Investments

6 Months Ended

Jun. 30, 2021

Total investments at June 30, 2021 and December 31, 2020 were as follows:


	June 30, 2021						December 31, 2020
In millions	Current		Long-term		Total		Current		Long-term		Total
Debt securities available for sale	$	2,878	$	19,468	$	22,346	$	2,774	$	18,414	$	21,188
Mortgage loans	128		848		976		226		821		1,047
Other investments	—		1,820		1,820		—		1,577		1,577
Total investments	$	3,006	$	22,136	$	25,142	$	3,000	$	20,812	$	23,812

Debt Securities

Debt securities available for sale at June 30, 2021 and December 31, 2020 were as follows:


In millions	Amortized Cost (1)		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
June 30, 2021
Debt securities:
U.S. government securities	$	2,320	$	91	$	(1)	$	2,410
States, municipalities and political subdivisions	2,978		168		(2)		3,144
U.S. corporate securities	8,754		822		(14)		9,562
Foreign securities	2,652		247		(6)		2,893
Residential mortgage-backed securities	812		20		(3)		829
Commercial mortgage-backed securities	1,023		63		(5)		1,081
Other asset-backed securities	2,372		26		(1)		2,397
Redeemable preferred securities	27		3		—		30
Total debt securities (2)	$	20,938	$	1,440	$	(32)	$	22,346

December 31, 2020
Debt securities:
U.S. government securities	$	2,341	$	128	$	—	$	2,469
States, municipalities and political subdivisions	2,556		172		—		2,728
U.S. corporate securities	7,879		1,023		(8)		8,894
Foreign securities	2,595		324		(1)		2,918
Residential mortgage-backed securities	673		32		—		705
Commercial mortgage-backed securities	962		84		—		1,046
Other asset-backed securities	2,369		36		(2)		2,403
Redeemable preferred securities	21		4		—		25
Total debt securities (2)	$	19,396	$	1,803	$	(11)	$	21,188

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(1)There was no allowance for expected credit losses recorded on available-for-sale debt securities at June 30, 2021 or December 31, 2020.

(2)Investment risks associated with the Company’s experience-rated products generally do not impact the Company’s consolidated operating results. At June 30, 2021, debt securities with a fair value of $886 million, gross unrealized capital gains of $110 million and gross unrealized capital losses of $1 million and at December 31, 2020, debt securities with a fair value of $919 million, gross unrealized capital gains of $135 million and no gross unrealized capital losses 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.

The amortized cost and fair value of debt securities at June 30, 2021 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	Amortized Cost		Fair Value
Due to mature:
Less than one year	$	1,168	$	1,183
One year through five years	7,095		7,397
After five years through ten years	4,418		4,682
Greater than ten years	4,050		4,777
Residential mortgage-backed securities	812		829
Commercial mortgage-backed securities	1,023		1,081
Other asset-backed securities	2,372		2,397
Total	$	20,938	$	22,346

Summarized below are the debt securities the Company held at June 30, 2021 and December 31, 2020 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, 2021
Debt securities:
U.S. government securities	15	$	76	$	1	—	$	—	$	—	15	$	76	$	1
States, municipalities and political subdivisions	146	302		2		1	4		—		147	306		2
U.S. corporate securities	807	1,125		13		8	9		1		815	1,134		14
Foreign securities	237	374		6		2	2		—		239	376		6
Residential mortgage-backed securities	100	398		3		5	—		—		105	398		3
Commercial mortgage-backed securities	85	241		5		—	—		—		85	241		5
Other asset-backed securities	272	505		1		24	28		—		296	533		1
Redeemable preferred securities	1	3		—		—	—		—		1	3		—
Total debt securities	1,663	$	3,024	$	31	40	$	43	$	1	1,703	$	3,067	$	32

December 31, 2020
Debt securities:
U.S. government securities	32	$	205	$	—	—	$	—	$	—	32	$	205	$	—
States, municipalities and political subdivisions	49	83		—		—	—		—		49	83		—
U.S. corporate securities	145	155		8		2	—		—		147	155		8
Foreign securities	41	69		1		5	5		—		46	74		1
Residential mortgage-backed securities	23	26		—		3	—		—		26	26		—
Commercial mortgage-backed securities	22	75		—		—	—		—		22	75		—
Other asset-backed securities	156	256		1		49	41		1		205	297		2
Total debt securities	468	$	869	$	10	59	$	46	$	1	527	$	915	$	11

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, 2021 were generally caused by interest rate increases and not by unfavorable changes in the credit quality associated with these securities. As of June 30, 2021, 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, 2021 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	$	—	$	—	$	23	$	—	$	23	$	—
One year through five years	1		—		1,005		7		1,006		7
After five years through ten years	15		—		613		11		628		11
Greater than ten years	2		1		236		4		238		5
Residential mortgage-backed securities	—		—		398		3		398		3
Commercial mortgage-backed securities	6		—		235		5		241		5
Other asset-backed securities	1		—		532		1		533		1
Total	$	25	$	1	$	3,042	$	31	$	3,067	$	32

Mortgage Loans

The Company’s mortgage loans are collateralized by commercial real estate. During the three and six months ended June 30, 2021 and 2020, the Company had the following activity in its mortgage loan portfolio:


	Three Months Ended June 30,				Six Months Ended June 30,
In millions	2021		2020		2021		2020
New mortgage loans	$	73	$	16	$	120	$	24
Mortgage loans fully repaid	82		33		172		77
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, 2021 and December 31, 2020, 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	2021		2020		2019		2018		2017		Prior		Total
June 30, 2021
1	$	—	$	—	$	—	$	—	$	23	$	30	$	53
2 to 4	118		57		88		73		71		490		897
5 and 6	—		—		—		3		4		11		18
7	—		—		—		—		—		8		8
Total	$	118	$	57	$	88	$	76	$	98	$	539	$	976

December 31, 2020
1			$	—	$	—	$	—	$	22	$	37	$	59
2 to 4			46		96		91		124		595		952
5 and 6			—		—		3		4		29		36
7			—		—		—		—		—		—
Total			$	46	$	96	$	94	$	150	$	661	$	1,047

Net Investment Income

Sources of net investment income for the three and six months ended June 30, 2021 and 2020 were as follows:


	Three Months Ended June 30,				Six Months Ended June 30,
In millions	2021		2020		2021		2020
Debt securities	$	160	$	146	$	317	$	290
Mortgage loans	13		15		28		30
Other investments	112		(20)		198		27
Gross investment income	285		141		543		347
Investment expenses	(9)		(9)		(17)		(17)
Net investment income (excluding net realized capital gains or losses)	276		132		526		330
Net realized capital gains (1)	13		52		60		16
Net investment income (2)	$	289	$	184	$	586	$	346

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(1)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. Net realized capital gains include the reversal of previously recorded credit-related impairment losses on debt securities of $42 million and yield-related impairment losses on debt securities of $1 million in the three months ended June 30, 2020. Net realized capital gains are net of credit-related and yield-related impairment losses on debt securities of $3 million and $42 million, respectively, in the six months ended June 30, 2020.

(2)Net investment income includes $10 million and $19 million for the three and six months ended June 30, 2021, respectively, and $10 million and $21 million for the three and six months ended June 30, 2020, 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, 2021 and 2020 were as follows:


	Three Months Ended June 30,				Six Months Ended June 30,
In millions	2021		2020		2021		2020
Proceeds from sales	$	919	$	1,419	$	2,267	$	2,142
Gross realized capital gains	20		23		42		43
Gross realized capital losses	1		21		10		56