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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
OR

☐	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 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	CB	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 was 451,365,891.

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CHUBB LIMITED
INDEX TO FORM 10-Q

 

 	 	 		
Part I.	FINANCIAL INFORMATION	Page	
Item 1.	Financial Statements:		
	Consolidated Balance Sheets (Unaudited) June 30, 2020 and December 31, 2019	3	
	Consolidated Statements of Operations and Comprehensive Income (Unaudited) Three and Six Months Ended June 30, 2020 and 2019	4	
	Consolidated Statements of Shareholders' Equity (Unaudited) Three and Six Months Ended June 30, 2020 and 2019	5	
	Consolidated Statements of Cash Flows (Unaudited) Six Months Ended June 30, 2020 and 2019	6	
	Notes to Consolidated Financial Statements (Unaudited)		
	Note 1.	General	7	
	Note 2.	Acquisitions	8	
	Note 3.	Investments	9	
	Note 4.	Fair value measurements	16	
	Note 5.	Reinsurance	23	
	Note 6.	Unpaid losses and loss expenses	25	
	
	Note 7.	Commitments, contingencies, and guarantees	29	
	Note 8.	Shareholders’ equity	33	
	Note 9.	Share-based compensation	34	
	Note 10.	Postretirement benefits	35	
	Note 11.	Segment information	37	
	Note 12.	Earnings per share	39	
	Note 13.	Information provided in connection with outstanding debt of subsidiaries	40	
	
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	46	
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	87	
Item 4.	Controls and Procedures	90	
			
Part II.	OTHER INFORMATION		
Item 1.	Legal Proceedings	90	
Item 1A.	Risk Factors	90	
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds and Issuer Repurchases of Equity Securities	91	
Item 6.	Exhibits	92	
2

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PART I FINANCIAL INFORMATION

ITEM 1. Financial Statements	

CONSOLIDATED BALANCE SHEETS (Unaudited)
Chubb Limited and Subsidiaries

	June 30		December 31	
(in millions of U.S. dollars, except share and per share data)	2020		2019	
Assets				
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 	 	
Equity securities, at fair value	2,394 	 		812 	 	
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 	 	
Other investments, at fair value	5,923 	 		6,062 	 	
Total investments	110,877 	 		109,234 	 	
Cash	1,557 	 		1,537 	 	
Restricted cash	152 	 		109 	 	
Securities lending collateral	1,832 	 		994 	 	
Accrued investment income	845 	 		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 	 	
Reinsurance recoverable on policy benefits	197 	 		197 	 	
Deferred policy acquisition costs	5,243 	 		5,242 	 	
	
Value of business acquired	290 	 		306 	 	
Goodwill	15,184 	 		15,296 	 	
Other intangible assets	5,909 	 		6,063 	 	
Prepaid reinsurance premiums	2,725 	 		2,647 	 	
Investments in partially-owned insurance companies	1,364 	 		1,332 	 	
Other assets	9,239 	 		7,581 	 	
Total assets	$	181,474 	 		$	176,943 	 	
Liabilities				
Unpaid losses and loss expenses	$	65,699 	 		$	62,690 	 	
Unearned premiums	17,081 	 		16,771 	 	
Future policy benefits	5,895 	 		5,814 	 	
Insurance and reinsurance balances payable	6,249 	 		6,184 	 	
	
Securities lending payable	1,832 	 		994 	 	
	
Accounts payable, accrued expenses, and other liabilities	12,589 	 		11,773 	 	

Deferred tax liabilities	696 	 		804 	 	
Repurchase agreements	1,409 	 		1,416 	 	
Short-term debt	1,300 	 		1,299 	 	
Long-term debt	13,656 	 		13,559 	 	
Trust preferred securities	308 	 		308 	 	
Total liabilities	126,714 	 		121,612 	 	
Commitments and contingencies (refer to Note 7)				
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)	 	
Additional paid-in capital	10,416 	 		11,203 	 	
Retained earnings	35,991 	 		36,142 	 	
Accumulated other comprehensive income (AOCI)	1,098 	 		619 	 	
Total shareholders’ equity	54,760 	 		55,331 	 	
Total liabilities and shareholders’ equity	$	181,474 	 		$	176,943 	 	
See accompanying notes to the consolidated financial statements

3

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CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (Unaudited)
Chubb Limited and Subsidiaries

	Three Months Ended		Six Months Ended	
	June 30		June 30	
(in millions of U.S. dollars, except per share data)	2020		2019		2020		2019	
Revenues								
Net premiums written	$	8,355 	 		$	8,343 	 		$	16,332 	 		$	15,656 	 	
Increase in unearned premiums	(227)	 		(452)	 		(410)	 		(628)	 	
Net premiums earned	8,128 	 		7,891 	 		15,922 	 		15,028 	 	
Net investment income	827 	 		859 	 		1,688 	 		1,695 	 	
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)	 	
Total revenues	8,985 	 		8,527 	 		16,682 	 		16,403 	 	
Expenses								
Losses and loss expenses	6,577 	 		4,715 	 		11,062 	 		8,813 	 	
Policy benefits	223 	 		161 	 		352 	 		357 	 	
Policy acquisition costs	1,593 	 		1,544 	 		3,208 	 		3,008 	 	
Administrative expenses	727 	 		758 	 		1,468 	 		1,468 	 	
Interest expense	128 	 		140 	 		260 	 		280 	 	
Other (income) expense	58 	 		(230)	 		113 	 		(269)	 	
Amortization of purchased intangibles	72 	 		77 	 		145 	 		153 	 	
Chubb integration expenses	— 	 		4 	 		— 	 		7 	 	
Total expenses	9,378 	 		7,169 	 		16,608 	 		13,817 	 	
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 	 	
	3,281 	 		1,240 	 		1,121 	 		3,129 	 	
Change in:								
Cumulative foreign currency translation adjustment	445 	 		(97)	 		(414)	 		50 	 	
Postretirement benefit liability adjustment	(22)	 		(18)	 		(36)	 		(45)	 	
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 	 	
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 	 	
See accompanying notes to the consolidated financial statements
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CONSOLIDATED STATEMENTS OF SHAREHOLDERS' EQUITY (Unaudited)
Chubb Limited and Subsidiaries

	Three Months Ended		Six Months Ended	
	June 30		June 30	
(in millions of U.S. dollars)	2020		2019		2020		2019	
Common Shares								
Balance – beginning and end of period	$	11,121 	 		$	11,121 	 		$	11,121 	 		$	11,121 	 	
	
Common Shares in treasury								
Balance – beginning of period	(3,872)	 		(2,775)	 		(3,754)	 		(2,618)	 	
Common Shares repurchased	— 	 		(376)	 		(326)	 		(743)	 	
Net shares issued under employee share-based compensation plans	6 	 		58 	 		214 	 		268 	 	
Balance – end of period	(3,866)	 		(3,093)	 		(3,866)	 		(3,093)	 	
Additional paid-in capital								
Balance – beginning of period	10,710 	 		12,051 	 		11,203 	 		12,557 	 	
Net shares issued under employee share-based compensation plans	7 	 		1 	 		(189)	 		(190)	 	
Exercise of stock options	(3)	 		(14)	 		(29)	 		(48)	 	
Share-based compensation expense	55 	 		63 	 		124 	 		117 	 	
Funding of dividends declared to Retained earnings	(353)	 		(344)	 		(693)	 		(679)	 	
Balance – end of period	10,416 	 		11,757 	 		10,416 	 		11,757 	 	
Retained earnings								
Balance – beginning of period	36,322 	 		32,728 	 		36,142 	 		31,700 	 	

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	353 	 		344 	 		693 	 		679 	 	
Dividends declared on Common Shares	(353)	 		(344)	 		(693)	 		(679)	 	
Balance – end of period	35,991 	 		33,878 	 		35,991 	 		33,878 	 	

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

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 	 	
Balance – end of period	3,424 	 		2,033 	 		3,424 	 		2,033 	 	
Cumulative foreign currency translation adjustment								
Balance – beginning of period	(2,764)	 		(1,836)	 		(1,939)	 		(1,976)	 	
Change in period, net of income tax (expense) benefit of $6, $2, $40
    and $(5)	451 	 		(95)	 		(374)	 		45 	 	
Balance – end of period	(2,313)	 		(1,931)	 		(2,313)	 		(1,931)	 	
Postretirement benefit liability adjustment								
Balance – beginning of period	4 	 		52 	 		15 	 		73 	 	
Change in period, net of income tax benefit of $5, $3, $8 and $9	(17)	 		(15)	 		(28)	 		(36)	 	
Balance – end of period	(13)	 		37 	 		(13)	 		37 	 	
Accumulated other comprehensive income	1,098 	 		139 	 		1,098 	 		139 	 	

Total shareholders’ equity	$	54,760 	 		$	53,802 	 		$	54,760 	 		$	53,802 	 	
See accompanying notes to the consolidated financial statements

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CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited)
Chubb Limited and Subsidiaries

												
	Six Months Ended June 30	
(in millions of U.S. dollars)	2020		2019	
Cash flows from operating activities				
Net income (loss)	$	(79)	 		$	2,190 	 	
Adjustments to reconcile net income to net cash flows from operating activities				
Net realized (gains) losses	928 	 		320 	 	
Amortization of premiums/discounts on fixed maturities	192 	 		209 	 	
Amortization of purchased intangibles	145 	 		153 	 	
Deferred income taxes	(302)	 		(133)	 	
Unpaid losses and loss expenses	3,172 	 		240 	 	
Unearned premiums	538 	 		808 	 	
Future policy benefits	87 	 		101 	 	
Insurance and reinsurance balances payable	118 	 		(94)	 	
Accounts payable, accrued expenses, and other liabilities	(304)	 		(357)	 	
Income taxes payable	2 	 		16 	 	
Insurance and reinsurance balances receivable	(645)	 		(843)	 	
Reinsurance recoverable	(71)	 		565 	 	
Deferred policy acquisition costs	(62)	 		(194)	 	
	
Other	(22)	 		(273)	 	
Net cash flows from operating activities	3,697 	 		2,708 	 	
Cash flows from investing activities				
Purchases of fixed maturities available for sale	(13,058)	 		(12,566)	 	
	
Purchases of fixed maturities held to maturity	(42)	 		(73)	 	
Purchases of equity securities	(2,824)	 		(147)	 	
Sales of fixed maturities available for sale	7,734 	 		7,832 	 	
	
Sales of to be announced mortgage-backed securities	— 	 		6 	 	
Sales of equity securities	1,353 	 		266 	 	
Maturities and redemptions of fixed maturities available for sale	5,220 	 		3,963 	 	
Maturities and redemptions of fixed maturities held to maturity	642 	 		598 	 	
Net change in short-term investments	173 	 		(763)	 	
Net derivative instruments settlements	(18)	 		(536)	 	
Private equity contributions	(546)	 		(920)	 	
Private equity distributions	443 	 		780 	 	
Deposit paid on share acquisition	(1,550)	 		— 	 	
Other	(221)	 		(727)	 	
Net cash flows used for investing activities	(2,694)	 		(2,287)	 	
Cash flows from financing activities				
Dividends paid on Common Shares	(678)	 		(671)	 	
Common Shares repurchased	(333)	 		(741)	 	
Proceeds from issuance of long-term debt	— 	 		1,289 	 	
Repayment of long-term debt	— 	 		(500)	 	
Proceeds from issuance of repurchase agreements	1,402 	 		1,984 	 	
Repayment of repurchase agreements	(1,402)	 		(1,986)	 	
Proceeds from share-based compensation plans	74 	 		95 	 	
Policyholder contract deposits	215 	 		237 	 	
Policyholder contract withdrawals	(173)	 		(138)	 	
Other	(3)	 		— 	 	
Net cash flows used for financing activities	(898)	 		(431)	 	
Effect of foreign currency rate changes on cash and restricted cash	(42)	 		38 	 	
Net increase in cash and restricted cash	63 	 		28 	 	
Cash and restricted cash – beginning of period	1,646 	 		1,340 	 	
Cash and restricted cash – end of period	$	1,709 	 		$	1,368 	 	
Supplemental cash flow information				
Taxes paid	$	442 	 		$	522 	 	
Interest paid	$	286 	 		$	286 	 	
See accompanying notes to the consolidated financial statements
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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 Form 10-K.

b) Restricted cash
Restricted cash in the Consolidated balance sheets represents amounts held for the benefit of third parties and is legally or contractually restricted as to withdrawal or usage. Amounts include deposits with U.S. and non-U.S. regulatory authorities, trust funds set up for the benefit of ceding companies, and amounts pledged as collateral to meet financing arrangements.

The following table provides a reconciliation of cash and restricted cash reported within the Consolidated balance sheets that total to the amounts shown in the Consolidated statements of cash flows:

	June 30		December 31	
(in millions of U.S. dollars)	2020		2019	
Cash	$	1,557 	 		$	1,537 	 	
Restricted cash	152 	 		109 	 	
Total cash and restricted cash shown in the Consolidated statements of cash flows	$	1,709 	 		$	1,646 	 	

c) Goodwill
During the six months ended June 30, 2020, Goodwill decreased $112 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.

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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 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.

2. Acquisitions

Huatai Group
Chubb maintains a direct investment in Huatai Insurance Group Company Limited (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). As of June 30, 2020 Chubb's aggregate ownership interest in Huatai Group was 30.9 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 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. 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.
Upon completion of the 7.1 percent purchase, which will result in majority ownership of Huatai Group, Chubb is expected to obtain control of Huatai Group, Huatai P&C and Huatai Life. At that time, Chubb is expected to apply consolidation accounting and discontinue the application of the equity method of accounting. 
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Chubb Limited and Subsidiaries

3. Investments

a) Fixed maturities
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 	 		$	— 	 	

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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.

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Chubb Limited and Subsidiaries

The following table presents fixed maturities by contractual maturity:

			June 30				December 31	
 			2020				2019	
(in millions of U.S. dollars)	Net Carrying Value		Fair Value		Amortized Cost		Fair Value	
Available for sale								
Due in 1 year or less	$	4,487 	 		$	4,487 	 		$	3,951 	 		$	3,973 	 	
Due after 1 year through 5 years	26,867 	 		26,867 	 		27,142 	 		27,720 	 	
Due after 5 years through 10 years	25,465 	 		25,465 	 		23,901 	 		24,874 	 	
Due after 10 years	11,695 	 		11,695 	 		8,874 	 		9,729 	 	
	68,514 	 		68,514 	 		63,868 	 		66,296 	 	
Mortgage-backed securities	18,198 	 		18,198 	 		18,712 	 		19,192 	 	
	$	86,712 	 		$	86,712 	 		$	82,580 	 		$	85,488 	 	
Held to maturity								
Due in 1 year or less	$	890 	 		$	902 	 		$	478 	 		$	479 	 	
Due after 1 year through 5 years	3,505 	 		3,662 	 		3,869 	 		3,940 	 	
Due after 5 years through 10 years	3,328 	 		3,516 	 		3,756 	 		3,883 	 	
Due after 10 years	1,934 	 		2,209 	 		2,147 	 		2,307 	 	
	9,657 	 		10,289 	 		10,250 	 		10,609 	 	
Mortgage-backed securities	2,188 	 		2,331 	 		2,331 	 		2,396 	 	
	$	11,845 	 		$	12,620 	 		$	12,581 	 		$	13,005 	 	

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 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, for AFS fixed maturities in an unrealized loss position (including securities on loan) that are not deemed to have 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	
June 30, 2020	Fair Value		Gross
Unrealized
Loss		Fair Value		Gross
Unrealized
Loss		Fair Value		Gross
Unrealized
Loss	
(in millions of U.S. dollars)												
Non-U.S.	$	3,172 	 		$	(117)	 		$	105 	 		$	(22)	 		$	3,277 	 		$	(139)	 	
Corporate and asset-backed securities	7,985 	 		(295)	 		551 	 		(35)	 		8,536 	 		(330)	 	
Mortgage-backed securities	953 	 		(13)	 		27 	 		(2)	 		980 	 		(15)	 	
Municipal	95 	 		(1)	 		65 	 		(2)	 		160 	 		(3)	 	
Total AFS fixed maturities	$	12,205 	 		$	(426)	 		$	748 	 		$	(61)	 		$	12,953 	 		$	(487)	 	

	
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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	
December 31, 2019	Fair Value		Gross
Unrealized
Loss		Fair Value		Gross
Unrealized
Loss		Fair Value		Gross
Unrealized
Loss	
(in millions of U.S. dollars)												
U.S. Treasury / Agency	$	234 	 		$	(1)	 		$	339 	 		$	— 	 		$	573 	 		$	(1)	 	
Non-U.S.	1,846 	 		(34)	 		802 	 		(28)	 		2,648 	 		(62)	 	
Corporate and asset-backed securities	2,121 	 		(40)	 		988 	 		(40)	 		3,109 	 		(80)	 	
Mortgage-backed securities	1,174 	 		(6)	 		932 	 		(8)	 		2,106 	 		(14)	 	
Municipal	188 	 		— 	 		276 	 		(12)	 		464 	 		(12)	 	
Total fixed maturities	$	5,563 	 		$	(81)	 		$	3,337 	 		$	(88)	 		$	8,900 	 		$	(169)	 	

	

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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Chubb Limited and Subsidiaries

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

	Three Months Ended		Six Months Ended	
	June 30		June 30	
(in millions of U.S. dollars)	2020		2019		2020		2019	
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)	 		— 	 	
Impairment (1)	(31)	 		— 	 		(152)	 		— 	 	
Total fixed maturities	$	(33)	 		$	12 	 		$	(352)	 		$	(32)	 	
Equity securities	148 	 		5 	 		119 	 		63 	 	
	
Other investments	(107)	 		30 	 		(102)	 		(14)	 	
Foreign exchange gains (losses)	(61)	 		(11)	 		(129)	 		2 	 	
Investment and embedded derivative instruments	14 	 		(181)	 		29 	 		(311)	 	
Fair value adjustments on insurance derivative	213 	 		(65)	 		(472)	 		49 	 	
S&P futures	(103)	 		(20)	 		22 	 		(83)	 	
Other derivative instruments	(1)	 		7 	 		(3)	 		6 	 	
Other	(40)	 		— 	 		(40)	 		— 	 	
Net realized gains (losses) (pre-tax)	$	30 	 		$	(223)	 		$	(928)	 		$	(320)	 	
(1)Relates to certain securities we intended to sell and securities written to market entering default.

Realized gains and losses from Equity securities and Other investments from the table above include sales of securities and
unrealized gains and losses from fair value changes as follows:

			Three Months Ended	
			June 30	
	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	$	148 	 		$	(107)	 		$	41 	 		$	5 	 		$	30 	 		$	35 	 	
Less: Net gains (losses) recognized from sales of securities	187 	 		— 	 		187 	 		32 	 		— 	 		32 	 	
Unrealized gains (losses) recognized for securities still held at reporting date	$	(39)	 		$	(107)	 		$	(146)	 		$	(27)	 		$	30 	 		$	3 	 	

																																				
			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	
	June 30		June 30	
(in millions of U.S. dollars)	2020		2020	
Available for sale				
Valuation allowance for expected credit losses - beginning of period	$	176 	 		$	— 	 	
Impact of adoption of new accounting guidance	— 	 		25 	 	
Provision for expected credit loss	29 	 		178 	 	
Initial allowance for purchased securities with credit deterioration	3 	 		5 	 	
Write-offs charged against the expected credit loss	(5)	 		(5)	 	
	
Recovery of expected credit loss	(134)	 		(134)	 	
Valuation allowance for expected credit losses - end of period	$	69 	 		$	69 	 	
Held to maturity				
Valuation allowance for expected credit losses - beginning of period	$	45 	 		$	— 	 	
Impact of adoption of new accounting guidance	— 	 		44 	 	
Provision for expected credit loss	6 	 		7 	 	

	
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.

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 (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	
 	Expected
Liquidation
Period of Underlying Assets				2020				2019	
(in millions of U.S. dollars)			Fair
Value		Maximum
Future Funding
Commitments		Fair
Value		Maximum
Future Funding
Commitments	
Financial	2 to 10 Years		$	521 	 		$	309 	 		$	611 	 		$	329 	 	
Real Assets	2 to 11 Years		674 	 		749 	 		712 	 		422 	 	
Distressed	2 to 8 Years		220 	 		158 	 		263 	 		80 	 	
Private Credit	3 to 8 Years		81 	 		272 	 		104 	 		272 	 	
Traditional	2 to 14 Years		3,039 	 		1,852 	 		2,844 	 		2,160 	 	
Vintage	1 to 2 Years		90 	 		— 	 		116 	 		— 	 	
Investment funds	Not Applicable		228 	 		— 	 		271 	 		— 	 	
			$	4,853 	 		$	3,340 	 		$	4,921 	 		$	3,263 	 	

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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Chubb Limited and Subsidiaries

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

d) 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 and December 31, 2019 are investments, primarily fixed maturities, totaling $19.6 billion and $21.0 billion, respectively, and cash of $152 million and $109 million, respectively.
The following table presents the components of restricted assets:

	June 30		December 31	
(in millions of U.S. dollars)	2020		2019	
Trust funds	$	12,522 	 		$	14,004 	 	
Deposits with U.S. regulatory authorities	2,424 	 		2,466 	 	
Deposits with non-U.S. regulatory authorities	2,807 	 		2,709 	 	
Assets pledged under repurchase agreements	1,460 	 		1,464 	 	
Other pledged assets	523 	 		490 	 	
Total	$	19,736 	 		$	21,133 	 	
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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, 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 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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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 reserves for our guaranteed minimum death benefits (GMDB) and 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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Financial instruments measured at fair value on a recurring basis, by valuation hierarchy

June 30, 2020	Level 1		Level 2		Level 3		Total	
(in millions of U.S. dollars)								
Assets:								
Fixed maturities available for sale								
U.S. Treasury / Agency	$	2,316 	 		$	559 	 		$	— 	 		$	2,875 	 	
Non-U.S.	— 	 		24,138 	 		469 	 		24,607 	 	
Corporate and asset-backed securities	— 	 		32,548 	 		1,369 	 		33,917 	 	
Mortgage-backed securities	— 	 		18,138 	 		60 	 		18,198 	 	
Municipal	— 	 		7,115 	 		— 	 		7,115 	 	
	2,316 	 		82,498 	 		1,898 	 		86,712 	 	
Equity securities	2,329 	 		1 	 		64 	 		2,394 	 	
Short-term investments	2,707 	 		1,294 	 		2 	 		4,003 	 	
Other investments (1)	361 	 		383 	 		10 	 		754 	 	
Securities lending collateral	— 	 		1,832 	 		— 	 		1,832 	 	
Investment derivative instruments	19 	 		— 	 		— 	 		19 	 	
Other derivative instruments	1 	 		— 	 		— 	 		1 	 	
Separate account assets	3,394 	 		132 	 		— 	 		3,526 	 	
Total assets measured at fair value (1)	$	11,127 	 		$	86,140 	 		$	1,974 	 		$	99,241 	 	
Liabilities:								
Investment derivative instruments	$	96 	 		$	— 	 		$	— 	 		$	96 	 	
	
GLB (2)	— 	 		— 	 		928 	 		928 	 	
Total liabilities measured at fair value	$	96 	 		$	— 	 		$	928 	 		$	1,024 	 	
(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $4,853 million, policy loans of $226 million and other investments of $90 million at June 30, 2020 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.
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December 31, 2019	Level 1		Level 2		Level 3		Total	
(in millions of U.S. dollars)								
Assets:								
Fixed maturities available for sale								
U.S. Treasury / Agency	$	2,664 	 		$	619 	 		$	— 	 		$	3,283 	 	
Non-U.S.	— 	 		23,258 	 		449 	 		23,707 	 	
Corporate and asset-backed securities	— 	 		30,340 	 		1,451 	 		31,791 	 	
Mortgage-backed securities	— 	 		19,132 	 		60 	 		19,192 	 	
Municipal	— 	 		7,515 	 		— 	 		7,515 	 	
	2,664 	 		80,864 	 		1,960 	 		85,488 	 	
Equity securities	728 	 		15 	 		69 	 		812 	 	
Short-term investments	2,803 	 		1,482 	 		6 	 		4,291 	 	
Other investments (1)	412 	 		377 	 		10 	 		799 	 	
Securities lending collateral	— 	 		994 	 		— 	 		994 	 	
Investment derivative instruments	24 	 		— 	 		— 	 		24 	 	
Other derivative instruments	2 	 		— 	 		— 	 		2 	 	
Separate account assets	3,437 	 		136 	 		— 	 		3,573 	 	
Total assets measured at fair value (1)	$	10,070 	 		$	83,868 	 		$	2,045 	 		$	95,983 	 	
Liabilities:								
Investment derivative instruments	$	93 	 		$	— 	 		$	— 	 		$	93 	 	
Other derivative instruments	13 	 		— 	 		— 	 		13 	 	
GLB (2)	— 	 		— 	 		456 	 		456 	 	
Total liabilities measured at fair value	$	106 	 		$	— 	 		$	456 	 		$	562 	 	
(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $4,921 million and other investments of $95 million at December 31, 2019 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.

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)	
	June 30, 2020		December 31, 2019									
GLB (1)	$	928 	 		$	456 	 		Actuarial model		Lapse rate		3% – 34%		4.6 	%	
							Annuitization rate		0% – 52%		4.1 	%	
(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.

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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.

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, 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 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	
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									
														
Balance – beginning of period	$	465 	 		$	1,502 	 		$	60 	 		$	67 	 		$	1 	 		$	10 	 		$	1,141 	 	
	
Transfers out of Level 3	(13)	 		(71)	 		— 	 		— 	 		— 	 		— 	 		— 	 	
Change in Net Unrealized Gains (Losses) in OCI	(6)	 		1 	 		— 	 		(1)	 		— 	 		— 	 		— 	 	
	
Net Realized Gains/Losses	(1)	 		(13)	 		— 	 		(1)	 		— 	 		— 	 		(213)	 	
	
Purchases	67 	 		83 	 		— 	 		8 	 		1 	 		— 	 		— 	 	
Sales	(16)	 		(48)	 		— 	 		(9)	 		— 	 		— 	 		— 	 	
Settlements	(27)	 		(85)	 		— 	 		— 	 		— 	 		— 	 		— 	 	
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	$	— 	 		$	5 	 		$	— 	 		$	1 	 		$	— 	 		$	— 	 		$	(213)	 	
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date	$	(5)	 		$	7 	 		$	— 	 		$	— 	 		$	— 	 		$	— 	 		$	— 	 	
(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.
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  	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									
														
Balance – beginning of period	$	360 	 		$	1,342 	 		$	78 	 		$	55 	 		$	— 	 		$	11 	 		$	338 	 	
Transfers into Level 3	— 	 		10 	 		— 	 		— 	 		— 	 		— 	 		— 	 	
	
Change in Net Unrealized Gains/Losses in OCI, including foreign exchange	— 	 		1 	 		— 	 		1 	 		— 	 		— 	 		— 	 	
	
Net Realized Gains/Losses	— 	 		(1)	 		— 	 		(1)	 		— 	 		— 	 		65 	 	
	
Purchases	43 	 		121 	 		— 	 		5 	 		4 	 		— 	 		— 	 	
Sales	(14)	 		(36)	 		(1)	 		(4)	 		— 	 		— 	 		— 	 	
Settlements	(18)	 		(78)	 		(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)	 		$	— 	 		$	(1)	 		$	— 	 		$	— 	 		$	65 	 	
	
(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 million at December 31, 2019, which includes a fair value derivative adjustment of $928 million and $456 million, respectively.

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

Management evaluates the need for a 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 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.
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 	 	

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6. Unpaid losses and loss expenses

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

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

Net losses and loss expenses incurred in respect of losses occurring in:				
Current year	11,111 	 		9,224 	 	
Prior years (2)	(49)	 		(411)	 	
Total	11,062 	 		8,813 	 	
Net losses and loss expenses paid in respect of losses occurring in:				
Current year	2,263 	 		2,288 	 	
Prior years	5,842 	 		5,823 	 	
Total	8,105 	 		8,111 	 	
Foreign currency revaluation and other	(128)	 		(1)	 	
Net unpaid losses and loss expenses – end of period	51,338 	 		48,972 	 	
Reinsurance recoverable on unpaid losses (1)	14,361 	 		14,233 	 	
Gross unpaid losses and loss expenses – end of period	$	65,699 	 		$	63,205 	 	
(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 million and $19 million for the six months ended June 30, 2020 and 2019, respectively.

Gross and net unpaid losses and loss expenses increased $3,009 million and $2,829 million, respectively, for the six months ended June 30, 2020, driven by catastrophe losses incurred principally related to the COVID-19 pandemic and an increase in underlying reserves, partially offset by favorable foreign exchange movement.

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

	Three Months Ended June 30		Six Months Ended June 30	
(in millions of U.S. dollars)	Long-tail    		Short-tail		Total		Long-tail    		Short-tail		Total	
2020												
North America Commercial P&C Insurance	$	(141)	 		$	(5)	 		$	(146)	 		$	(184)	 		$	(67)	 		$	(251)	 	
North America Personal P&C Insurance	— 	 		(1)	 		(1)	 		— 	 		— 	 		— 	 	
North America Agricultural Insurance	— 	 		— 	 		— 	 		— 	 		(14)	 		(14)	 	
Overseas General Insurance	(1)	 		(35)	 		(36)	 		(1)	 		(39)	 		(40)	 	
Global Reinsurance	(19)	 		3 	 		(16)	 		(19)	 		(4)	 		(23)	 	
Corporate	274 	 		— 	 		274 	 		285 	 		— 	 		285 	 	
Total	$	113 	 		$	(38)	 		$	75 	 		$	81 	 		$	(124)	 		$	(43)	 	
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
For the three months ended June 30, 2020, net favorable PPD was $146 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 million in long-tail business, primarily from:

•Net favorable development of $152 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 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 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;

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

•Net adverse development of $5 million for U.S. child molestation claims, predominantly reviver statute-related.

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For the six months ended June 30, 2020, net favorable PPD was $251 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 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), in accident years 2016 and prior, due to lower than expected emergence;

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

•Net favorable development of $36 million in general liability coverages, 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 than expected reported loss emergence in accident years 2014 through 2019;

•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 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 million for U.S. child molestation claims, predominantly reviver statute-related.

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

•Net favorable development of $37 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
For the three months ended June 30, 2019, net favorable PPD was $185 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 $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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•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
For the three and six months ended June 30, 2020, net favorable PPD was $36 million and $40 million, respectively, which was the net result of 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, 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 is 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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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) 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 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	
	Consolidated
Balance Sheet
Location		Fair Value		Notional
Value/
Payment
Provision		Fair Value		Notional
Value/
Payment
Provision	
(in millions of U.S. dollars)			Derivative Asset		Derivative (Liability)				Derivative Asset		Derivative (Liability)			
Investment and embedded derivative instruments:														
Foreign currency forward contracts	OA / (AP)		$	16 	 		$	(85)	 		$	2,462 	 		$	11 	 		$	(78)	 		$	2,579 	 	
Options/Futures contracts on notes, bonds, and equities	OA / (AP)		3 	 		(11)	 		1,398 	 		13 	 		(15)	 		1,615 	 	
Convertible securities (1)	FM AFS / ES		8 	 		— 	 		10 	 		4 	 		— 	 		5 	 	
			$	27 	 		$	(96)	 		$	3,870 	 		$	28 	 		$	(93)	 		$	4,199 	 	
Other derivative instruments:														
Futures contracts on equities (2)	OA / (AP)		$	— 	 		$	— 	 		$	598 	 		$	— 	 		$	(13)	 		$	613 	 	
Other	OA / (AP)		1 	 		— 	 		97 	 		2 	 		— 	 		63 	 	
			$	1 	 		$	— 	 		$	695 	 		$	2 	 		$	(13)	 		$	676 	 	
GLB (3)	(AP) / (FPB)		$	— 	 		$	(1,372)	 		$	2,196 	 		$	— 	 		$	(897)	 		$	1,510 	 	
(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.

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At June 30, 2020 and December 31, 2019, derivative liabilities of $71 million and $75 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. 

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

	Three Months Ended		Six Months Ended	
	June 30		June 30	
(in millions of U.S. dollars)	2020		2019		2020		2019	
Investment and embedded derivative instruments:								
Foreign currency forward contracts	$	10 	 		$	(22)	 		$	53 	 		$	(37)	 	
Interest rate swaps	— 	 		(135)	 		— 	 		(215)	 	
All other futures contracts, options, and equities	3 	 		(25)	 		(24)	 		(61)	 	
Convertible securities (1)	1 	 		1 	 		— 	 		2 	 	
	
Total investment and embedded derivative instruments	$	14 	 		$	(181)	 		$	29 	 		$	(311)	 	
GLB and other derivative instruments:								
GLB (2)	$	213 	 		$	(65)	 		$	(472)	 		$	49 	 	
Futures contracts on equities (3)	(103)	 		(20)	 		22 	 		(83)	 	
Other	(1)	 		7 	 		(3)	 		6 	 	
Total GLB and other derivative instruments	$	109 	 		$	(78)	 		$	(453)	 		$	(28)	 	
	$	123 	 		$	(259)	 		$	(424)	 		$	(339)	 	
(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 reserves for GMDB and 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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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.

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. 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 as premium. Expected losses allocated to premiums received are classified as Future policy benefits and valued similar to GMDB reinsurance. Other changes in fair value arise principally from changes in expected losses allocated to expected future premiums. 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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the securities on loan. The collateral is recorded in Securities lending collateral and the liability is recorded in Securities lending payable in the Consolidated balance sheets.

The following table presents the carrying value of collateral held under securities lending agreements by investment category and remaining contractual maturity of the underlying agreements:

		Remaining contractual maturity	
	
		June 30, 2020		December 31, 2019	
(in millions of U.S. dollars)		Overnight and Continuous	
Collateral held under securities lending agreements:					
Cash		$	665 	 		$	346 	 	
U.S. Treasury / Agency		52 	 		6 	 	
Non-U.S.		1,059 	 		595 	 	
Corporate and asset-backed securities		20 	 		5 	 	
Mortgage-backed securities		— 	 		18 	 	
	
Equity securities		36 	 		24 	 	
	
		$	1,832 	 		$	994 	 	
Gross amount of recognized liability for securities lending payable		$	1,832 	 		$	994 	 	

At June 30, 2020 and December 31, 2019, our repurchase agreement obligations of $1,409 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	
	June 30, 2020				December 31, 2019	
		Greater than
90 Days		Total		Up to 30 Days		30-90 Days		Greater than
90 Days		Total	
(in millions of U.S. dollars)													
Collateral pledged under repurchase agreements:													
Cash		$	1 	 		$	1 	 		$	2 	 		$	— 	 		$	— 	 		$	2 	 	
U.S. Treasury / Agency		109 	 		109 	 		107 	 		— 	 		— 	 		107 	 	

Mortgage-backed securities		1,350 	 		1,350 	 		399 	 		476 	 		480 	 		1,355 	 	
		$	1,460 	 		$	1,460 	 		$	508 	 		$	476 	 		$	480 	 		$	1,464 	 	
Gross amount of recognized liabilities for repurchase agreements				$	1,409 	 								$	1,416 	 	
Difference (1)				$	51 	 								$	48 	 	
(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.

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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, 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 billion. In connection with these investments, we have commitments that may require funding of up to $3.3 billion over the next several years.

f) Income taxes
At June 30, 2020, $48 million of unrecognized tax benefits remain 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.

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 and December 31, 2019, the right-of-use asset was $483 million and $551 million, respectively, and is recorded within Other assets on the Consolidated balance sheets. At June 30, 2020 and December 31, 2019, the lease liability was $531 million and $603 million, respectively, and is 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.

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 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, our Common Shares had a par value of CHF 24.15 per share.

At our May 2019 and 2018 annual general meetings, our shareholders approved annual dividends for the following year of up to $3.00 per share and $2.92 per share, respectively, which were paid in four quarterly installments of $0.75 per share and $0.73 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 distributions per Common Share in Swiss francs (CHF) and U.S. dollars (USD):

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	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, 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.

The following table presents repurchases of Chubb's Common Shares conducted in a series of open market transactions under the Board authorizations:

	Three Months Ended		Six Months Ended	
			June 30				June 30	
(in millions of U.S. dollars, except share data)	2020		2019		2020		2019	
Number of shares repurchased	— 	 		2,584,466 	 		2,266,150 	 		5,338,220 	 	
Cost of shares repurchased	$	— 	 		$	376 	 		$	326 	 		$	743 	 	
Repurchase authorization remaining at end of period	$	1,124 	 		$	736 	 		$	1,124 	 		$	736 	 	

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, Chubb granted 1,957,505 stock options with a weighted-average grant date fair value of $19.89 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, Chubb granted 1,002,341 service-based restricted stock awards, 344,501 service-based restricted stock units, and 203,533 performance-based stock awards to employees and officers with a grant date fair value of $150.11 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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The line items in which the service and non-service cost components of net periodic (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	
Six Months Ended June 30		2020		2019		2020		2019	
(in millions of U.S. dollars)									
Service cost:									
Losses and loss expenses		$	— 	 		$	3 	 		$	— 	 		$	— 	 	
Administrative expenses		2 	 		27 	 		— 	 		— 	 	
Total service cost		2 	 		30 	 		— 	 		— 	 	
Non-service cost:									
Losses and loss expenses		(6)	 		(4)	 		(4)	 		(4)	 	
Administrative expenses		(63)	 		(39)	 		(37)	 		(36)	 	
Total non-service (benefit) cost		(69)	 		(43)	 		(41)	 		(40)	 	
Net periodic (benefit) cost		$	(67)	 		$	(13)	 		$	(41)	 		$	(40)	 	

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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 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 Segment income (loss), include Net investment income (loss), Other (income) expense, and Amortization expense of purchased intangibles. For the North America Agricultural Insurance segment, management includes gains and losses on crop derivatives as a component of 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 Net realized gains (losses) in the Corporate column below.

For the Life Insurance segment, management includes Net investment income (loss) 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 million and gains from fair value changes in separate account assets of $40 million. The gains from fair value changes in separate account assets are reported in Other (income) expense in the table below.

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	

																
Net premiums written	$	3,720 	 		$	1,327 	 		$	461 	 		$	2,021 	 		$	207 	 		$	619 	 		$	— 	 		$	8,355 	 	
Net premiums earned	3,595 	 		1,192 	 		376 	 		2,194 	 		163 	 		608 	 		— 	 		8,128 	 	
Losses and loss expenses	3,498 	 		762 	 		312 	 		1,485 	 		73 	 		171 	 		276 	 		6,577 	 	
Policy benefits	— 	 		— 	 		— 	 		— 	 		— 	 		223 	 		— 	 		223 	 	
Policy acquisition costs	471 	 		231 	 		29 	 		624 	 		42 	 		196 	 		— 	 		1,593 	 	
Administrative expenses	249 	 		66 	 		3 	 		241 	 		9 	 		82 	 		77 	 		727 	 	
Underwriting income (loss)	(623)	 		133 	 		32 	 		(156)	 		39 	 		(64)	 		(353)	 		(992)	 	
Net investment income (loss)	507 	 		65 	 		7 	 		124 	 		51 	 		95 	 		(22)	 		827 	 	
Other (income) expense	4 	 		1 	 		1 	 		8 	 		(8)	 		(57)	 		109 	 		58 	 	
Amortization expense of purchased intangibles	— 	 		3 	 		6 	 		11 	 		— 	 		1 	 		51 	 		72 	 	
Segment income (loss)	$	(120)	 		$	194 	 		$	32 	 		$	(51)	 		$	98 	 		$	87 	 		$	(535)	 		$	(295)	 	
Net realized gains (losses)													30 	 		30 	 	
Interest expense													128 	 		128 	 	
	
Income tax benefit													(62)	 		(62)	 	
Net loss													$	(571)	 		$	(331)	 	

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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)	 	

38

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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	

																
Net premiums written	$	6,485 	 		$	2,365 	 		$	596 	 		$	4,653 	 		$	399 	 		$	1,158 	 		$	— 	 		$	15,656 	 	
Net premiums earned	6,475 	 		2,322 	 		433 	 		4,339 	 		327 	 		1,132 	 		— 	 		15,028 	 	
Losses and loss expenses	4,187 	 		1,504 	 		289 	 		2,231 	 		166 	 		391 	 		45 	 		8,813 	 	
Policy benefits	— 	 		— 	 		— 	 		— 	 		— 	 		357 	 		— 	 		357 	 	
Policy acquisition costs	918 	 		468 	 		34 	 		1,225 	 		85 	 		278 	 		— 	 		3,008 	 	
Administrative expenses	499 	 		139 	 		5 	 		514 	 		17 	 		157 	 		137 	 		1,468 	 	
Underwriting income (loss)	871 	 		211 	 		105 	 		369 	 		59 	 		(51)	 		(182)	 		1,382 	 	
Net investment income (loss)	1,031 	 		128 	 		14 	 		295 	 		111 	 		186 	 		(70)	 		1,695 	 	
Other (income) expense	(3)	 		1 	 		1 	 		7 	 		(24)	 		(47)	 		(204)	 		(269)	 	
Amortization expense of purchased intangibles	— 	 		6 	 		14 	 		23 	 		— 	 		1 	 		109 	 		153 	 	
Segment income (loss)	$	1,905 	 		$	332 	 		$	104 	 		$	634 	 		$	194 	 		$	181 	 		$	(157)	 		$	3,193 	 	
Net realized gains (losses) including OTTI													(320)	 		(320)	 	
Interest expense													280 	 		280 	 	
Chubb integration expenses													7 	 		7 	 	
Income tax expense													396 	 		396 	 	
Net income (loss)													$	(1,160)	 		$	2,190 	 	

Underwriting assets are reviewed in total by management for purposes of decision-making. Other than Unpaid losses and loss expenses, 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.

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

39

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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 subsidiary of the Parent Guarantor. The Parent Guarantor fully and unconditionally guarantees certain of the debt of the Subsidiary Issuer. Condensed consolidating financial 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.

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 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, the cash balance of one or more entities was negative; however, the overall Pool balances were positive.

40

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)
Chubb Limited and Subsidiaries

Condensed Consolidating Balance Sheet at 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.

41

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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 	 	

42

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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 	 	

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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, 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.

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 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.

MD&A Index	Page	
Forward-Looking Statements	47	
Overview	49	
Financial Highlights	49	
Consolidated Operating Results	50	
	
Segment Operating Results	56	
Net Realized and Unrealized Gains (Losses)	67	
Effective Income Tax Rate	69	
Non-GAAP Reconciliation	69	
Other Income and Expense	76	
Amortization of Purchased Intangibles and Other Amortization	76	
Net Investment Income	78	
	
Investments	78	
Critical Accounting Estimates	82	
	
Unpaid Losses and Loss Expenses	82	
Asbestos and Environmental (A&E)	82	
Fair Value Measurements	82	
Catastrophe Management	83	
Natural Catastrophe Property Reinsurance Program	84	
	
Liquidity	85	
Capital Resources	86	

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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. 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:
•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;
•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;
•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 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, 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;
•the effects of public company bankruptcies and/or 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;
•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 (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 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;
•loss of the services of any of our executive officers without suitable replacements being recruited in a reasonable time frame;
•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, we had total assets of $181 billion and shareholders’ equity of $55 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 Form 10-K.

			
Financial Highlights for the Three Months Ended June 30, 2020	
•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 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.

◦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 pre-tax and after-tax unfavorable prior period development were $75 million (1.0 percentage point of the combined ratio) and $52 million, respectively, compared with favorable prior period development of $188 million (2.6 percentage points of the combined ratio) and $152 million, respectively, in the prior year period. The current quarter included $259 million pre-tax, or $205 million after tax, for U.S. child molestation claims, predominantly reviver statute-related.

•Consolidated net premiums written were $8.4 billion, up 0.1 percent, or 1.9 percent 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.

•The P&C combined ratio was 112.3% compared with 90.1% prior year, including catastrophe losses of 23.9 percentage points compared with 3.8 percentage points prior year. The P&C current accident year combined ratio excluding catastrophe losses was 87.4% compared with 88.9% prior year.

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

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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, 2020 and 2019	

																																				
	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	$	8,355 	 		$	8,343 	 		0.1 	%		$	16,332 	 		$	15,656 	 		4.3 	%	
Net premiums earned	8,128 	 		7,891 	 		3.0 	%		15,922 	 		15,028 	 		5.9 	%	
Net investment income	827 	 		859 	 		(3.8)	%		1,688 	 		1,695 	 		(0.4)	%	
Net realized gains (losses)	30 	 		(223)	 		NM		(928)	 		(320)	 		190.2 	%	
Total revenues	8,985 	 		8,527 	 		5.4 	%		16,682 	 		16,403 	 		1.7 	%	
Losses and loss expenses	6,577 	 		4,715 	 		39.5 	%		11,062 	 		8,813 	 		25.5 	%	
Policy benefits	223 	 		161 	 		38.7 	%		352 	 		357 	 		(1.5)	%	
Policy acquisition costs	1,593 	 		1,544 	 		3.2 	%		3,208 	 		3,008 	 		6.6 	%	
Administrative expenses	727 	 		758 	 		(4.0)	%		1,468 	 		1,468 	 		— 	 	
Interest expense	128 	 		140 	 		(8.8)	%		260 	 		280 	 		(7.0)	%	
Other (income) expense	58 	 		(230)	 		NM		113 	 		(269)	 		NM	
Amortization of purchased intangibles	72 	 		77 	 		(6.6)	%		145 	 		153 	 		(5.3)	%	
Chubb integration expenses	— 	 		4 	 		NM		— 	 		7 	 		NM	
Total expenses	9,378 	 		7,169 	 		30.8 	%		16,608 	 		13,817 	 		20.2 	%	
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 	%	
	
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 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			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)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 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, 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.
•Workers' compensation was adversely impacted by market conditions and by 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.
•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, 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.
•Property and other short-tail lines increased due to new business and positive rate increases primarily in North America and Europe.

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•Personal lines decreased for the three months ended June 30, 2020 primarily due to the impact of the COVID-19 pandemic, which caused declines 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 contributed to the increase for the six months ended June 30, 2020.
•Global A&H lines decreased due to declines in Asia and Latin America, principally from less travel volume due to COVID-19 pandemic, and in our North American Combined Insurance supplemental A&H program.
•The increase in Life was primarily driven by growth in Latin America, principally driven by our expanded presence in Chile, and Asian international life operations.
For additional information on net premiums written, refer to the segment results discussions.

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, net premiums earned increased $237 million and $894 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). On 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.

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.

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 	 	

Catastrophe losses through June 30, 2019 were primarily due to severe weather-related events in the U.S., including winter-related storms, and storms in Australia.

Pre-tax net adverse prior period development for the three months ended June 30, 2020 was $75 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 79 percent long-tail lines, principally from accident years 2016 and prior, and 21 percent 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 development for the three months ended June 30, 2019 was $188 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 and 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.

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 P&C Combined Ratio excluding CATs
The following table presents the impact of catastrophe losses and prior period development on our loss and loss expense ratio. Refer 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 	%	

The CAY loss ratio excluding CATs decreased 0.1 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 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.

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 	%	

	

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, 2020 and 2019, Policy benefits were $223 million, and $161 million, respectively, which included separate account liabilities (gains) losses of $40 million and $(3) 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 million and $164 million for the three months ended June 30, 2020 and 2019, respectively, reflecting growth in new business as described above and our expanded presence in Chile.

For 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 of $(16) million and $27 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 $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.

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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, 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 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) 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.

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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	
	June 30		June 30	
(in millions of U.S. dollars)	2020		2019		2020		2019	
Catastrophe losses (excludes reinstatement premiums)	$	1,270 	 		$	137 	 		$	1,388 	 		$	231 	 	
Favorable prior period development	$	146 	 		$	185 	 		$	251 	 		$	316 	 	

Catastrophe losses through June 30, 2020 and 2019 were primarily from the following events:
•2020: COVID-19 pandemic claims of $973 million, civil unrest in the U.S. of $118 million, and natural catastrophes including Nashville, Tennessee tornado and other severe weather-related events in the U.S.
•2019: Winter-related storms and other severe weather-related events in the U.S.

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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				
 	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	$	1,327 	 		$	1,309 	 		1.4 	%		$	2,434 	 		$	2,365 	 	 	2.9 	%	
Net premiums earned	1,192 	 		1,168 	 		2.1 	%		2,392 	 		2,322 	 	 	3.0 	%	
Losses and loss expenses	762 	 		747 	 		1.8 	%		1,445 	 		1,504 	 	 	(4.0)	%	
Policy acquisition costs	231 	 		237 	 		(2.2)	%		476 	 		468 	 	 	1.7 	%	
Administrative expenses	66 	 		71 	 		(6.8)	%		134 	 		139 	 	 	(3.7)	%	
Underwriting income	133 	 		113 	 		18.5 	%		337 	 		211 	 	 	59.6 	%	
Net investment income	65 	 		64 	 		1.3 	%		131 	 		128 	 	 	2.5 	%	

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

Segment income	$	194 	 		$	173 	 		12.3 	%		$	459 	 		$	332 	 		38.3 	%	
Loss and loss expense ratio	63.8 	%		64.0 	%		(0.2)	 	pts		60.4 	%		64.7 	%		(4.3)	 	pts	
Policy acquisition cost ratio	19.4 	%		20.2 	%		(0.8)	 	pts		19.9 	%		20.2 	%		(0.3)	 	pts	
Administrative expense ratio	5.6 	%		6.1 	%		(0.5)	 	pts		5.6 	%		6.0 	%		(0.4)	 	pts	
Combined ratio	88.8 	%		90.3 	%		(1.5)	 	pts		85.9 	%		90.9 	%		(5.0)	 	pts	
	
Premiums
Net premiums written 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 earned increased $24 million, or 2.1 percent, and $70 million, or 3.0 percent, for the three and six months ended June 30, 2020, respectively, reflecting the growth in net premiums written described above.

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Combined Ratio
The loss and loss expense ratio decreased 0.2 percentage points and 4.3 percentage points for the three and six months ended June 30, 2020, respectively, primarily due to lower 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 policy acquisition cost ratio decreased 0.8 percentage points for the three months ended June 30, 2020 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, on a year-to-date basis, the policy acquisition cost ratio modestly decreased 0.3 percentage points.

The administrative expense ratio decreased 0.5 percentage points and 0.4 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 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 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	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.

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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.

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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 through June 30, 2020 and 2019 were primarily from severe weather-related events in the U.S. in our farm, ranch, and specialty P&C businesses.

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

There was no prior period development for the three months ended June 30, 2020 and 2019. For the six months ended June 30, 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 the six months ended June 30, 2019, net 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 	%	

The CAY loss ratio excluding catastrophe losses increased 0.9 percentage points for the six months ended June 30, 2020 principally due to 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.

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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.

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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.

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)	$	383 	 		$	9 	 		$	473 	 		$	34 	 	
Favorable prior period development	$	36 	 		$	20 	 		$	40 	 		$	24 	 	

Catastrophe losses through June 30, 2020 and 2019 were primarily from the following events:
•2020: COVID-19 pandemic claims of $373 million, storms in Australia, Australia wildfires, and other international weather-related events
•2019: Storms in Australia and other international weather-related events

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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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 under the Chubb Tempest Re brand name and provides a broad range of 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.

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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)	$	13 	 		$	10 	 		$	13 	 		$	10 	 	
Favorable prior period development	$	16 	 		$	— 	 		$	23 	 		$	8 	 	

	

Catastrophe losses through June 30, 2020 and 2019 were primarily from the following events:
•2020: COVID-19 pandemic claims of $10 million and severe weather-related events 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

	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 	%	

The CAY loss ratio excluding catastrophe losses decreased 2.9 percentage points and 1.4 percentage points for the three and six months ended June 30, 2020, respectively, primarily from a change in mix of business towards catastrophe lines which have a higher margin.

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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	82 	 		78 	 		4.4 	%		158 	 		157 	 		0.7 	%	
Net investment income	95 	 		97 	 		(1.4)	%		190 	 		186 	 		2.4 	%	
Life Insurance underwriting income	71 	 		87 	 		(18.5)	%		154 	 		162 	 		(5.3)	%	
Other (income) expense	(17)	 		(10)	 		63.8 	%		(29)	 		(20)	 		45.3 	%	
Amortization of purchased intangibles	1 	 		1 	 		— 	 		2 	 		1 	 		97.9 	%	
Segment income	$	87 	 		$	96 	 		(9.8)	%		$	181 	 		$	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.

Premiums
For the three and six months ended June 30, 2020, net premiums written increased $40 million and $106 million, respectively or $49 million and $114 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 our North America Combined Insurance business.
Deposits
The following table presents deposits collected on universal life and investment contracts:

 	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 for the three months ended June 30, 2020 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.

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Life Insurance underwriting income and Segment income
Life Insurance underwriting income decreased $16 million and $8 million for the three and six months ended June 30, 2020, respectively, primarily due to the impact of COVID-19 related catastrophe losses of $6 million and a decrease in underwriting 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 million for the three and six months ended June 30, 2020, respectively, principally due to our share of net income from 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			
 	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	
Losses and loss expenses	$	276 	 		$	34 	 		NM		$	287 	 		$	45 	 		NM	
Administrative expenses	77 	 		74 	 		3.6 	%		143 	 		137 	 		4.5 	%	
Underwriting loss	353 	 		108 	 		228.6 	%		430 	 		182 	 		136.8 	%	
Net investment income (loss)	(22)	 		(33)	 		(29.1)	%		(46)	 		(70)	 		(33.6)	%	
Interest expense	128 	 		140 	 		(8.8)	%		260 	 		280 	 		(7.0)	%	
Net realized gains (losses)	31 	 		(230)	 		NM		(925)	 		(326)	 		183.4 	%	
Other (income) expense	109 	 		(215)	 		NM		132 	 		(204)	 		NM	
Amortization of purchased intangibles	51 	 		54 	 		(7.5)	%		101 	 		109 	 		(7.2)	%	
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 	%	
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 million for the three and six months ended June 30, 2020, respectively, primarily due to the impact of the COVID-19 pandemic and higher legal expenses.

Refer to the respective sections for a discussion of Net investment income, Net realized gains and losses, 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 allowance for expected credit losses. For a further discussion related to how we assess the allowance for expected credit losses and the related impact on Net income, refer to Note 3 c) to the Consolidated Financial Statements. Additionally, Net income is

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impacted through the reporting of changes in the fair value of equity securities and private equity securities 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 of $257 million for the six months ended June 30, 2020 reflected the financial market volatility in the credit, equity and foreign exchange markets, driven by the impact of the COVID-19 global pandemic. The $815 million gain in our investment portfolio was principally a result of a decline in interest rates and a narrowing of credit spreads in 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 lower global equities markets, as discussed below.

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 million for the three months ended June 30, 2020 reflecting a net decrease in the fair value of the GLB liabilities of $213 million due to 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 million related to these other derivatives.

For the three months ended June 30, 2019, the variable annuity reinsurance derivative transactions resulted in realized losses of $85 million reflecting a net increase in the fair value of GLB liabilities of $65 million and a net realized loss of $20 million related to these other derivative instruments. The net increase in the fair value of GLB liabilities is 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 income tax rate reflects a mix of income or losses in jurisdictions with a wide range of tax rates, permanent differences between US GAAP and local tax laws, and the timing of recording discrete items. A change in the geographic mix of earnings could impact our effective tax rate.

Our effective tax rate (ETR) for the three and six months ended June 30, 2020, was impacted by the high level of catastrophe losses, principally COVID-19, which resulted in an ETR for our tax benefit of 15.8 percent for 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 of realized losses generated in lower tax jurisdictions. This compares to an ETR on our tax expense of 15.3 percent in both the prior year periods.

			
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).

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	
Three Months Ended															
June 30, 2020															
(in millions of U.S. dollars except for ratios)															
Numerator															
Losses and loss expenses															
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, net of related adjustments		(1,273)	 		(110)	 		(6)	 		(399)	 		(13)	 		— 	 		(1,801)	 	
Reinstatement premiums collected (expensed) on catastrophe losses		(3)	 		(1)	 		— 	 		(16)	 		— 	 		— 	 		(20)	 	
Catastrophe losses, gross of related adjustments		(1,270)	 		(109)	 		(6)	 		(383)	 		(13)	 		— 	 		(1,781)	 	
PPD and related adjustments															
PPD, net of related adjustments - favorable (unfavorable)		146 	 		1 	 		— 	 		36 	 		16 	 		(274)	 		(75)	 	
Net premiums earned adjustments on PPD - unfavorable (favorable)		4 	 		— 	 		— 	 		— 	 		— 	 		— 	 		4 	 	
Expense adjustments - unfavorable (favorable)		1 	 		— 	 		— 	 		— 	 		— 	 		— 	 		1 	 	
PPD reinstatement premiums - unfavorable (favorable)		— 	 		— 	 		— 	 		— 	 		(1)	 		— 	 		(1)	 	
PPD, gross of related adjustments - favorable (unfavorable)		151 	 		1 	 		— 	 		36 	 		15 	 		(274)	 		(71)	 	
CAY loss and loss expense ex CATs	B	$	2,379 	 		$	654 	 		$	307 	 		$	1,138 	 		$	75 	 		$	2 	 		$	4,555 	 	
Policy acquisition costs and administrative expenses															
Policy acquisition costs and administrative expenses	C	$	720 	 		$	297 	 		$	32 	 		$	865 	 		$	51 	 		$	77 	 		$	2,042 	 	
Expense adjustments - favorable (unfavorable)		(1)	 		— 	 		— 	 		— 	 		— 	 		— 	 		(1)	 	
Policy acquisition costs and administrative expenses, adjusted	D	$	719 	 		$	297 	 		$	32 	 		$	865 	 		$	51 	 		$	77 	 		$	2,041 	 	
Denominator															
Net premiums earned	E	$	3,595 	 		$	1,192 	 		$	376 	 		$	2,194 	 		$	163 	 				$	7,520 	 	
Reinstatement premiums (collected) expensed on catastrophe losses		3 	 		1 	 		— 	 		16 	 		— 	 				20 	 	
Net premiums earned adjustments on PPD - unfavorable (favorable)		4 	 		— 	 		— 	 		— 	 		— 	 				4 	 	
PPD reinstatement premiums - unfavorable (favorable)		— 	 		— 	 		— 	 		— 	 		(1)	 				(1)	 	
Net premiums earned excluding adjustments	F	$	3,602 	 		$	1,193 	 		$	376 	 		$	2,210 	 		$	162 	 				$	7,543 	 	
P&C Combined ratio															
Loss and loss expense ratio	A/E	97.3 	%		63.8 	%		83.1 	%		67.7 	%		45.5 	%				85.2 	%	
Policy acquisition cost and administrative expense ratio	C/E	20.0 	%		25.0 	%		8.7 	%		39.4 	%		31.1 	%				27.1 	%	
P&C Combined ratio		117.3 	%		88.8 	%		91.8 	%		107.1 	%		76.6 	%				112.3 	%	
CAY P&C Combined ratio ex CATs															
Loss and loss expense ratio, adjusted	B/F	66.1 	%		54.7 	%		81.5 	%		51.6 	%		46.8 	%				60.4 	%	
Policy acquisition cost and administrative expense ratio, adjusted	D/F	19.9 	%		24.9 	%		8.7 	%		39.1 	%		31.4 	%				27.0 	%	
CAY P&C Combined ratio ex CATs		86.0 	%		79.6 	%		90.2 	%		90.7 	%		78.2 	%				87.4 	%	
Combined ratio															
Combined ratio														112.3 	%	
Add: impact of gains and losses on crop derivatives														— 	 	
P&C Combined ratio														112.3 	%	
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	
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.	

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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	
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	
	June 30		June 30	
(in millions of U.S. dollars)	2020		2019		2020		2019	
Equity in net income (loss) of partially-owned entities (1)	$	(73)	 		$	250 	 		$	(44)	 		$	272 	 	
Gains (losses) from fair value changes in separate account assets (2)	40 	 		(3)	 		(16)	 		27 	 	
Federal excise and capital taxes	(6)	 		(6)	 		(12)	 		(12)	 	
	
Other	(19)	 		(11)	 		(41)	 		(18)	 	
Total	$	(58)	 		$	230 	 		$	(113)	 		$	269 	 	
(1)  Equity in net income (loss) of partially-owned entities includes $31 million and $49 million attributable to our investments in Huatai (Huatai Group, Huatai P&C, and Huatai Life) for the three and six months ended June 30, 2020, respectively, compared to $18 million and $29 million, respectively, for the prior year periods.
(2)  Related to gains (losses) from fair value changes in separate account assets that do not qualify for separate account reporting under GAAP.
Other income and expense includes equity in net income of partially-owned entities, which includes our share of net income or loss 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 purchased intangibles was $72 million and $145 million for the three and six months ended June 30, 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, the estimated pre-tax amortization expense (benefit) of purchased intangibles, at current foreign currency exchange rates, for the third and fourth quarters of 2020 and the next five years:

	Associated with the Chubb Corp Acquisition					
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 	 	
2022	195 	 		(14)	 		181 	 		98 	 		279 	 	
2023	176 	 		(6)	 		170 	 		92 	 		262 	 	
2024	158 	 		(5)	 		153 	 		86 	 		239 	 	
2025	144 	 		(5)	 		139 	 		85 	 		224 	 	
Total	$	1,005 	 		$	(68)	 		$	937 	 		$	491 	 		$	1,428 	 	
(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, the deferred tax liability associated with Other intangible assets (excluding the fair value adjustment on Unpaid losses and loss expense) was $1,310 million.

The following table presents, as of June 30, 2020, 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 fourth quarters of 2020 and for the next five years:

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 	 	
2022	65 	 	
2023	60 	 	
2024	54 	 	
2025	50 	 	
Total	$	332 	 	

Amortization of the fair value adjustment on acquired invested assets and assumed long-term debt
The following table presents at June 30, 2020, 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 fourth quarters of 2020 and for the next five years:

	Amortization (expense) benefit of the fair value adjustment on	
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 	 	
2022	(96)	 		21 	 	
2023	— 	 		21 	 	
2024	— 	 		21 	 	
2025	— 	 		21 	 	
Total	$	(266)	 		$	116 	 	
(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	
(in millions of U.S. dollars)	2020		2019	2020		2019	
Fixed maturities (1)	$	810 	 		$	851 	 	$	1,661 	 		$	1,671 	 	
Short-term investments	11 	 		22 	 	28 	 		46 	 	
Other interest income	3 	 		6 	 	12 	 		12 	 	
Equity securities	24 	 		9 	 	33 	 		16 	 	
Other investments	21 	 		15 	 	41 	 		37 	 	
Gross investment income	869 	 		903 	 	1,775 	 		1,782 	 	
Investment expenses	(42)	 		(44)	 	(87)	 		(87)	 	
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 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 for the three and six months ended June 30, 2020, respectively, primarily 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	
(in millions of U.S. dollars)	2020		2019	2020		2019	

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

			
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 4.0 years and 3.8 years at June 30, 2020 and December 31, 2019, 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 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 of

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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	
(in millions of U.S. dollars)	Fair
Value		Cost/
Amortized
Cost, Net		Fair
Value		Cost/
Amortized
Cost	
Fixed maturities available for sale	$	86,712 	 		$	82,671 	 		$	85,488 	 		$	82,580 	 	
Fixed maturities held to maturity	12,620 	 		11,845 	 		13,005 	 		12,581 	 	
Short-term investments	4,003 	 		4,002 	 		4,291 	 		4,291 	 	
	103,335 	 		98,518 	 		102,784 	 		99,452 	 	
Equity securities	2,394 	 		2,394 	 		812 	 		812 	 	
Other investments	5,923 	 		5,923 	 		6,062 	 		6,062 	 	
Total investments	$	111,652 	 		$	106,835 	 		$	109,658 	 		$	106,326 	 	
The fair value of our total investments increased $2.0 billion during the six months ended June 30, 2020, primarily due to the investing of operating cash flows and unrealized appreciation. This increase was partially offset by the payment of collateralized deposits for the purchase of additional ownership in Huatai Group and unfavorable foreign exchange movement.

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

 	June 30, 2020		December 31, 2019	
(in millions of U.S. dollars, except for percentages)	Fair
Value		% of Total		Fair
Value		% of Total	
U.S. Treasury / Agency	$	4,190 	 		4 	%		$	4,630 	 		5 	%	
Corporate and asset-backed securities	36,345 	 		35 	%		34,259 	 		33 	%	
Mortgage-backed securities	20,529 	 		20 	%		21,588 	 		21 	%	
Municipal	12,291 	 		12 	%		12,824 	 		12 	%	
Non-U.S.	25,977 	 		25 	%		25,192 	 		25 	%	
Short-term investments	4,003 	 		4 	%		4,291 	 		4 	%	
Total	$	103,335 	 		100 	%		$	102,784 	 		100 	%	
AAA	$	15,411 	 		15 	%		$	15,714 	 		15 	%	
AA	35,600 	 		35 	%		37,504 	 		37 	%	
A	19,703 	 		19 	%		19,236 	 		19 	%	
BBB	15,690 	 		15 	%		13,650 	 		13 	%	
BB	9,302 	 		9 	%		9,474 	 		9 	%	
B	7,124 	 		7 	%		6,897 	 		7 	%	
Other	505 	 		— 	 		309 	 		— 	 	
Total	$	103,335 	 		100 	%		$	102,784 	 		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: 

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

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 	 	

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: 

(in millions of U.S. dollars)	Fair Value		Amortized Cost, Net	
Republic of Korea	$	1,082 	 		$	954 	 	
Canada	876 	 		831 	 	
United Kingdom	872 	 		832 	 	
Province of Ontario	659 	 		618 	 	
Kingdom of Thailand	616 	 		527 	 	
Federative Republic of Brazil	569 	 		550 	 	
Province of Quebec	525 	 		487 	 	
United Mexican States	431 	 		411 	 	
Commonwealth of Australia	402 	 		351 	 	
Socialist Republic of Vietnam	373 	 		264 	 	
Other Non-U.S. Government Securities	5,335 	 		5,076 	 	
Total	$	11,740 	 		$	10,901 	 	
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:

(in millions of U.S. dollars)	Fair Value		Amortized Cost, Net	
United Kingdom	$	2,265 	 		$	2,171 	 	
Canada	1,807 	 		1,739 	 	
France	1,149 	 		1,097 	 	
United States (1)	1,047 	 		1,026 	 	
Australia	875 	 		834 	 	
Netherlands	625 	 		595 	 	
Japan	606 	 		583 	 	
Germany	538 	 		518 	 	
Switzerland	536 	 		498 	 	
China	430 	 		412 	 	
Other Non-U.S. Corporate Securities	4,359 	 		4,249 	 	
Total	$	14,237 	 		$	13,722 	 	
(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, our corporate fixed income investment portfolio included below-investment grade and non-rated securities which, in total, comprised approximately 14 percent of our fixed income portfolio. Our below-investment grade and non-rated portfolio includes over 1,300 issuers, with the greatest single exposure being $162 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, 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 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)	Gross
Losses		Reinsurance
Recoverable (1)		Net
Losses	
Balance at December 31, 2019	$	62,690 	 		$	14,181 	 		$	48,509 	 	
Losses and loss expenses incurred	13,394 	 		2,332 	 		11,062 	 	
Losses and loss expenses paid	(10,219)	 		(2,114)	 		(8,105)	 	
Other (including foreign exchange translation)	(166)	 		(38)	 		(128)	 	
Balance at June 30, 2020	$	65,699 	 		$	14,361 	 		$	51,338 	 	
(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. A&E reserves are included in Corporate. Refer to our 2019 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	
We actively monitor and manage our catastrophe risk accumulation around the world such as 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, for Worldwide, U.S. hurricane and California earthquake events, based on our in-force portfolio at April 1, 2020 and reflecting the April 1, 2020 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 million (or 4.9 percent of our total shareholders’ equity at June 30, 2020). These estimates assume that reinsurance recoverable is fully collectible.

	Modeled Net Probable Maximum Loss (PML) Pre-tax	
 	Worldwide (1)		U.S. Hurricane (2)		California Earthquake (3)	
	Annual Aggregate		Annual Aggregate		Single Occurrence	
(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	$	1,858 	 		3.4 	%		$	1,084 	 		2.0 	%		$	133 	 		0.2 	%	
1-in-100	$	3,866 	 		7.1 	%		$	2,694 	 		4.9 	%		$	1,306 	 		2.4 	%	
1-in-250	$	6,439 	 		11.8 	%		$	4,869 	 		8.9 	%		$	1,485 	 		2.7 	%	
(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.

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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 effective April 1, 2020 through March 31, 2021, with no material changes in coverage from 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 through March 31, 2021 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 billion		All natural perils and terrorism	(c)	
United States
(excluding Alaska and Hawaii)		$2.15 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 billion		All natural perils and terrorism	(c)	
Alaska, Hawaii, and Canada		$1.175 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 billion with a sub-limit of $1.9 billion for revolving credit. At June 30, 2020, our usage under these facilities was $2.0 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. 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 months ended June 30, 2020, 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 and $200 million from its Bermuda subsidiaries during the six months ended June 30, 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 months ended June 30, 2020 and 2019. 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 dividends of nil and $1.7 billion from its subsidiaries during the six months ended June 30, 2020 and 2019, respectively.

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 months ended June 30, 2020 and 2019.

Operating cash flows were $3.7 billion in the six months ended June 30, 2020, compared to $2.7 billion in the prior year period, an increase of $989 million, principally reflecting higher underwriting cash flows primarily due to higher premiums collected.
Cash used for investing was $2.7 billion in the six months ended June 30, 2020, compared to $2.3 billion in the prior year period. The current year included a $1.55 billion deposit for the purchase of an additional 22.4 percent ownership in Huatai Group, while the prior year included the purchase of an additional 6.2 percent ownership interest in Huatai Group for $329 million. In addition, the current year had cash used of $993 million for net investments purchased, excluding short-term, and derivative settlements, compared to cash used of $657 million in the prior year.
Cash used for financing was $898 million in the six months ended June 30, 2020, compared to $431 million in the prior year period and was principally comprised of share repurchases and dividends paid on Common Shares. Share repurchases were

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$408 million lower 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).

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 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 funding alternative. At June 30, 2020, 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	
(in millions of U.S. dollars, except for ratios)	2020		2019	
Short-term debt	$	1,300 	 		$	1,299 	 	
Long-term debt	13,656 	 		13,559 	 	
Total financial debt	14,956 	 		14,858 	 	
Trust preferred securities	308 	 		308 	 	
Total shareholders’ equity	54,760 	 		55,331 	 	
Total capitalization	$	70,024 	 		$	70,497 	 	
Ratio of financial debt to total capitalization	21.4 	%		21.1 	%	
Ratio of financial debt plus trust preferred securities to total capitalization	21.8 	%		21.5 	%	

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 months ended June 30, 2020, we repurchased $326 million of Common Shares in a series of open market transactions under the Board of Directors (Board) share repurchase authorization. At June 30, 2020, there were 28,423,841 Common Shares in treasury with a weighted average cost of $136.01 per share, and $1.12 billion in share repurchase authorization remained 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.

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 annual dividend approved in May 2020 represented an $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		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		$0.78 (CHF 0.75)	

			
ITEM 3. Quantitative and Qualitative Disclosures about Market Risk	
Refer to Item 7A included in our 2019 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 Form 10-K. This information will be updated and disclosed in interim filings if our net assets in non-
U.S. currencies change materially from the December 31, 2019 balances disclosed in the 2019 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 Life Insurance underwriting income and net income. 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 income is directly impacted by changes in benefit reserves calculated in connection with reinsurance of variable annuity guarantees. In addition, 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 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 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: 75 percent—85 percent U.S. equity, and 15 percent—25 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), 25 percent—35 percent medium-term rates (maturing between 5 years and 10 years, inclusive), and 55 percent—65 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 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 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 short-term market movements and management judgment regarding the long-term assumptions implicit in our benefit ratios.

•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 quarter of 2020 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 income change over time as the book ages.

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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 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	
(in millions of U.S. dollars)	+20 	%		Flat		-20 	%		-40 	%		-60 	%		-80 	%	
GMDB net amount at risk	$	262 	 		$	277 	 		$	520 	 		$	808 	 		$	781 	 		$	657 	 	
Claims at 100% immediate mortality	164 	 		182 	 		173 	 		158 	 		141 	 		125 	 	

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

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

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	
 (in millions of U.S. dollars)	+20 	%		Flat		-20 	%		-40 	%		-60 	%		-80 	%	
GMDB net amount at risk	$	45 	 		$	53 	 		$	64 	 		$	75 	 		$	84 	 		$	92 	 	
GLB net amount at risk	402 	 		518 	 		656 	 		806 	 		956 	 		1,004 	 	
Claims at 100% immediate mortality	35 	 		34 	 		34 	 		34 	 		34 	 		34 	 	
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 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.

			
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. 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 no other changes to Chubb's internal controls over financial reporting for the three months ended June 30, 2020 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 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.

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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:

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 	 		— 	 			
(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 the exercising of options by employees. We did not engage in any share repurchase activity during the three months ended June 30, 2020.
(2)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)									

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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	/s/ Evan G. Greenberg	
	Evan G. Greenberg	
	Chairman, President and Chief Executive Officer	
		
July 31, 2020	/s/ Philip V. Bancroft	
	Philip V. Bancroft	
	Executive Vice President and Chief Financial Officer	

93

Exhibit 31.1
CERTIFICATION PURSUANT TO
SECTION 302 OF
THE SARBANES-OXLEY ACT OF 2002
I, Evan G. Greenberg, certify that:
1)I have reviewed this quarterly report on Form 10-Q of Chubb Limited;
2)Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3)Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4)The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5)The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s Board of Directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: July 31, 2020

/s/ Evan G. Greenberg	
Evan G. Greenberg	
Chairman, President and Chief Executive Officer	

Exhibit 31.2
CERTIFICATION PURSUANT TO
SECTION 302 OF
THE SARBANES-OXLEY ACT OF 2002
I, Philip V. Bancroft, certify that:
1)I have reviewed this quarterly report on Form 10-Q of Chubb Limited;
2)Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3)Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4)The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5)The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s Board of Directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: July 31, 2020

/s/ Philip V. Bancroft	
Philip V. Bancroft	
Executive Vice President and Chief Financial Officer	

Exhibit 32.1
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
The undersigned officer of Chubb Limited (the Corporation) hereby certifies that the Corporation’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2020, fully complies with the applicable reporting requirements of Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a)) and that the information contained in the Form 10-Q fairly presents, in all material respects, the financial condition and results of operations of the Corporation.

Date: July 31, 2020	/s/ Evan G. Greenberg	
	Evan G. Greenberg	
	Chairman, President and Chief Executive Officer	

Exhibit 32.2
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
The undersigned officer of Chubb Limited (the Corporation) hereby certifies that the Corporation’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2020, fully complies with the applicable reporting requirements of Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a)) and that the information contained in the Form 10-Q fairly presents, in all material respects, the financial condition and results of operations of the Corporation.

Date: July 31, 2020	/s/ Philip V. Bancroft	
	Philip V. Bancroft	
	Executive Vice President and Chief Financial Officer