative expense ratio decreased 0.7 percentage points for the three months ended March 31, 2021, primarily due to continued expense management and the shutdown associated with the COVID-19 pandemic, as well as reduced pension obligations reflecting favorable market conditions.

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~~Refer to the prior period development discussion in Note 6 to the Consolidated Financial Statements for additional information.~~

~~CAY Loss Ratio excluding Catastrophe Losses~~

Three Months Ended Six Months Ended
June 30 June 30
2020 2019 2020 2019
Loss and loss expense ratio 97.3 % 65.3 % 81.5 % 64.7 %
Catastrophe losses (35.4) % (4.0) % (20.0) % (3.6) %
Prior period development 4.2 % 5.4 % 3.7 % 4.8 %
CAY loss ratio excluding catastrophe losses 66.1 % 66.7 % 65.2 % 65.9 %

The CAY loss ratio excluding catastrophe losses decreased 0.6 percentage points and 0.7 percentage points for the three and six months ended June 30, 2020, respectively, primarily due to a decrease in the underlying loss ratio from earned price changes modestly above loss trends. This decrease was partially offset by the year-over-year increase in large structured transactions which adversely impacted the current year loss ratio~~by 0.7 percentage points and 0.4 percentage points, respectively.~~

North America Personal P&C Insurance

The North America Personal P&C Insurance segment comprises operations that provide high net worth personal lines products, including homeowners and complementary products such as valuable articles, excess liability, automobile, and recreational marine insurance and services in the U.S. and Canada.


		Three Months Ended														Six Months Ended													Three Months Ended
		June 30									% Change							June 30									% Change					March 31		% Change
(in millions of U.S. dollars, except for percentages)	(in millions of U.S. dollars, except for percentages)	2020			2019			Q-20 vs. Q-19						2020				2019			YTD-20 vs. YTD-19				(in millions of U.S. dollars, except for percentages)	2021			2020			Q-21 vs. Q-20
Net premiums written	Net premiums written	$	1,327		$	1,309		1.4		%				$	2,434			$	2,365		2.9		%		Net premiums written	$	1,098		$	1,107		(0.8)	%
Net premiums earned	Net premiums earned	1,192			1,168			2.1		%				2,392				2,322			3.0		%		Net premiums earned	1,184			1,200			(1.3)	%
Losses and loss expenses	Losses and loss expenses	762			747			1.8		%				1,445				1,504			(4.0)		%		Losses and loss expenses	819			683			19.8	%
Policy acquisition costs	Policy acquisition costs	231			237			(2.2)		%				476				468			1.7		%		Policy acquisition costs	247			245			1.0	%
Administrative expenses	Administrative expenses	66			71			(6.8)		%				134				139			(3.7)		%		Administrative expenses	60			68			(12.0)	%
Underwriting income	Underwriting income	133			113			18.5		%				337				211			59.6		%		Underwriting income	58			204			(71.6)	%
Net investment income	Net investment income	65			64			1.3		%				131				128			2.5		%		Net investment income	65			66			(2.4)	%

Other (income) expense	Other (income) expense	1			1			—						3				1			253.5		%		Other (income) expense	1			2			(49.4)	%
Amortization of purchased intangibles	Amortization of purchased intangibles	3			3			—						6				6			—				Amortization of purchased intangibles	3			3			—

Segment income	Segment income	$	194		$	173		12.3		%				$	459			$	332		38.3		%		Segment income	$	119		$	265		(55.2)	%
Loss and loss expense ratio:																						Loss and loss expense ratio:
CAY loss ratio excluding catastrophe losses																						CAY loss ratio excluding catastrophe losses	53.2	%		55.1		%	(1.9)		pts
Catastrophe losses																						Catastrophe losses	19.3	%		1.8		%	17.5		pts
Prior period development																						Prior period development	(3.3)	%		0.1		%	(3.4)		pts
Loss and loss expense ratio	Loss and loss expense ratio	63.8		%	64.0		%	(0.2)	pts			60.4	%			64.7	%			(4.3)	pts	Loss and loss expense ratio	69.2	%		57.0		%	12.2		pts
Policy acquisition cost ratio	Policy acquisition cost ratio	19.4		%	20.2		%	(0.8)	pts			19.9	%			20.2	%			(0.3)	pts	Policy acquisition cost ratio	20.9	%		20.4		%	0.5		pts
Administrative expense ratio	Administrative expense ratio	5.6		%	6.1		%	(0.5)	pts			5.6	%			6.0	%			(0.4)	pts	Administrative expense ratio	5.0	%		5.6		%	(0.6)		pts
Combined ratio	Combined ratio	88.8		%	90.3		%	(1.5)	pts			85.9	%			90.9	%			(5.0)	pts	Combined ratio	95.1	%		83.0		%	12.1		pts


Catastrophe Losses and Prior Period Development	Three Months Ended
	March 31
(in millions of U.S. dollars)	2021		2020
Catastrophe losses	$	240	$	21
Favorable (unfavorable) prior period development	$	40	$	(1)

Catastrophe losses through March 31, 2021 were primarily from winter storm losses and other severe weather-related events in the U.S.

Refer to the prior period development discussion in Note 6 to the Consolidated Financial Statements for additional information.

Premiums

Net premiums written ~~increased$18~~decreased $9 million, or ~~1.4 percent, and $69 million, or 2.9~~0.8 percent, for the three ~~and six~~ months ended ~~June 30, 2020, respectively,~~March 31, 2021, primarily due to ~~rate increases~~the unfavorable impact of reinstatement premiums of $23 million related to 2021 winter storm losses and ~~high account retention across most lines.~~automobile return premiums as mandated by certain states due to the slowdown in miles driven as a result of the COVID-19 pandemic. This ~~growth~~decrease was partially offset by ~~$7 million~~strong renewal retention, principally in ~~automobile premium returned to insureds as a result of reduced exposure related to the conditions caused by the COVID-19 pandemic, which impacted growth by 0.6 percentage points~~homeowners and ~~0.5 percentage points, respectively.~~recreational marine lines.

Net premiums earned ~~increased $24~~decreased $16 million, or ~~2.1 percent, and $70 million, or 3.0~~1.3 percent, for the three ~~and six~~ months ended ~~June 30, 2020, respectively,~~March 31, 2021, reflecting the ~~growth~~decline in net premiums written described above.

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Combined Ratio

The loss and loss expense ratio ~~decreased0.2 percentage points and 4.3~~increased 12.2 percentage points for the three ~~and six~~ months ended ~~June 30, 2020, respectively,~~March 31, 2021, primarily due to ~~lower~~higher catastrophe losses, ~~and a decrease in the underlying loss ratio driven by earned price changes modestly above loss trends,~~ partially offset by ~~lower~~ favorable prior period development. The CAY loss ratio excluding catastrophe losses decreased 1.9 percentage points reflecting a favorable year-over-year loss ratio improvement in automobile, due to lower claim frequency, and in homeowners as earned rate exceeded loss cost trends.

The policy acquisition cost ratio ~~decreased 0.8~~increased 0.5 percentage points for the three months ended ~~June 30, 2020~~March 31, 2021, primarily due to ~~a favorable commission accrual adjustment in~~ the ~~current year. In 2019, a similar favorable accrual adjustment was recorded in the first quarter. Therefore,~~unfavorable impact of reinstatement premiums on ~~a year-to-date basis, the policy acquisition cost ratio modestly decreased 0.3 percentage points.~~net premiums earned.

The administrative expense ratio decreased ~~0.5 percentage points and 0.4~~0.6 percentage points for the three ~~and six~~ months ended ~~June 30, 2020, respectively,~~March 31, 2021, primarily due to ~~lower business expenses, including travel-related costs, due to strong~~continued expense management ~~control during~~and the shutdown associated with the COVID-19 pandemic, ~~and lower employee benefit-related expenses, partially offset by normal inflationary increases.~~

~~Catastrophe Losses and Prior Period Development~~

Three Months Ended Six Months Ended
June 30 June 30
(in millions of U.S. dollars) 2020 2019 2020 2019
Catastrophe losses (excludes reinstatement premiums) $ 109 $ 117 $ 130 $ 246
Favorable prior period development $ 1 $ 16 $ — $ 26

~~Catastrophe losses through June 30, 2020 and 2019 were primarily from the following events:~~

•~~2020~~: ~~Severe weather-related events in the U.S.~~

•~~2019: Winter-related storms and other severe weather-related events in the U.S.~~

~~Refer to the prior period development discussion in Note6 to the Consolidated Financial Statements for additional information.~~

~~CAY Loss Ratio excluding Catastrophe Losses~~

Three Months Ended Six Months Ended
June 30 June 30
2020 2019 2020 2019
Loss and loss expense ratio 63.8 % 64.0 % 60.4 % 64.7 %
Catastrophe losses (9.2) % (10.1) % (5.5) % (10.6) %
Prior period development 0.1 % 1.4 % — 1.1 %
CAY loss ratio excluding catastrophe losses 54.7 % 55.3 % 54.9 % 55.2 %

The CAY loss ratio excluding catastrophe losses decreased 0.6 percentage points and 0.3 percentage points for the three and six months ended June 30, 2020, respectively, primarily due to a decrease in the underlying loss ratio driven by earned price changes modestly above loss trends.as well as reduced pension obligations reflecting favorable market conditions.

~~Table of Contents~~

North America Agricultural Insurance

The North America Agricultural Insurance segment comprises our North American based businesses that provide a variety of coverages in the U.S. and Canada including crop insurance, primarily Multiple Peril Crop Insurance (MPCI) and crop-hail through Rain and Hail Insurance Service, Inc. (Rain and Hail) as well as farm and ranch and specialty P&C commercial insurance products and services through our Chubb Agribusiness unit.

Three Months Ended Six Months Ended
June 30 % Change June 30 % Change
(in millions of U.S. dollars, except for percentages) 2020 2019 Q-20 vs. Q-19 2020 2019 YTD-20 vs. YTD-19
Net premiums written $ 461 $ 466 (1.1) % $ 618 $ 596 3.8 %
Net premiums earned 376 378 (0.5) % 470 433 8.6 %
Adjusted losses and loss expenses 313 309 0.9 % 378 283 33.3 %
Policy acquisition costs 29 27 6.7 % 40 34 16.5 %
Administrative expenses 3 4 4.9 % 7 5 55.8 %
Underwriting income 31 38 (17.9) % 45 111 (59.2) %
Net investment income 7 4 78.6 % 16 14 17.8 %
Other (income) expense 1 1 — 1 1 —
Amortization of purchased intangibles 6 7 (1.5) % 13 14 (2.1) %
Segment income $ 31 $ 34 (9.3) % $ 47 $ 110 (57.0) %
Loss and loss expense ratio 83.1 % 81.9 % 1.2 pts 80.4 % 65.5 % 14.9 pts
Policy acquisition cost ratio 7.8 % 7.3 % 0.5 pts 8.5 % 7.9 % 0.6 pts
Administrative expense ratio 0.9 % 0.9 % — pts 1.5 % 1.1 % 0.4 pts
Combined ratio 91.8 % 90.1 % 1.7 pts 90.4 % 74.5 % 15.9 pts

~~Premiums~~

Net premiums written decreased $5 million, or 1.1 percent, for the three months ended June 30, 2020 primarily due to MPCI premiums reflecting lower rates that were impacted by year-over-year commodity price declines, partially offset by growth in our Chubb Agribusiness unit. Net premiums written increased $22 million, or 3.8 percent, for the six months ended June 30, 2020 due to the year-over-year increase in MPCI premiums reflecting less premiums returned to the U.S. government under the premium-sharing formulas and the factors noted above. Under the MPCI premium-sharing formulas, we retained more premiums on the 2019 crop year due to higher than expected losses for that year. Net premiums written in the first half of 2019 was lower due to higher cessions to the U.S. government reflecting the more profitable 2018 crop year.

Net premiums earned decreased $2 million, or 0.5 percent, for the three months ended June 30, 2020. For the six months ended June 30, 2020, net premiums earned increased $37 million, or 8.6 percent, reflecting the growth in net premiums written described above.

~~Combined Ratio~~

The loss and loss expense ratio increased 1.2 percentage points for the three months ended June 30, 2020 primarily due to higher catastrophe losses and higher underlying losses in our Chubb Agribusiness unit, and the year-over-year impact of crop derivative losses, partially offset by lower MPCI underwriting losses in the current year. For the six months ended June 30, 2020, the loss and loss expense ratio increased 14.9 percentage points primarily due to our MPCI business, reflecting lower favorable prior period development and the year-over-year impact of crop derivative losses, which were partially offset by lower MPCI underwriting losses in the current year; as well as in our Chubb Agribusiness unit reflecting higher catastrophe losses and higher underlying losses.

The policy acquisition cost ratio increased 0.5 percentage points for the three months ended June 30, 2020 primarily due to a modest shift in the mix of business towards our Agribusiness unit that has a higher policy acquisition cost ratio. The policy acquisition cost ratio increased 0.6 percentage points for the six months ended June 30, 2020 primarily due to the year-over-year impact of higher earned premium retention as a result of the premium sharing formula under the U.S. government, which does not impact acquisition costs.


	Three Months Ended
	March 31						% Change
(in millions of U.S. dollars, except for percentages)	2021			2020			Q-21 vs. Q-20
Net premiums written	$	183		$	157		16.5		%
Net premiums earned	110			94			16.7		%
Losses and loss expenses	85			65			30.0		%
Policy acquisition costs	12			11			12.4		%
Administrative expenses	3			4			(23.8)		%
Underwriting income	10			14			(30.2)		%
Net investment income	7			9			(18.5)		%

Amortization of purchased intangibles	7			7			—
Segment income	$	10		$	16		(36.0)		%
Loss and loss expense ratio:
CAY loss ratio excluding catastrophe losses	71.2		%	76.2		%	(5.0)	pts
Catastrophe losses	7.4		%	8.9		%	(1.5)	pts
Prior period development	(1.1)		%	(15.5)		%	14.4	pts
Loss and loss expense ratio	77.5		%	69.6		%	7.9	pts
Policy acquisition cost ratio	10.7		%	11.1		%	(0.4)	pts
Administrative expense ratio	2.7		%	4.1		%	(1.4)	pts
Combined ratio	90.9		%	84.8		%	6.1	pts

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The administrative expense ratio increased 0.4 percentage points for the six months ended June 30, 2020 primarily due to normal operating expense and inflationary increases and a reduction in the current year Administrative and Operating (A&O) reimbursements related to the MPCI business we earned under the government program.

~~Catastrophe Losses and Prior Period Development~~

Three Months Ended Six Months Ended
June 30 June 30
(in millions of U.S. dollars) 2020 2019 2020 2019
Catastrophe losses (excludes reinstatement premiums) $ 6 $ 2 $ 14 $ 4
Favorable prior period development $ — $ — $ 14 $ 61


Catastrophe Losses and Prior Period Development	Three Months Ended
	March 31
(in millions of U.S. dollars)	2021		2020
Catastrophe losses	$	8	$	8
Favorable prior period development	$	2	$	14

Catastrophe losses through ~~June 30,~~March 31, 2021 and 2020 ~~and 2019~~ were primarily from severe weather-related events in the U.S. in ~~our farm, ranch, and specialty P&C businesses.~~Chubb Agribusiness.

Refer to the prior period development discussion in Note6 to the Consolidated Financial Statements for additional information.

~~There was no prior period development for~~For the three months ended ~~June 30, 2020~~March 31, 2021, net favorable prior period development comprised a $2 million increase in net premiums earned related to the MPCI profit and ~~2019.~~loss calculation formula. For the ~~six~~three months ended ~~June 30,~~March 31, 2020, net favorable prior period development was $14 million which included $17 million of favorable incurred losses due to lower than expected MPCI losses for the 2019 crop year, partially offset by a $3 million decrease in net premiums earned related to the MPCI profit and loss calculation formula. ~~For~~

Premiums

Net premiums written increased $26 million, or 16.5 percent, for the ~~six~~three months ended ~~June 30, 2019,~~March 31, 2021, due to policy count growth and higher commodity prices in our MPCI business, and strong new business growth in Chubb Agribusiness.

Net premiums earned increased $16 million, or 16.7 percent, for the three months ended March 31, 2021, reflecting the growth in net premiums written described above.

Combined Ratio

The loss and loss expense ratio increased 7.9 percentage points for the three months ended March 31, 2021, primarily due to lower favorable prior period ~~development was $61 million which included~~$90 million of favorable incurred losses and $3 million of lower acquisition costs due to lower than expected MPCI losses for the 2018 crop year, partially offset by a $32 million decrease in net premiums earned related to the MPCI profit and loss calculation formula.

~~CAY Loss Ratio excluding Catastrophe Losses~~

Three Months Ended Six Months Ended
June 30 June 30
2020 2019 2020 2019
Loss and loss expense ratio 83.1 % 81.9 % 80.4 % 65.5 %
Catastrophe losses (1.6) % (0.5) % (3.0) % (0.9) %
Prior period development — — 3.0 % 14.9 %
CAY loss ratio excluding catastrophe losses 81.5 % 81.4 % 80.4 % 79.5 %

development. The CAY loss ratio excluding catastrophe losses ~~increased 0.9~~decreased 5.0 percentage points due to higher premiums earned from Chubb Agribusiness, which has a lower loss ratio, the favorable year-over-year impact of our crop derivatives, and lower underlying losses in Chubb Agribusiness.

The policy acquisition cost ratio decreased 0.4 percentage points for the ~~six~~three months ended ~~June 30, 2020 principally~~March 31, 2021, primarily due to the favorable impact of higher ~~underlying losses in our Chubb Agribusiness unit~~net premiums earned.

The administrative expense ratio decreased 1.4 percentage points for the three months ended March 31, 2021, primarily due to continued expense management and the ~~year-over-year~~shutdown associated with the COVID-19 pandemic and the favorable impact of ~~crop derivative losses, partially offset by lower MPCI underwriting losses in the current year.~~higher net premiums earned.

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Overseas General Insurance

Overseas General Insurance segment comprises Chubb International and Chubb Global Markets (CGM). Chubb International comprises our international commercial P&C traditional and specialty lines serving large corporations, middle market and small customers; A&H and traditional and specialty personal lines business serving local territories outside the U.S., Bermuda, and Canada. CGM, our London-based international commercial P&C excess and surplus lines business, includes Lloyd's of London (Lloyd's) Syndicate 2488. Chubb provides funds at Lloyd's to support underwriting by Syndicate 2488 which is managed by Chubb Underwriting Agencies Limited.

Three Months Ended Six Months Ended
June 30 % Change June 30 % Change
(in millions of U.S. dollars, except for percentages) 2020 2019 Q-20 vs. Q-19 2020 2019 YTD-20 vs. YTD-19
Net premiums written $ 2,021 $ 2,258 (10.5) % $ 4,619 $ 4,653 (0.7) %
Net premiums earned 2,194 2,225 (1.5) % 4,501 4,339 3.7 %
Losses and loss expenses 1,485 1,125 31.9 % 2,743 2,231 22.9 %
Policy acquisition costs 624 629 (0.9) % 1,266 1,225 3.3 %
Administrative expenses 241 265 (9.3) % 499 514 (3.0) %
Underwriting income (loss) (156) 206 NM (7) 369 NM
Net investment income 124 151 (17.2) % 269 295 (8.7) %
Other (income) expense 8 3 196.6 % 12 7 84.6 %
Amortization of purchased intangibles 11 12 (10.4) % 23 23 —
Segment income (loss) $ (51) $ 342 NM $ 227 $ 634 (64.1) %
Net premiums written - constant dollars ⁽¹⁾
(5.1) % 2.7 %
Loss and loss expense ratio 67.7 % 50.6 % 17.1 pts 61.0 % 51.4 % 9.6 pts
Policy acquisition cost ratio 28.4 % 28.3 % 0.1 pts 28.1 % 28.2 % (0.1) pts
Administrative expense ratio 11.0 % 11.9 % (0.9) pts 11.1 % 11.9 % (0.8) pts
Combined ratio 107.1 % 90.8 % 16.3 pts 100.2 % 91.5 % 8.7 pts

~~NM - not meaningful~~


~~Net Premiums Written by Region~~	~~Three months ended June 30~~
~~(in millions of U.S. dollars, except for percentages)~~	~~2020~~		2020 % of Total		~~2019~~		2019 % of Total		C$ ⁽¹⁾ ~~2019~~		~~Q-20 vs. Q-19~~		C$ ⁽¹⁾~~Q-20 vs. Q-19~~
~~Region~~
~~Europe~~	$	~~851~~	42	%	$	~~810~~	36	%	$	~~790~~	~~5.0~~	%	~~7.7~~	%
~~Latin America~~	~~389~~		19	%	~~573~~		25	%	~~490~~		~~(32.2)~~	%	~~(20.8)~~	%
~~Asia~~	~~721~~		36	%	~~792~~		35	%	~~770~~		~~(9.0)~~	%	~~(6.3)~~	%
~~Other~~ ⁽²⁾	60		3	%	83		4	%	80		~~(27.1)~~	%	~~(24.6)~~	%
~~Net premiums written~~	$	~~2,021~~	~~100~~	%	$	~~2,258~~	~~100~~	%	$	~~2,130~~	~~(10.5)~~	%	~~(5.1)~~	%


	~~Six months ended June 30~~
~~(in millions of U.S. dollars, except for percentages)~~	~~2020~~		2020 % of Total		~~2019~~		2019 % of Total		C$ ⁽¹⁾ ~~2019~~		~~Y-20 vs. Y-19~~		C$ ⁽¹⁾~~Y-20 vs. Y-19~~
~~Region~~
~~Europe~~	$	~~2,079~~	45	%	$	~~1,916~~	41	%	$	~~1,885~~	~~8.5~~	%	~~10.3~~	%
~~Latin America~~	~~972~~		21	%	~~1,106~~		24	%	~~1,012~~		~~(12.1)~~	%	~~(4.0)~~	%
~~Asia~~	~~1,409~~		31	%	~~1,461~~		31	%	~~1,433~~		~~(3.6)~~	%	~~(1.7)~~	%
~~Other~~ ⁽²⁾	~~159~~		3	%	~~170~~		4	%	~~167~~		~~(6.6)~~	%	~~(4.8)~~	%
~~Net premiums written~~	$	~~4,619~~	~~100~~	%	$	~~4,653~~	~~100~~	%	$	~~4,497~~	~~(0.7)~~	%	~~2.7~~	%

⁽¹⁾~~On a constant-dollar basis, amounts are calculated by translating prior period results using the same local currency exchange rates as the comparable current period.~~

⁽²⁾~~Comprises Combined International, Eurasia and Africa region, and other international.~~

~~Table of Contents~~

~~Premiums~~

For the three months ended June 30, 2020, net premiums written decreased $237 million, or $109 million on a constant dollar basis, due to the impact of the COVID-19 pandemic which negatively impacted several lines, mainly in personal lines and A&H, resulting from less travel volume and lower exposures. Net premiums written were depressed by economic contraction resulting from the COVID-19 pandemic including $24 million of exposure adjustments on in-force policies and a lower percentage of net premiums written in Latin America. For the six months ended June 30, 2020, net premiums written decreased $34 million, or increased $122 million on a constant dollar basis, as the decrease during the quarter was offset by P&C lines growth due to new business, retention, and positive rate increases.

For the three and six months ended June 30, 2020 net premiums earned decreased $31 million, and increased $162 million, respectively. On a constant dollar basis, net premiums earned increased $89 million~~and$309 million, respectively, reflecting higher net premiums written in prior periods along with the increase premiums written for the six months ended June 30, 2020 as described above.~~

~~Combined Ratio~~

The loss and loss expense ratio increased 17.1 percentage points and 9.6 percentage points for the three and six months ended June 30, 2020, respectively, primarily due to higher catastrophe losses, primarily related to the COVID-19 pandemic, along with lower premiums earned from A&H lines in Latin America and Asia, which carry a higher margin. These increases were partially offset by higher favorable prior period development.

The administrative expense ratio decreased 0.9 percentage points and 0.8 percentage points for the three and six months ended June 30, 2020, respectively, primarily driven by lower employee-related expenses and travel expenses due to strong expense management and controls during the COVID-19 pandemic. Additionally, the six months ended June 30, 2020 decreased due to the favorable impact of higher net premiums earned in the current year.


	Three Months Ended
	March 31						% Change
(in millions of U.S. dollars, except for percentages)	2021			2020			Q-21 vs. Q-20
Net premiums written	$	2,890		$	2,598		11.2		%
Net premiums written - constant dollars							7.1		%
Net premiums earned	2,478			2,307			7.4		%
Losses and loss expenses	1,263			1,258			0.4		%
Policy acquisition costs	668			642			4.1		%
Administrative expenses	266			258			3.0		%
Underwriting income	281			149			88.3		%
Net investment income	141			145			(2.6)		%
Other (income) expense	1			4			(78.8)		%
Amortization of purchased intangibles	12			12			—
Segment income	$	409		$	278		47.0		%


Loss and loss expense ratio:
CAY loss ratio excluding catastrophe losses	49.9		%	50.8		%	(0.9)	pts
Catastrophe losses	2.1		%	3.8		%	(1.7)	pts
Prior period development	(1.0)		%	(0.1)		%	(0.9)	pts
Loss and loss expense ratio	51.0		%	54.5		%	(3.5)	pts
Policy acquisition cost ratio	27.0		%	27.8		%	(0.8)	pts
Administrative expense ratio	10.7		%	11.2		%	(0.5)	pts
Combined ratio	88.7		%	93.5		%	(4.8)	pts

Catastrophe Losses and Prior Period Development


		Three Months Ended						Six Months Ended							Three Months Ended
		June 30						June 30							March 31
(in millions of U.S. dollars)	(in millions of U.S. dollars)	2020		2019		2020		2019		(in millions of U.S. dollars)	2021		2020
Catastrophe losses (excludes reinstatement premiums)		$	383	$	9	$	473	$	34
Catastrophe losses										Catastrophe losses	$	50	$	90
Favorable prior period development	Favorable prior period development	$	36	$	20	$	40	$	24	Favorable prior period development	$	25	$	4

Catastrophe losses through ~~June 30,~~March 31, 2021 and 2020 ~~and 2019~~ were primarily from the following events:

•2021: Winter storm losses in the U.S. and International weather-related events

•2020: ~~COVID-19 pandemic claims of $373 million, storms~~Storms in Australia, Australia wildfires, and other international weather-related ~~events~~

•~~2019: Storms in Australia~~events; and ~~other international weather-related events~~COVID-19 pandemic claims of $13 million.

Refer to the prior period development discussion in Note 6 to the Consolidated Financial Statements for additional information.

~~CAY Loss Ratio excluding Catastrophe Losses~~

Three Months Ended Six Months Ended
June 30 June 30
2020 2019 2020 2019
Loss and loss expense ratio 67.7 % 50.6 % 61.0 % 51.4 %
Catastrophe losses (17.8) % (0.4) % (10.7) % (0.8) %
Prior period development 1.7 % 0.9 % 0.9 % 0.6 %
CAY loss ratio excluding catastrophe losses 51.6 % 51.1 % 51.2 % 51.2 %

The CAY loss ratio excluding catastrophe losses increased 0.5 percentage points for the three months ended June 30, 2020 due to lower premiums earned from A&H lines in Latin America and Asia, which carry a higher margin.

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Net Premiums Written by Region	Three months ended March 31
(in millions of U.S. dollars, except for percentages)	2021		2021 % of Total		2020		2020 % of Total		C$ 2020		Q-21 vs. Q-20		C$ Q-21 vs. Q-20
Region
Europe	$	1,516	52	%	$	1,228	47	%	$	1,313	23.4	%	15.4	%
Latin America	537		19	%	583		22	%	557		(8.0)	%	(3.7)	%
Asia	761		26	%	688		27	%	727		10.6	%	4.6	%
Other (1)	76		3	%	99		4	%	100		(22.5)	%	(23.2)	%
Net premiums written	$	2,890	100	%	$	2,598	100	%	$	2,697	11.2	%	7.1	%

(1) Comprises Combined International, Eurasia and Africa region, and other international.

Premiums

Net premiums written increased $292 million, or $193 million on a constant-dollar basis, for the three months ended March 31, 2021, reflecting growth in commercial P&C lines of 15.2 percent, primarily in Europe and Asia, most notably in casualty, resulting from new business and positive rate increases. Net premiums written also reflected a decline in consumer lines of 4.2 percent, primarily automobile in Latin America, and A&H in Asia, resulting from less travel volume and lower exposures, partially offset by personal lines growth in Europe, principally in specialty personal lines.

Net premiums earned increased $171 million, or $89 million on a constant-dollar basis, for the three months ended March 31, 2021, reflecting the increase in net premiums written described above.

Combined Ratio

The loss and loss expense ratio decreased 3.5 percentage points for the three months ended March 31, 2021, primarily due to lower catastrophe losses and higher favorable prior period development. The CAY loss ratio excluding catastrophe losses decreased 0.9 percentage points primarily due to margin improvements coming from earned rates exceeding loss cost trends and a benefit from lower current accident year losses resulting from a decrease in exposures due to the COVID-19 pandemic. The decrease was partially offset by lower premiums earned from A&H lines which have a lower loss ratio.

The policy acquisition cost ratio decreased 0.8 percentage points for the three months ended March 31, 2021, primarily due to a change in the mix of business, including less premiums earned from consumer A&H lines that have a higher acquisition cost ratio and higher premiums earned from commercial P&C lines that have a lower acquisition cost ratio.

The administrative expense ratio decreased 0.5 percentage points for the three months ended March 31, 2021, primarily due to the favorable impact of higher net premiums earned.

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Global Reinsurance

The Global Reinsurance segment represents our reinsurance operations comprising Chubb Tempest Re Bermuda, Chubb Tempest Re USA, Chubb Tempest Re International, and Chubb Tempest Re Canada. Global Reinsurance markets its reinsurance products worldwide primarily through reinsurance brokers under the Chubb Tempest Re brand name and provides a broad range of traditional and non-traditional reinsurance coverage to a diverse array of primary P&C companies.

Three Months Ended Six Months Ended
June 30 % Change June 30 % Change
(in millions of U.S. dollars, except for percentages) 2020 2019 Q-20 vs. Q-19 2020 2019 YTD-20 vs. YTD-19
Net premiums written $ 207 $ 197 4.6 % $ 425 $ 399 6.5 %
Net premiums earned 163 159 2.9 % 349 327 6.8 %
Losses and loss expenses 73 90 (16.2) % 160 166 (3.0) %
Policy acquisition costs 42 42 (2.3) % 87 85 2.1 %
Administrative expenses 9 7 17.7 % 19 17 7.7 %
Underwriting income 39 20 95.5 % 83 59 41.0 %
Net investment income 51 55 (6.2) % 105 111 (5.6) %
Other (income) expense (8) (15) (43.3) % (23) (24) (2.2) %
Segment income $ 98 $ 90 9.6 % $ 211 $ 194 8.9 %
Net premiums written - constant dollars ⁽¹⁾
4.9 % 6.4 %
Loss and loss expense ratio 45.5 % 55.9 % (10.4) pts 46.0 % 50.6 % (4.6) pts
Policy acquisition cost ratio 25.5 % 26.9 % (1.4) pts 25.0 % 26.1 % (1.1) pts
Administrative expense ratio 5.6 % 4.9 % 0.7 pts 5.3 % 5.4 % (0.1) pts
Combined ratio 76.6 % 87.7 % (11.1) pts 76.3 % 82.1 % (5.8) pts

⁽¹⁾ ~~On a constant-dollar basis. Amounts are calculated by translating prior period results using the same local currency rates as the comparable current period.~~

~~Premiums~~

For the three and six months ended June 30, 2020 net premiums written increased $10 million and $26 million, respectively, or $11 million and $26 million on a constant-dollar basis, respectively, primarily due to positive rate increases in catastrophe lines and new business written in casualty lines, partially offset by increased ceded retrocessions. In addition, the prior year had unfavorable premium adjustments which lowered premium in 2019.

For the three and six months ended June 30, 2020 net premiums earned increased $4 million and $22 million, respectively, or $6 million and $23 million on a constant-dollar basis, principally reflecting the increase in net premiums written described above.

~~Combined Ratio~~

The loss and loss expense ratio decreased 10.4 percentage points and 4.6 percentage points for the three and six months ended June 30, 2020, respectively, primarily from higher favorable prior period development.

The policy acquisition cost ratio decreased 1.4 percentage points and 1.1 percentage points for the three and six months ended June 30, 2020, respectively, primarily due to favorable commission benefits on increased ceded retrocessions.


	Three Months Ended
	March 31						% Change
(in millions of U.S. dollars, except for percentages)	2021			2020			Q-21 vs. Q-20
Net premiums written	$	207		$	218		(5.1)		%
Net premiums written - constant dollars							(6.2)		%
Net premiums earned	180			186			(3.3)		%
Losses and loss expenses	120			87			39.2		%
Policy acquisition costs	45			45			—
Administrative expenses	8			10			(14.8)		%
Underwriting income	7			44			(85.3)		%
Net investment income	70			69			2.0		%


Segment income	$	77		$	113		(32.2)		%


Loss and loss expense ratio:
CAY loss ratio excluding catastrophe losses	48.3		%	50.4		%	(2.1)	pts
Catastrophe losses	23.8		%	—			23.8	pts
Prior period development	(5.2)		%	(3.9)		%	(1.3)	pts
Loss and loss expense ratio	66.9		%	46.5		%	20.4	pts
Policy acquisition cost ratio	24.9		%	24.5		%	0.4	pts
Administrative expense ratio	4.6		%	5.1		%	(0.5)	pts
Combined ratio	96.4		%	76.1		%	20.3	pts

~~Table of Contents~~

Catastrophe Losses and Prior Period Development


		Three Months Ended						Six Months Ended							Three Months Ended
		June 30						June 30							March 31
(in millions of U.S dollars)	(in millions of U.S dollars)	2020		2019		2020		2019		(in millions of U.S dollars)	2021		2020
Catastrophe losses (excludes reinstatement premiums)		$	13	$	10	$	13	$	10
Catastrophe losses										Catastrophe losses	$	40	$	—
Favorable prior period development	Favorable prior period development	$	16	$	—	$	23	$	8	Favorable prior period development	$	7	$	7

Catastrophe losses through ~~June 30, 2020 and 2019~~March 31, 2021 were primarily from ~~the following events:~~

•~~2020: COVID-19 pandemic claims of $10 million and severe weather-related events~~winter storm losses in the U.S.

•~~2019: Severe weather-related events in the U.S.~~

Refer to the prior period development discussion in Note 6 to the Consolidated Financial Statements for additional information.

~~CAY Loss Ratio excluding Catastrophe Losses~~Premiums

Three Months Ended Six Months Ended
June 30 June 30
2020 2019 2020 2019
Loss and loss expense ratio 45.5 % 55.9 % 46.0 % 50.6 %
Catastrophe losses (7.9) % (6.2) % (3.7) % (3.0) %
Prior period development 9.2 % — 6.4 % 2.5 %
CAY loss ratio excluding catastrophe losses 46.8 % 49.7 % 48.7 % 50.1 %
More new business was written in the three months ended March 31, 2021 compared to the prior year. However, net premiums written decreased $11 million for the three months ended March 31, 2021, mainly from timing of premium recognition associated with a change in the mix of business. Some treaties written in the prior year, for which premiums were recognized at the effective date, were not renewed and were offset by new business, for which premiums are recognized over the treaty term.

~~The CAY loss ratio excluding catastrophe losses decreased 2.9 percentage points and 1.4 percentage points for~~For the three ~~and six~~ months ended ~~June 30, 2020, respectively, primarily from a~~March 31, 2021, net premiums earned decreased $6 million, reflecting the change in mix of business ~~towards catastrophe lines which have a higher margin.~~and the timing of premium recognition, as described above.

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Combined Ratio

The loss and loss expense ratio increased 20.4 percentage points for the three months ended March 31, 2021, primarily due to higher catastrophe losses. The CAY loss ratio excluding catastrophe losses decreased by 2.1 percentage points primarily from a shift in mix of business towards lines which have a lower loss ratio.

The policy acquisition cost ratio increased 0.4 percentage points for the three months ended March 31, 2021, primarily due to higher commissions paid on proportional business.

The administrative expense ratio decreased 0.5 percentage points for the three months ended March 31, 2021, primarily due to lower employee benefit-related expenses.

Life Insurance

The Life Insurance segment comprises Chubb's international life operations, Chubb Tempest Life Re (Chubb Life Re), and the North American supplemental A&H and life business of Combined Insurance. We assess the performance of our life business based on Life Insurance underwriting income, which includes Net investment income and (Gains) losses from fair value changes in separate account assets that do not qualify for separate account reporting under GAAP.

~~Three Months Ended~~

~~Six Months Ended~~

~~June 30~~

~~% Change~~

~~June 30~~

~~% Change~~

~~(in millions of U.S. dollars, except for percentages)~~

~~2020~~

~~2019~~

~~Q-20 vs. Q-19~~

~~2020~~

~~2019~~

~~YTD-20 vs. YTD-19~~

~~Net premiums written~~

~~619~~

~~579~~

~~7.0~~

~~1,264~~

~~1,158~~

~~9.2~~

~~Net premiums earned~~

~~608~~

~~571~~

~~6.5~~

~~1,239~~

~~1,132~~

~~9.5~~

~~Losses and loss expenses~~

~~171~~

~~189~~

~~(9.6)~~

~~373~~

~~391~~

~~(4.6)~~

~~Adjusted policy benefits~~

~~183~~

~~164~~

~~12.0~~

~~368~~

~~330~~

~~11.8~~

~~Policy acquisition costs~~

~~196~~

~~150~~

~~30.9~~

~~376~~

~~278~~

~~35.4~~

~~Administrative expenses~~

~~4.4~~

~~158~~

~~157~~

~~0.7~~

~~Net investment income~~

~~(1.4)~~

~~190~~

~~186~~

~~2.4~~

~~Life Insurance underwriting income~~

~~(18.5)~~

~~154~~

~~162~~

~~(5.3)~~

~~Other (income) expense~~

~~(17)~~

~~(10)~~

~~63.8~~

~~(29)~~

~~(20)~~

~~45.3~~

~~Amortization of purchased intangibles~~

—

~~97.9~~

~~Segment income~~

~~(9.8)~~

~~181~~

—

~~Net premiums written - constant dollars~~ ⁽¹⁾

~~8.5~~

~~9.9~~

⁽¹⁾~~On a constant-dollar basis. Amounts are calculated by translating prior period results using the same local currency rates as the comparable current period.~~


	Three Months Ended
	March 31				% Change
(in millions of U.S. dollars, except for percentages)	2021		2020		Q-21 vs. Q-20
Net premiums written	$	620	$	645	(3.8)	%
Net premiums written - constant dollars					(4.7)	%
Net premiums earned	595		631		(5.7)	%
Losses and loss expenses	198		202		(1.7)	%
Policy benefits	163		185		(12.3)	%
Policy acquisition costs	179		180		(0.5)	%
Administrative expenses	82		76		7.7	%
Net investment income	98		95		3.3	%
Life Insurance underwriting income	71		83		(14.3)	%
Other (income) expense	(34)		(12)		190.3	%
Amortization of purchased intangibles	1		1		—
Segment income	$	104	$	94	11.2	%

Premiums

~~For the three and six months ended June 30, 2020, net~~Net premiums written ~~increased $40~~decreased $25 million, ~~and $106 million, respectively~~ or ~~$49 million and $114~~$31 million on a constant-dollar basis ~~primarily reflecting growth in Latin America, principally driven by our expanded presence in Chile, and Asian international life operations, partially offset by a decline in~~for the three months ended March 31, 2021. This decrease reflects the adverse impact of the COVID-19 pandemic on our North America Combined Insurance ~~business.~~business of 9.4 percent, and a decline in our Chubb Life Re business which continues to decline as no new life reinsurance business is currently being written. These decreases were partially offset by growth in our International Life operations of 9.8 percent, principally in Asia, from new business in Taiwan and Vietnam, and Chile.

Deposits

The following table presents deposits collected on universal life and investment contracts:


	Three Months Ended
	March 31						% Change
(in millions of U.S. dollars, except for percentages)	2021		2020		C$ 2020		Q-21 vs. Q-20		C$ Q-21 vs. Q-20
Deposits collected on Universal life and investment contracts	$	551	$	443	$	470	24.4	%	17.3	%

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~~Three Months Ended~~

~~Six Months Ended~~

~~June 30~~

~~% Change~~

~~June 30~~

~~% Change~~

~~(in millions of U.S. dollars, except for percentages)~~

~~2020~~

~~2019~~

C$ ⁽¹⁾ ~~2019~~

~~Q-20 vs. Q-19~~

C$ ⁽¹⁾ ~~Q-20 vs. Q-19~~ 

~~2020~~

~~2019~~

C$ ⁽¹⁾ ~~2019~~

~~Y-20 vs. Y-19~~

C$ ⁽¹⁾

~~Y-20 vs.~~

~~Y-19~~

~~Deposits collected on Universal life and investment contracts~~

~~309~~

~~369~~

~~372~~

~~(16.1)~~

~~(16.9)~~

~~752~~

~~690~~

~~697~~

~~9.1~~

~~8.0~~

⁽¹⁾~~On a constant-dollar basis. Amounts are calculated by translating prior period results using the same local currency exchange rates as the comparable current period.~~

Deposits collected on universal life and investment contracts (life deposits) are not reflected as revenues in our Consolidated statements of operations in accordance with GAAP. New life deposits are an important component of production, and although they do not significantly affect current period income from operations, they are key to our efforts to grow our business. Life deposits collected ~~decreased~~increased $108 million for the three months ended ~~June 30, 2020~~March 31, 2021, primarily due to a decline in Taiwan driven by temporary bank branch closures because of the COVID-19 pandemic and competitive market conditions. Life deposits collected increased for the six months ended June 30, 2020 as growth in ~~Taiwan during the first quarter more than offset the decline in the second quarter.~~Taiwan.

~~Table of Contents~~

Life Insurance underwriting income and Segment income

Life Insurance underwriting income decreased ~~$16 million and $8~~$12 million for the three ~~and six~~ months ended ~~June 30, 2020, respectively,~~March 31, 2021, primarily due to a one-time employee related benefit of $7 million in the ~~impact of COVID-19 related catastrophe losses of $6 million and a decrease in underwriting~~prior year. Segment income ~~in our variable annuity business, which continues to decline as no new life reinsurance business is currently being written. Additionally, segment income included other income of $17 million and $29~~increased $10 million for the three ~~and six~~ months ended ~~June 30, 2020, respectively,~~March 31, 2021, as the decline in life insurance underwriting income was offset by higher other income, principally due to our share of net income from our investment in Huatai, ~~Life,~~ our partially-owned ~~life~~ insurance entity in China.

Corporate

Corporate results primarily include the results of our non-insurance companies, income and expenses not attributable to reportable segments and loss and loss expenses of asbestos and environmental (A&E) liabilities and certain other non-A&E run-off exposures.


		Three Months Ended								Six Months Ended									Three Months Ended
		June 30						% Change		June 30								% Change	March 31		% Change
(in millions of U.S. dollars, except for percentages)	(in millions of U.S. dollars, except for percentages)	2020		2019		Q-20 vs. Q-19		2020		2019		YTD-20 vs. YTD-19		(in millions of U.S. dollars, except for percentages)	2021		2020		Q-21 vs. Q-20
Losses and loss expenses	Losses and loss expenses	$	276	$	34	NM		$	287	$	45	NM		Losses and loss expenses	$	9	$	11	(22.9)	%
Administrative expenses	Administrative expenses	77		74		3.6	%	143		137		4.5	%	Administrative expenses	71		66		5.2	%
Underwriting loss	Underwriting loss	353		108		228.6	%	430		182		136.8	%	Underwriting loss	80		77		1.2	%
Net investment income (loss)	Net investment income (loss)	(22)		(33)		(29.1)	%	(46)		(70)		(33.6)	%	Net investment income (loss)	(17)		(24)		(25.9)	%
Interest expense	Interest expense	128		140		(8.8)	%	260		280		(7.0)	%	Interest expense	122		132		(7.6)	%
Net realized gains (losses)	Net realized gains (losses)	31		(230)		NM		(925)		(326)		183.4	%	Net realized gains (losses)	888		(956)		NM
Other (income) expense	Other (income) expense	109		(215)		NM		132		(204)		NM		Other (income) expense	(415)		23		NM
Amortization of purchased intangibles	Amortization of purchased intangibles	51		54		(7.5)	%	101		109		(7.2)	%	Amortization of purchased intangibles	49		50		(3.0)	%
Chubb integration expenses		—		4		(100.0)	%	—		7		(100.0)	%
Income tax expense (benefit)		(62)		208		NM		153		396		(61.4)	%
Net loss		$	(570)	$	(562)	1.4	%	$	(2,047)	$	(1,166)	75.6	%
Income tax expense														Income tax expense	338		215		57.0	%
Net income (loss)														Net income (loss)	$	697	$	(1,477)	NM

NM - not meaningful

Losses and loss expenses increased $242 million for both the three and six months ended June 30, 2020 reflecting unfavorable prior period development in the current quarter for U.S. child molestation claims, predominantly reviver statute-related. Losses in 2019 were primarily from unfavorable development related to non-A&E run-off casualty exposures, including workers' compensation, as well as unallocated loss adjustment expenses of the A&E claim operations.

Administrative expenses increased ~~$3 million and $6~~$5 million for the three ~~and six~~ months ended ~~June 30, 2020, respectively,~~March 31, 2021, primarily due to ~~the impact of the COVID-19 pandemic and higher legal expenses.~~increased spending to support digital growth initiatives.

Refer to the respective sections that follow for a discussion of Net ~~investment income, Net~~ realized gains ~~and losses,~~(losses), Net investment income, Other (income) expense, Amortization of purchased intangibles, and Income tax expense.


Net Realized and Unrealized Gains (Losses)

We take a long-term view with our investment strategy, and our investment managers manage our investment portfolio to maximize total return within certain specific guidelines designed to minimize risk. The majority of our investment portfolio is available for sale and reported at fair value. Our held to maturity investment portfolio is reported at amortized cost, net of valuation allowance.

The effect of market movements on our fixed maturities portfolio impacts Net income (through Net realized gains (losses)) when securities are sold, when we write down an asset, ~~because we intend to sell the security,~~ or when we record a change to the valuation allowance for expected credit losses. For a further discussion related to how we assess the valuation allowance for expected credit losses and the related impact on Net income, refer to Note ~~3 c)~~1 e) to the Consolidated Financial ~~Statements.~~Statements in our 2020 Form 10-K. Additionally, Net income is

~~Table of Contents~~

impacted through the reporting of changes in the fair value of equity securities, ~~and~~ private equity ~~securities~~funds where we own less than three percent, and derivatives, including financial futures, options, swaps, and GLB reinsurance. Changes in unrealized appreciation and depreciation on available for sale securities, resulting from the revaluation of securities held, changes in cumulative foreign currency translation adjustment, and unrealized postretirement benefit liability adjustment, are reported as separate components of Accumulated other comprehensive income (loss) in Shareholders’ equity in the Consolidated balance sheets.

~~The following table presents our net realized and unrealized gains (losses):~~

Three Months Ended June 30, 2020 Three Months Ended June 30, 2019
(in millions of U.S. dollars) Net
Realized
Gains
(Losses) Net
Unrealized
Gains
(Losses) Net
Impact Net
Realized
Gains
(Losses) Net
Unrealized
Gains
(Losses) Net
Impact
Fixed maturities $ (33) $ 3,281 $ 3,248 $ 12 $ 1,240 $ 1,252
Fixed income and equity derivatives 14 — 14 (181) — (181)
Public equity
Sales 187 — 187 32 — 32
Mark-to-market (39) — (39) (27) — (27)
Private equity (less than 3 percent ownership)
Mark-to-market (107) — (107) 30 — 30
Total investment portfolio 22 3,281 3,303 (134) 1,240 1,106
Variable annuity reinsurance derivative transactions, net of applicable hedges 110 — 110 (85) — (85)
Other derivatives (1) — (1) 7 — 7
Foreign exchange (61) 445 384 (11) (97) (108)
Other (40) (22) (62) — (18) (18)
Net gains (losses), pre-tax $ 30 $ 3,704 $ 3,734 $ (223) $ 1,125 $ 902

Six Months Ended June 30, 2020 Six Months Ended June 30, 2019
(in millions of U.S. dollars) Net
Realized
Gains
(Losses) Net
Unrealized
Gains
(Losses) Net
Impact Net
Realized
Gains
(Losses) Net
Unrealized
Gains
(Losses) Net
Impact
Fixed maturities $ (352) $ 1,121 $ 769 $ (32) $ 3,129 $ 3,097
Fixed income and equity derivatives 29 — 29 (311) — (311)
Public equity
Sales 163 — 163 33 — 33
Mark-to-market (44) — (44) 30 — 30
Private equity (less than 3 percent ownership)
Sales — — — (2) — (2)
Mark-to-market (102) — (102) (12) — (12)
Total investment portfolio (306) 1,121 815 (294) 3,129 2,835
Variable annuity reinsurance derivative transactions, net of applicable hedges (450) — (450) (34) — (34)
Other derivatives (3) — (3) 6 — 6
Foreign exchange (129) (414) (543) 2 50 52
Other (40) (36) (76) — (45) (45)
Net gains (losses), pre-tax $ (928) $ 671 $ (257) $ (320) $ 3,134 $ 2,814

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~~Pre-tax net losses~~cumulative foreign currency translation adjustment, and unrealized postretirement benefit obligations liability adjustment, are reported as separate components of ~~$257 million for the six months ended June 30, 2020 reflected the financial market volatility~~Accumulated other comprehensive income in Shareholders’ equity in the ~~credit, equity~~Consolidated balance sheets.

The following table presents our net realized and ~~foreign exchange markets, driven by the impact of the COVID-19 global pandemic.~~ unrealized gains (losses):


	Three Months Ended March 31
	2021						2020
(in millions of U.S. dollars)	Net Realized Gains (Losses)		Net Unrealized Gains (Losses)		Net Impact		Net Realized Gains (Losses)		Net Unrealized Gains (Losses)		Net Impact
Fixed maturities	$	24	$	(2,317)	$	(2,293)	$	(319)	$	(2,160)	$	(2,479)
Fixed income and equity derivatives	109		—		109		15		—		15
Public equity
Sales	45		—		45		(24)		—		(24)
Mark-to-market	322		—		322		(5)		—		(5)
Private equity (less than 3 percent ownership)

Mark-to-market	38		—		38		5		—		5
Total investment portfolio	538		(2,317)		(1,779)		(328)		(2,160)		(2,488)
Variable annuity reinsurance derivative transactions, net of applicable hedges	275		—		275		(560)		—		(560)
Other derivatives	(1)		—		(1)		(2)		—		(2)
Foreign exchange	76		22		98		(68)		(859)		(927)
Other	(1)		(28)		(29)		—		(14)		(14)
Net gains (losses), pre-tax	$	887	$	(2,323)	$	(1,436)	$	(958)	$	(3,033)	$	(3,991)

The ~~$815~~$1,779 million ~~gain~~loss in our investment portfolio was principally a result of a ~~decline~~rise in ~~interest rates and a narrowing of credit spreads in~~fixed income yields during the ~~second~~ quarter, partially offset by a $46 million realized loss related to expected credit losses of certain securities and $152 million of impairments for securities we intended to sell, and securities written to market entering default. The $543 million foreign exchange loss reflected the strengthening of the U.S. dollar against most major currencies. The $450 million realized loss in our variable annuity reinsurance portfolio was principally driven by lower interest rates and lowerpositive global ~~equities markets, as discussed below.~~equity returns.

The variable annuity reinsurance derivative transactions consist of changes in the fair value of GLB liabilities and gain or losses on other derivative instruments we maintain that decrease in fair value when the S&P 500 index increases. The variable annuity reinsurance derivative transactions resulted in realized gains of ~~$110~~$275 million for the three months ended ~~June 30, 2020~~March 31, 2021, reflecting a net decrease in the fair value of the GLB liabilities of ~~$213~~$319 million due to higher interest rates and higher global equity markets, partially offset by a net realized loss of $103 million related to these other derivatives. For the six months ended June 30, 2020, the variable annuity reinsurance derivative transactions resulted in realized losses of $450 million reflecting a net increase in the fair value of the GLB liabilities of $472 million due to lower interest rates and lower global equity markets, partially offset by a net realized gain of $22$44 million related to these other derivatives.

For the three months ended ~~June 30, 2019,~~March 31, 2020, the variable annuity reinsurance derivative transactions resulted in realized losses of ~~$85~~$560 million, reflecting a net increase in the fair value of GLB liabilities of ~~$65~~$685 million and a net realized ~~loss~~gain of ~~$20~~$125 million related to these other derivative instruments. The net increase in the fair value of GLB liabilities iswas principally due to lower ~~interest rates, partially offset by higher~~ global equity market levels. For the six months ended June 30, 2019, the variable annuity reinsurance derivative transactions resulted in realized losses of $34 million, reflecting a net realized loss of $83 million related to these other derivative instruments partially offset by a decrease in the fair value of GLB liabilities of $49 million. The net decrease in the fair value of GLB liabilities is due to higher global equity market levels partially offset by lower interest rates.


Effective Income Tax Rate

Our effective tax rate for the three months ended March 31, 2021 was 12.8 percent compared to 46.0 percent in the prior year period. Our effective income tax rate reflects a mix of income or losses in jurisdictions with a wide range of tax rates, permanent differences between USU.S. GAAP and local tax laws, and the ~~timing~~impact of ~~recording~~ discrete items. A change in the geographic mix of earnings could impact our effective tax rate.

~~Our~~ The effective tax rate ~~(ETR) for~~in the ~~three and six months ended June 30, 2020,~~current year was ~~impacted by~~lower compared to the ~~high level of catastrophe losses, principally COVID-19, which resulted in an ETR for our tax benefit of 15.8 percent for~~prior year primarily due to the ~~quarter and a year-to-date ETR on our tax expense of 206.8 percent. In addition the ETR for the six months ended June 30, 2020 was impacted by a higher percentage~~impact of realized ~~losses~~gains generated in lower tax ~~jurisdictions. This compares~~jurisdictions and a higher discrete tax benefit on employee benefit programs compared to ~~an ETR on our tax expense of 15.3 percent in both~~ the prior year ~~periods.~~that had realized losses.

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Non-GAAP Reconciliation

In presenting our results, we included and discussed certain non-GAAP measures. These non-GAAP measures, which may be defined differently by other companies, are important for an understanding of our overall results of operations and financial condition. However, they should not be viewed as a substitute for measures determined in accordance with generally accepted accounting principles (GAAP).

Book value per common share, is shareholders’ equity divided by the shares outstanding. Tangible book value per common share, is shareholders’ equity less goodwill and other intangible assets, net of tax, divided by the shares outstanding. We believe that goodwill and other intangible assets are not indicative of our underlying insurance results or trends and make book value comparisons to less acquisitive peer companies less meaningful. The calculation of tangible book value per share does not consider the embedded goodwill attributable to our investments in partially-owned insurance companies until we attain majority ownership and consolidate.

We provide financial measures, including net premiums written, net premiums earned, and underwriting income on a constant-dollar basis. We believe it is useful to evaluate the trends in our results exclusive of the effect of fluctuations in exchange rates between the U.S. dollar and the currencies in which our international business is transacted, as these exchange rates could fluctuate significantly between periods and distort the analysis of trends. The impact is determined by assuming constant foreign exchange rates between periods by translating prior period results using the same local currency exchange rates as the comparable current period.

~~Adjusted policy benefits include gains and losses from fair value changes in separate account assets, as well as the offsetting~~

movement in separate account liabilities, for purposes of reporting Life Insurance underwriting income. The gains and losses from fair value changes in separate account assets that do not qualify for separate account reporting under GAAP have been reclassified from Other (income) expense. We view gains and losses from fair value changes in both separate account assets and

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~~liabilities as part of the results of our underwriting operations, and therefore these gains and losses are reclassified to adjusted policy benefits.~~

~~The following table presents a reconciliation of Policy benefits to Adjusted policy benefits:~~

Three Months Ended Six Months Ended
June 30 June 30
(in millions of U.S. dollars) 2020 2019 2020 2019
Policy benefits $ 223 $ 161 $ 352 $ 357
Add: (Gains) losses from fair value changes in separate account assets (40) 3 16 (27)
Adjusted policy benefits $ 183 $ 164 $ 368 $ 330

P&C performance metrics comprise consolidated operating results (including Corporate) and exclude the operating results of the Life Insurance segment. We believe that these measures are useful and meaningful to investors as they are used by management to assess the company’s P&C operations which are the most economically similar. We exclude the Life Insurance segment because the results of this business do not always correlate with the results of our P&C operations.

P&C combined ratio is the sum of the loss and loss expense ratio, policy acquisition cost ratio and the administrative expense ratio excluding the life business and including the realized gains and losses on the crop derivatives. These derivatives were purchased to provide economic benefit, in a manner similar to reinsurance protection, in the event that a significant decline in commodity pricing impacts underwriting results. We view gains and losses on these derivatives as part of the results of our underwriting operations.

CAY P&C combined ratio excluding catastrophe losses (CATs) excludes CATs and prior period development (PPD) from the P&C combined ratio. We exclude CATs as they are not predictable as to timing and amount and PPD as these unexpected loss developments on historical reserves are not indicative of our current underwriting performance. The combined ratio numerator is adjusted to exclude CATs, net premiums earned adjustments on PPD, prior period expense adjustments and reinstatement premiums on PPD, and the denominator is adjusted to exclude net premiums earned adjustments on PPD and reinstatement premiums on CATs and PPD. In periods where there are adjustments on loss sensitive policies, these adjustments are excluded from PPD and net premiums earned when calculating the ratios. We believe this measure provides a better evaluation of our underwriting performance and enhances the understanding of the trends in our P&C business that may be obscured by these items. This measure is commonly reported among our peer companies and allows for a better comparison.

Reinstatement premiums are additional premiums paid on certain reinsurance agreements in order to reinstate coverage that had been exhausted by loss occurrences. The reinstatement premium amount is typically a pro rata portion of the original ceded premium paid based on how much of the reinsurance limit had been exhausted.

Net premiums earned adjustments within PPD are adjustments to the initial premium earned on retrospectively rated policies based on actual claim experience that develops after the policy period ends. The premium adjustments correlate to the prior period loss development on these same policies and are fully earned in the period the adjustments are recorded.

Prior period expense adjustments typically relate to adjustable commission reserves or policyholder dividend reserves based on actual claim experience that develops after the policy period ends. The expense adjustments correlate to the prior period loss development on these same policies.

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For this disclosure purpose, the normalized level of CATs, or expected level of CATs, is not intended to represent a probability weighted expectation for the company but rather to represent management’s view of what might be more typical for a given period, based on various factors, including historical experience, seasonal patterns, and consideration of both modeled CATs (e.g., windstorm and earthquake) as well as non-modeled CATs (e.g., wildfires, floods and freeze). The following table presents CATs above (below) expected level and the impact on the combined ratio:

Three Months Ended Six Months Ended
June 30 June 30
(in millions of U.S. dollars, except for percentage points) 2020 2019 2020 2019
Actual level of CATs - pre-tax $ 1,807 $ 275 $ 2,044 $ 525
Less: Expected level of CATs - pre-tax 284 241 508 447
CATs above expected level - pre-tax $ 1,523 $ 34 $ 1,536 $ 78
Adverse impact of CATs above an expected level on
combined ratio 20.1 % 0.5 % 10.4 % 0.6 %

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The following tables present the calculation of combined ratio, as reported for each segment to P&C combined ratio, adjusted for catastrophe losses (CATs) and PPD:


			North America Commercial P&C Insurance			North America Personal P&C Insurance			North America Agricultural Insurance			Overseas General Insurance			Global Reinsurance			Corporate		Total P&C							North America Commercial P&C Insurance					North America Personal P&C Insurance					North America Agricultural Insurance					Overseas General Insurance					Global Reinsurance					Corporate				Total P&C
Three Months Ended	Three Months Ended																																																											North America Commercial P&C Insurance		North America Personal P&C Insurance		North America Agricultural Insurance		Overseas General Insurance		Global Reinsurance		Corporate		Total P&C
June 30, 2020
March 31, 2021																							March 31, 2021
(in millions of U.S. dollars except for ratios)	(in millions of U.S. dollars except for ratios)		North America Commercial P&C Insurance			North America Personal P&C Insurance			North America Agricultural Insurance			Overseas General Insurance			Global Reinsurance			Corporate		Total P&C																																					(in millions of U.S. dollars except for ratios)
Numerator	Numerator																						Numerator

Losses and loss expenses	Losses and loss expenses																																																								Losses and loss expenses		A	$	2,560	$	819	$	85	$	1,263	$	120	$	9	$	4,856
Losses and loss expenses																									$	3,498				$	762				$	312				$	1,485				$	73				$	276			$	6,406
Realized (gains) losses on crop derivatives			—			—			1			—			—			—		1
Adjusted losses and loss expenses		A	$	3,498		$	762		$	313		$	1,485		$	73		$	276	$	6,407
Catastrophe losses and related adjustments	Catastrophe losses and related adjustments																						Catastrophe losses and related adjustments
Catastrophe losses, net of related adjustments	Catastrophe losses, net of related adjustments		(1,273)			(110)			(6)			(399)			(13)			—		(1,801)			Catastrophe losses, net of related adjustments				(362)					(240)					(8)					(50)					(40)					—				(700)
Reinstatement premiums collected (expensed) on catastrophe losses	Reinstatement premiums collected (expensed) on catastrophe losses		(3)			(1)			—			(16)			—			—		(20)			Reinstatement premiums collected (expensed) on catastrophe losses				—					(23)					—					—					5					—				(18)
Catastrophe losses, gross of related adjustments	Catastrophe losses, gross of related adjustments		(1,270)			(109)			(6)			(383)			(13)			—		(1,781)			Catastrophe losses, gross of related adjustments				(362)					(217)					(8)					(50)					(45)					—				(682)
PPD and related adjustments	PPD and related adjustments																						PPD and related adjustments
PPD, net of related adjustments - favorable (unfavorable)	PPD, net of related adjustments - favorable (unfavorable)		146			1			—			36			16			(274)		(75)			PPD, net of related adjustments - favorable (unfavorable)				127					40					2					25					7					(9)				192
Net premiums earned adjustments on PPD - unfavorable (favorable)	Net premiums earned adjustments on PPD - unfavorable (favorable)		4			—			—			—			—			—		4			Net premiums earned adjustments on PPD - unfavorable (favorable)				—					—					(2)					—					—					—				(2)
Expense adjustments - unfavorable (favorable)	Expense adjustments - unfavorable (favorable)		1			—			—			—			—			—		1			Expense adjustments - unfavorable (favorable)				3					—					—					—					—					—				3
PPD reinstatement premiums - unfavorable (favorable)	PPD reinstatement premiums - unfavorable (favorable)		—			—			—			—			(1)			—		(1)			PPD reinstatement premiums - unfavorable (favorable)				—					—					—					—					3					—				3
PPD, gross of related adjustments - favorable (unfavorable)	PPD, gross of related adjustments - favorable (unfavorable)		151			1			—			36			15			(274)		(71)			PPD, gross of related adjustments - favorable (unfavorable)				130					40					—					25					10					(9)				196
CAY loss and loss expense ex CATs	CAY loss and loss expense ex CATs	B	$	2,379		$	654		$	307		$	1,138		$	75		$	2	$	4,555		CAY loss and loss expense ex CATs	B			$	2,328				$	642				$	77				$	1,238				$	85				$	—			$	4,370
Policy acquisition costs and administrative expenses	Policy acquisition costs and administrative expenses																						Policy acquisition costs and administrative expenses
Policy acquisition costs and administrative expenses	Policy acquisition costs and administrative expenses	C	$	720		$	297		$	32		$	865		$	51		$	77	$	2,042		Policy acquisition costs and administrative expenses	C			$	768				$	307				$	15				$	934				$	53				$	71			$	2,148
Expense adjustments - favorable (unfavorable)	Expense adjustments - favorable (unfavorable)		(1)			—			—			—			—			—		(1)			Expense adjustments - favorable (unfavorable)				(3)					—					—					—					—					—				(3)
Policy acquisition costs and administrative expenses, adjusted	Policy acquisition costs and administrative expenses, adjusted	D	$	719		$	297		$	32		$	865		$	51		$	77	$	2,041		Policy acquisition costs and administrative expenses, adjusted	D			$	765				$	307				$	15				$	934				$	53				$	71			$	2,145
Denominator	Denominator																						Denominator
Net premiums earned	Net premiums earned	E	$	3,595		$	1,192		$	376		$	2,194		$	163				$	7,520		Net premiums earned	E			$	3,674				$	1,184				$	110				$	2,478				$	180								$	7,626
Reinstatement premiums (collected) expensed on catastrophe losses	Reinstatement premiums (collected) expensed on catastrophe losses		3			1			—			16			—					20			Reinstatement premiums (collected) expensed on catastrophe losses				—					23					—					—					(5)									18
Net premiums earned adjustments on PPD - unfavorable (favorable)	Net premiums earned adjustments on PPD - unfavorable (favorable)		4			—			—			—			—					4			Net premiums earned adjustments on PPD - unfavorable (favorable)				—					—					(2)					—					—									(2)
PPD reinstatement premiums - unfavorable (favorable)	PPD reinstatement premiums - unfavorable (favorable)		—			—			—			—			(1)					(1)			PPD reinstatement premiums - unfavorable (favorable)				—					—					—					—					3									3
Net premiums earned excluding adjustments	Net premiums earned excluding adjustments	F	$	3,602		$	1,193		$	376		$	2,210		$	162				$	7,543		Net premiums earned excluding adjustments	F			$	3,674				$	1,207				$	108				$	2,478				$	178								$	7,645
P&C Combined ratio	P&C Combined ratio																						P&C Combined ratio
Loss and loss expense ratio	Loss and loss expense ratio	A/E	97.3		%	63.8		%	83.1		%	67.7		%	45.5		%			85.2		%	Loss and loss expense ratio	A/E			69.7		%			69.2		%			77.5		%			51.0		%			66.9		%							63.7		%
Policy acquisition cost and administrative expense ratio	Policy acquisition cost and administrative expense ratio	C/E	20.0		%	25.0		%	8.7		%	39.4		%	31.1		%			27.1		%	Policy acquisition cost and administrative expense ratio	C/E			20.9		%			25.9		%			13.4		%			37.7		%			29.5		%							28.1		%
P&C Combined ratio	P&C Combined ratio		117.3		%	88.8		%	91.8		%	107.1		%	76.6		%			112.3		%	P&C Combined ratio				90.6		%			95.1		%			90.9		%			88.7		%			96.4		%							91.8		%
CAY P&C Combined ratio ex CATs	CAY P&C Combined ratio ex CATs																						CAY P&C Combined ratio ex CATs
Loss and loss expense ratio, adjusted	Loss and loss expense ratio, adjusted	B/F	66.1		%	54.7		%	81.5		%	51.6		%	46.8		%			60.4		%	Loss and loss expense ratio, adjusted	B/F			63.4		%			53.2		%			71.2		%			49.9		%			48.3		%							57.2		%
Policy acquisition cost and administrative expense ratio, adjusted	Policy acquisition cost and administrative expense ratio, adjusted	D/F	19.9		%	24.9		%	8.7		%	39.1		%	31.4		%			27.0		%	Policy acquisition cost and administrative expense ratio, adjusted	D/F			20.8		%			25.4		%			13.5		%			37.7		%			29.7		%							28.0		%
CAY P&C Combined ratio ex CATs	CAY P&C Combined ratio ex CATs		86.0		%	79.6		%	90.2		%	90.7		%	78.2		%			87.4		%	CAY P&C Combined ratio ex CATs				84.2		%			78.6		%			84.7		%			87.6		%			78.0		%							85.2		%
Combined ratio	Combined ratio																						Combined ratio
Combined ratio	Combined ratio																			112.3		%	Combined ratio																																	91.8		%
Add: impact of gains and losses on crop derivatives	Add: impact of gains and losses on crop derivatives																			—			Add: impact of gains and losses on crop derivatives																																	—
P&C Combined ratio	P&C Combined ratio																			112.3		%	P&C Combined ratio																																	91.8		%
Note: The ratios above are calculated using whole U.S. dollars. Accordingly, calculations using rounded amounts may differ. Letters A, B, C, D, E, and F included in the table are references for calculating the ratios above.	Note: The ratios above are calculated using whole U.S. dollars. Accordingly, calculations using rounded amounts may differ. Letters A, B, C, D, E, and F included in the table are references for calculating the ratios above.																																																								Note: The ratios above are calculated using whole U.S. dollars. Accordingly, calculations using rounded amounts may differ. Letters A, B, C, D, E, and F included in the table are references for calculating the ratios above.

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North America Commercial P&C Insurance North America Personal P&C Insurance North America Agricultural Insurance Overseas General Insurance Global Reinsurance Corporate Total P&C
Three Months Ended
June 30, 2019
(in millions of U.S. dollars except for ratios)
Numerator
Losses and loss expenses
Losses and loss expenses $ 2,214 $ 747 $ 316 $ 1,125 $ 90 $ 34 $ 4,526
Realized (gains) losses on crop derivatives — — (7) — — — (7)
Adjusted losses and loss expenses A $ 2,214 $ 747 $ 309 $ 1,125 $ 90 $ 34 $ 4,519
Catastrophe losses and related adjustments
Catastrophe losses, net of related adjustments (137) (117) (2) (9) (10) — (275)
Reinstatement premiums collected (expensed) on catastrophe losses — — — — — — —
Catastrophe losses, gross of related adjustments (137) (117) (2) (9) (10) — (275)
PPD and related adjustments
PPD, net of related adjustments - favorable (unfavorable) 185 16 — 20 — (33) 188
Net premiums earned adjustments on PPD - unfavorable (favorable) (3) — — — — — (3)
Expense adjustments - unfavorable (favorable) (2) — — — — — (2)
PPD, gross of related adjustments - favorable (unfavorable) 180 16 — 20 — (33) 183
CAY loss and loss expense ex CATs B $ 2,257 $ 646 $ 307 $ 1,136 $ 80 $ 1 $ 4,427
Policy acquisition costs and administrative expenses
Policy acquisition costs and administrative expenses C $ 718 $ 308 $ 31 $ 894 $ 49 $ 74 $ 2,074
Expense adjustments - favorable (unfavorable) 2 — — — — — 2
Policy acquisition costs and administrative expenses, adjusted D $ 720 $ 308 $ 31 $ 894 $ 49 $ 74 $ 2,076
Denominator
Net premiums earned E $ 3,390 $ 1,168 $ 378 $ 2,225 $ 159 $ 7,320
Net premiums earned adjustments on PPD - unfavorable (favorable) (3) — — — — (3)
Net premiums earned excluding adjustments F $ 3,387 $ 1,168 $ 378 $ 2,225 $ 159 $ 7,317
P&C Combined ratio
Loss and loss expense ratio A/E 65.3 % 64.0 % 81.9 % 50.6 % 55.9 % 61.7 %
Policy acquisition cost and administrative expense ratio C/E 21.2 % 26.3 % 8.2 % 40.2 % 31.8 % 28.4 %
P&C Combined ratio 86.5 % 90.3 % 90.1 % 90.8 % 87.7 % 90.1 %
CAY P&C Combined ratio ex CATs
Loss and loss expense ratio, adjusted B/F 66.7 % 55.3 % 81.4 % 51.1 % 49.7 % 60.5 %
Policy acquisition cost and administrative expense ratio, adjusted D/F 21.2 % 26.4 % 8.2 % 40.1 % 32.0 % 28.4 %
CAY P&C Combined ratio ex CATs 87.9 % 81.7 % 89.6 % 91.2 % 81.7 % 88.9 %
Combined ratio
Combined ratio 90.2 %
Add: impact of gains and losses on crop derivatives (0.1) %
P&C Combined ratio 90.1 %
Note: The ratios above are calculated using whole U.S. dollars. Accordingly, calculations using rounded amounts may differ. Letters A, B, C, D, E, and F included in the table are references for calculating the ratios above.

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		North America Commercial P&C Insurance			North America Personal P&C Insurance			North America Agricultural Insurance			Overseas General Insurance			Global Reinsurance			Corporate		Total P&C
Three Months Ended
March 31, 2020
(in millions of U.S. dollars except for ratios)
Numerator
Losses and loss expenses	A	$	2,181		$	683		$	65		$	1,258		$	87		$	11	$	4,285



Catastrophe losses and related adjustments
Catastrophe losses, net of related adjustments		(118)			(21)			(8)			(90)			—			—		(237)
Reinstatement premiums collected (expensed) on catastrophe losses		—			—			—			—			—			—		—
Catastrophe losses, gross of related adjustments		(118)			(21)			(8)			(90)			—			—		(237)
PPD and related adjustments
PPD, net of related adjustments - favorable (unfavorable)		105			(1)			14			4			7			(11)		118
Net premiums earned adjustments on PPD - unfavorable (favorable)		—			—			3			—			—			—		3
Expense adjustments - unfavorable (favorable)		(1)			—			—			—			—			—		(1)

PPD, gross of related adjustments - favorable (unfavorable)		104			(1)			17			4			7			(11)		120
CAY loss and loss expense ex CATs	B	$	2,167		$	661		$	74		$	1,172		$	94		$	—	$	4,168
Policy acquisition costs and administrative expenses
Policy acquisition costs and administrative expenses	C	$	751		$	313		$	15		$	900		$	55		$	66	$	2,100
Expense adjustments - favorable (unfavorable)		1			—			—			—			—			—		1
Policy acquisition costs and administrative expenses, adjusted	D	$	752		$	313		$	15		$	900		$	55		$	66	$	2,101
Denominator
Net premiums earned	E	$	3,376		$	1,200		$	94		$	2,307		$	186				$	7,163

Net premiums earned adjustments on PPD - unfavorable (favorable)		—			—			3			—			—					3

Net premiums earned excluding adjustments	F	$	3,376		$	1,200		$	97		$	2,307		$	186				$	7,166
P&C Combined ratio
Loss and loss expense ratio	A/E	64.6		%	57.0		%	69.6		%	54.5		%	46.5		%			59.8		%
Policy acquisition cost and administrative expense ratio	C/E	22.2		%	26.0		%	15.2		%	39.0		%	29.6		%			29.3		%
P&C Combined ratio		86.8		%	83.0		%	84.8		%	93.5		%	76.1		%			89.1		%
CAY P&C Combined ratio ex CATs
Loss and loss expense ratio, adjusted	B/F	64.2		%	55.1		%	76.2		%	50.8		%	50.4		%			58.2		%
Policy acquisition cost and administrative expense ratio, adjusted	D/F	22.3		%	26.1		%	14.7		%	39.0		%	29.6		%			29.3		%
CAY P&C Combined ratio ex CATs		86.5		%	81.2		%	90.9		%	89.8		%	80.0		%			87.5		%
Combined ratio
Combined ratio																			89.1		%
Add: impact of gains and losses on crop derivatives																			—
P&C Combined ratio																			89.1		%
Note: The ratios above are calculated using whole U.S. dollars. Accordingly, calculations using rounded amounts may differ. Letters A, B, C, D, E, and F included in the table are references for calculating the ratios above.

North America Commercial P&C Insurance North America Personal P&C Insurance North America Agricultural Insurance Overseas General Insurance Global Reinsurance Corporate Total P&C
Six Months Ended
June 30, 2020
(in millions of U.S. dollars except for ratios)
Numerator
Losses and loss expenses
Losses and loss expenses $ 5,679 $ 1,445 $ 375 $ 2,743 $ 160 $ 287 $ 10,689
Realized (gains) losses on crop derivatives — — 3 — — — 3
Adjusted losses and loss expenses A $ 5,679 $ 1,445 $ 378 $ 2,743 $ 160 $ 287 $ 10,692
Catastrophe losses and related adjustments
Catastrophe losses, net of related adjustments (1,391) (131) (14) (489) (13) — (2,038)
Reinstatement premiums collected (expensed) on catastrophe losses (3) (1) — (16) — — (20)
Catastrophe losses, gross of related adjustments (1,388) (130) (14) (473) (13) — (2,018)
PPD and related adjustments
PPD, net of related adjustments - favorable (unfavorable) 251 — 14 40 23 (285) 43
Net premiums earned adjustments on PPD - unfavorable (favorable) 4 — 3 — — — 7
PPD reinstatement premiums - unfavorable (favorable) — — — — (1) — (1)
PPD, gross of related adjustments - favorable (unfavorable) 255 — 17 40 22 (285) 49
CAY loss and loss expense ex CATs B $ 4,546 $ 1,315 $ 381 $ 2,310 $ 169 $ 2 $ 8,723
Policy acquisition costs and administrative expenses
Policy acquisition costs and administrative expenses C $ 1,471 $ 610 $ 47 $ 1,765 $ 106 $ 143 $ 4,142
Expense adjustments - favorable (unfavorable) — — — — — — —
Policy acquisition costs and administrative expenses, adjusted D $ 1,471 $ 610 $ 47 $ 1,765 $ 106 $ 143 $ 4,142
Denominator
Net premiums earned E $ 6,971 $ 2,392 $ 470 $ 4,501 $ 349 $ 14,683
Reinstatement premiums (collected) expensed on catastrophe losses 3 1 — 16 — 20
Net premiums earned adjustments on PPD - unfavorable (favorable) 4 — 3 — — 7
PPD reinstatement premiums - unfavorable (favorable) — — — — (1) (1)
Net premiums earned excluding adjustments F $ 6,978 $ 2,393 $ 473 $ 4,517 $ 348 $ 14,709
P&C Combined ratio
Loss and loss expense ratio A/E 81.5 % 60.4 % 80.4 % 61.0 % 46.0 % 72.8 %
Policy acquisition cost and administrative expense ratio C/E 21.1 % 25.5 % 10.0 % 39.2 % 30.3 % 28.2 %
P&C Combined ratio 102.6 % 85.9 % 90.4 % 100.2 % 76.3 % 101.0 %
CAY P&C Combined ratio ex CATs
Loss and loss expense ratio, adjusted B/F 65.2 % 54.9 % 80.4 % 51.2 % 48.7 % 59.3 %
Policy acquisition cost and administrative expense ratio, adjusted D/F 21.0 % 25.5 % 10.0 % 39.0 % 30.5 % 28.2 %
CAY P&C Combined ratio ex CATs 86.2 % 80.4 % 90.4 % 90.2 % 79.2 % 87.5 %
Combined ratio
Combined ratio 101.0 %
Add: impact of gains and losses on crop derivatives —
P&C Combined ratio 101.0 %
Note: The ratios above are calculated using whole U.S. dollars. Accordingly, calculations using rounded amounts may differ. Letters A, B, C, D, E, and F included in the table are references for calculating the ratios above.

~~Table of Contents~~

North America Commercial P&C Insurance North America Personal P&C Insurance North America Agricultural Insurance Overseas General Insurance Global
Reinsurance Corporate Total P&C
Six Months Ended
June 30, 2019
(in millions of U.S. dollars except for ratios)
Numerator
Losses and loss expenses
Losses and loss expenses $ 4,187 $ 1,504 $ 289 $ 2,231 $ 166 $ 45 $ 8,422
Realized (gains) losses on crop derivatives — — (6) — — — (6)
Adjusted losses and loss expenses A $ 4,187 $ 1,504 $ 283 $ 2,231 $ 166 $ 45 $ 8,416
Catastrophe losses and related adjustments
Catastrophe losses, net of related adjustments (231) (246) (4) (34) (10) — (525)
Reinstatement premiums collected (expensed) on catastrophe losses — — — — — — —
Catastrophe losses, gross of related adjustments (231) (246) (4) (34) (10) — (525)
PPD and related adjustments
PPD, net of related adjustments - favorable (unfavorable) 316 26 61 24 8 (43) 392
Net premiums earned adjustments on PPD - unfavorable (favorable) (1) — 32 — — — 31
Expense adjustments - unfavorable (favorable) (6) — (3) — — — (9)
PPD reinstatement premiums - unfavorable (favorable) — (3) — — — — (3)
PPD, gross of related adjustments - favorable (unfavorable) 309 23 90 24 8 (43) 411
CAY loss and loss expense ex CATs B $ 4,265 $ 1,281 $ 369 $ 2,221 $ 164 $ 2 $ 8,302
Policy acquisition costs and administrative expenses
Policy acquisition costs and administrative expenses C $ 1,417 $ 607 $ 39 $ 1,739 $ 102 $ 137 $ 4,041
Expense adjustments - favorable (unfavorable) 6 — 3 — — — 9
Policy acquisition costs and administrative expenses, adjusted D $ 1,423 $ 607 $ 42 $ 1,739 $ 102 $ 137 $ 4,050
Denominator
Net premiums earned E $ 6,475 $ 2,322 $ 433 $ 4,339 $ 327 $ 13,896
Net premiums earned adjustments on PPD - unfavorable (favorable) (1) — 32 — — 31
PPD reinstatement premiums - unfavorable (favorable) — (3) — — — (3)
Net premiums earned excluding adjustments F $ 6,474 $ 2,319 $ 465 $ 4,339 $ 327 $ 13,924
P&C Combined ratio
Loss and loss expense ratio A/E 64.7 % 64.7 % 65.5 % 51.4 % 50.6 % 60.6 %
Policy acquisition cost and administrative expense ratio C/E 21.8 % 26.2 % 9.0 % 40.1 % 31.5 % 29.0 %
P&C Combined ratio 86.5 % 90.9 % 74.5 % 91.5 % 82.1 % 89.6 %
CAY P&C Combined ratio ex CATs
Loss and loss expense ratio, adjusted B/F 65.9 % 55.2 % 79.5 % 51.2 % 50.1 % 59.6 %
Policy acquisition cost and administrative expense ratio, adjusted D/F 21.9 % 26.2 % 9.0 % 40.1 % 31.5 % 29.1 %
CAY P&C Combined ratio ex CATs 87.8 % 81.4 % 88.5 % 91.3 % 81.6 % 88.7 %
Combined ratio
Combined ratio 89.6 %
Add: impact of gains and losses on crop derivatives —
P&C Combined ratio 89.6 %
Note: The ratios above are calculated using whole U.S. dollars. Accordingly, calculations using rounded amounts may differ. Letters A, B, C, D, E, and F included in the table are references for calculating the ratios above.

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Other Income and Expense


		Three Months Ended						Six Months Ended							Three Months Ended
		June 30						June 30							March 31
(in millions of U.S. dollars)	(in millions of U.S. dollars)	2020		2019		2020		2019		(in millions of U.S. dollars)	2021		2020
Equity in net income (loss) of partially-owned entities ⁽¹⁾		$	(73)	$	250	$	(44)	$	272
Equity in net income of partially-owned entities (1)										Equity in net income of partially-owned entities (1)	$	497	$	29
Gains (losses) from fair value changes in separate account assets ⁽²⁾	Gains (losses) from fair value changes in separate account assets ⁽²⁾	40		(3)		(16)		27		Gains (losses) from fair value changes in separate account assets (2)	4		(56)
Federal excise and capital taxes	Federal excise and capital taxes	(6)		(6)		(12)		(12)		Federal excise and capital taxes	(5)		(6)

Other	Other	(19)		(11)		(41)		(18)		Other	(6)		(22)
Total	Total	$	(58)	$	230	$	(113)	$	269	Total	$	490	$	(55)

⁽¹⁾Equity in net income ~~(loss)~~ of partially-owned entities includes ~~$31~~$49 million and ~~$49~~$18 million attributable to our investments in Huatai ~~(Huatai Group, Huatai P&C, and Huatai Life)~~ for the three ~~and six~~ months ended ~~June 30,~~March 31, 2021 and 2020, ~~respectively, compared to $18 million and $29 million, respectively, for the prior year periods.~~respectively.

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

Other income and expense includes equity in net income of partially-owned entities, which includes our share of net income or loss, both underlying operating income and mark-to-market movement, related to partially-owned investment companies (private equity) and partially-owned insurance companies. Also included in Other income and expense are gains (losses) from fair value changes in separate account assets that do not qualify for separate account reporting under GAAP. The offsetting movement in the separate account liabilities is included in Policy benefits in the Consolidated statements of operations. Certain federal excise and capital taxes incurred as a result of capital management initiatives are included in Other income and expense as these are considered capital transactions and are excluded from underwriting results.

Amortization of purchased intangibles and Other amortization

Amortization expense ~~related to~~of purchased intangibles was $72 million and ~~$145~~$73 million for the three ~~and six~~ months ended ~~June 30,~~March 31, 2021 and 2020, respectively, ~~compared with $77 million and $153 million, respectively, in the prior year periods~~ and principally relates to the Chubb Corp acquisition. ~~The decrease in amortization expense of purchased intangibles reflects lower intangible amortization expense related to agency distribution relationships and renewal rights.~~

~~Amortization expense for the remainder of 2020 is expected to be $144 million, or $72 million each quarter.~~

The following table presents, as of ~~June 30, 2020,~~March 31, 2021, the estimated pre-tax amortization expense (benefit) of purchased intangibles, at current foreign currency exchange rates, for the ~~third and~~second through fourth quarters of ~~2020~~2021 and the next five years:


		Associated with the Chubb Corp Acquisition													Associated with the Chubb Corp Acquisition
For the Years Ending December 31 (in millions of U.S. dollars)	For the Years Ending December 31 (in millions of U.S. dollars)	Agency distribution relationships and renewal rights		Fair value adjustment on Unpaid losses and loss expenses		Total ⁽¹⁾		Other intangible assets⁽²⁾		Total Amortization of purchased intangibles		For the Years Ending December 31 (in millions of U.S. dollars)	Agency distribution relationships and renewal rights		Fair value adjustment on Unpaid losses and loss expenses		Total (1)		Other intangible assets (2)		Total Amortization of purchased intangibles
Third quarter of 2020		$	59	$	(9)	$	50	$	22	$	72
Fourth quarter of 2020		59		(9)		50		22		72
2021		214		(20)		194		86		280
Second quarter of 2021												Second quarter of 2021	$	54	$	(5)	$	49	$	21	$	70
Third quarter of 2021												Third quarter of 2021	54		(5)		49		23		72
Fourth quarter of 2021												Fourth quarter of 2021	54		(5)		49		23		72
2022	2022	195		(14)		181		98		279		2022	198		(14)		184		103		287
2023	2023	176		(6)		170		92		262		2023	179		(7)		172		97		269
2024	2024	158		(5)		153		86		239		2024	160		(6)		154		91		245
2025	2025	144		(5)		139		85		224		2025	145		(6)		139		89		228
2026												2026	131		(6)		125		87		212
Total	Total	$	1,005	$	(68)	$	937	$	491	$	1,428	Total	$	975	$	(54)	$	921	$	534	$	1,455

⁽¹⁾Recorded in Corporate.

⁽²⁾Recorded in applicable segment(s) that acquired the intangible assets.

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Reduction of deferred tax liability associated with intangible assets related to Other intangible assets (excluding the fair value adjustment on Unpaid losses and loss expense)

At ~~June 30, 2020,~~March 31, 2021, the deferred tax liability associated with Other intangible assets (excluding the fair value adjustment on Unpaid losses and loss expense) was ~~$1,310~~$1,280 million.

The following table presents, as of ~~June 30, 2020,~~March 31, 2021, the expected reduction of the deferred tax liability associated with Other intangible assets (which reduces as agency distribution relationships and renewal rights, and other intangible assets amortize), at current foreign currency exchange rates, for the ~~third and~~second through fourth quarters of ~~2020~~2021 and for the next five years:


For the Years Ending December 31 (in millions of U.S. dollars)	For the Years Ending December 31 (in millions of U.S. dollars)	Reduction to deferred tax liability associated with intangible assets		For the Years Ending December 31 (in millions of U.S. dollars)	Reduction to deferred tax liability associated with intangible assets
Third quarter of 2020		$	18
Fourth quarter of 2020		18
2021		67
Second quarter of 2021				Second quarter of 2021	$	17
Third quarter of 2021				Third quarter of 2021	17
Fourth quarter of 2021				Fourth quarter of 2021	17
2022	2022	65		2022	67
2023	2023	60		2023	62
2024	2024	54		2024	56
2025	2025	50		2025	52
2026				2026	48
Total	Total	$	332	Total	$	336

Amortization of the fair value adjustment on acquired invested assets and assumed long-term debt

The following table presents at ~~June 30, 2020,~~March 31, 2021, the expected amortization expense of the fair value adjustment on acquired invested assets, at current foreign currency exchange rates, and the expected amortization benefit from the ~~amortization of the~~ fair value adjustment on assumed long-term debt for the ~~third and~~second through fourth quarters of ~~2020~~2021 and for the next five years:


		Amortization (expense) benefit of the fair value adjustment on							Amortization (expense) benefit of the fair value adjustment on
For the Years Ending December 31 (in millions of U.S. dollars)	For the Years Ending December 31 (in millions of U.S. dollars)	Acquired invested assets ⁽¹⁾		Assumed long-term debt ⁽²⁾		For the Years Ending December 31 (in millions of U.S. dollars)	Acquired invested assets (1)		Assumed long-term debt (2)
Third quarter of 2020		$	(30)	$	5
Fourth quarter of 2020		(30)		6
2021		(110)		21
Second quarter of 2021						Second quarter of 2021	$	(30)	$	5
Third quarter of 2021						Third quarter of 2021	(28)		5
Fourth quarter of 2021						Fourth quarter of 2021	(27)		6
2022	2022	(96)		21		2022	(103)		21
2023	2023	—		21		2023	—		21
2024	2024	—		21		2024	—		21
2025	2025	—		21		2025	—		21
2026						2026	—		21
Total	Total	$	(266)	$	116	Total	$	(188)	$	121

⁽¹⁾Recorded as a reduction to Net investment income in the Consolidated statements of operations.

⁽²⁾Recorded as a reduction to Interest expense in the Consolidated statements of operations.

The estimate of amortization expense of the fair value adjustment on acquired invested assets could vary materially based on current market conditions, bond calls, overall duration of the acquired investment portfolio, and foreign exchange.

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Net Investment Income


		Three Months Ended						Six Months Ended
		June 30						June 30							Three Months Ended March 31
(in millions of U.S. dollars)	(in millions of U.S. dollars)	2020		2019		2020		2019		(in millions of U.S. dollars)	2021		2020
Fixed maturities ⁽¹⁾	Fixed maturities ⁽¹⁾	$	810	$	851	$	1,661	$	1,671	Fixed maturities (1)	$	840	$	851
Short-term investments	Short-term investments	11		22		28		46		Short-term investments	9		17
Other interest income	Other interest income	3		6		12		12		Other interest income	2		9
Equity securities	Equity securities	24		9		33		16		Equity securities	36		9
Other investments	Other investments	21		15		41		37		Other investments	23		20
Gross investment income		869		903		1,775		1,782
Gross investment income (1)										Gross investment income (1)	910		906
Investment expenses	Investment expenses	(42)		(44)		(87)		(87)		Investment expenses	(47)		(45)
Net investment income		$	827	$	859	$	1,688	$	1,695
⁽¹⁾Includes amortization expense related to fair value adjustment on acquired invested assets related to the Chubb Corp acquisition		$	(30)	$	(43)	$	(62)	$	(89)
Net investment income (1)										Net investment income (1)	$	863	$	861
(1) Includes amortization expense related to fair value adjustment of acquired invested assets related to the Chubb Corp acquisition										(1) Includes amortization expense related to fair value adjustment of acquired invested assets related to the Chubb Corp acquisition	$	(26)	$	(32)

Net investment income is influenced by a number of factors including the amounts and timing of inward and outward cash flows, the level of interest rates, and changes in overall asset allocation. Net investment income ~~decreased 3.8 percent and 0.4 percent~~remained flat for the three ~~and six~~ months ended ~~June 30, 2020, respectively,~~March 31, 2021 primarily as higher dividends on public equities were offset by lower interest received due to lower reinvestment rates on new and reinvested ~~assets, lower rates on floating rate obligations, and foreign exchange. The decrease for the six months ended June 30, 2020 was partially offset by higher average invested~~ assets.

For private equities where we own less than three percent, investment income is included within Net investment income in the table above. For private equities where we own more than three percent, investment income is included within Other income (expense) in the Consolidated statements of operations. Excluded from Net investment income is the mark-to-market movement for private equities, which is recorded within either Other income (expense) or Net realized gains (losses) based on our percentage of ownership. The total mark-to-market movement for private equities excluded from Net investment income was as follows:


		Three Months Ended June 30						Six Months Ended June30							Three Months Ended March 31
(in millions of U.S. dollars)	(in millions of U.S. dollars)	2020		2019		2020		2019		(in millions of U.S. dollars)	2021		2020

Total mark-to-market gain (loss) on private equity, pre-tax	Total mark-to-market gain (loss) on private equity, pre-tax	$	(200)	$	240	$	(207)	$	193	Total mark-to-market gain (loss) on private equity, pre-tax	$	438	$	(7)


Investments

Our investment portfolio is invested primarily in publicly traded, investment grade, fixed income securities with an average credit quality of A/Aa as rated by the independent investment rating services Standard and Poor’s (S&P)/Moody’s Investors Service (Moody’s). The portfolio is externally managed by independent, professional investment managers and is broadly diversified across geographies, sectors, and issuers. Other investments principally comprise direct investments, investment funds, and limited partnerships. We hold no collateralized debt obligations in our investment portfolio, and we provide no credit default protection. We have long-standing global credit limits for our entire portfolio across the organization. Exposures are aggregated, monitored, and actively managed by our Global Credit Committee, comprising senior executives, including our Chief Financial Officer, our Chief Risk Officer, our Chief Investment Officer, and our Treasurer. We also have well-established, strict contractual investment rules requiring managers to maintain highly diversified exposures to individual issuers and closely monitor investment manager compliance with portfolio guidelines.

The average duration of our fixed income securities, including the effect of options and swaps, was 4.3 years and 4.0 years ~~and 3.8 years~~ at ~~June 30, 2020~~March 31, 2021 and December 31, ~~2019,~~2020, respectively. We estimate that a 100 basis point (bps) increase in interest rates would reduce the valuation of our fixed income portfolio by approximately ~~$4.1~~$4.6 billion at ~~June 30, 2020.~~

We established credit loss valuation allowances as a result of our adoption of guidance on Financial Instruments - Credit Losses: Measurement of Credit Losses on Financial Instruments (CECL) on January 1, 2020 and established a valuation allowance ofMarch 31, 2021.

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$69 million. The COVID-19 global pandemic and related economic conditions adversely impacted our investment portfolio and resulted in an increase in our valuation allowance. This adverse impact was mitigated by the overall high credit quality of the portfolio and the stabilization of the valuation of investment grade securities due to measures announced by the U.S. Federal Reserve, including programs to support corporate and asset backed securities. Overall, the valuation allowance increased by $53 million for the six months ended June 30, 2020. Refer to Note 3 to the Consolidated Financial Statements for additional information on expected credit losses.

The following table shows the fair value and cost/amortized cost, net of valuation allowance, of our invested assets:


		June 30, 2020						December 31, 2019							March 31, 2021				December 31, 2020
(in millions of U.S. dollars)	(in millions of U.S. dollars)	Fair Value		Cost/ Amortized Cost, Net		Fair Value		Cost/ Amortized Cost		(in millions of U.S. dollars)	Fair Value		Cost/ Amortized Cost, Net		Fair Value		Cost/ Amortized Cost, Net
Fixed maturities available for sale	Fixed maturities available for sale	$	86,712	$	82,671	$	85,488	$	82,580	Fixed maturities available for sale	$	91,071	$	87,858	$	90,699	$	85,168
Fixed maturities held to maturity	Fixed maturities held to maturity	12,620		11,845		13,005		12,581		Fixed maturities held to maturity	11,752		11,132		12,510		11,653
Short-term investments	Short-term investments	4,003		4,002		4,291		4,291		Short-term investments	3,735		3,736		4,345		4,349
		103,335		98,518		102,784		99,452
Fixed income securities										Fixed income securities	106,558		102,726		107,554		101,170
Equity securities	Equity securities	2,394		2,394		812		812		Equity securities	4,405		4,405		4,027		4,027
Other investments	Other investments	5,923		5,923		6,062		6,062		Other investments	8,636		8,636		7,945		7,945
Total investments	Total investments	$	111,652	$	106,835	$	109,658	$	106,326	Total investments	$	119,599	$	115,767	$	119,526	$	113,142

The fair value of our total investments increased ~~$2.0 billion~~$73 million during the ~~six~~three months ended ~~June 30, 2020, primarily~~March 31, 2021 due to ~~the investing of~~strong operating cash ~~flows~~flow, positive equity market returns, and ~~unrealized appreciation.~~favorable foreign currency movement. This increase was partially offset by unrealized losses on fixed maturities due to an increase in interest rates during the quarter, payment of ~~collateralized deposits for the purchase of additional ownership in Huatai Group~~dividends on our Common Shares, and ~~unfavorable foreign exchange movement.~~share repurchases.

The following tables present the fair value of our fixed maturities and short-term investments at ~~June 30, 2020~~March 31, 2021 and December 31, ~~2019.~~2020. The first table lists investments according to type and second according to S&P credit rating:


		June 30, 2020						December 31, 2019							March 31, 2021				December 31, 2020
(in millions of U.S. dollars, except for percentages)	(in millions of U.S. dollars, except for percentages)	Fair Value		% of Total		Fair Value		% of Total		(in millions of U.S. dollars, except for percentages)	Fair Value		% of Total		Fair Value		% of Total
U.S. Treasury / Agency	U.S. Treasury / Agency	$	4,190	4	%	$	4,630	5	%	U.S. Treasury / Agency	$	3,724	3	%	$	4,122	4	%
Corporate and asset-backed securities	Corporate and asset-backed securities	36,345		35	%	34,259		33	%	Corporate and asset-backed securities	38,711		36	%	38,769		36	%
Mortgage-backed securities	Mortgage-backed securities	20,529		20	%	21,588		21	%	Mortgage-backed securities	21,434		20	%	20,616		19	%
Municipal	Municipal	12,291		12	%	12,824		12	%	Municipal	11,437		11	%	11,943		11	%
Non-U.S.	Non-U.S.	25,977		25	%	25,192		25	%	Non-U.S.	27,517		26	%	27,759		26	%
Short-term investments	Short-term investments	4,003		4	%	4,291		4	%	Short-term investments	3,735		4	%	4,345		4	%
Total	Total	$	103,335	100	%	$	102,784	100	%	Total	$	106,558	100	%	$	107,554	100	%
AAA	AAA	$	15,411	15	%	$	15,714	15	%	AAA	$	15,462	15	%	$	15,622	15	%
AA	AA	35,600		35	%	37,504		37	%	AA	35,930		33	%	36,125		33	%
A	A	19,703		19	%	19,236		19	%	A	19,420		18	%	19,712		18	%
BBB	BBB	15,690		15	%	13,650		13	%	BBB	17,214		16	%	17,542		16	%
BB	BB	9,302		9	%	9,474		9	%	BB	9,308		9	%	9,699		9	%
B	B	7,124		7	%	6,897		7	%	B	8,646		8	%	8,267		8	%
Other	Other	505		—		309		—		Other	578		1	%	587		1	%
Total	Total	$	103,335	100	%	$	102,784	100	%	Total	$	106,558	100	%	$	107,554	100	%

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Corporate and asset-backed securities

The following table presents our 10 largest global exposures to corporate bonds by fair value at ~~June 30, 2020:~~March 31, 2021:


(in millions of U.S. dollars)	Fair Value
Wells Fargo & Co	$	~~765~~713
Bank of America Corp	~~656~~646
JP Morgan Chase & Co	~~639~~617
~~Comcast Corp~~	~~485~~
~~Morgan Stanley~~	~~451~~
~~Citigroup Inc~~	~~440~~
~~HSBC Holdings Plc~~	~~406~~
Verizon Communications Inc	~~393~~532
Comcast Corp	508
Morgan Stanley	444
AT&T Inc	~~378~~419
Citigroup Inc	412
Goldman Sachs Group Inc	~~351~~394
HSBC Holdings Plc	367

Mortgage-backed securities

The following table shows the fair value and amortized cost, net of valuation allowance, of our mortgage-backed securities:

S&P Credit Rating Fair
Value Amortized Cost, Net
June 30, 2020
(in millions of U.S. dollars) AAA AA A BBB BB and
below Total Total
Agency residential mortgage-backed (RMBS) $ 127 $ 16,748 $ — $ — $ — $ 16,875 $ 15,825
Non-agency RMBS 155 34 73 13 9 284 283
Commercial mortgage-backed 2,935 287 135 11 2 3,370 3,245
Total mortgage-backed securities $ 3,217 $ 17,069 $ 208 $ 24 $ 11 $ 20,529 $ 19,353


	S&P Credit Rating										Fair Value		Amortized Cost, Net
March 31, 2021 (in millions of U.S. dollars)	AAA		AA		A		BBB		BB and below		Total		Total
Agency residential mortgage-backed securities (RMBS)	$	118	$	17,668	$	—	$	—	$	—	$	17,786	$	17,156
Non-agency RMBS	193		38		98		34		8		371		368
Commercial mortgage-backed securities	2,862		280		130		2		3		3,277		3,151
Total mortgage-backed securities	$	3,173	$	17,986	$	228	$	36	$	11	$	21,434	$	20,675

Municipal

As part of our overall investment strategy, we may invest in states, municipalities, and other political subdivisions fixed maturity securities (Municipal). We apply the same investment selection process described previously to our Municipal investments. The portfolio is highly diversified primarily in state general obligation bonds and essential service revenue bonds including education and utilities (water, power, and sewers).

Non-U.S.

Our exposure to the Euro results primarily from Chubb European Group SE which is headquartered in France and offers a broad range of coverages throughout the European Union, Central, and Eastern Europe. Chubb primarily invests in Euro denominated investments to support its local currency insurance obligations and required capital levels. Chubb’s local currency investment portfolios have strict contractual investment guidelines requiring managers to maintain a high quality and diversified portfolio to both sector and individual issuers. Investment portfolios are monitored daily to ensure investment manager compliance with portfolio guidelines.

Our non-U.S. investment grade fixed income portfolios are currency-matched with the insurance liabilities of our non-U.S. operations. The average credit quality of our non-U.S. fixed income securities is A and 48 percent of our holdings are rated AAA or guaranteed by governments or quasi-government agencies. Within the context of these investment portfolios, our government and corporate bond holdings are highly diversified across industries and geographies. Issuer limits are based on credit rating (AA—two percent, A—one percent, BBB—0.5 percent of the total portfolio) and are monitored daily via an internal compliance system. We manage our indirect exposure using the same credit rating based investment approach. Accordingly, we do not believe our indirect exposure is material.

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The following table summarizes the fair value and amortized cost, net of valuation allowance, of our non-U.S. fixed income portfolio by country/sovereign for non-U.S. government securities at ~~June 30, 2020:~~March 31, 2021:


(in millions of U.S. dollars)	(in millions of U.S. dollars)	Fair Value		Amortized Cost, Net		(in millions of U.S. dollars)	Fair Value		Amortized Cost, Net
Republic of Korea	Republic of Korea	$	1,082	$	954	Republic of Korea	$	1,019	$	941
Canada	Canada	876		831		Canada	1,019		1,001
United Kingdom	United Kingdom	872		832		United Kingdom	901		888
Province of Ontario	Province of Ontario	659		618		Province of Ontario	732		712
Kingdom of Thailand	Kingdom of Thailand	616		527		Kingdom of Thailand	593		543
United Mexican States						United Mexican States	563		558
Province of Quebec						Province of Quebec	483		465
Federative Republic of Brazil	Federative Republic of Brazil	569		550		Federative Republic of Brazil	461		462
Province of Quebec		525		487
United Mexican States		431		411
Commonwealth of Australia	Commonwealth of Australia	402		351		Commonwealth of Australia	461		447
Socialist Republic of Vietnam	Socialist Republic of Vietnam	373		264		Socialist Republic of Vietnam	407		279
Other Non-U.S. Government Securities	Other Non-U.S. Government Securities	5,335		5,076		Other Non-U.S. Government Securities	5,698		5,516
Total	Total	$	11,740	$	10,901	Total	$	12,337	$	11,812

The following table summarizes the fair value and amortized cost, net of valuation allowance, of our non-U.S. fixed income portfolio by country/sovereign for non-U.S. corporate securities at ~~June 30, 2020:~~March 31, 2021:


(in millions of U.S. dollars)	(in millions of U.S. dollars)	Fair Value		Amortized Cost, Net		(in millions of U.S. dollars)	Fair Value		Amortized Cost, Net
United Kingdom	United Kingdom	$	2,265	$	2,171	United Kingdom	$	2,474	$	2,377
Canada	Canada	1,807		1,739		Canada	1,876		1,806
United States (1)						United States (1)	1,218		1,168
France	France	1,149		1,097		France	1,177		1,122
United States ⁽¹⁾		1,047		1,026
Australia	Australia	875		834		Australia	875		837
Netherlands		625		595
Japan	Japan	606		583		Japan	667		652
Germany	Germany	538		518		Germany	623		597
Netherlands						Netherlands	580		556
Switzerland	Switzerland	536		498		Switzerland	565		539
China	China	430		412		China	433		419
Other Non-U.S. Corporate Securities	Other Non-U.S. Corporate Securities	4,359		4,249		Other Non-U.S. Corporate Securities	4,692		4,526
Total	Total	$	14,237	$	13,722	Total	$	15,180	$	14,599

⁽¹⁾The countries that are listed in the non-U.S. corporate fixed income portfolio above represent the ultimate parent company's country of risk. Non-U.S. corporate securities could be issued by foreign subsidiaries of U.S. corporations.

Below-investment grade corporate fixed income portfolio

Below-investment grade securities have different characteristics than investment grade corporate debt securities. Risk of loss from default by the borrower is greater with below-investment grade securities. Below-investment grade securities are generally unsecured and are often subordinated to other creditors of the issuer. Also, issuers of below-investment grade securities usually have higher levels of debt and are more sensitive to adverse economic conditions, such as recession or increasing interest rates, than investment grade issuers. At ~~June 30, 2020,~~March 31, 2021, our corporate fixed income investment portfolio included below-investment grade and non-rated securities which, in total, comprised approximately 1415 percent of our fixed income portfolio. Our below-investment grade and non-rated portfolio includes over ~~1,300~~1,500 issuers, with the greatest single exposure being ~~$162~~$172 million.

We manage high-yield bonds as a distinct and separate asset class from investment grade bonds. The allocation to high-yield bonds is explicitly set by internal management and is targeted to securities in the upper tier of credit quality (BB/B). Our minimum rating for initial purchase is BB/B. Fourteen external investment managers are responsible for high-yield security selection and portfolio construction. Our high-yield managers have a conservative approach to credit selection and very low historical default experience. Holdings are highly diversified across industries and generally subject to a 1.5 percent issuer limit

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as a percentage of high-yield allocation. We monitor position limits daily through an internal compliance system. Derivative and structured securities (e.g., credit default swaps and collateralized loan obligations) are not permitted in the high-yield portfolio.


Critical Accounting Estimates

As of ~~June 30, 2020,~~March 31, 2021, there were no material changes to our critical accounting estimates. For a full discussion of our critical accounting estimates, refer to Item 7 in our ~~2019~~2020 Form 10-K.

Unpaid losses and loss expenses

As an insurance and reinsurance company, we are required by applicable laws and regulations and GAAP to establish loss and loss expense reserves for the estimated unpaid portion of the ultimate liability for losses and loss expenses under the terms of our policies and agreements with our insured and reinsured customers. With the exception of certain structured settlements, for which the timing and amount of future claim payments are reliably determinable, and certain reserves for unsettled claims, our loss reserves are not discounted for the time value of money.

The following table presents a roll-forward of our unpaid losses and loss expenses:


(in millions of U.S. dollars)	(in millions of U.S. dollars)	Gross Losses		Reinsurance Recoverable ⁽¹⁾		Net Losses		(in millions of U.S. dollars)	Gross Losses		Reinsurance Recoverable (1)		Net Losses
Balance at December 31, 2019		$	62,690	$	14,181	$	48,509
Balance at December 31, 2020								Balance at December 31, 2020	$	67,811	$	14,647	$	53,164
Losses and loss expenses incurred	Losses and loss expenses incurred	13,394		2,332		11,062		Losses and loss expenses incurred	6,467		1,414		5,053
Losses and loss expenses paid	Losses and loss expenses paid	(10,219)		(2,114)		(8,105)		Losses and loss expenses paid	(5,100)		(1,207)		(3,893)
Other (including foreign exchange translation)	Other (including foreign exchange translation)	(166)		(38)		(128)		Other (including foreign exchange translation)	77		6		71
Balance at June 30, 2020		$	65,699	$	14,361	$	51,338
Balance at March 31, 2021								Balance at March 31, 2021	$	69,255	$	14,860	$	54,395

⁽¹⁾Net of valuation allowance for uncollectible reinsurance.

The estimate of the liabilities includes provisions for claims that have been reported but are unpaid at the balance sheet date (case reserves) and for obligations on claims that have been incurred but not reported (IBNR) at the balance sheet date. IBNR may also include provisions to account for the possibility that reported claims may settle for amounts that differ from the established case reserves. Loss reserves also include an estimate of expenses associated with processing and settling unpaid claims (loss expenses).

Refer to Note 6 to the Consolidated Financial Statements for a discussion on the changes in the loss reserves.

Asbestos and Environmental (A&E)

There was no significant A&E reserve activity during the three ~~and six~~ months ~~ended June 30, 2020.~~ended March 31, 2021. A&E reserves are included in Corporate. Refer to our ~~2019~~2020 Form 10-K for further information on our A&E exposures.

Fair value measurements

Accounting 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 (Level 1 inputs) and the lowest priority to unobservable data (Level 3 inputs). Level 2 includes inputs, other than quoted prices within Level 1, that are observable for assets or liabilities either directly or indirectly. Refer to Note 4 to the Consolidated Financial Statements for information on our fair value measurements.

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Catastrophe ~~management~~Management

We actively monitor and manage our catastrophe risk accumulation around the world, ~~such as~~including setting risk limits based on probable maximum loss (PML) and purchasing catastrophe reinsurance. The table below presents our modeled pre-tax estimates of natural catastrophe PML, net of reinsurance, at ~~June 30, 2020,~~March 31, 2021, for Worldwide, U.S. hurricane and California earthquake events, based on our in-force portfolio at ~~April~~January 1, ~~2020~~2021 and reflecting the April 1, ~~2020~~2021 reinsurance program (see Natural Catastrophe Property Reinsurance Program section) as well as inuring reinsurance protection coverages. According to the model, for the 1-in-100 return period scenario, there is a one percent chance that our pre-tax annual aggregate losses incurred in any year from U.S. hurricane events could be in excess of ~~$2,694~~$2,707 million (or ~~4.9~~4.6 percent of our total shareholders’ equity at ~~June 30, 2020)~~March 31, 2021). These estimates assume that reinsurance recoverable is fully collectible.


		Modeled Net Probable Maximum Loss (PML) Pre-tax																							Modeled Net Probable Maximum Loss (PML) Pre-tax
		Worldwide ⁽¹⁾						U.S. Hurricane ⁽²⁾								California Earthquake ⁽³⁾					Worldwide (1)				U.S. Hurricane (2)		California Earthquake (3)
		Annual Aggregate						Annual Aggregate								Single Occurrence					Annual Aggregate				Annual Aggregate		Single Occurrence
(in millions of U.S. dollars, except for percentages)	(in millions of U.S. dollars, except for percentages)	Chubb		% of Total Shareholders’ Equity		Chubb		% of Total Shareholders’ Equity		Chubb		% of Total Shareholders’ Equity		(in millions of U.S. dollars, except for percentages)	Chubb		% of Total Shareholders’ Equity		Chubb		% of Total Shareholders’ Equity		Chubb		% of Total Shareholders’ Equity
1-in-10	1-in-10	$	1,858	3.4	%	$	1,084	2.0	%	$	133	0.2	%	1-in-10	$	1,879	3.2	%	$	1,092	1.8	%	$	140	0.2	%
1-in-100	1-in-100	$	3,866	7.1	%	$	2,694	4.9	%	$	1,306	2.4	%	1-in-100	$	3,988	6.8	%	$	2,707	4.6	%	$	1,297	2.2	%
1-in-250	1-in-250	$	6,439	11.8	%	$	4,869	8.9	%	$	1,485	2.7	%	1-in-250	$	6,655	11.3	%	$	4,905	8.3	%	$	1,469	2.5	%

⁽¹⁾Worldwide losses are comprised of losses arising only from hurricanes, typhoons, convective storms and earthquakes and do not include “non-modeled” perils such as wildfire and flood.

⁽²⁾U.S. Hurricane losses include losses from wind and storm-surge and exclude rainfall.

⁽³⁾California earthquakes include fire-following perils.

The above estimates of Chubb’s loss profile are inherently uncertain for many reasons, including the following:

•While the use of third-party catastrophe modeling packages to simulate potential hurricane and earthquake losses is prevalent within the insurance industry, the models are reliant upon significant meteorology, seismology, and engineering assumptions to estimate catastrophe losses. In particular, modeled catastrophe events are not always a representation of actual events and ensuing additional loss potential;

•There is no universal standard in the preparation of insured data for use in the models, the running of the modeling software and interpretation of loss output. These loss estimates do not represent our potential maximum exposures and it is highly likely that our actual incurred losses would vary materially from the modeled estimates; ~~and~~

•The potential effects of climate change add to modeling ~~complexity.~~complexity; and

•Changing climate conditions could impact our exposure to natural catastrophe risks, including U.S. hurricane. Published studies by leading government, academic and professional organizations predict an increase in the expected annual frequency of Atlantic-basin hurricanes and sea level rise through the end of the century over observed historical averages. These studies contemplate expected multi-decadal impacts of climate change on sea surface temperatures, sea levels and other factors contributing to the frequency and intensity of hurricanes. Based on preliminary stress tests conducted against the Chubb portfolio, the impacts of climate change are not expected to materially impact our reported U.S. hurricane PML over the next 12 months. These tests reflect current exposures only and exclude potential mitigating factors, such as changes to building codes, public or private risk mitigation, regulation and public policy.

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Natural Catastrophe Property Reinsurance Program

Chubb’s core property catastrophe reinsurance program provides protection against natural catastrophes impacting its primary property operations (i.e., excluding our Global Reinsurance and Life Insurance segments).

We regularly review our reinsurance protection and corresponding property catastrophe exposures. This may or may not lead to the purchase of additional reinsurance prior to a program’s renewal date. In addition, prior to each renewal date, we consider how much, if any, coverage we intend to buy and we may make material changes to the current structure in light of various factors, including modeled PML assessment at various return periods, reinsurance pricing, our risk tolerance and exposures, and various other structuring considerations.

Chubb renewed its Global Property Catastrophe Reinsurance Program for our North American and International operations effectiveApril 1, ~~2020~~2021 through March 31, ~~2021,~~2022, with ~~no material changes in coverage from~~an additional $100 million of limit for international loss occurrences compared to the expiring program. The program consists of three layers in excess of losses retained by Chubb on a per occurrence basis. In addition, Chubb also renewed its terrorism coverage (excluding nuclear, biological, chemical and radiation coverage, with an inclusion of coverage for biological and chemical coverage for personal lines) for the United States from April 1, ~~2020~~2021 through March 31, ~~2021~~2022 with the same limits and retention and percentage placed except that the majority of terrorism coverage is on an aggregate basis above our retentions without a reinstatement.

Loss Location

Layer of Loss

Comments

Notes

United States
(excluding Alaska and Hawaii)

$0 million –

$1.0 billion

Losses retained by Chubb

(a)

United States
(excluding Alaska and Hawaii)

$1.0 billion –

$1.15 billion

All natural perils and terrorism

(b)

United States
(excluding Alaska and Hawaii)

$1.15 billion –

$~~2.15~~2.25 billion

All natural perils and terrorism

(c)

United States
(excluding Alaska and Hawaii)

$~~2.15~~2.25 billion –

$3.5 billion

All natural perils and terrorism

(d)

International
(including Alaska and Hawaii)

$0 million –

$175 million

Losses retained by Chubb

(a)

International
(including Alaska and Hawaii)

$175 million –

$~~1.175~~1.275 billion

All natural perils and terrorism

(c)

Alaska, Hawaii, and Canada

$~~1.175~~1.275 billion –

$2.525 billion

All natural perils and terrorism

(d)

^(a)Ultimate retention will depend upon the nature of the loss and the interplay between the underlying per risk programs and certain other catastrophe programs purchased by individual business units. These other catastrophe programs have the potential to reduce our effective retention below the stated levels.

^(b)These coverages are partially placed with Reinsurers.

^(c)These coverages are both part of the same Second layer within the Global Catastrophe Program and are fully placed with Reinsurers.

^(d)These coverages are both part of the same Third layer within the Global Catastrophe Program and are fully placed with Reinsurers.

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Liquidity

We anticipate that positive cash flows from operations (underwriting activities and investment income) should be sufficient to cover cash outflows under most loss scenarios for the near term. In addition to cash from operations, routine sales of investments, and financing arrangements, we have agreements with a third-party bank provider which implemented two international multi-currency notional cash pooling programs to enhance cash management efficiency during periods of short-term timing mismatches between expected inflows and outflows of cash by currency. The programs allow us to optimize investment income by avoiding portfolio disruption. Should the need arise, we generally have access to capital markets and to credit facilities with letter of credit capacity of ~~$4.0~~$3.7 billion with a sub-limit of $1.9 billion for revolving credit. At ~~June 30, 2020,~~March 31, 2021, our usage under these facilities was ~~$2.0~~$1.4 billion in letters of credit. Our access to credit under these facilities is dependent on the ability of the banks that are a party to the facilities to meet their funding commitments. The facilities require that we maintain certain financial covenants, all of which we met at ~~June 30, 2020.~~March 31, 2021. Should the existing credit providers on these facilities experience financial difficulty, we may be required to replace credit sources, possibly in a difficult market. If we cannot obtain adequate capital or sources of credit on favorable terms, on a timely basis, or at all, our business, operating results, and financial condition could be adversely affected. To date, we have not experienced difficulty accessing our credit facilities.

The payment of dividends or other statutorily permissible distributions from our operating companies are subject to the laws and regulations applicable to each jurisdiction, as well as the need to maintain capital levels adequate to support the insurance and reinsurance operations, including financial strength ratings issued by independent rating agencies. During the ~~six~~three months ended ~~June 30, 2020,~~March 31, 2021, we were able to meet all our obligations, including the payments of dividends on our Common Shares, with our net cash flows.

We assess which subsidiaries to draw dividends from based on a number of factors. Considerations such as regulatory and legal restrictions as well as the subsidiary’s financial condition are paramount to the dividend decision. Chubb Limited received dividends of ~~nil~~$740 million and ~~$200 million~~nil from its Bermuda subsidiaries during the ~~six~~three months ended ~~June 30,~~March 31, 2021 and 2020, ~~and 2019,~~ respectively. ~~Chubb Limited also received dividends of $844 million from a Swiss subsidiary during the six months ended June 30, 2020.~~

The payment of any dividends from CGM or its subsidiaries is subject to applicable U.K. insurance laws and regulations. In addition, the release of funds by Syndicate 2488 to subsidiaries of CGM is subject to regulations promulgated by the Society of Lloyd’s. The U.S. insurance subsidiaries of Chubb INA Holdings Inc. (Chubb INA) may pay dividends, without prior regulatory approval, subject to restrictions set out in state law of the subsidiary’s domicile (or, if applicable, commercial domicile). Chubb INA’s international subsidiaries are also subject to insurance laws and regulations particular to the countries in which the subsidiaries operate. These laws and regulations sometimes include restrictions that limit the amount of dividends payable without prior approval of regulatory insurance authorities. Chubb Limited received no dividends from CGM or Chubb INA during the ~~six~~three months ended ~~June 30, 2020~~March 31, 2021 and ~~2019.~~2020. Debt issued by Chubb INA is serviced by statutorily permissible distributions by Chubb INA’s insurance subsidiaries to Chubb INA as well as other group resources. Chubb INA received no dividends ~~of nil and $1.7 billion~~ from its subsidiaries during the ~~six~~three months ended ~~June 30, 2020~~March 31, 2021 and ~~2019, respectively.~~2020.

Cash Flows

Our sources of liquidity include cash from operations, routine sales of investments, and financing arrangements. The following is a discussion of our cash flows for the ~~six~~three months ended ~~June 30, 2020~~March 31, 2021 and ~~2019.~~2020.

Operating cash flows were ~~$3.7~~$2.1 billion in the ~~six~~three months ended ~~June 30, 2020,~~March 31, 2021, compared to ~~$2.7~~$1.7 billion in the prior year period, an increase of ~~$989~~$393 million, principally reflecting higher ~~underwriting cash flows primarily due to~~premiums collected and reduced payment activity, partially offset by higher ~~premiums collected.~~

catastrophe loss payments.

Cash used for investing was ~~$2.7~~$1.3 billion in the ~~six~~three months ended ~~June 30, 2020,~~March 31, 2021, compared to ~~$2.3~~$1.0 billion in the prior year period. ~~The~~Cash used in the current year ~~included a $1.55 billion deposit for the purchase of an additional 22.4 percent ownership~~related to net investments purchased, principally fixed maturities. Cash used in ~~Huatai Group~~, ~~while~~ the prior year ~~included~~principally related to the incremental purchase of ~~an additional 6.2 percent~~Huatai Group ownership interest ~~in Huatai Group for $329 million. In addition, the current year had cash used~~ of ~~$993 million for~~$1.6 billion, partially offset by net ~~investments purchased, excluding short-term, and derivative settlements, compared to cash used~~proceeds from sales of ~~$657 million in the prior year.~~fixed maturities.

Cash used for financing was ~~$898~~$812 million in the ~~six~~three months ended ~~June 30, 2020,~~March 31, 2021, compared to ~~$431~~$645 million in the prior year period, ~~and was~~an increase of $167 million principally ~~comprised of share repurchases and dividends paid on Common Shares. Share repurchases were~~

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~~$408 million lower~~from more shares repurchased in the current ~~year due to the suspension of share repurchases in April 2020. In addition, the prior year included $789 million of net proceeds from the issuance of long-term debt (net of repayments).~~year.

Both internal and external forces influence our financial condition, results of operations, and cash flows. Claim settlements, premium levels, and investment returns may be impacted by changing rates of inflation and other economic conditions. In many

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cases, significant periods of time, ranging up to several years or more, may lapse between the occurrence of an insured loss, the reporting of the loss to us, and the settlement of the liability for that loss.

We use repurchase agreements as a low-cost funding alternative. At ~~June 30, 2020,~~March 31, 2021, there were $1.4 billion in repurchase agreements outstanding with various maturities over the next eight months.


Capital Resources

Capital resources consist of funds deployed or available to be deployed to support our business operations.


		June 30			December 31				March 31			December 31
(in millions of U.S. dollars, except for ratios)	(in millions of U.S. dollars, except for ratios)	2020			2019			(in millions of U.S. dollars, except for ratios)	2021			2020
Short-term debt		$	1,300		$	1,299

Long-term debt	Long-term debt	13,656			13,559			Long-term debt	$	14,879		$	14,948
Total financial debt		14,956			14,858

Trust preferred securities	Trust preferred securities	308			308			Trust preferred securities	308			308
Total shareholders’ equity	Total shareholders’ equity	54,760			55,331			Total shareholders’ equity	59,076			59,441
Total capitalization	Total capitalization	$	70,024		$	70,497		Total capitalization	$	74,263		$	74,697
Ratio of financial debt to total capitalization	Ratio of financial debt to total capitalization	21.4		%	21.1		%	Ratio of financial debt to total capitalization	20.0		%	20.0		%
Ratio of financial debt plus trust preferred securities to total capitalization	Ratio of financial debt plus trust preferred securities to total capitalization	21.8		%	21.5		%	Ratio of financial debt plus trust preferred securities to total capitalization	20.4		%	20.4		%

Repurchase agreements are excluded from the table above and are disclosed separately from short-term debt in the Consolidated balance sheets. The repurchase agreements are collateralized borrowings where we maintain the right and ability to redeem the collateral on short notice, unlike short-term debt which comprises the current maturities of our long-term debt instruments.

For the ~~six~~three months ended ~~June 30, 2020,~~March 31, 2021, we repurchased ~~$326~~$519 million of Common Shares in a series of open market transactions under the Board of Directors (Board) share repurchase authorization. At ~~June 30, 2020,~~March 31, 2021, there were ~~28,423,841~~27,928,305 Common Shares in treasury with a weighted average cost of ~~$136.01~~$139.68 per share, and ~~$1.12~~$1.98 billion in share repurchase authorization remained through December 31, ~~2020. On~~2021. For the period April ~~22, 2020,~~1, 2021 through April 29, 2021, we ~~announced that given the current economic environment and to preserve capital~~repurchased 450,000 Common Shares for ~~both risk and opportunity, we had suspended share repurchases. Share repurchases may be resumed at any time, at management's discretion. We did not engage~~a total of $76 million in ~~any~~a series of open market transactions. At April 29, 2021, $1.91 billion in share repurchase ~~activity during the three months ended June 30, 2020.~~authorization remained through December 31, 2021.

We generally maintain the ability to issue certain classes of debt and equity securities via an unlimited Securities and Exchange Commission (SEC) shelf registration which is renewed every three years. This allows us capital market access for refinancing as well as for unforeseen or opportunistic capital needs.

Dividends

We have paid dividends each quarter since we became a public company in 1993. Under Swiss law, dividends must be stated in Swiss francs though dividend payments are made by Chubb in U.S. dollars. Refer to Note 8 to the Consolidated Financial Statements for a discussion of our dividend methodology.

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At our May 2020 annual general meeting, our shareholders approved an annual dividend for the following year of up to $3.12 per share, or CHF 3.01 per share, calculated using the USD/CHF exchange rate as published in the Wall Street Journal on May 20, 2020, expected to be paid in four quarterly installments of $0.78 per share after the general meeting by way of a distribution from capital contribution reserves, transferred to free reserves for payment. The Board determines the record and payment dates at which the annual dividend may be paid until the date of the 2021 annual general meeting, and is authorized to abstain from distributing a dividend at its discretion. The four quarterly installments each of $0.78 per share were distributed by the Board as expected. The annual dividend approved in May 2020 represented ana $0.12 per share increase ($0.03 per quarter) over the prior year dividend.

The following table represents dividends paid per Common Share to shareholders of record on each of the following dates:

Shareholders of record as of:

Dividends paid as of:

December ~~20, 2019~~18, 2020

January ~~10, 2020~~

~~$0.75 (CHF 0.74)~~

~~March 20, 2020~~

~~April 10, 2020~~

~~$0.75 (CHF 0.72)~~

~~June 19, 2020~~

~~July 10, 2020~~8, 2021

$0.78 (CHF ~~0.75)~~0.71)

March 19, 2021

April 9, 2021

$0.78 (CHF 0.70)

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ITEM 3. Quantitative and Qualitative Disclosures about Market Risk

Refer to Item 7A included in our ~~2019~~2020 Form 10-K.

Foreign currency management

As a global company, Chubb entities transact business in multiple currencies. Our policy is to generally match assets, liabilities

and required capital for each individual jurisdiction in local currency, which would include the use of derivatives. We do not

hedge our net asset non-U.S. dollar capital positions. We occasionally engage in hedging activity for planned cross border

transactions. For an estimated impact of foreign currency movement on our net assets denominated in non-U.S. currencies, refer

to Item 7A in our ~~2019~~2020 Form 10-K. This information will be updated and disclosed in interim filings if our net assets in ~~non-~~

~~U.S.~~non-U.S. currencies change materially from the December 31, ~~2019~~2020 balances disclosed in the ~~2019~~2020 Form 10-K.

Reinsurance of GMDB and GLB guarantees

Chubb views its variable annuity reinsurance business as having a similar risk profile to that of catastrophe reinsurance with the probability of long-term economic loss relatively small, at the time of pricing. Adverse changes in market factors and policyholder behavior will have an impact on both realized gains (losses) and net income for GLB and both Life Insurance underwriting income and net ~~income.~~income for GMDB. When evaluating these risks, we expect to be compensated for taking both the risk of a cumulative long-term economic net loss, as well as the short-term accounting variations caused by these market movements. Therefore, we evaluate this business in terms of its long-term economic risk and reward.

~~Net~~For the GMDB reinsurance business, net income is directly impacted by changes in future policy benefit ~~reserves calculated in connection with~~reserves. For the GLB reinsurance ~~of variable annuity guarantees. In addition,~~business, net income is directly impacted by changes in the fair value of the GLB liability (FVL), which is classified as a derivative for accounting purposes. The FVL ~~established for a GLB reinsurance contract represents the difference between the fair value of the contract and the benefit reserves. Benefit reserves and FVL calculations are~~calculation is directly affected by market factors, including equity levels, interest rate levels, credit risk, and implied volatilities, as well as policyholder behaviors, such as annuitization and lapse rates, and policyholder mortality.

The tables below are estimates of the sensitivities to instantaneous changes in economic inputs (e.g., equity shock, interest rate shock etc.) or actuarial assumptions at ~~June 30, 2020~~March 31, 2021 of the FVL and of the fair value of specific derivative instruments held (hedge value) to partially offset the risk in the variable annuity guarantee reinsurance portfolio. The following assumptions should be considered when using the below tables:

•~~No changes to the benefit ratio used to establish benefit reserves at June 30, 2020.~~

•Equity shocks impact all global equity markets equally

•Our liabilities are sensitive to global equity markets in the following proportions: 7580 percent—8590 percent U.S. equity, and 1510 percent—2520 percent international equity.

•Our current hedge portfolio is sensitive only to U.S. equity markets.

•We would suggest using the S&P 500 index as a proxy for U.S. equity, and the MSCI EAFE index as a proxy for international equity.

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•Interest rate shocks assume a parallel shift in the U.S. yield curve

•Our liabilities are also sensitive to global interest rates at various points on the yield curve, mainly the U.S. Treasury curve in the following proportions: 5 percent—15 percent short-term rates (maturing in less than 5 years), 15 percent—25 ~~percent—35~~ percent medium-term rates (maturing between 5 years and 10 years, inclusive), and 5565 percent—6575 percent long-term rates (maturing beyond 10 years).

•A change in AA-rated credit spreads impacts the rate used to discount cash flows in the fair value model. AA-rated credit spreads are a proxy for both our own credit spreads and the credit spreads of the ceding insurers.

•The hedge sensitivity is from ~~June 30, 2020~~March 31, 2021 market levels and only applicable to the equity and interest rate sensitivities table below.

•The sensitivities are not directly additive because changes in one factor will affect the sensitivity to changes in other factors. The sensitivities do not scale linearly and may be proportionally greater for larger movements in the market factors. The sensitivities may also vary due to foreign exchange rate fluctuations. The calculation of the FVL is based on internal models that include assumptions regarding future policyholder behavior, including lapse, annuitization, and asset allocation. These

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assumptions impact both the absolute level of the FVL as well as the sensitivities to changes in market factors shown below. Actual sensitivity of our net income may differ from those disclosed in the tables below due to ~~differences between~~fluctuations in short-term market ~~movements and management judgment regarding the long-term assumptions implicit in our benefit ratios.~~movements.

•In addition, the tables below do not reflect the expected quarterly run rate of net income generated by the variable annuity guarantee reinsurance portfolio if markets remain unchanged during the period. All else equal, if markets remain unchanged during the period, the ~~Gross~~ FVL will increase, resulting in a realized loss. This realized loss occurs primarily because the guarantees provided in the underlying contracts continue to become more valuable even when markets remain unchanged. We refer to this increase in ~~Gross~~ FVL as “timing effect”. The unfavorable impact of timing effect on our ~~Gross~~ FVL in a quarter is not reflected in the sensitivity tables below. For this reason, when using the tables below to estimate the sensitivity of ~~Gross~~ FVL in the ~~third~~second quarter of ~~2020~~2021 to various changes, it is necessary to assume an additional $5 million to $45 million increase in ~~Gross~~ FVL and realized losses. The impact to Net income is partially mitigated because this realized loss is partially offset by the positive quarterly run rate of Life Insurance underwriting income generated by the variable annuity guarantee reinsurance portfolio if markets remain unchanged during the period. Note that both the timing effect and the quarterly run rate ~~of Life Insurance underwriting~~impact to net income change over time as the book ages.


Sensitivities to equity and interest rate movements
(in millions of U.S. dollars)		Worldwide Equity Shock
Interest Rate Shock		+10%		Flat		-10%		-20%		-30%		-40%
+100 bps	(Increase)/decrease in FVL	$	331	$	225	$	95	$	(71)	$	(275)	$	(530)
	Increase/(decrease) in hedge value	(77)		—		77		154		230		307
	Increase/(decrease) in net income	$	254	$	225	$	172	$	83	$	(45)	$	(223)
Flat	(Increase)/decrease in FVL	$	135	$	—	$	(164)	$	(360)	$	(598)	$	(892)
	Increase/(decrease) in hedge value	(77)		—		77		154		230		307
	Increase/(decrease) in net income	$	58	$	—	$	(87)	$	(206)	$	(368)	$	(585)
-100 bps	(Increase)/decrease in FVL	$	(102)	$	(261)	$	(450)	$	(672)	$	(943)	$	(1,272)
	Increase/(decrease) in hedge value	(77)		—		77		154		230		307
	Increase/(decrease) in net income	$	(179)	$	(261)	$	(373)	$	(518)	$	(713)	$	(965)

Sensitivities to Other Economic Variables		AA-rated Credit Spreads				Interest Rate Volatility				Equity Volatility
(in millions of U.S. dollars)		+100 bps		-100 bps		+2%		-2%		+2%		-2%
(Increase)/decrease in FVL		$	60	$	(68)	$	(1)	$	1	$	(15)	$	15

Increase/(decrease) in net income		$	60	$	(68)	$	(1)	$	1	$	(15)	$	15

Sensitivities to Actuarial Assumptions						Mortality
(in millions of U.S. dollars)						+20%		+10%		-10%		-20%
(Increase)/decrease in FVL						$	18	$	9	$	(9)	$	(18)

Increase/(decrease) in net income						$	18	$	9	$	(9)	$	(18)

						Lapses
(in millions of U.S. dollars)						+50%		+25%		-25%		-50%
(Increase)/decrease in FVL						$	86	$	47	$	(52)	$	(110)

Increase/(decrease) in net income						$	86	$	47	$	(52)	$	(110)

						Annuitization
(in millions of U.S. dollars)						+50%		+25%		-25%		-50%
(Increase)/decrease in FVL						$	(393)	$	(208)	$	229	$	463

Increase/(decrease) in net income						$	(393)	$	(208)	$	229	$	463

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Sensitivities to equity and interest rate movements
(in millions of U.S. dollars) Worldwide Equity Shock
Interest Rate Shock +10% Flat -10% -20% -30% -40%
+100 bps (Increase)/decrease in Gross FVL $ 404 $ 252 $ 78 $ (117) $ (334) $ (571)
Increase/(decrease) in hedge value (60) — 60 120 179 239
Increase/(decrease) in net income $ 344 $ 252 $ 138 $ 3 $ (155) $ (332)
Flat (Increase)/decrease in Gross FVL $ 166 $ — $ (187) $ (394) $ (622) $ (862)
Increase/(decrease) in hedge value (60) — 60 120 179 239
Increase/(decrease) in net income $ 106 $ — $ (127) $ (274) $ (443) $ (623)
-100 bps (Increase)/decrease in Gross FVL $ (49) $ (227) $ (424) $ (644) $ (879) $ (1,133)
Increase/(decrease) in hedge value (60) — 60 120 179 239
Increase/(decrease) in net income $ (109) $ (227) $ (364) $ (524) $ (700) $ (894)
Sensitivities to Other Economic Variables AA-rated Credit Spreads Interest Rate Volatility Equity Volatility
(in millions of U.S. dollars) +100 bps -100 bps +2% -2% +2% -2%
(Increase)/decrease in Gross FVL $ 90 $ (99) $ — $ — $ (7) $ 7
Increase/(decrease) in net income $ 90 $ (99) $ — $ — $ (7) $ 7
Sensitivities to Actuarial Assumptions Mortality
(in millions of U.S. dollars) +20% +10% -10% -20%
(Increase)/decrease in Gross FVL $ 22 $ 11 $ (11) $ (22)
Increase/(decrease) in net income $ 22 $ 11 $ (11) $ (22)
Lapses
(in millions of U.S. dollars) +50% +25% -25% -50%
(Increase)/decrease in Gross FVL $ 134 $ 70 $ (75) $ (157)
Increase/(decrease) in net income $ 134 $ 70 $ (75) $ (157)
Annuitization
(in millions of U.S. dollars) +50% +25% -25% -50%
(Increase)/decrease in Gross FVL $ (621) $ (331) $ 382 $ 817
Increase/(decrease) in net income $ (621) $ (331) $ 382 $ 817

Variable Annuity Net Amount at Risk

All our VA reinsurance treaties include annual or aggregate claim limits and many include an aggregate deductible which limit the net amount at risk under these programs. The tables below present the net amount at risk at ~~June 30, 2020~~March 31, 2021 following an immediate change in equity market levels, assuming all global equity markets are impacted equally.

a) Reinsurance covering the GMDB risk only


		Equity Shock																																Equity Shock
(in millions of U.S. dollars)	(in millions of U.S. dollars)	+20		%	Flat		-20		%	-40		%	-60		%	-80		%	(in millions of U.S. dollars)	+20		%	Flat		-20		%	-40		%	-60		%	-80		%
GMDB net amount at risk	GMDB net amount at risk	$	262		$	277	$	520		$	808		$	781		$	657		GMDB net amount at risk	$	304		$	287	$	382		$	782		$	893		$	760
Claims at 100% immediate mortality	Claims at 100% immediate mortality	164			182		173			158			141			125			Claims at 100% immediate mortality	156			165		177			166			148			128

The treaty claim limits function as a ceiling as equity markets fall. As the shocks in the table above become incrementally more negative, the impact on the NAR and claims at 100 percent mortality begin to drop due to the specific nature of these claim limits, many of which are annual claim limits calculated as a percentage of the reinsured account value. There is also some

~~Table of Contents~~

impact due to a small portion of the GMDB reinsurance under which claims are positively correlated to equity markets (claims decrease as equity markets fall).

b) Reinsurance covering the GLB risk only


		Equity Shock																																Equity Shock
(in millions of U.S. dollars)	(in millions of U.S. dollars)	+20		%	Flat		-20		%	-40		%	-60		%	-80		%	(in millions of U.S. dollars)	+20		%	Flat		-20		%	-40		%	-60		%	-80		%
GLB net amount at risk	GLB net amount at risk	$	1,192		$	1,678	$	2,211		$	2,714		$	3,091		$	3,375		GLB net amount at risk	$	767		$	1,094	$	1,666		$	2,419		$	2,990		$	3,373

The treaty claim limits cause the net amount at risk to increase at a declining rate as equity markets fall.

c) Reinsurance covering both the GMDB and GLB risks on the same underlying policyholders


		Equity Shock																																Equity Shock
(in millions of U.S. dollars)	(in millions of U.S. dollars)	+20		%	Flat		-20		%	-40		%	-60		%	-80		%	(in millions of U.S. dollars)	+20		%	Flat		-20		%	-40		%	-60		%	-80		%
GMDB net amount at risk	GMDB net amount at risk	$	45		$	53	$	64		$	75		$	84		$	92		GMDB net amount at risk	$	39		$	47	$	58		$	72		$	86		$	96
GLB net amount at risk	GLB net amount at risk	402			518		656			806			956			1,004			GLB net amount at risk	313			412		550			723			904			1,027
Claims at 100% immediate mortality	Claims at 100% immediate mortality	35			34		34			34			34			34			Claims at 100% immediate mortality	37			36		36			36			36			35

The treaty limits control the increase in the GMDB net amount at risk as equity markets fall. The GMDB net amount at risk continues to ~~grow~~increase as equity markets fall because most of these reinsurance treaties do not have annual claim limits calculated as a percentage of the underlying account value. The treaty limits cause the GLB net amount at risk to increase at a declining rate as equity markets fall.

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ITEM 4. Controls and Procedures

Chubb’s management, with the participation of Chubb’s Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of Chubb’s disclosure controls and procedures as defined in Rule 13a-15(e) and Rule 15d-15(e) under the Securities Exchange Act of 1934 as of ~~June 30, 2020.~~March 31, 2021. Based upon that evaluation, Chubb’s Chief Executive Officer and Chief Financial Officer concluded that Chubb’s disclosure controls and procedures are effective in allowing information required to be disclosed in reports filed under the Securities Exchange Act of 1934 to be recorded, processed, summarized, and reported within time periods specified in the rules and forms of the SEC, and that such information is accumulated and communicated to Chubb’s management, including its Chief Executive Officer and Chief Financial Officer, as appropriate to allow timely decisions regarding required disclosure.

On January 14, 2016, Chubb completed the acquisition of The Chubb Corporation. For the three months ended June 30, 2020, we continued to integrate the information technology environments of the two companies.

There ~~were~~have been no ~~other~~ changes toin Chubb's internal controls over financial reporting ~~for~~during the three months ended ~~June 30, 2020~~March 31, 2021 that have materially affected, or are reasonably likely to materially affect, Chubb's internal controls over financial reporting.


ITEM 1. Legal Proceedings

The information required with respect to this item is included in Note 7 g) to the Consolidated Financial Statements, which is hereby incorporated herein by reference.


ITEM 1A. Risk Factors

There have been no material changes to the risk factors described under "Risk Factors" under Item 1A of Part I of our ~~2019~~2020 Form ~~10-K and "Risk Factors" under Item 1A of Part II of our Form 10-Q for the quarterly period ended March 31, 2020.~~10-K.

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ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds and Issuer Repurchases of Equity Securities

Issuer’s Repurchases of Equity Securities

The following table provides information with respect to purchases by Chubb of its Common Shares during the three months ended ~~June 30, 2020:~~March 31, 2021:

Period
Total
Number of
Shares
Purchased ⁽¹⁾
Average Price
Paid per Share
Total Number of Shares Purchased as Part of Publicly Announced Plan ⁽²⁾
Approximate Dollar Value of Shares that May Yet be Purchased Under the Plan ⁽²⁾
April 1 through April 30 2,345 $ 126.16 — $ 1.12 billion
May 1 through May 31 233,075 $ 102.09 — $ 1.12 billion
June 1 through June 30 2,152 $ 126.73 — $ 1.12 billion
Total 237,572 $ 102.55 —


Period	Total Number of Shares Purchased (1)	Average Price Paid per Share		Total Number of Shares Purchased as Part of Publicly Announced Plan (2)	Approximate Dollar Value of Shares that May Yet be Purchased Under the Plan (3)
January 1 through January 31	2,503	$	154.44	—	$	2.50	billion
February 1 through February 28	2,390,214	$	165.83	2,208,000	$	2.14	billion
March 1 through March 31	1,116,522	$	168.26	902,000	$	1.98	billion
Total	3,509,239	$	166.59	3,110,000

⁽¹⁾This column represents open market share repurchases and the surrender to Chubb of Common Shares to satisfy tax withholding obligations in connection with the vesting of restricted stock issued to employees and to cover the ~~exercising~~cost of the exercise of options by ~~employees. We did not engage~~employees through stock swaps.

(2)The aggregate value of shares purchased in ~~any share repurchase activity during~~ the three months ended ~~June 30, 2020.~~March 31, 2021 as part of the publicly announced plan was $519 million.

⁽²⁾(3)In November 2020, the Board authorized the repurchase of up to $1.5 billion of Chubb's Common Shares from November 19, 2020 through December 31, 2021. In February 2021, the Board approved an increase to the November 2020 share repurchase program of $1.0 billion to a total of $2.5 billion, effective through December 31, 2021. For the period April 1, 2021 through April 29, 2021, we repurchased 450,000 Common Shares for a total of $76 million in a series of open market transactions. At April 29, 2021, $1.91 billion in share repurchase authorization remained through December 31, 2021. Refer to Note 8 to the Consolidated Financial Statements for more information on the Chubb Limited securities repurchase authorization. In November 2019, the Board authorized the repurchase of up to $1.5 billion of Chubb's Common Shares from November 21, 2019 through December 31, 2020. On April 22, 2020, we announced that given the current economic environment and to preserve capital for both risk and opportunity, we had suspended share repurchases. Share repurchases may be resumed at any time, at management's discretion. We did not engage in any share repurchase activity during the three months ended June 30, 2020.

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ITEM 6. Exhibits

Incorporated by Reference
Exhibit
Number Exhibit Description Form Original
Number Date Filed Filed
Herewith
3.1
Articles of Association of the Company, as amended
8-K 3.1 May 20, 2020
3.2
Organizational Regulations of the Company, as amended
8-K 3.1 November 21, 2016
4.1
Articles of Association of the Company, as amended
8-K 4.1 May 20, 2020
4.2
Organizational Regulations of the Company, as amended
8-K 3.1 November 21, 2016
31.1
Certification Pursuant to Section 302 of The Sarbanes-Oxley Act of 2002
X
31.2
Certification Pursuant to Section 302 of The Sarbanes-Oxley Act of 2002
X
32.1
Certification Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of The Sarbanes-Oxley Act of 2002
X
32.2
Certification Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of The Sarbanes-Oxley Act of 2002
X
101.1 The following financial information from Chubb Limited’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2020 formatted in Inline XBRL:
(i) Consolidated Balance Sheets at June 30, 2020, and December 31, 2019; (ii) Consolidated Statements of Operations and Comprehensive Income for the three and six months ended June 30, 2020 and 2019; (iii) Consolidated Statements of Shareholders’ Equity for the three and six months ended June 30, 2020 and 2019; (iv) Consolidated Statements of Cash Flows for the six months ended June 30, 2020 and 2019; and (v) Notes to Consolidated Financial Statements X
104.1 The Cover Page Interactive Data File formatted in Inline XBRL (The cover page XBRL tags are embedded in the Inline XBRL document and included in Exhibit 101.1)

Incorporated by Reference

Exhibit
Number

Exhibit Description

Form

Original
Number

Date Filed

Filed
Herewith

3.1

Articles of Association of the Company, as amended

8-K

3.1

August 4, 2020

3.2

Organizational Regulations of the Company, as amended

8-K

3.1

November 21, 2016

4.1

Articles of Association of the Company, as amended

8-K

4.1

August 4, 2020

4.2

Organizational Regulations of the Company, as amended

8-K

3.1

November 21, 2016

10.1*

Form of Performance Based Restricted Stock Award Terms under the Chubb Limited 2016 Long-Term Incentive Plan for Swiss Executive Management

10-K

10.82

February 25, 2021

10.2*

Form of Performance Based Restricted Stock Award Terms under the Chubb Limited 2016 Long-Term Incentive Plan for Executive Officers

10-K

10.83

February 25, 2021

22.1

Guaranteed Securities

10-K

22.1

February 25, 2021

31.1

Certification Pursuant to Section 302 of The Sarbanes-Oxley Act of 2002

31.2

Certification Pursuant to Section 302 of The Sarbanes-Oxley Act of 2002

32.1

Certification Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of The Sarbanes-Oxley Act of 2002

32.2

Certification Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of The Sarbanes-Oxley Act of 2002

101.1

The following financial information from Chubb Limited’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2021 formatted in Inline XBRL:
(i) Consolidated Balance Sheets at March 31, 2021, and December 31, 2020; (ii) Consolidated Statements of Operations and Comprehensive Income for the three months ended March 31, 2021 and 2020; (iii) Consolidated Statements of Shareholders’ Equity for the three months ended March 31, 2021 and 2020; (iv) Consolidated Statements of Cash Flows for the three months ended March 31, 2021 and 2020; and (v) Notes to Consolidated Financial Statements

104.1

The Cover Page Interactive Data File formatted in Inline XBRL (The cover page XBRL tags are embedded in the Inline XBRL document and included in Exhibit 101.1)

* Management contract, compensatory plan or arrangement

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.


			CHUBB LIMITED
			(Registrant)

~~July 31, 2020~~April 30, 2021			/s/ Evan G. Greenberg
			Evan G. Greenberg
			Chairman ~~President~~ and Chief Executive Officer

~~July 31, 2020~~April 30, 2021			/s/ Philip V. Bancroft
			Philip V. Bancroft
			Executive Vice President and Chief Financial Officer

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December 31, 2019	Fair Value										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	$	1,292	$	55	$	—	$	1,347	$	1,318
Non-U.S.	—		1,485		—		1,485		1,423
Corporate and asset-backed securities	—		2,436		32		2,468		2,349
Mortgage-backed securities	—		2,396		—		2,396		2,331
Municipal	—		5,309		—		5,309		5,160
Total assets	$	1,292	$	11,681	$	32	$	13,005	$	12,581
Liabilities:
Repurchase agreements	$	—	$	1,416	$	—	$	1,416	$	1,416
Short-term debt	—		1,307		—		1,307		1,299
Long-term debt	—		15,048		—		15,048		13,559
Trust preferred securities	—		467		—		467		308
Total liabilities	$	—	$	18,238	$	—	$	18,238	$	16,582


(in millions of U.S. dollars)	Chubb Limited (Parent Guarantor)		Chubb INA Holdings Inc. (Subsidiary Issuer)		Other Chubb Limited Subsidiaries		Consolidating Adjustments and Eliminations		Chubb Limited Consolidated
Assets
Investments	$	—	$	195	$	110,682	$	—	$	110,877
Cash ⁽¹⁾	1		—		2,624		(1,068)		1,557
Restricted cash	—		—		152		—		152
Insurance and reinsurance balances receivable	—		—		13,637		(2,784)		10,853
Reinsurance recoverable on losses and loss expenses	—		—		24,804		(9,597)		15,207
Reinsurance recoverable on policy benefits	—		—		292		(95)		197
Value of business acquired	—		—		290		—		290
Goodwill and other intangible assets	—		—		21,093		—		21,093
Investments in subsidiaries	52,339		52,752		—		(105,091)		—
Due from subsidiaries and affiliates, net	3,636		—		—		(3,636)		—
Other assets	8		336		22,858		(1,954)		21,248
Total assets	$	55,984	$	53,283	$	196,432	$	(124,225)	$	181,474
Liabilities
Unpaid losses and loss expenses	$	—	$	—	$	75,013	$	(9,314)	$	65,699
Unearned premiums	—		—		18,301		(1,220)		17,081
Future policy benefits	—		—		5,990		(95)		5,895
Due to subsidiaries and affiliates, net	—		3,365		271		(3,636)		—
Affiliated notional cash pooling programs ⁽¹⁾	882		186		—		(1,068)		—
Repurchase agreements	—		—		1,409		—		1,409
Short-term debt	—		1,300		—		—		1,300
Long-term debt	—		13,656		—		—		13,656
Trust preferred securities	—		308		—		—		308
Other liabilities	342		1,415		23,410		(3,801)		21,366
Total liabilities	1,224		20,230		124,394		(19,134)		126,714
Total shareholders’ equity	54,760		33,053		72,038		(105,091)		54,760
Total liabilities and shareholders’ equity	$	55,984	$	53,283	$	196,432	$	(124,225)	$	181,474


For the Six Months Ended June 30, 2020	Chubb Limited (Parent Guarantor)		Chubb INA Holdings Inc. (Subsidiary Issuer)		Other Chubb Limited Subsidiaries		Consolidating Adjustments and Eliminations		Chubb Limited Consolidated
(in millions of U.S. dollars)
Net premiums written	$	—	$	—	$	16,332	$	—	$	16,332
Net premiums earned	—		—		15,922		—		15,922
Net investment income	(2)		5		1,685		—		1,688
Equity in earnings of subsidiaries	(110)		322		—		(212)		—
Net realized gains (losses)	2		(79)		(851)		—		(928)
Losses and loss expenses	—		—		11,062		—		11,062
Policy benefits	—		—		352		—		352
Policy acquisition costs and administrative expenses	45		(68)		4,699		—		4,676
Interest (income) expense	(69)		297		32		—		260
Other (income) expense	(17)		3		127		—		113
Amortization of purchased intangibles	—		—		145		—		145
Income tax expense (benefit)	10		(59)		202		—		153
Net income (loss)	$	(79)	$	75	$	137	$	(212)	$	(79)
Comprehensive income	$	400	$	672	$	660	$	(1,332)	$	400


For the Six Months Ended June 30, 2019	Chubb Limited (Parent Guarantor)		Chubb INA Holdings Inc. (Subsidiary Issuer)		Other Chubb Limited Subsidiaries		Consolidating Adjustments and Eliminations		Chubb Limited Consolidated
(in millions of U.S. dollars)
Net premiums written	$	—	$	—	$	15,656	$	—	$	15,656
Net premiums earned	—		—		15,028		—		15,028
Net investment income	2		(10)		1,703		—		1,695
Equity in earnings of subsidiaries	2,094		1,521		—		(3,615)		—
Net realized gains (losses) including OTTI	5		(34)		(291)		—		(320)
Losses and loss expenses	—		—		8,813		—		8,813
Policy benefits	—		—		357		—		357
Policy acquisition costs and administrative expenses	42		(20)		4,454		—		4,476
Interest (income) expense	(128)		365		43		—		280
Other (income) expense	(12)		4		(261)		—		(269)
Amortization of purchased intangibles	—		—		153		—		153
Chubb integration expenses	—		2		5		—		7
Income tax expense (benefit)	9		(87)		474		—		396
Net income	$	2,190	$	1,213	$	2,402	$	(3,615)	$	2,190
Comprehensive income	$	4,777	$	3,338	$	4,969	$	(8,307)	$	4,777


Six Months Ended June 30, 2020	Chubb Limited (Parent Guarantor)		Chubb INA Holdings Inc. (Subsidiary Issuer)		Other Chubb Limited Subsidiaries		Consolidating Adjustments and Eliminations		Chubb Limited Consolidated
(in millions of U.S. dollars)
Net cash flows from (used for) operating activities	$	181	$	(307)	$	3,933	$	(110)	$	3,697
Cash flows from investing activities
Purchases of fixed maturities available for sale	—		(13)		(13,045)		—		(13,058)
Purchases of fixed maturities held to maturity	—		—		(42)		—		(42)
Purchases of equity securities	—		—		(2,824)		—		(2,824)
Sales of fixed maturities available for sale	—		7		7,727		—		7,734

Sales of equity securities	—		—		1,353		—		1,353
Maturities and redemptions of fixed maturities available for sale	—		29		5,191		—		5,220
Maturities and redemptions of fixed maturities held to maturity	—		—		642		—		642
Net change in short-term investments	—		761		(588)		—		173
Net derivative instruments settlements	—		69		(87)		—		(18)
Private equity contributions	—		—		(546)		—		(546)
Private equity distributions	—		—		443		—		443
Deposit paid on share acquisition	—		—		(1,550)		—		(1,550)
Capital contribution	(1,200)		—		—		1,200		—
Other	(1)		(3)		(217)		—		(221)
Net cash flows from (used for) investing activities	(1,201)		850		(3,543)		1,200		(2,694)
Cash flows from financing activities
Dividends paid on Common Shares	(678)		—		—		—		(678)
Common Shares repurchased	(333)		—		—		—		(333)


Proceeds from issuance of repurchase agreements	—		—		1,402		—		1,402
Repayment of repurchase agreements	—		—		(1,402)		—		(1,402)
Proceeds from share-based compensation plans	—		—		74		—		74
Dividend to parent company	—		—		(110)		110		—
Advances (to) from affiliates	1,149		(1,168)		19		—		—
Capital contribution	—		—		1,200		(1,200)		—
Net proceeds from (payments to) affiliated notional cash pooling programs ⁽¹⁾	882		186		—		(1,068)		—
Policyholder contract deposits	—		—		215		—		215
Policyholder contract withdrawals	—		—		(173)		—		(173)
Other	—		(3)		—		—		(3)
Net cash flows from (used for) financing activities	1,020		(985)		1,225		(2,158)		(898)
Effect of foreign currency rate changes on cash and restricted cash	(1)		—		(41)		—		(42)
Net increase (decrease) in cash and restricted cash	(1)		(442)		1,574		(1,068)		63
Cash and restricted cash – beginning of period ⁽¹⁾	2		442		1,202		—		1,646
Cash and restricted cash – end of period ⁽¹⁾	$	1	$	—	$	2,776	$	(1,068)	$	1,709


Six Months Ended June 30, 2019	Chubb Limited (Parent Guarantor)		Chubb INA Holdings Inc. (Subsidiary Issuer)		Other Chubb Limited Subsidiaries		Consolidating Adjustments and Eliminations		Chubb Limited Consolidated
(in millions of U.S. dollars)
Net cash flows from operating activities	$	323	$	1,302	$	2,943	$	(1,860)	$	2,708
Cash flows from investing activities
Purchases of fixed maturities available for sale	—		(5)		(12,561)		—		(12,566)
Purchases of fixed maturities held to maturity	—		—		(73)		—		(73)
Purchases of equity securities	—		—		(147)		—		(147)
Sales of fixed maturities available for sale	—		—		7,838		—		7,838
Sales of equity securities	—		—		266		—		266
Maturities and redemptions of fixed maturities available for sale	—		16		3,947		—		3,963
Maturities and redemptions of fixed maturities held to maturity	—		—		598		—		598
Net change in short-term investments	—		(11)		(752)		—		(763)
Net derivative instruments settlements	—		(35)		(501)		—		(536)
Private equity contributions	—		—		(920)		—		(920)
Private equity distributions	—		—		780		—		780
Capital contribution	(600)		(110)		—		710		—
Other	—		(12)		(715)		—		(727)
Net cash flows used for investing activities	(600)		(157)		(2,240)		710		(2,287)
Cash flows from financing activities
Dividends paid on Common Shares	(671)		—		—		—		(671)
Common Shares repurchased	—		—		(741)		—		(741)
Proceeds from issuance of long-term debt	—		1,289		—		—		1,289
Repayment of long-term debt	—		(500)		—		—		(500)
Proceeds from issuance of repurchase agreements	—		—		1,984		—		1,984
Repayment of repurchase agreements	—		—		(1,986)		—		(1,986)
Proceeds from share-based compensation plans	—		—		95		—		95
Dividend to parent company	—		—		(1,860)		1,860		—
Advances (to) from affiliates	801		(1,498)		697		—		—
Capital contribution	—		—		710		(710)		—
Net proceeds from (payments to) affiliated notional cash pooling programs ⁽¹⁾	142		(437)		—		295		—
Policyholder contract deposits	—		—		237		—		237
Policyholder contract withdrawals	—		—		(138)		—		(138)
Other	—		—		—		—		—
Net cash flows from (used for) financing activities	272		(1,146)		(1,002)		1,445		(431)
Effect of foreign currency rate changes on cash and restricted cash	5		—		33		—		38
Net increase (decrease) in cash and restricted cash	—		(1)		(266)		295		28
Cash and restricted cash – beginning of period ⁽¹⁾	1		2		1,989		(652)		1,340
Cash and restricted cash – end of period ⁽¹⁾	$	1	$	1	$	1,723	$	(357)	$	1,368


MD&A Index			Page
Forward-Looking Statements			4736
Overview			4937
Financial Highlights			4937
Consolidated Operating Results			5038

Segment Operating Results			5642
Net Realized and Unrealized Gains (Losses)			6751
Effective Income Tax Rate			6952
Non-GAAP Reconciliation			6953
Other Income and Expense			7656
Amortization of Purchased Intangibles and Other Amortization			7656
Net Investment Income			7858

Investments			7858
Critical Accounting Estimates			8262

Unpaid Losses and Loss Expenses			8262
Asbestos and Environmental (A&E)			8262
Fair Value Measurements			8262
Catastrophe Management			8363
Natural Catastrophe Property Reinsurance Program			8464

Liquidity			8565
Capital Resources			8666


	Catastrophe Loss Charge by Event
Three Months Ended	North America Commercial P&C Insurance		North America Personal P&C Insurance		North America Agricultural Insurance		Overseas General Insurance		Global Reinsurance		Life Insurance		Total excluding RIPs		RIPs expensed		Total including RIPs
June 30, 2020
(in millions of U.S. dollars)
Net losses
COVID-19	$	973	$	—	$	—	$	360	$	10	$	6	$	1,349	$	(16)	$	1,365
U.S. Flooding, Hail, Tornadoes and Wind Events	179		109		6		2		3		—		299		(4)		303
Civil unrest	118		—		—		12		—		—		130		—		130
Other	—		—		—		9		—		—		9		—		9
Total	$	1,270	$	109	$	6	$	383	$	13	$	6	$	1,787
RIPs expensed	(3)		(1)		—		(16)		—		—				(20)
Total before income tax	$	1,273	$	110	$	6	$	399	$	13	$	6					$	1,807
Income tax benefit																	297
Total after income tax																	$	1,510


	Three Months Ended June 30, 2020										Three Months Ended June 30, 2019
(in millions of U.S. dollars)	Net Realized Gains (Losses)		Net Unrealized Gains (Losses)		Net Impact		Net Realized Gains (Losses)		Net Unrealized Gains (Losses)		Net Impact
Fixed maturities	$	(33)	$	3,281	$	3,248	$	12	$	1,240	$	1,252
Fixed income and equity derivatives	14		—		14		(181)		—		(181)
Public equity
Sales	187		—		187		32		—		32
Mark-to-market	(39)		—		(39)		(27)		—		(27)
Private equity (less than 3 percent ownership)

Mark-to-market	(107)		—		(107)		30		—		30
Total investment portfolio	22		3,281		3,303		(134)		1,240		1,106
Variable annuity reinsurance derivative transactions, net of applicable hedges	110		—		110		(85)		—		(85)
Other derivatives	(1)		—		(1)		7		—		7
Foreign exchange	(61)		445		384		(11)		(97)		(108)
Other	(40)		(22)		(62)		—		(18)		(18)
Net gains (losses), pre-tax	$	30	$	3,704	$	3,734	$	(223)	$	1,125	$	902


Period	Total Number of Shares Purchased ⁽¹⁾	Average Price Paid per Share		Total Number of Shares Purchased as Part of Publicly Announced Plan ⁽²⁾	Approximate Dollar Value of Shares that May Yet be Purchased Under the Plan ⁽²⁾
April 1 through April 30	2,345	$	126.16	—	$	1.12	billion
May 1 through May 31	233,075	$	102.09	—	$	1.12	billion
June 1 through June 30	2,152	$	126.73	—	$	1.12	billion
Total	237,572	$	102.55	—