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Investments (Tables)

3 Months Ended

Mar. 31, 2021

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

The following tables presents 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 March 31, 2021 and December 31, 2020:


	March 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	$	1,006	$	-	$	47	$	(5	)	$	1,048
State and municipal bonds		160		-		25		-			185
Foreign governments		13		-		-		-			13
Corporate obligations		883		-		31		(16	)		898
Mortgage-backed securities:
Residential mortgage-backed agency		285		-		7		(3	)		289
Residential mortgage-backed non-agency		83		-		4		(3	)		84
Commercial mortgage-backed		11		-		1		-			12
Asset-backed securities:
Collateralized debt obligations		114		-		-		(1	)		113
Other asset-backed		173		-		-		-			173

Total AFS investments	$	2,728	$	-	$	115	$	(28	)	$	2,815


	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

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


	AFS Securities
In millions	Net Amortized Cost		Fair Value
Due in one year or less	$	827	$	829
Due after one year through five years		374		387
Due after five years through ten years		231		248
Due after ten years		630		680
Mortgage-backed and asset-backed		666		671

Total fixed-maturity investments	$	2,728	$	2,815

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


	March 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	$	125	$	(5	)	$	-	$	-		$	125	$	(5	)
State and municipal bonds		4		-			-		-			4		-
Foreign governments		6		-			-		-			6		-
Corporate obligations		278		(15	)		15		(1	)		293		(16	)
Mortgage-backed securities:
Residential mortgage-backed agency		100		(3	)		-		-			100		(3	)
Residential mortgage-backed non-agency		35		(3	)		1		-			36		(3	)
Commercial mortgage-backed		2		-			-		-			2		-
Asset-backed securities:
Collateralized debt obligations		19		-			71		(1	)		90		(1	)
Other asset-backed		77		-			1		-			78		-

Total AFS investments	$	646	$	(26	)	$	88	$	(2	)	$	734	$	(28	)


	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	)

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%		2	$	1	$	1
> 15% to 25%		3		1		1
> 50%		2		-		-

Total		7	$	2	$	2

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	$	36	$	(3)	$	44
Corporate obligations		85		(10)		-

Total	$	121	$	(13)	$	44

(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.

Summary of Allowance for Credit Losses on HTM Investments


			Three Months Ended March 31, 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 March 31, 2020
HTM Investments
Assets of consolidated VIEs:
Corporate obligations	$	37	$	9	$	-	$	-	$	-	$	46

Total Allowance on HTM investments	$	37	$	9	$	-	$	-	$	-	$	46

(1) - Represents

transition adjustment upon adoption of ASU 2016-13.

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


	Three Months Ended March 31,
In millions	2021			2020
Proceeds from sales	$	178		$	279
Gross realized gains	$	4		$	11
Gross realized losses	$	(5	)	$	(8	)

Portion Of Unrealized Gains Losses Recognized On Equity Investments


	Three Months Ended March 31,
In millions	2021		2020
Net gains and (losses) recognized during the period on equity securities	$	2	$	(13	)
Less:
Net gains and (losses) recognized during the period on equity securities sold during the period		-		-

Unrealized gains and (losses) recognized during the period on equity securities still held at the reporting date	$	2	$	(13	)