Debt Securities, Held-to-maturity, Allowance for Credit Loss, Period Increase (Decrease)

[Table of Contents](#i529cc89e10964e18ae4139b5b2341a84_7)  
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS – continued (Unaudited)Chubb Limited and Subsidiaries  
The following tables present, for available for sale (AFS) fixed maturities in an unrealized loss position (including securities on loan) that are not deemed to have expected credit losses, the aggregate fair value and gross unrealized loss by length of time the security has been in an unrealized loss position:

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|  | 0 – 12 Months |  | Over 12 Months |  | Total |
| September 30, 2022 | Fair Value |  | GrossUnrealizedLoss |  | Fair Value |  | GrossUnrealizedLoss |  | Fair Value |  | GrossUnrealizedLoss |
| (in millions of U.S. dollars) |  |  |  |  |  |
| U.S. Treasury / Agency | $ | 1,873  |  |  | $ | (145) |  |  | $ | 227  |  |  | $ | (29) |  |  | $ | 2,100  |  |  | $ | (174) |  |
| Non-U.S. | 16,585  |  |  | (1,480) |  |  | 3,907  |  |  | (588) |  |  | 20,492  |  |  | (2,068) |  |
| Corporate and asset-backed securities | 28,533  |  |  | (2,832) |  |  | 2,621  |  |  | (456) |  |  | 31,154  |  |  | (3,288) |  |
| Mortgage-backed securities | 12,776  |  |  | (1,459) |  |  | 3,324  |  |  | (728) |  |  | 16,100  |  |  | (2,187) |  |
| Municipal | 3,905  |  |  | (216) |  |  | 70  |  |  | (18) |  |  | 3,975  |  |  | (234) |  |
| Total AFS fixed maturities  | $ | 63,672  |  |  | $ | (6,132) |  |  | $ | 10,149  |  |  | $ | (1,819) |  |  | $ | 73,821  |  |  | $ | (7,951) |  |
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|  | 0 – 12 Months |  | Over 12 Months |  | Total |
| December 31, 2021 | Fair Value |  | GrossUnrealizedLoss |  | Fair Value |  | GrossUnrealizedLoss |  | Fair Value |  | GrossUnrealizedLoss |
| (in millions of U.S. dollars) |  |  |  |  |  |
|  |  |  |  |  |  |  |  |  |  |  |  |
| U.S. Treasury / Agency | $ | 363  |  |  | $ | (3) |  |  | $ | 70  |  |  | $ | (3) |  |  | $ | 433  |  |  | $ | (6) |  |
| Non-U.S. | 6,917  |  |  | (196) |  |  | 1,093  |  |  | (62) |  |  | 8,010  |  |  | (258) |  |
| Corporate and asset-backed securities | 9,449  |  |  | (145) |  |  | 806  |  |  | (32) |  |  | 10,255  |  |  | (177) |  |
| Mortgage-backed securities | 8,086  |  |  | (116) |  |  | 190  |  |  | (7) |  |  | 8,276  |  |  | (123) |  |
| Municipal | 226  |  |  | (5) |  |  | —  |  |  | —  |  |  | 226  |  |  | (5) |  |
| Total AFS fixed maturities | $ | 25,041  |  |  | $ | (465) |  |  | $ | 2,159  |  |  | $ | (104) |  |  | $ | 27,200  |  |  | $ | (569) |  |
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During the nine months ended September 30, 2022, the tax benefit on certain unrealized losses in our investment portfolio was reduced by a valuation allowance of $950 million necessary due to limitations on the utilization of these losses. As part of evaluating whether it was more likely than not that we could realize these losses, we considered realized gains, carryback capacity and available tax planning strategies.  
The following table presents a roll-forward of valuation allowance for expected credit losses on fixed maturities:

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|  | Three Months Ended |  | Nine Months Ended |  |  |
|  | September 30 |  | September 30 |  |  |
| (in millions of U.S. dollars) | 2022 |  | 2021 |  | 2022 |  | 2021 |  |  |  |  |
| Available for sale |  |  |  |  |  |  |  |  |  |  |  |
| Valuation allowance for expected credit losses - beginning of period | $ | 78  |  |  | $ | 11  |  |  | $ | 14  |  |  | $ | 20  |  |  |  |  |  |
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| Provision for expected credit loss | 91  |  |  | 3  |  |  | 169  |  |  | 8  |  |  |  |  |  |
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| Foreign currency revaluation | (2) |  |  | —  |  |  | (2) |  |  | —  |  |  |  |  |  |
| Recovery of expected credit loss | (20) |  |  | (2) |  |  | (34) |  |  | (16) |  |  |  |  |  |
| Valuation allowance for expected credit losses - end of period | $ | 147  |  |  | $ | 12  |  |  | $ | 147  |  |  | $ | 12  |  |  |  |  |  |
| Held to maturity |  |  |  |  |  |  |  |  |  |  |  |
| Valuation allowance for expected credit losses - beginning of period | $ | 34  |  |  | $ | 37  |  |  | $ | 35  |  |  | $ | 44  |  |  |  |  |  |
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| Provision for expected credit loss | —  |  |  | —  |  |  | 1  |  |  | —  |  |  |  |  |  |
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| Recovery of expected credit loss | (1) |  |  | (2) |  |  | (3) |  |  | (9) |  |  |  |  |  |
| Valuation allowance for expected credit losses - end of period | $ | 33  |  |  | $ | 35  |  |  | $ | 33  |  |  | $ | 35  |  |  |  |  |  |
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12
