OTTI losses, investments, portion recognized in earnings, net

  
Based upon the Company’s assessments at December 31, 2021 and 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 |
| December 31, 2021 |  |  |  |  |  |  |  |  |  |  |  |  |  |
| 1 | $ | —  |  |  | $ | —  |  |  | $ | —  |  |  | $ | —  |  |  | $ | —  |  |  | $ | 28  |  |  | $ | 28  |  |
| 2 to 4 | 255  |  |  | 48  |  |  | 40  |  |  | 72  |  |  | 97  |  |  | 349  |  |  | 861  |  |
| 5 and 6 | —  |  |  | —  |  |  | —  |  |  | 3  |  |  | 4  |  |  | 6  |  |  | 13  |  |
| 7 | —  |  |  | —  |  |  | —  |  |  | —  |  |  | —  |  |  | —  |  |  | —  |  |
| Total | $ | 255  |  |  | $ | 48  |  |  | $ | 40  |  |  | $ | 75  |  |  | $ | 101  |  |  | $ | 383  |  |  | $ | 902  |  |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| 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  |  |

  
At December 31, 2021 scheduled mortgage loan principal repayments were as follows:

|  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  |
| In millions |  |
| 2022 | $ | 58  |  |
| 2023 | 100  |  |
| 2024 | 210  |  |
| 2025 | 76  |  |
| 2026 | 177  |  |
| Thereafter | 281  |  |
| Total | $ | 902  |  |

  
Net Investment Income  
Sources of net investment income for the years ended December 31, 2021, 2020 and 2019 were as follows:

|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| In millions | 2021 |  | 2020 |  | 2019 |
| Debt securities | $ | 634  |  |  | $ | 598  |  |  | $ | 589  |  |
| Mortgage loans | 55  |  |  | 60  |  |  | 71  |  |
| Other investments | 381  |  |  | 123  |  |  | 194  |  |
| Gross investment income | 1,070  |  |  | 781  |  |  | 854  |  |
| Investment expenses | (47) |  |  | (35) |  |  | (42) |  |
| Net investment income (excluding net realized capital gains or losses) | 1,023  |  |  | 746  |  |  | 812  |  |
| Net realized capital gains (1) | 176  |  |  | 52  |  |  | 199  |  |
| Net investment income (2) | $ | 1,199  |  |  | $ | 798  |  |  | $ | 1,011  |  |

\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_(1)Net realized capital gains are net of yield-related impairment losses on debt securities of $42 million and $49 million for the years ended December 31, 2021 and 2020, respectively. There were no credit-related losses on debt securities in the years ended December 31, 2021 and 2020. Net realized capital gains are net of other-than-temporary impairment (“OTTI”) losses on debt securities of $24 million for the year ended December 31, 2019.(2)Net investment income includes $38 million, $42 million and $44 million for the years ended December 31, 2021, 2020 and 2019, respectively, related to investments supporting experience-rated products.   
  
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