Investments (Tables)

9 Months Ended

Sep. 30, 2020

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Amortized Cost And Fair Value Of Available-For-Sale And Held-To-Maturity Investment Portfolios

The following table presents the amortized cost, allowance for credit losses, corresponding gross unrealized gains and losses and fair value for AFS and HTM investments in the Company’s consolidated investment portfolio as of September 30, 2020:

	September 30, 2020
In millions	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
AFS Investments
Fixed-maturity investments:
U.S. Treasury and government agency	$	918	$	-	$	85	$	-		$	1,003
State and municipal bonds		159		-		31		-			190
Foreign governments		12		-		1		-			13
Corporate obligations		870		-		68		(4	)		934
Mortgage-backed securities:
Residential mortgage-backed agency		281		-		8		-			289
Residential mortgage-backed non-agency		23		-		3		-			26
Commercial mortgage-backed		17		-		1		-			18
Asset-backed securities:
Collateralized debt obligations		125		-		-		(4	)		121
Other asset-backed		106		-		1		-			107
Total AFS investments	$	2,511	$	-	$	198	$	(8	)	$	2,701
HTM Investments
Assets of consolidated VIEs:
Corporate obligations	$	575	$	-	$	-	$	-		$	575
Total HTM investments	$	575	$	-	$	-	$	-		$	575

The following table presents the amortized cost, fair value, corresponding gross unrealized gains and losses and OTTI for AFS and HTM investments in the Company’s consolidated investment portfolio as of December 31, 2019:

	December 31, 2019
In millions	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		Other-Than- Temporary Impairments(1)
AFS Investments
Fixed-maturity investments:
U.S. Treasury and government agency	$	838	$	46	$	(2	)	$	882	$	-
State and municipal bonds		178		22		-			200		-
Foreign governments		8		1		-			9		-
Corporate obligations		1,140		52		(1	)		1,191		-
Mortgage-backed securities:
Residential mortgage-backed agency		317		3		-			320		-
Residential mortgage-backed non-agency		23		1		(5	)		19		-
Commercial mortgage-backed		20		-		-			20		-
Asset-backed securities:
Collateralized debt obligations		139		-		(2	)		137		-
Other asset-backed		321		1		(1	)		321		-
Total AFS investments	$	2,984	$	126	$	(11	)	$	3,099	$	-
HTM Investments
Assets of consolidated VIEs:
Corporate obligations	$	890	$	2	$	-		$	892	$	-
Total HTM investments	$	890	$	2	$	-		$	892	$	-

(1) -  Represents unrealized gains or losses on OTTI securities recognized in AOCI, which includes the non-credit component of impairments, as well as all subsequent changes in fair value of such impaired securities reported in AOCI.

Distribution By Contractual Maturity Of Available-For-Sale and Held-To-Maturity Investments

	AFS Securities				HTM Securities
					Consolidated VIEs
In millions	Net Amortized Cost		Fair Value		Net Amortized Cost		Fair Value
Due in one year or less	$	560	$	562	$	-	$	-
Due after one year through five years		473		490		-		-
Due after five years through ten years		269		297		-		-
Due after ten years		657		791		575		575
Mortgage-backed and asset-backed		552		561		-		-
Total fixed-maturity investments	$	2,511	$	2,701	$	575	$	575

Gross Unrealized Losses Related To Available-For-Sale And Held-To-Maturity Investments

	September 30, 2020
	Less than 12 Months					12 Months or Longer					Total
In millions	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
AFS Investments
Fixed-maturity investments:
U.S. Treasury and government agency	$	124	$	-		$	-	$	-		$	124	$	-
State and municipal bonds		1		-			-		-			1		-
Corporate obligations		124		(3	)		7		(1	)		131		(4	)
Mortgage-backed securities:
Residential mortgage-backed agency		57		-			-		-			57		-
Residential mortgage-backed non-agency		-		-			2		-			2		-
Commercial mortgage-backed		-		-			5		-			5		-
Asset-backed securities:
Collateralized debt obligations		41		(1	)		80		(3	)		121		(4	)
Other asset-backed		35		-			-		-			35		-
Total AFS investments	$	382	$	(4	)	$	94	$	(4	)	$	476	$	(8	)

	December 31, 2019
	Less than 12 Months					12 Months or Longer					Total
In millions	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
AFS Investments
Fixed-maturity investments:
U.S. Treasury and government agency	$	148	$	(1	)	$	79	$	(1	)	$	227	$	(2	)
State and municipal bonds		11		-			15		-			26		-
Corporate obligations		53		(1	)		10		-			63		(1	)
Mortgage-backed securities:
Residential mortgage-backed agency		62		-			7		-			69		-
Residential mortgage-backed non-agency		-		-			11		(5	)		11		(5	)
Commercial mortgage-backed		5		-			-		-			5		-
Asset-backed securities:
Collateralized debt obligations		44		-			77		(2	)		121		(2	)
Other asset-backed		48		(1	)		7		-			55		(1	)
Total AFS investments	$	371	$	(3	)	$	206	$	(8	)	$	577	$	(11	)

Distribution Of Securities By Percentage Of Fair Value Below Book Value By More Than 5%

	AFS Securities
Percentage of Fair Value Below Book Value	Number of Securities		Book Value (in millions)		Fair Value (in millions)
> 5% to 15%		10	$	20	$	18
> 15% to 25%		2		-		-
> 25% to 50%		2		1		1
> 50%		2		-		-
Total		16	$	21	$	19

Securities Held In Unrealized Loss Position And Insured By Financial Guarantor and The Related Insurance Loss Reserve On Company Insured Investments

In millions	Fair Value		Unrealized Loss		Insurance Loss Reserve (1)
Mortgage-backed	$	1		-		-
Total	$	1	$	-	$	-

(1) - Insurance loss reserve estimates are based on the proportion of par value owned to the total amount of par value insured.

Summary of Allowance for Credit Losses on HTM Investments

			Three Months Ended September 30, 2020
In millions	Balance Beginning of Period		Current period provision for expected credit losses			Initial allowance recognized for PCD assets		Write-Offs		Recoveries		Balance as of September 30, 2020
HTM Investments
Assets of consolidated VIEs:
Corporate obligations	$	23	$	(23	)	$	-	$	-	$	-	$	-
Total Allowance on HTM investments	$	23	$	(23	)	$	-	$	-	$	-	$	-

			Nine Months Ended September 30, 2020
In millions	Balance as of January 1, 2020 (1)		Current period provision for expected credit losses			Initial allowance recognized for PCD assets		Write-Offs		Recoveries		Balance as of September 30, 2020
HTM Investments
Assets of consolidated VIEs:
Corporate obligations	$	37	$	(37	)	$	-	$	-	$	-	$	-
Total Allowance on HTM investments	$	37	$	(37	)	$	-	$	-	$	-	$	-

(1) -  Represents transition adjustment upon adoption of ASU 2016-13.

Credit Losses Recognized In Earnings Related To OTTI Losses Recognized In Accumulated Other Comprehensive Income (Loss)

In millions	Three Months Ended September 30, 2019		Nine Months Ended September 30, 2019
Credit Losses Recognized in Earnings Related to Other-Than-Temporary Impairments
Beginning balance	$	74	$	37
Additions for credit loss impairments recognized in the current period on securities previously impaired		-		37
Ending balance	$	74	$	74

Gross Realized Gains and Losses From Sales Of Available-For-Sale Securities

	Three Months Ended September 30,					Nine Months Ended September 30,
In millions	2020			2019		2020			2019
Proceeds from sales	$	293		$	508	$	862		$	1,875
Gross realized gains	$	22		$	79	$	53		$	100
Gross realized losses	$	(2	)	$	-	$	(14	)	$	(3	)

Portion Of Unrealized Gains Losses Recognized On Equity Investments

	Three Months Ended September 30,				Nine Months Ended September 30,
In millions	2020		2019		2020			2019
Net gains (losses) recognized during the period on equity securities	$	4	$	2	$	(1	)	$	9
Less:
Net gains (losses) recognized during the period on equity securities sold during the period		-		-		-			1
Unrealized gains (losses) recognized during the period on equity securities still held at the reporting date	$	4	$	2	$	(1	)	$	8