Investments

12 Months Ended

Dec. 31, 2021

Total investments at December 31, 2021 and 2020 were as follows:


	2021						2020
In millions	Current		Long-term		Total		Current		Long-term		Total
Debt securities available for sale	$	3,009	$	20,231	$	23,240	$	2,774	$	18,414	$	21,188
Mortgage loans	58		844		902		226		821		1,047
Other investments	50		1,950		2,000		—		1,577		1,577
Total investments	$	3,117	$	23,025	$	26,142	$	3,000	$	20,812	$	23,812

At December 31, 2021 and 2020, the Company held investments of $450 million and $524 million, respectively, related to the 2012 conversion of an existing group annuity contract from a participating to a non-participating contract. These investments are included in the total investments of large case pensions supporting non-experience-rated products. Although these investments are not accounted for as Separate Accounts assets, they are legally segregated and are not subject to claims that arise out of the Company’s business and only support future policy benefits obligations under that group annuity contract.

Debt Securities

Debt securities available for sale at December 31, 2021 and 2020 were as follows:


In millions	Amortized Cost (1)		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
December 31, 2021
Debt securities:
U.S. government securities	$	2,349	$	70	$	(3)	$	2,416
States, municipalities and political subdivisions	2,947		148		(4)		3,091
U.S. corporate securities	9,093		682		(40)		9,735
Foreign securities	2,821		196		(24)		2,993
Residential mortgage-backed securities	870		15		(10)		875
Commercial mortgage-backed securities	1,278		44		(12)		1,310
Other asset-backed securities	2,791		14		(13)		2,792
Redeemable preferred securities	25		3		—		28
Total debt securities (2)	$	22,174	$	1,172	$	(106)	$	23,240

December 31, 2020
Debt securities:
U.S. government securities	$	2,341	$	128	$	—	$	2,469
States, municipalities and political subdivisions	2,556		172		—		2,728
U.S. corporate securities	7,879		1,023		(8)		8,894
Foreign securities	2,595		324		(1)		2,918
Residential mortgage-backed securities	673		32		—		705
Commercial mortgage-backed securities	962		84		—		1,046
Other asset-backed securities	2,369		36		(2)		2,403
Redeemable preferred securities	21		4		—		25
Total debt securities (2)	$	19,396	$	1,803	$	(11)	$	21,188

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(1)There was no allowance for expected credit losses recorded on available-for-sale debt securities at December 31, 2021 or 2020.

(2)Investment risks associated with the Company’s experience-rated products generally do not impact the Company’s consolidated operating results. At December 31, 2021, debt securities with a fair value of $864 million, gross unrealized capital gains of $94 million and gross unrealized capital losses of $2 million and at December 31, 2020, debt securities with a fair value of $919 million, gross unrealized capital gains of $135 million and no gross unrealized capital losses were included in total debt securities, but support experience-rated products. Changes in net unrealized capital gains (losses) on these securities are not reflected in accumulated other comprehensive income.

The amortized cost and fair value of debt securities at December 31, 2021 are shown below by contractual maturity. Actual maturities may differ from contractual maturities because securities may be restructured, called or prepaid, or the Company intends to sell a security prior to maturity.


In millions	Amortized Cost		Fair Value
Due to mature:
Less than one year	$	1,205	$	1,218
One year through five years	6,965		7,142
After five years through ten years	4,733		4,910
Greater than ten years	4,332		4,993
Residential mortgage-backed securities	870		875
Commercial mortgage-backed securities	1,278		1,310
Other asset-backed securities	2,791		2,792
Total	$	22,174	$	23,240

Mortgage-Backed and Other Asset-Backed Securities

All of the Company’s residential mortgage-backed securities at December 31, 2021 were issued by the Government National Mortgage Association, the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation and carry agency guarantees and explicit or implicit guarantees by the U.S. Government. At December 31, 2021, the Company’s residential mortgage-backed securities had an average credit quality rating of AAA and a weighted average duration of 4.7 years.

The Company’s commercial mortgage-backed securities have underlying loans that are dispersed throughout the United States. Significant market observable inputs used to value these securities include loss severity and probability of default. At December 31, 2021, these securities had an average credit quality rating of AAA and a weighted average duration of 6.1 years.

The Company’s other asset-backed securities have a variety of underlying collateral (e.g., automobile loans, credit card receivables, home equity loans and commercial loans). Significant market observable inputs used to value these securities include the unemployment rate, loss severity and probability of default. At December 31, 2021, these securities had an average credit quality rating of AA and a weighted average duration of 1.0 year.

Summarized below are the debt securities the Company held at December 31, 2021 and 2020 that were in an unrealized capital loss position, aggregated by the length of time the investments have been in that position:


	Less than 12 months					Greater than 12 months					Total
In millions, except number of securities	Number of Securities	Fair Value		Unrealized Losses		Number of Securities	Fair Value		Unrealized Losses		Number of Securities	Fair Value		Unrealized Losses
December 31, 2021
Debt securities:
U.S. government securities	43	$	242	$	2	10	$	40	$	1	53	$	282	$	3
States, municipalities and political subdivisions	233	428		3		13	33		1		246	461		4
U.S. corporate securities	1,610	2,296		31		165	238		9		1,775	2,534		40
Foreign securities	449	747		20		57	91		4		506	838		24
Residential mortgage-backed securities	165	593		9		10	36		1		175	629		10
Commercial mortgage-backed securities	188	462		7		35	112		5		223	574		12
Other asset-backed securities	1,011	2,030		12		26	31		1		1,037	2,061		13
Redeemable preferred securities	1	2		—		1	3		—		2	5		—
Total debt securities	3,700	$	6,800	$	84	317	$	584	$	22	4,017	$	7,384	$	106

December 31, 2020
Debt securities:
U.S. government securities	32	$	205	$	—	—	$	—	$	—	32	$	205	$	—
States, municipalities and political subdivisions	49	83		—		—	—		—		49	83		—
U.S. corporate securities	145	155		8		2	—		—		147	155		8
Foreign securities	41	69		1		5	5		—		46	74		1
Residential mortgage-backed securities	23	26		—		3	—		—		26	26		—
Commercial mortgage-backed securities	22	75		—		—	—		—		22	75		—
Other asset-backed securities	156	256		1		49	41		1		205	297		2

Total debt securities	468	$	869	$	10	59	$	46	$	1	527	$	915	$	11

The Company reviewed the securities in the table above and concluded that they are performing assets generating investment income to support the needs of the Company’s business. In performing this review, the Company considered factors such as the quality of the investment security based on research performed by the Company’s internal credit analysts and external rating agencies and the prospects of realizing the carrying value of the security based on the investment’s current prospects for recovery. Unrealized capital losses at December 31, 2021 were generally caused by interest rate increases and not by unfavorable changes in the credit quality associated with these securities. As of December 31, 2021, the Company did not intend to sell these securities, and did not believe it was more likely than not that it would be required to sell these securities prior to the anticipated recovery of their amortized cost basis.

The maturity dates for debt securities in an unrealized capital loss position at December 31, 2021 were as follows:


	Supporting experience- rated products				Supporting remaining products				Total
In millions	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Due to mature:
Less than one year	$	2	$	—	$	49	$	1	$	51	$	1
One year through five years	13		1		2,229		32		2,242		33
After five years through ten years	33		1		1,332		26		1,365		27
Greater than ten years	17		—		445		10		462		10
Residential mortgage-backed securities	4		—		625		10		629		10
Commercial mortgage-backed securities	6		—		568		12		574		12
Other asset-backed securities	4		—		2,057		13		2,061		13
Total	$	79	$	2	$	7,305	$	104	$	7,384	$	106

Mortgage Loans

The Company’s mortgage loans are collateralized by commercial real estate. During the years ended December 31, 2021 and 2020, the Company had the following activity in its mortgage loan portfolio:


In millions	2021		2020
New mortgage loans	$	262	$	63
Mortgage loans fully repaid	373		187
Mortgage loans foreclosed	—		—

The Company assesses mortgage loans on a regular basis for credit impairments, and assigns a credit quality indicator to each loan. The Company’s credit quality indicator is internally developed and categorizes each loan in its portfolio on a scale from 1 to 7. These indicators are based upon several factors, including current loan-to-value ratios, current and future property cash flow, property condition, market trends, creditworthiness of the borrower and deal structure.

•Category 1 - Represents loans of superior quality.

•Categories 2 to 4 - Represent loans where credit risk is minimal to acceptable; however, these loans may display some susceptibility to economic changes.

•Categories 5 and 6 - Represent loans where credit risk is not substantial, but these loans warrant management’s close attention.

•Category 7 - Represents loans where collections are potentially at risk; if necessary, an impairment is recorded.

Based upon the Company’s assessments at December 31, 2021 and 2020, the amortized cost basis of the Company’s mortgage loans within each credit quality indicator by year of origination was as follows:


	Amortized Cost Basis by Year of Origination
In millions, except credit quality indicator	2021		2020		2019		2018		2017		Prior		Total
December 31, 2021
1	$	—	$	—	$	—	$	—	$	—	$	28	$	28
2 to 4	255		48		40		72		97		349		861
5 and 6	—		—		—		3		4		6		13
7	—		—		—		—		—		—		—
Total	$	255	$	48	$	40	$	75	$	101	$	383	$	902

December 31, 2020
1			$	—	$	—	$	—	$	22	$	37	$	59
2 to 4			46		96		91		124		595		952
5 and 6			—		—		3		4		29		36
7			—		—		—		—		—		—
Total			$	46	$	96	$	94	$	150	$	661	$	1,047

At December 31, 2021 scheduled mortgage loan principal repayments were as follows:


In millions
2022	$	58
2023	100
2024	210
2025	76
2026	177
Thereafter	281
Total	$	902

Net Investment Income

Sources of net investment income for the years ended December 31, 2021, 2020 and 2019 were as follows:


In millions	2021		2020		2019
Debt securities	$	634	$	598	$	589
Mortgage loans	55		60		71
Other investments	381		123		194
Gross investment income	1,070		781		854
Investment expenses	(47)		(35)		(42)
Net investment income (excluding net realized capital gains or losses)	1,023		746		812
Net realized capital gains (1)	176		52		199
Net investment income (2)	$	1,199	$	798	$	1,011

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(1)Net realized capital gains are net of yield-related impairment losses on debt securities of $42 million and $49 million for the years ended December 31, 2021 and 2020, respectively. There were no credit-related losses on debt securities in the years ended December 31, 2021 and 2020. Net realized capital gains are net of other-than-temporary impairment (“OTTI”) losses on debt securities of $24 million for the year ended December 31, 2019.

(2)Net investment income includes $38 million, $42 million and $44 million for the years ended December 31, 2021, 2020 and 2019, respectively, related to investments supporting experience-rated products.

Capital gains and losses recognized during the year ended December 31, 2021 related to investments in equity securities held as of December 31, 2021 were not material.

Excluding amounts related to experience-rated products, proceeds from the sale of available-for-sale debt securities and the related gross realized capital gains and losses in the years ended December 31, 2021, 2020 and 2019 were as follows:


In millions	2021		2020		2019
Proceeds from sales	$	3,572	$	3,913	$	4,773
Gross realized capital gains	72		80		146
Gross realized capital losses	14		62		17