Annual Report 2005 - Chubb Group of Insurance Companies

(b) The components of unrealized appreciation or depreciation of investments carried at market value were as follows:
December 31
2005 2004
(in millions)
Equity securities
Gross unrealized appreciation ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $162.7 $ 162.5
Gross unrealized depreciation ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 38.4 8.5
124.3 154.0
Fixed maturities
Gross unrealized appreciation ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 565.0 889.2
Gross unrealized depreciation ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 211.4 82.4
353.6 806.8
477.9 960.8
Deferred income tax liability ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 167.2 336.3
$310.7 $ 624.5
When the market value of any investment is lower than its cost, an assessment is made to determine whether the
decline is temporary or other-than-temporary. The assessment is based on both quantitative criteria and qualitative
information and considers a number of factors including, but not limited to, the length of time and the extent to which
the market value has been less than the cost, the Ñnancial condition and near term prospects of the issuer, whether the
issuer is current on contractually obligated interest and principal payments, the intent and ability of the Corporation to
hold the investment for a period of time suÇcient to allow for the recovery of cost, general market conditions and
industry or sector speciÑc factors. Based on a review of the securities in an unrealized loss position of December 31, 2005
and 2004, management believes that none of the declines in market value at those dates were other-than-temporary.
The following table summarizes, for all investment securities in an unrealized loss position at December 31, 2005, the
aggregate market value and gross unrealized depreciation by investment category and length of time that individual
securities have continuously been in an unrealized loss position.
Less Than 12 Months 12 Months or More Total
Estimated Gross Estimated Gross Estimated Gross
Market Unrealized Market Unrealized Market Unrealized
Value Depreciation Value Depreciation Value Depreciation
(in millions)
Fixed maturities Ó available-for-sale
Tax exempt ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $3,984.0 $ 40.3 $ 829.4 $ 20.7 $ 4,813.4 $61.0
Taxable
U.S. Government and government
agency and authority obligations ÏÏÏÏÏ 977.7 6.4 437.7 10.8 1,415.4 17.2
Corporate bondsÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 948.2 22.6 303.3 12.0 1,251.5 34.6
Foreign bondsÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 1,283.7 14.3 79.5 2.4 1,363.2 16.7
Mortgage-backed securities ÏÏÏÏÏÏÏÏÏÏÏÏ 1,804.4 32.5 1,319.2 49.0 3,123.6 81.5
Redeemable preferred stocks ÏÏÏÏÏÏÏÏÏÏ Ì Ì 10.1 .4 10.1 .4
5,014.0 75.8 2,149.8 74.6 7,163.8 150.4
Total fixed maturities Óavailable-for-saleÏÏ 8,998.0 116.1 2,979.2 95.3 11,977.2 211.4
Equity securities ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 185.8 26.2 67.1 12.2 252.9 38.4
$9,183.8 $142.3 $3,046.3 $107.5 $12,230.1 $249.8
The total gross unrealized depreciation amount at December 31, 2005 comprised approximately 1,425 securities, of
which 1,375 were fixed maturities. Almost all of the fixed maturities in an unrealized loss position were investment grade
securities depressed due to changes in interest rates from the date of purchase. There were no securities with a market
value less than 80% of the security's amortized cost for six continuous months. Securities in an unrealized loss position for
less than twelve months comprised approximately 1,150 securities, of which 99% were securities with a market value to
amortized cost ratio at or greater than 90%. Securities in an unrealized loss position for twelve months or more comprised
approximately 275 securities, of which 98% were securities with a market value to amortized cost ratio at or greater
than 90%.
At December 31, 2004, Ñxed maturities and equity securities with an aggregate market value of $7,512.0 million were
in an unrealized loss position and the gross unrealized depreciation of such securities was $90.9 million. Securities with a
market value of $1,685.3 million had been in an unrealized loss position for twelve months or more and the gross
unrealized depreciation of such securities was $36.2 million.
F-11