| Debt Securities |
NOTE 4. Debt Securities:
Investments in debt securities, classified as available-for-sale, are as follows:
|
|
|
Amortized
cost |
|
Gross unrealized |
|
|
Estimated
fair value |
|
|
|
(in millions) |
|
|
gains |
|
|
losses |
|
|
|
December 31, 2021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury bonds |
|
$ |
123 |
|
$ |
1 |
|
|
$ |
(1 |
) |
|
$ |
123 |
|
|
|
Municipal bonds |
|
|
1,607 |
|
|
59 |
|
|
|
(17 |
) |
|
|
1,649 |
|
|
|
Foreign government bonds |
|
|
228 |
|
|
2 |
|
|
|
(3 |
) |
|
|
227 |
|
|
|
Governmental agency bonds |
|
|
175 |
|
|
3 |
|
|
|
(1 |
) |
|
|
177 |
|
|
|
Governmental agency mortgage-backed securities |
|
|
5,620 |
|
|
34 |
|
|
|
(47 |
) |
|
|
5,607 |
|
|
|
U.S. corporate debt securities |
|
|
1,071 |
|
|
19 |
|
|
|
(9 |
) |
|
|
1,081 |
|
|
|
Foreign corporate debt securities |
|
|
493 |
|
|
9 |
|
|
|
(4 |
) |
|
|
498 |
|
|
|
|
|
$ |
9,317 |
|
$ |
127 |
|
|
$ |
(82 |
) |
|
$ |
9,362 |
|
|
|
December 31, 2020 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury bonds |
|
$ |
80 |
|
$ |
1 |
|
|
$ |
— |
|
|
$ |
81 |
|
|
|
Municipal bonds |
|
|
1,168 |
|
|
81 |
|
|
|
(1 |
) |
|
|
1,248 |
|
|
|
Foreign government bonds |
|
|
194 |
|
|
6 |
|
|
|
(1 |
) |
|
|
199 |
|
|
|
Governmental agency bonds |
|
|
254 |
|
|
10 |
|
|
|
— |
|
|
|
264 |
|
|
|
Governmental agency mortgage-backed securities |
|
|
3,402 |
|
|
74 |
|
|
|
(2 |
) |
|
|
3,474 |
|
|
|
U.S. corporate debt securities |
|
|
638 |
|
|
44 |
|
|
|
— |
|
|
|
682 |
|
|
|
Foreign corporate debt securities |
|
|
385 |
|
|
22 |
|
|
|
— |
|
|
|
407 |
|
|
|
|
|
$ |
6,121 |
|
$ |
238 |
|
|
$ |
(4 |
) |
|
$ |
6,355 |
|
|
Sales of debt securities resulted in realized gains of $29 million, $18 million and $12 million, realized losses of $9 million, $3 million and $6 million, and proceeds of $1.1 billion, $759 million and $1.1 billion for the years ended December 31, 2021, 2020 and 2019, respectively.
Investments in debt securities in an unrealized loss position, based on length of time, are as follows:
|
|
|
Less than 12 months |
|
|
12 months or longer |
|
|
Total |
|
|
(in millions) |
|
Estimated
fair value |
|
|
Unrealized
losses |
|
|
Estimated
fair value |
|
|
Unrealized
losses |
|
|
Estimated
fair value |
|
|
Unrealized
losses |
|
|
December 31, 2021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury bonds |
|
$ |
76 |
|
|
$ |
(1 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
76 |
|
|
$ |
(1 |
) |
|
Municipal bonds |
|
|
684 |
|
|
|
(17 |
) |
|
|
— |
|
|
|
— |
|
|
|
684 |
|
|
|
(17 |
) |
|
Foreign government bonds |
|
|
103 |
|
|
|
(1 |
) |
|
|
33 |
|
|
|
(2 |
) |
|
|
136 |
|
|
|
(3 |
) |
|
Governmental agency bonds |
|
|
73 |
|
|
|
(1 |
) |
|
|
— |
|
|
|
— |
|
|
|
73 |
|
|
|
(1 |
) |
|
Governmental agency mortgage-backed securities |
|
|
4,036 |
|
|
|
(47 |
) |
|
|
— |
|
|
|
— |
|
|
|
4,036 |
|
|
|
(47 |
) |
|
U.S. corporate debt securities |
|
|
533 |
|
|
|
(9 |
) |
|
|
— |
|
|
|
— |
|
|
|
533 |
|
|
|
(9 |
) |
|
Foreign corporate debt securities |
|
|
234 |
|
|
|
(4 |
) |
|
|
— |
|
|
|
— |
|
|
|
234 |
|
|
|
(4 |
) |
|
|
|
$ |
5,739 |
|
|
$ |
(80 |
) |
|
$ |
33 |
|
|
$ |
(2 |
) |
|
$ |
5,772 |
|
|
$ |
(82 |
) |
|
December 31, 2020 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal bonds |
|
|
74 |
|
|
|
(1 |
) |
|
|
— |
|
|
|
— |
|
|
|
74 |
|
|
|
(1 |
) |
|
Foreign government bonds |
|
|
67 |
|
|
|
(1 |
) |
|
|
— |
|
|
|
— |
|
|
|
67 |
|
|
|
(1 |
) |
|
Governmental agency mortgage-backed securities |
|
|
288 |
|
|
|
(1 |
) |
|
|
100 |
|
|
|
(1 |
) |
|
|
388 |
|
|
|
(2 |
) |
|
|
|
$ |
429 |
|
|
$ |
(3 |
) |
|
$ |
100 |
|
|
$ |
(1 |
) |
|
$ |
529 |
|
|
$ |
(4 |
) |
Based on the Company’s review of its debt securities in an unrealized loss position for which an allowance for credit losses has not been recorded, it determined that the losses were due to non-credit factors. As such, the Company does not consider these securities to be credit impaired at December 31, 2021.
In determining credit losses on its debt securities in an unrealized loss position, the Company considers certain factors that may include, among others, severity of the unrealized loss, security type, industry sector, credit rating, profitability and stock performance.
Investments in debt securities at December 31, 2021, by contractual maturities, are as follows:
|
(in millions) |
|
Due in one
year or less |
|
|
Due after
one
through
five years |
|
|
Due after
five
through
ten years |
|
|
Due after
ten years |
|
|
Total |
|
|
U.S. Treasury bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amortized cost |
|
$ |
16 |
|
|
$ |
58 |
|
|
$ |
25 |
|
|
$ |
24 |
|
|
$ |
123 |
|
|
Estimated fair value |
|
$ |
16 |
|
|
$ |
58 |
|
|
$ |
25 |
|
|
$ |
24 |
|
|
$ |
123 |
|
|
Municipal bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amortized cost |
|
|
24 |
|
|
|
103 |
|
|
|
812 |
|
|
|
668 |
|
|
|
1,607 |
|
|
Estimated fair value |
|
|
25 |
|
|
|
107 |
|
|
|
829 |
|
|
|
688 |
|
|
|
1,649 |
|
|
Foreign government bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amortized cost |
|
|
38 |
|
|
|
107 |
|
|
|
73 |
|
|
|
10 |
|
|
|
228 |
|
|
Estimated fair value |
|
|
38 |
|
|
|
108 |
|
|
|
71 |
|
|
|
10 |
|
|
|
227 |
|
|
Governmental agency bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amortized cost |
|
|
18 |
|
|
|
58 |
|
|
|
32 |
|
|
|
67 |
|
|
|
175 |
|
|
Estimated fair value |
|
|
18 |
|
|
|
59 |
|
|
|
32 |
|
|
|
68 |
|
|
|
177 |
|
|
U.S. corporate debt securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amortized cost |
|
|
45 |
|
|
|
546 |
|
|
|
402 |
|
|
|
78 |
|
|
|
1,071 |
|
|
Estimated fair value |
|
|
45 |
|
|
|
553 |
|
|
|
401 |
|
|
|
82 |
|
|
|
1,081 |
|
|
Foreign corporate debt securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amortized cost |
|
|
35 |
|
|
|
267 |
|
|
|
145 |
|
|
|
46 |
|
|
|
493 |
|
|
Estimated fair value |
|
|
36 |
|
|
|
269 |
|
|
|
145 |
|
|
|
48 |
|
|
|
498 |
|
|
Total debt securities, excluding mortgage-backed securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amortized cost |
|
$ |
176 |
|
|
$ |
1,139 |
|
|
$ |
1,489 |
|
|
$ |
893 |
|
|
$ |
3,697 |
|
|
Estimated fair value |
|
$ |
178 |
|
|
$ |
1,154 |
|
|
$ |
1,503 |
|
|
$ |
920 |
|
|
$ |
3,755 |
|
|
Total mortgage-backed securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amortized cost |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,620 |
|
|
Estimated fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,607 |
|
|
Total debt securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amortized cost |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
9,317 |
|
|
Estimated fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
9,362 |
|
Mortgage-backed securities, which include contractual terms to maturity, are not categorized by contractual maturity as borrowers may have the right to call or prepay obligations with, or without, call or prepayment penalties.
The composition of the debt securities portfolio at December 31, 2021, by credit rating, is as follows:
|
|
|
A- or higher A |
|
|
BBB+ to BBB- |
|
|
Non-Investment Grade |
|
|
Total |
|
|
(dollars in millions) |
|
Estimated
fair value |
|
|
Percentage |
|
|
Estimated
fair value |
|
|
Percentage |
|
|
Estimated
fair value |
|
|
Percentage |
|
|
Estimated
fair value |
|
|
Debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury bonds |
|
$ |
123 |
|
|
|
100.0 |
|
|
$ |
— |
|
|
|
— |
|
|
$ |
— |
|
|
|
— |
|
|
$ |
123 |
|
|
Municipal bonds |
|
|
1,605 |
|
|
|
97.3 |
|
|
|
43 |
|
|
|
2.6 |
|
|
|
1 |
|
|
|
0.1 |
|
|
|
1,649 |
|
|
Foreign government bonds |
|
|
214 |
|
|
|
94.3 |
|
|
|
10 |
|
|
|
4.4 |
|
|
|
3 |
|
|
|
1.3 |
|
|
|
227 |
|
|
Governmental agency bonds |
|
|
177 |
|
|
|
100.0 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
177 |
|
|
Governmental agency mortgage-backed securities |
|
|
5,607 |
|
|
|
100.0 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
5,607 |
|
|
U.S. corporate debt securities |
|
|
447 |
|
|
|
41.4 |
|
|
|
436 |
|
|
|
40.3 |
|
|
|
198 |
|
|
|
18.3 |
|
|
|
1,081 |
|
|
Foreign corporate debt securities |
|
|
206 |
|
|
|
41.4 |
|
|
|
243 |
|
|
|
48.8 |
|
|
|
49 |
|
|
|
9.8 |
|
|
|
498 |
|
|
|
|
$ |
8,379 |
|
|
|
89.5 |
|
|
$ |
732 |
|
|
|
7.8 |
|
|
$ |
251 |
|
|
|
2.7 |
|
|
$ |
9,362 |
|
Included in debt securities at December 31, 2021, were bank loans totaling $159 million, of which $154 million were non-investment grade; high yield corporate debt securities totaling $83 million, all of which were non-investment grade; and emerging market debt securities totaling $93 million, of which $13 million were non-investment grade.
The composition of the debt securities portfolio in an unrealized loss position at December 31, 2021, by credit rating, is as follows:
|
|
|
A- or higher A |
|
|
BBB+ to BBB- |
|
|
Non-Investment Grade |
|
|
Total |
|
|
(dollars in millions) |
|
Estimated
fair value |
|
|
Percentage |
|
|
Estimated
fair value |
|
|
Percentage |
|
|
Estimated
fair value |
|
|
Percentage |
|
|
Estimated
fair value |
|
|
Debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury bonds |
|
$ |
76 |
|
|
|
100.0 |
|
|
$ |
— |
|
|
|
— |
|
|
$ |
— |
|
|
|
— |
|
|
$ |
76 |
|
|
Municipal bonds |
|
|
666 |
|
|
|
97.4 |
|
|
|
17 |
|
|
|
2.5 |
|
|
|
1 |
|
|
|
0.1 |
|
|
|
684 |
|
|
Foreign government bonds |
|
|
131 |
|
|
|
96.4 |
|
|
|
4 |
|
|
|
2.9 |
|
|
|
1 |
|
|
|
0.7 |
|
|
|
136 |
|
|
Governmental agency bonds |
|
|
73 |
|
|
|
100.0 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
73 |
|
|
Governmental agency mortgage-backed securities |
|
|
4,036 |
|
|
|
100.0 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
4,036 |
|
|
U.S. corporate debt securities |
|
|
252 |
|
|
|
47.3 |
|
|
|
177 |
|
|
|
33.2 |
|
|
|
104 |
|
|
|
19.5 |
|
|
|
533 |
|
|
Foreign corporate debt securities |
|
|
115 |
|
|
|
49.2 |
|
|
|
93 |
|
|
|
39.7 |
|
|
|
26 |
|
|
|
11.1 |
|
|
|
234 |
|
|
|
|
$ |
5,349 |
|
|
|
92.7 |
|
|
$ |
291 |
|
|
|
5.0 |
|
|
$ |
132 |
|
|
|
2.3 |
|
|
$ |
5,772 |
|
Debt securities in an unrealized loss position at December 31, 2021, included bank loans totaling $86 million, of which $84 million were non-investment grade; high yield corporate debt securities totaling $41 million, all of which were non-investment grade; and emerging market debt securities totaling $43 million, of which $6 million were non-investment grade.
The credit ratings in the above tables reflect published ratings obtained from globally recognized securities rating agencies. If a security was rated differently among the rating agencies, the lowest rating was selected. Governmental agency mortgage-backed securities are not rated by any of the ratings agencies; however, these securities have been included in the above table in the “A- or higher” rating category because the payments of principal and interest are guaranteed by the governmental agency that issued the security.
|