Investments

9 Months Ended

Sep. 30, 2022

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


	September 30, 2022						December 31, 2021
In millions	Current		Long-term		Total		Current		Long-term		Total
Debt securities available for sale	$	2,729	$	17,311	$	20,040	$	3,009	$	20,231	$	23,240
Mortgage loans	58		989		1,047		58		844		902
Other investments	5		2,283		2,288		50		1,950		2,000
Total investments (1)	$	2,792	$	20,583	$	23,375	$	3,117	$	23,025	$	26,142

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(1)Includes long-term investments of $18 million which have been accounted for as assets held for sale and are included in assets held for sale on the unaudited condensed consolidated balance sheet at September 30, 2022. See Note 2 ‘‘Acquisition, Divestitures and Asset Sales’’ for additional information.

Debt Securities

Debt securities available for sale at September 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
September 30, 2022
Debt securities:
U.S. government securities	$	2,172	$	—	$	2,172	$	—	$	(191)	$	1,981
States, municipalities and political subdivisions	2,455		—		2,455		1		(182)		2,274
U.S. corporate securities	9,923		—		9,923		13		(1,080)		8,856
Foreign securities	2,820		(9)		2,811		7		(324)		2,494
Residential mortgage-backed securities	859		—		859		—		(109)		750
Commercial mortgage-backed securities	1,203		—		1,203		—		(166)		1,037
Other asset-backed securities	2,791		—		2,791		5		(171)		2,625
Redeemable preferred securities	25		—		25		—		(2)		23
Total debt securities (1)	$	22,248	$	(9)	$	22,239	$	26	$	(2,225)	$	20,040

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 September 30, 2022, debt securities with a fair value of $612 million, gross unrealized capital gains of $2 million and gross unrealized capital losses of $73 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 September 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	$	1,299	$	1,288
One year through five years	6,704		6,260
After five years through ten years	4,980		4,347
Greater than ten years	4,403		3,733
Residential mortgage-backed securities	859		750
Commercial mortgage-backed securities	1,203		1,037
Other asset-backed securities	2,791		2,625
Total	$	22,239	$	20,040

Summarized below are the debt securities the Company held at September 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
September 30, 2022
Debt securities:
U.S. government securities	570	$	1,845	$	179	25	$	125	$	12	595	$	1,970	$	191
States, municipalities and political subdivisions	1,129	1,949		153		122	207		29		1,251	2,156		182
U.S. corporate securities	6,083	7,503		889		848	1,027		191		6,931	8,530		1,080
Foreign securities	1,443	2,005		246		254	383		78		1,697	2,388		324
Residential mortgage-backed securities	489	562		68		69	187		41		558	749		109
Commercial mortgage-backed securities	368	772		101		127	265		65		495	1,037		166
Other asset-backed securities	1,266	2,311		148		163	292		23		1,429	2,603		171
Redeemable preferred securities	14	20		2		1	3		—		15	23		2
Total debt securities	11,362	$	16,967	$	1,786	1,609	$	2,489	$	439	12,971	$	19,456	$	2,225

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 September 30, 2022 were generally caused by interest rate increases and not by unfavorable changes in the credit quality associated with these securities. As of September 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 September 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	$	35	$	—	$	1,176	$	14	$	1,211	$	14
One year through five years	128		6		5,890		445		6,018		451
After five years through ten years	154		22		4,113		615		4,267		637
Greater than ten years	213		39		3,358		638		3,571		677
Residential mortgage-backed securities	11		1		738		108		749		109
Commercial mortgage-backed securities	32		3		1,005		163		1,037		166
Other asset-backed securities	17		2		2,586		169		2,603		171
Total	$	590	$	73	$	18,866	$	2,152	$	19,456	$	2,225

Mortgage Loans

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


	Three Months Ended September 30,				Nine Months Ended September 30,
In millions	2022		2021		2022		2021
New mortgage loans	$	125	$	53	$	305	$	173
Mortgage loans fully repaid	62		88		136		260
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 September 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
September 30, 2022
1	$	—	$	—	$	—	$	—	$	—	$	16	$	16
2 to 4	279		247		48		11		54		379		1,018
5 and 6	—		—		—		—		3		10		13
7	—		—		—		—		—		—		—
Total	$	279	$	247	$	48	$	11	$	57	$	405	$	1,047

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 nine months ended September 30, 2022 and 2021 were as follows:


	Three Months Ended September 30,				Nine Months Ended September 30,
In millions	2022		2021		2022		2021
Debt securities	$	174	$	157	$	510	$	474
Mortgage loans	14		13		38		41
Other investments	134		109		279		307
Gross investment income	322		279		827		822
Investment expenses	(11)		(11)		(29)		(28)
Net investment income (excluding net realized capital gains or losses)	311		268		798		794
Net realized capital gains (losses) (1)	(110)		(22)		(283)		38
Net investment income (2)	$	201	$	246	$	515	$	832

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(1)Net realized capital losses include credit-related losses on debt securities of $1 million and yield-related impairment losses on debt securities of $73 million in the three months ended September 30, 2022. Net realized capital losses include credit-related losses on debt securities of $17 million and yield-related impairment losses on debt securities of $121 million in the nine months ended September 30, 2022. Net realized capital losses include yield-related impairment losses on debt securities of $3 million in the three months ended September 30, 2021. Net realized capital gains are net of yield-related impairment losses on debt securities of $35 million in the nine months ended September 30, 2021. There were no credit-related losses on debt securities in the three and nine months ended September 30, 2021.

(2)Net investment income includes $8 million and $26 million for the three and nine months ended September 30, 2022, respectively, and $9 million and $28 million for the three and nine months ended September 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 nine months ended September 30, 2022 and 2021 were as follows:


	Three Months Ended September 30,				Nine Months Ended September 30,
In millions	2022		2021		2022		2021
Proceeds from sales	$	593	$	668	$	3,556	$	2,935
Gross realized capital gains	3		19		20		61
Gross realized capital losses	28		2		135		12