Investments

9 Months Ended

Sep. 30, 2023

Total investments at September 30, 2023 and December 31, 2022 were as follows:


	September 30, 2023						December 31, 2022
In millions	Current		Long-term		Total		Current		Long-term		Total
Debt securities available for sale	$	3,027	$	17,374	$	20,401	$	2,718	$	17,562	$	20,280
Mortgage loans	116		1,157		1,273		55		989		1,044
Other investments	2		3,136		3,138		5		2,562		2,567
Total investments (1)	$	3,145	$	21,667	$	24,812	$	2,778	$	21,113	$	23,891

_____________________________________________

(1)Includes long-term investments of $17 million which were accounted for as assets held for sale and were included in assets held for sale on the unaudited condensed consolidated balance sheet at December 31, 2022. See Note 2 ‘‘Acquisitions and Assets Held for Sale’’ for additional information.

Debt Securities

Debt securities available for sale at September 30, 2023 and December 31, 2022 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, 2023
Debt securities:
U.S. government securities	$	2,092	$	—	$	2,092	$	—	$	(171)	$	1,921
States, municipalities and political subdivisions	2,277		—		2,277		1		(151)		2,127
U.S. corporate securities	10,062		—		10,062		12		(879)		9,195
Foreign securities	2,621		(1)		2,620		9		(233)		2,396
Residential mortgage-backed securities	833		—		833		—		(103)		730
Commercial mortgage-backed securities	1,128		—		1,128		—		(151)		977
Other asset-backed securities	3,069		—		3,069		13		(46)		3,036
Redeemable preferred securities	20		—		20		—		(1)		19
Total debt securities (1)	$	22,102	$	(1)	$	22,101	$	35	$	(1,735)	$	20,401

December 31, 2022
Debt securities:
U.S. government securities	$	2,074	$	—	$	2,074	$	—	$	(182)	$	1,892
States, municipalities and political subdivisions	2,393		—		2,393		8		(129)		2,272
U.S. corporate securities	9,838		(3)		9,835		26		(903)		8,958
Foreign securities	2,780		(1)		2,779		15		(244)		2,550
Residential mortgage-backed securities	845		—		845		1		(89)		757
Commercial mortgage-backed securities	1,172		—		1,172		1		(155)		1,018
Other asset-backed securities	2,940		—		2,940		6		(136)		2,810
Redeemable preferred securities	25		—		25		—		(2)		23
Total debt securities (1)	$	22,067	$	(4)	$	22,063	$	57	$	(1,840)	$	20,280

_____________________________________________

(1)Investment risks associated with the Company’s experience-rated products generally do not impact the Company’s consolidated operating results. At September 30, 2023, debt securities with a fair value of $560 million, gross unrealized capital gains of $2 million and gross unrealized capital losses of $63 million and at December 31, 2022, debt securities with a fair value of $609 million, gross unrealized capital gains of $3 million and gross unrealized capital losses of $59 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 loss.

The net amortized cost and fair value of debt securities at September 30, 2023 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	$	1,273	$	1,254
One year through five years	7,413		6,995
After five years through ten years	4,279		3,891
Greater than ten years	4,106		3,518
Residential mortgage-backed securities	833		730
Commercial mortgage-backed securities	1,128		977
Other asset-backed securities	3,069		3,036
Total	$	22,101	$	20,401

Summarized below are the debt securities the Company held at September 30, 2023 and December 31, 2022 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, 2023
Debt securities:
U.S. government securities	143	$	393	$	12	370	$	1,250	$	159	513	$	1,643	$	171
States, municipalities and political subdivisions	614	1,003		36		634	939		115		1,248	1,942		151
U.S. corporate securities	2,619	2,903		127		4,427	5,688		752		7,046	8,591		879
Foreign securities	565	749		28		1,064	1,473		205		1,629	2,222		233
Residential mortgage-backed securities	88	234		9		460	496		94		548	730		103
Commercial mortgage-backed securities	83	207		11		340	668		140		423	875		151
Other asset-backed securities	399	1,010		11		597	1,144		35		996	2,154		46
Redeemable preferred securities	4	2		—		8	17		1		12	19		1
Total debt securities	4,515	$	6,501	$	234	7,900	$	11,675	$	1,501	12,415	$	18,176	$	1,735

December 31, 2022
Debt securities:
U.S. government securities	519	$	1,620	$	164	35	$	191	$	18	554	$	1,811	$	182
States, municipalities and political subdivisions	859	1,370		95		196	322		34		1,055	1,692		129
U.S. corporate securities	5,193	6,537		622		1,479	1,822		281		6,672	8,359		903
Foreign securities	1,168	1,715		147		403	592		97		1,571	2,307		244
Residential mortgage-backed securities	452	464		39		91	257		50		543	721		89
Commercial mortgage-backed securities	288	611		69		187	381		86		475	992		155
Other asset-backed securities	1,008	1,893		88		391	694		48		1,399	2,587		136
Redeemable preferred securities	13	18		2		2	5		—		15	23		2
Total debt securities	9,500	$	14,228	$	1,226	2,784	$	4,264	$	614	12,284	$	18,492	$	1,840

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, 2023 were generally caused by interest rate increases and not by unfavorable changes in the credit quality associated with these securities. As of September 30, 2023, 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, 2023 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	$	16	$	1	$	1,032	$	19	$	1,048	$	20
One year through five years	151		7		6,356		416		6,507		423
After five years through ten years	113		14		3,439		381		3,552		395
Greater than ten years	206		37		3,104		560		3,310		597
Residential mortgage-backed securities	8		1		722		102		730		103
Commercial mortgage-backed securities	16		2		859		149		875		151
Other asset-backed securities	18		1		2,136		45		2,154		46
Total	$	528	$	63	$	17,648	$	1,672	$	18,176	$	1,735

Mortgage Loans

The Company’s mortgage loans are collateralized by commercial real estate. During the three and nine months ended September 30, 2023 and 2022, the Company had the following activity in its mortgage loan portfolio:


	Three Months Ended September 30,				Nine Months Ended September 30,
In millions	2023		2022		2023		2022
New mortgage loans	$	63	$	125	$	286	$	305
Mortgage loans fully repaid	17		62		34		136
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, 2023 and December 31, 2022, 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	2023		2022		2021		2020		2019		Prior		Total
September 30, 2023
1	$	—	$	—	$	—	$	—	$	—	$	12	$	12
2 to 4	259		344		239		35		11		347		1,235
5 and 6	—		—		6		—		—		20		26
7	—		—		—		—		—		—		—
Total	$	259	$	344	$	245	$	35	$	11	$	379	$	1,273

December 31, 2022
1			$	—	$	—	$	—	$	—	$	15	$	15
2 to 4			326		247		36		11		402		1,022
5 and 6			—		—		—		—		7		7
7			—		—		—		—		—		—
Total			$	326	$	247	$	36	$	11	$	424	$	1,044

Net Investment Income

Sources of net investment income for the three and nine months ended September 30, 2023 and 2022 were as follows:


	Three Months Ended September 30,				Nine Months Ended September 30,
In millions	2023		2022		2023		2022
Debt securities	$	217	$	174	$	612	$	510
Mortgage loans	16		14		43		38
Other investments	199		134		609		279
Gross investment income	432		322		1,264		827
Investment expenses	(13)		(11)		(34)		(29)
Net investment income (excluding net realized capital losses)	419		311		1,230		798
Net realized capital losses (1)	(142)		(110)		(345)		(283)
Net investment income (2)	$	277	$	201	$	885	$	515

_____________________________________________

(1)Net realized capital losses include yield-related impairment losses on debt securities of $47 million in the three months ended September 30, 2023. There were no credit-related losses on debt securities in the three months ended September 30, 2023. Net realized capital losses include yield-related impairment losses on debt securities of $108 million and are net of the reversal of previously recorded credit-related impairment losses on debt securities of $3 million in the nine months ended September 30, 2023. Net realized capital losses include yield-related and credit-related impairment losses on debt securities of $73 million and $1 million, respectively, in the three months ended September 30, 2022. Net realized capital losses include yield-related and credit-related impairment losses on debt securities of $121 million and $17 million, respectively, in the nine months ended September 30, 2022.

(2)Net investment income includes $8 million and $25 million for the three and nine months ended September 30, 2023, respectively, and $8 million and $26 million for the three and nine months ended September 30, 2022, 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, 2023 and 2022 were as follows:


	Three Months Ended September 30,				Nine Months Ended September 30,
In millions	2023		2022		2023		2022
Proceeds from sales	$	1,171	$	593	$	3,503	$	3,556
Gross realized capital gains	2		3		7		20
Gross realized capital losses	110		28		294		135