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Investments (Tables) | 6 Months Ended
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Jun. 30, 2021
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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 June 30, 2021 and December 31, 2020:
|  | June 30, 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 |  | $ | 739 |  |  | $ | - |  |  | $ | 58 |  |  | $ | (1 | ) |  | $ | 796 |
State and municipal bonds |  |  | 156 |  |  |  | - |  |  |  | 29 |  |  |  | - |  |  |  | 185 |
Foreign governments |  |  | 16 |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | 17 |
Corporate obligations |  |  | 864 |  |  |  | - |  |  |  | 43 |  |  |  | (5 | ) |  |  | 902 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed agency |  |  | 219 |  |  |  | - |  |  |  | 5 |  |  |  | (1 | ) |  |  | 223 |
Residential mortgage-backed non-agency |  |  | 85 |  |  |  | - |  |  |  | 10 |  |  |  | - |  |  |  | 95 |
Commercial mortgage-backed |  |  | 12 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 12 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | 118 |  |  |  | - |  |  |  | - |  |  |  | (1 | ) |  |  | 117 |
Other asset-backed |  |  | 126 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 126 |
Total AFS investments |  | $ | 2,335 |  |  | $ | - |  |  | $ | 146 |  |  | $ | (8 | ) |  | $ | 2,473 |
|  | 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 |  | $ | 509 |  |  | $ | 509 |
Due after one year through five years |  |  | 311 |  |  |  | 326 |
Due after five years through ten years |  |  | 307 |  |  |  | 327 |
Due after ten years |  |  | 648 |  |  |  | 738 |
Mortgage-backed and asset-backed |  |  | 560 |  |  |  | 573 |
Total fixed-maturity investments |  | $ | 2,335 |  |  | $ | 2,473 |
Gross Unrealized Losses Related To Available-For-Sale And Held-To-Maturity Investments |
|  | June 30, 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 |  | $ | 65 |  |  | $ | (1 | ) |  | $ | - |  |  | $ | - |  |  | $ | 65 |  |  | $ | (1 | )
Foreign governments |  |  | 7 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 7 |  |  |  | - |
Corporate obligations |  |  | 238 |  |  |  | (5 | ) |  |  | 7 |  |  |  | - |  |  |  | 245 |  |  |  | (5 | )
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed agency |  |  | 99 |  |  |  | (1 | ) |  |  | - |  |  |  | - |  |  |  | 99 |  |  |  | (1 | )
Residential mortgage-backed non-agency |  |  | 5 |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | 6 |  |  |  | - |
Commercial mortgage-backed |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 1 |  |  |  | - |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | 28 |  |  |  | - |  |  |  | 49 |  |  |  | (1 | ) |  |  | 77 |  |  |  | (1 | )
Other asset-backed |  |  | 78 |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | 79 |  |  |  | - |
Total AFS investments |  | $ | 521 |  |  | $ | (7 | ) |  | $ | 58 |  |  | $ | (1 | ) |  | $ | 579 |  |  | $ | (8 | )
|  | 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% |  |  | 1 |  |  | $ | - |  |  | $ | - |
> 15% to 25% |  |  | 3 |  |  |  | 1 |  |  |  | 1 |
> 50% |  |  | 2 |  |  |  | - |  |  |  | - |
Total |  |  | 6 |  |  | $ | 1 |  |  | $ | 1 |
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 |  |  | $ | - |  |  | $ | - |
Corporate obligations |  |  | 62 |  |  |  | (3) |  |  |  | - |
Total |  | $ | 63 |  |  | $ | (3) |  |  | $ | - |
| (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 | The following tables present the rollforward of the allowance for credit losses on HTM investments for the three and six months ended June 30, 2020.
|  |  |  | Three Months Ended June 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 June 30, 2020
HTM Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  | $ | 46 |  |  | $ | (23 | ) |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 23 |
Total Allowance on HTM investments |  | $ | 46 |  |  | $ | (23 | ) |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 23 |
|  |  |  | Six Months Ended June 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 June 30, 2020
HTM Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  | $ | 37 |  |  | $ | (14 | ) |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 23 |
Total Allowance on HTM investments |  | $ | 37 |  |  | $ | (14 | ) |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 23 |
(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 June 30, |  | Six Months Ended June 30,
In millions |  | 2021 |  | 2020 |  | 2021 |  | 2020
Proceeds from sales |  | $ | 218 |  |  | $ | 290 |  |  | $ | 396 |  |  | $ | 569 |
Gross realized gains |  | $ | 2 |  |  | $ | 20 |  |  | $ | 6 |  |  | $ | 31 |
Gross realized losses |  | $ | (3 | ) |  | $ | (4 | ) |  | $ | (8 | ) |  | $ | (12 | )
Portion Of Unrealized Gains Losses Recognized On Equity Investments |
|  | Three Months Ended June 30, |  | Six Months Ended June 30,
In millions |  | 2021 |  | 2020 |  | 2021 |  | 2020
Net gains (losses) recognized during the period on equity securities |  | $ | 3 |  |  | $ | 8 |  |  | $ | 5 |  |  | $ | (5 | )
Less: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net gains (losses) recognized during the period on equity securities sold during the period |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |
Unrealized gains (losses) recognized during the period on equity securities still held at the reporting date |  | $ | 3 |  |  | $ | 8 |  |  | $ | 5 |  |  | $ | (5 | )

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