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

The following tables present the amortized cost, allowance for credit losses, corresponding gross unrealized gains and losses and fair value for AFS investments in the Company’s consolidated investment portfolio as of December 31, 2021 and December 31, 2020:


	December 31, 2021
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	$	782	$	—	$	54	$	(2)	$	834
State and municipal bonds		140		—		27		—		167
Foreign governments		13		—		1		—		14
Corporate obligations		905		—		53		(5)		953
Mortgage-backed securities:
Residential mortgage-backed agency		190		—		3		(1)		192
Residential mortgage-backed non-agency		80		—		12		—		92
Commercial mortgage-backed		10		—		—		—		10
Asset-backed securities:
Collateralized debt obligations		101		—		—		—		101
Other asset-backed		95		—		—		(1)		94

Total AFS investments	$	2,316	$	—	$	150	$	(9)	$	2,457


	December 31, 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	$	775	$	—	$	75	$	(1)	$	849
State and municipal bonds		162		—		32		—		194
Foreign governments		11		—		1		—		12
Corporate obligations		827		—		64		(1)		890
Mortgage-backed securities:
Residential mortgage-backed agency		305		—		8		(1)		312
Residential mortgage-backed non-agency		22		—		3		—		25
Commercial mortgage-backed		17		—		1		—		18
Asset-backed securities:
Collateralized debt obligations		120		—		—		(2)		118
Other asset-backed		121		—		—		—		121

Total AFS investments	$	2,360	$	—	$	184	$	(5)	$	2,539

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


	December 31, 2021
	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	$	161	$	(1)	$	16	$	(1)	$	177	$	(2)
State and municipal bonds		11		—		—		—		11		—
Foreign governments		3		—		—		—		3		—
Corporate obligations		270		(5)		8		—		278		(5)
Mortgage-backed securities:
Residential mortgage-backed agency		94		(1)		1		—		95		(1)
Residential mortgage-backed non-agency		3		—		1		—		4		—
Commercial mortgage-backed		2		—		—		—		2		—
Asset-backed securities:
Collateralized debt obligations		60		—		29		—		89		—
Other asset-backed		72		(1)		—		—		72		(1)

Total AFS investments	$	676	$	(8)	$	55	$	(1)	$	731	$	(9)


	December 31, 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	$	99	$	(1)	$	—	$	—	$	99	$	(1)
Foreign governments		2		—		—		—		2		—
Corporate obligations		103		(1)		7		—		110		(1)
Mortgage-backed securities:
Residential mortgage-backed agency		53		(1)		—		—		53		(1)
Residential mortgage-backed non-agency		2		—		1		—		3		—
Commercial mortgage-backed		—		—		5		—		5		—
Asset-backed securities:
Collateralized debt obligations		37		—		78		(2)		115		(2)
Other asset-backed		29		—		—		—		29		—

Total AFS investments	$	325	$	(3)	$	91	$	(2)	$	416	$	(5)

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	$	—	$	—

(1)—Insurance loss reserve estimates are based on the proportion of par value owned to the total amount of par value insured and are discounted using a discount rate equal to the risk-free rate applicable to the currency and weighted average remaining life of the insurance contract and may differ from the fair

value.

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


In millions	Year Ended
Credit Losses Recognized in Earnings Related to OTTI	December 31, 2019
Beginning balance	$	37
Additions for credit loss impairments recognized in the current period on securities previously impaired		67
Reductions for credit loss impairments previously recognized on securities impaired to fair value during the period		(104)

Ending balance	$	—

Portion Of Unrealized Gains Losses Recognized On Equity Investments


	Years Ended December 31,
In millions	2021		2020		2019
Net gains and (losses) recognized during the period on equity securities	$	6	$	3	$	11
Less:
Net gains and (losses) recognized during the period on equity securities sold during the period		1		(1)		1

Unrealized gains and (losses) recognized during the period on equity securities still held at the reporting date	$	5	$	4	$	10