Investments

6 Months Ended

Jun. 30, 2022

Total investments at June 30, 2022 and December 31, 2021 were as follows:


	June 30, 2022						December 31, 2021
In millions	Current		Long-term		Total		Current		Long-term		Total
Debt securities available for sale	$	2,775	$	17,976	$	20,751	$	3,009	$	20,231	$	23,240
Mortgage loans	88		905		993		58		844		902
Other investments	14		2,243		2,257		50		1,950		2,000
Total investments	$	2,877	$	21,124	$	24,001	$	3,117	$	23,025	$	26,142

Debt Securities

Debt securities available for sale at June 30, 2022 and December 31, 2021 were as follows:


In millions	Gross Amortized Cost		Allowance for Credit Losses		Net Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
June 30, 2022
Debt securities:
U.S. government securities	$	2,194	$	—	$	2,194	$	2	$	(118)	$	2,078
States, municipalities and political subdivisions	2,472		—		2,472		11		(110)		2,373
U.S. corporate securities	9,910		—		9,910		29		(740)		9,199
Foreign securities	2,857		(8)		2,849		18		(236)		2,631
Residential mortgage-backed securities	808		—		808		—		(61)		747
Commercial mortgage-backed securities	1,222		—		1,222		—		(114)		1,108
Other asset-backed securities	2,721		—		2,721		5		(135)		2,591
Redeemable preferred securities	25		—		25		—		(1)		24
Total debt securities (1)	$	22,209	$	(8)	$	22,201	$	65	$	(1,515)	$	20,751

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

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(1)Investment risks associated with the Company’s experience-rated products generally do not impact the Company’s consolidated operating results. At June 30, 2022, debt securities with a fair value of $658 million, gross unrealized capital gains of $5 million and gross unrealized capital losses of $39 million and 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 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 (loss).

The net amortized cost and fair value of debt securities at June 30, 2022 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	Net Amortized Cost		Fair Value
Due to mature:
Less than one year	$	1,221	$	1,221
One year through five years	6,807		6,503
After five years through ten years	5,031		4,559
Greater than ten years	4,391		4,022
Residential mortgage-backed securities	808		747
Commercial mortgage-backed securities	1,222		1,108
Other asset-backed securities	2,721		2,591
Total	$	22,201	$	20,751

Summarized below are the debt securities the Company held at June 30, 2022 and December 31, 2021 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
June 30, 2022
Debt securities:
U.S. government securities	464	$	1,616	$	115	12	$	58	$	3	476	$	1,674	$	118
States, municipalities and political subdivisions	875	1,372		104		27	55		6		902	1,427		110
U.S. corporate securities	5,583	6,989		674		364	508		66		5,947	7,497		740
Foreign securities	1,304	1,872		206		119	172		30		1,423	2,044		236
Residential mortgage-backed securities	388	644		50		23	65		11		411	709		61
Commercial mortgage-backed securities	436	955		91		53	118		23		489	1,073		114
Other asset-backed securities	1,324	2,358		126		91	114		9		1,415	2,472		135
Redeemable preferred securities	10	19		1		1	3		—		11	22		1
Total debt securities	10,384	$	15,825	$	1,367	690	$	1,093	$	148	11,074	$	16,918	$	1,515

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

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 June 30, 2022 were generally caused by interest rate increases and not by unfavorable changes in the credit quality associated with these securities. As of June 30, 2022, 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 June 30, 2022 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	$	7	$	—	$	438	$	5	$	445	$	5
One year through five years	54		2		5,062		320		5,116		322
After five years through ten years	151		15		3,713		471		3,864		486
Greater than ten years	196		18		3,043		374		3,239		392
Residential mortgage-backed securities	11		1		698		60		709		61
Commercial mortgage-backed securities	33		2		1,040		112		1,073		114
Other asset-backed securities	16		1		2,456		134		2,472		135
Total	$	468	$	39	$	16,450	$	1,476	$	16,918	$	1,515

Mortgage Loans

The Company’s mortgage loans are collateralized by commercial real estate. During the three and six months ended June 30, 2022 and 2021, the Company had the following activity in its mortgage loan portfolio:


	Three Months Ended June 30,				Six Months Ended June 30,
In millions	2022		2021		2022		2021
New mortgage loans	$	121	$	73	$	180	$	120
Mortgage loans fully repaid	39		82		74		172
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 on the Company’s assessments at June 30, 2022 and December 31, 2021, 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	2022		2021		2020		2019		2018		Prior		Total
June 30, 2022
1	$	—	$	—	$	—	$	—	$	—	$	17	$	17
2 to 4	162		250		48		20		65		418		963
5 and 6	—		—		—		—		3		10		13
7	—		—		—		—		—		—		—
Total	$	162	$	250	$	48	$	20	$	68	$	445	$	993

December 31, 2021
1			$	—	$	—	$	—	$	—	$	28	$	28
2 to 4			255		48		40		72		446		861
5 and 6			—		—		—		3		10		13
7			—		—		—		—		—		—
Total			$	255	$	48	$	40	$	75	$	484	$	902

Net Investment Income

Sources of net investment income for the three and six months ended June 30, 2022 and 2021 were as follows:


	Three Months Ended June 30,				Six Months Ended June 30,
In millions	2022		2021		2022		2021
Debt securities	$	172	$	160	$	336	$	317
Mortgage loans	13		13		24		28
Other investments	68		112		145		198
Gross investment income	253		285		505		543
Investment expenses	(9)		(9)		(18)		(17)
Net investment income (excluding net realized capital gains or losses)	244		276		487		526
Net realized capital gains (losses) (1)	(98)		13		(173)		60
Net investment income (2)	$	146	$	289	$	314	$	586

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(1)Net realized capital losses include yield-related impairment losses on debt securities of $30 million and are shown net of the reversal of previously recorded credit-related impairment losses on debt securities of $22 million in the three months ended June 30, 2022. Net realized capital losses include credit-related and yield-related impairment losses on debt securities of $16 million and $48 million, respectively, in the six months ended June 30, 2022. Net realized capital gains are net of yield-related impairment losses on debt securities of $2 million and $32 million, respectively, in the three and six months ended June 30, 2021. There were no credit-related losses on debt securities in the three and six months ended June 30, 2021.

(2)Net investment income includes $9 million and $18 million for the three and six months ended June 30, 2022, respectively, and $10 million and $19 million for the three and six months ended June 30, 2021, respectively, related to investments supporting experience-rated products.

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 for the three and six months ended June 30, 2022 and 2021 were as follows:


	Three Months Ended June 30,				Six Months Ended June 30,
In millions	2022		2021		2022		2021
Proceeds from sales	$	1,052	$	919	$	2,963	$	2,267
Gross realized capital gains	3		20		17		42
Gross realized capital losses	72		1		107		10