| Investments (excluding Consolidated Investment Entities) | 20% < 20% > 20% < 20% > 20% September 30, 2018 Six months or less below amortized cost $ 8,430 $ 168 $ 138 $ 49 1,042 22 More than six months and twelve months or less below amortized cost 9,604 25 425 6 1,381 7 More than twelve months below amortized cost 2,295 125 203 35 340 16 Total $ 20,329 $ 318 $ 766 $ 90 2,763 45 December 31, 2017 Six months or less below amortized cost $ 6,126 $ 196 $ 148 $ 82 1,098 38 More than six months and twelve months or less below amortized cost 48 — 1 — 14 — More than twelve months below amortized cost 448 — 12 — 87 — Total $ 6,622 $ 196 $ 161 $ 82 1,199 38 Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, by market sector for instances in which fair value declined below amortized cost by greater than or less than 20% were as follows as of the dates indicated: Amortized Cost Unrealized Capital Losses Number of Securities < 20% > 20% < 20% > 20% < 20% > 20% September 30, 2018 U.S. Treasuries $ 161 $ — $ 5 $ — 27 — State, municipalities and political subdivisions 1,032 — 38 — 197 — U.S. corporate public securities 6,778 36 262 9 898 2 U.S. corporate private securities 3,179 94 124 25 226 2 Foreign corporate public securities and foreign governments 2,469 39 96 8 326 4 Foreign corporate private securities 2,143 94 86 33 134 3 Residential mortgage-backed 1,379 54 66 14 415 33 Commercial mortgage-backed 2,155 — 77 — 329 — Other asset-backed 1,033 1 12 1 211 1 Total $ 20,329 $ 318 $ 766 $ 90 2,763 45 December 31, 2017 U.S. Treasuries $ 183 $ — $ 2 $ — 29 — State, municipalities and political subdivisions 408 — 11 — 103 — U.S. corporate public securities 1,553 18 45 5 232 2 U.S. corporate private securities 1,129 73 28 22 73 2 Foreign corporate public securities and foreign governments 506 7 16 2 84 1 Foreign corporate private securities 490 84 16 48 35 6 Residential mortgage-backed 1,075 13 29 5 334 25 Commercial mortgage-backed 871 — 11 — 164 — Other asset-backed 407 1 3 — 145 2 Total $ 6,622 $ 196 $ 161 $ 82 1,199 38 The following tables summarize loan-to-value, credit enhancement and fixed floating rate details for residential mortgage-backed securities ("RMBS") and Other ABS in a gross unrealized loss position as of the dates indicated: Loan-to-Value Ratio Amortized Cost Unrealized Capital Losses September 30, 2018 < 20% > 20% < 20% > 20% RMBS and Other ABS (1) Non-agency RMBS > 100% $ — $ — $ — $ — Non-agency RMBS > 90% - 100% — — — — Non-agency RMBS 80% - 90% — — — — Non-agency RMBS < 80% 400 — 13 — Agency RMBS 993 54 53 14 Other ABS (Non-RMBS) 1,019 1 12 1 Total RMBS and Other ABS $ 2,412 $ 55 $ 78 $ 15 Credit Enhancement Percentage Amortized Cost Unrealized Capital Losses September 30, 2018 < 20% > 20% < 20% > 20% RMBS and Other ABS (1) Non-agency RMBS 10% + $ 345 $ — $ 11 $ — Non-agency RMBS > 5% - 10% 6 — — — Non-agency RMBS > 0% - 5% 33 — 1 — Non-agency RMBS 0% 16 — 1 — Agency RMBS 993 54 53 14 Other ABS (Non-RMBS) 1,019 1 12 1 Total RMBS and Other ABS $ 2,412 $ 55 $ 78 $ 15 Fixed Rate/Floating Rate Amortized Cost Unrealized Capital Losses September 30, 2018 < 20% > 20% < 20% > 20% Fixed Rate $ 1,439 $ 7 $ 49 $ 2 Floating Rate 973 48 29 13 Total $ 2,412 $ 55 $ 78 $ 15 (1) For purposes of this table, subprime mortgages are included in Non-agency RMBS categories. Loan-to-Value Ratio Amortized Cost Unrealized Capital Losses December 31, 2017 < 20% > 20% < 20% > 20% RMBS and Other ABS (1) Non-agency RMBS > 100% $ — $ — $ — $ — Non-agency RMBS > 90% - 100% — — — — Non-agency RMBS 80% - 90% 13 — — — Non-agency RMBS < 80% 211 1 4 — Agency RMBS 878 12 26 4 Other ABS (Non-RMBS) 380 1 2 1 Total RMBS and Other ABS $ 1,482 $ 14 $ 32 $ 5 Credit Enhancement Percentage Amortized Cost Unrealized Capital Losses December 31, 2017 < 20% > 20% < 20% > 20% RMBS and Other ABS (1) Non-agency RMBS 10% + $ 162 $ — $ 2 $ — Non-agency RMBS > 5% - 10% 11 — — — Non-agency RMBS > 0% - 5% 25 1 1 — Non-agency RMBS 0% 26 — 1 — Agency RMBS 878 12 26 4 Other ABS (Non-RMBS) 380 1 2 1 Total RMBS and Other ABS $ 1,482 $ 14 $ 32 $ 5 Fixed Rate/Floating Rate Amortized Cost Unrealized Capital Losses December 31, 2017 < 20% > 20% < 20% > 20% Fixed Rate $ 1,104 $ 6 $ 20 $ 2 Floating Rate 378 8 12 3 Total $ 1,482 $ 14 $ 32 $ 5 (1) For purposes of this table, subprime mortgages are included in Non-agency RMBS categories. Investments with fair values less than amortized cost are included in the Company's other-than-temporary impairments analysis. Impairments were recognized as disclosed in the "Evaluating Securities for Other-Than-Temporary Impairments" section below. The Company evaluates non-agency RMBS and ABS for "other-than-temporary impairments" each quarter based on actual and projected cash flows, after considering the quality and updated loan-to-value ratios reflecting current home prices of underlying collateral, forecasted loss severity, the payment priority within the tranche structure of the security and amount of any credit enhancements. The Company's assessment of current levels of cash flows compared to estimated cash flows at the time the securities were acquired (typically pre-2008) indicates the amount and the pace of projected cash flows from the underlying collateral has generally been lower and slower, respectively. However, since cash flows are typically projected at a trust level, the impairment review incorporates the security's position within the trust structure as well as credit enhancement remaining in the trust to determine whether an impairment is warranted. Therefore, while lower and slower cash flows will impact the trust, the effect on the valuation of a particular security within the trust will also be dependent upon the trust structure. Where the assessment continues to project full recovery of principal and interest on schedule, the Company has not recorded an impairment. Based on this analysis, the Company determined that the remaining investments in an unrealized loss position were not other-than-temporarily impaired and therefore no further other-than-temporary impairment was necessary. Troubled Debt Restructuring The Company invests in high quality, well performing portfolios of commercial mortgage loans and private placements. Under certain circumstances, modifications are granted to these contracts. Each modification is evaluated as to whether a troubled debt restructuring has occurred. A modification is a troubled debt restructuring when the borrower is in financial difficulty and the creditor makes concessions. Generally, the types of concessions may include reducing the face amount or maturity amount of the debt as originally stated, reducing the contractual interest rate, extending the maturity date at an interest rate lower than current market interest rates and/or reducing accrued interest. The Company considers the amount, timing and extent of the concession granted in determining any impairment or changes in the specific valuation allowance recorded in connection with the troubled debt restructuring. A valuation allowance may have been recorded prior to the quarter when the loan is modified in a troubled debt restructuring. Accordingly, the carrying value (net of the specific valuation allowance) before and after modification through a troubled debt restructuring may not change significantly, or may increase if the expected recovery is higher than the pre-modification recovery assessment. As of September 30, 2018 , the Company did not have any new commercial mortgage loan or private placement troubled debt restructuring. As of December 31, 2017 the Company did not have any new commercial mortgage loan troubled debt restructuring and had one private placement troubled debt restructuring with a pre-modification and post-modification carrying value of $22 . As of September 30, 2018 and December 31, 2017 , the Company did no t have any commercial mortgage loans or private placements modified in a troubled debt restructuring with a subsequent payment default. Mortgage Loans on Real Estate The Company's mortgage loans on real estate are all commercial mortgage loans held for investment, which are reported at amortized cost, less impairment write-downs and allowance for losses. The Company diversifies its commercial mortgage loan portfolio by geographic region and property type to reduce concentration risk. The Company manages risk when originating commercial mortgage loans by generally lending only up to 75% of the estimated fair value of the underlying real estate. Subsequently, the Company continuously evaluates mortgage loans based on relevant current information including a review of loan-specific credit quality, property characteristics and market trends. Loan performance is monitored on a loan specific basis through the review of submitted appraisals, operating statements, rent revenues and annual inspection reports, among other items. This review ensures properties are performing at a consistent and acceptable level to secure the debt. The components to evaluate debt service coverage are received and reviewed at least annually to determine the level of risk. The following table summarizes the Company's investment in mortgage loans as of the dates indicated: September 30, 2018 December 31, 2017 Impaired Non Impaired Total Impaired Non Impaired Total Commercial mortgage loans $ 4 $ 8,860 $ 8,864 $ 4 $ 8,685 $ 8,689 Collective valuation allowance for losses N/A (2 ) (2 ) N/A (3 ) (3 ) Total net commercial mortgage loans $ 4 $ 8,858 $ 8,862 $ 4 $ 8,682 $ 8,686 N/A - Not Applicable There were no impairments taken on the mortgage loan portfolio for the three and nine months ended September 30, 2018 and 2017 . The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated: September 30, 2018 December 31, 2017 Collective valuation allowance for losses, balance at January 1 $ 3 $ 3 Addition to (reduction of) allowance for losses (1 ) — Collective valuation allowance for losses, end of period $ 2 $ 3 The carrying values and unpaid principal balances of impaired mortgage loans were as follows as of the dates indicated: September 30, 2018 December 31, 2017 Impaired loans without allowances for losses $ 4 $ 4 Less: Allowances for losses on impaired loans — — Impaired loans, net $ 4 $ 4 Unpaid principal balance of impaired loans $ 6 $ 6 As of September 30, 2018 and December 31, 2017 , the Company did not have any impaired loans with allowances for losses. The Company defines delinquent mortgage loans consistent with industry practice as 60 days past due. The Company's policy is to recognize interest income until a loan becomes 90 days delinquent or foreclosure proceedings are commenced, at which point interest accrual is discontinued. Interest accrual is not resumed until the loan is brought current. There were no mortgage loans in the Company's portfolio in process of foreclosure as of September 30, 2018 and December 31, 2017 . There were no loans 30 days or less in arrears, with respect to principal and interest as of September 30, 2018 and December 31, 2017 . The following tables present information on the average investment during the period in impaired loans and interest income recognized on impaired and troubled debt restructured loans for the periods indicated: Three Months Ended September 30, 2018 2017 Impaired loans, average investment during the period (amortized cost) (1) $ 4 $ 4 Interest income recognized on impaired loans, on an accrual basis (1) — — Interest income recognized on impaired loans, on a cash basis (1) — — Interest income recognized on troubled debt restructured loans, on an accrual basis — — (1) Includes amounts for Troubled debt restructured loans. Nine Months Ended September 30, 2018 2017 Impaired loans, average investment during the period (amortized cost) (1) $ 4 $ 5 Interest income recognized on impaired loans, on an accrual basis (1) — — Interest income recognized on impaired loans, on a cash basis (1) — — Interest income recognized on troubled debt restructured loans, on an accrual basis — — (1) Includes amounts for Troubled debt restructured loans. Loan-to-value ("LTV") and debt service coverage ("DSC") ratios are measures commonly used to assess the risk and quality of mortgage loans. The LTV ratio, calculated at time of origination, is expressed as a percentage of the amount of the loan relative to the value of the underlying property. A LTV ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. The DSC ratio, based upon the most recently received financial statements, is expressed as a percentage of the amount of a property’s net income to its debt service payments. A DSC ratio of less than 1.0 indicates that a property’s operations do not generate sufficient income to cover debt payments. These ratios are utilized as part of the review process described above. The following table presents the LTV ratios as of the dates indicated: September 30, 2018 (1) December 31, 2017 (1) Loan-to-Value Ratio: 0% - 50% $ 844 $ 849 > 50% - 60% 2,120 2,125 > 60% - 70% 5,131 5,144 > 70% - 80% 718 551 > 80% and above 51 20 Total Commercial mortgage loans $ 8,864 $ 8,689 (1) Balances do not include collective valuation allowance for losses. The following table presents the DSC ratios as of the dates indicated: September 30, 2018 (1) December 31, 2017 (1) Debt Service Coverage Ratio: Greater than 1.5x $ 7,021 $ 7,013 > 1.25x - 1.5x 707 655 > 1.0x - 1.25x 977 893 Less than 1.0x 104 105 Commercial mortgage loans secured by land or construction loans 55 23 Total Commercial mortgage loans $ 8,864 $ 8,689 (1) Balances do not include collective valuation allowance for losses. Properties collateralizing mortgage loans are geographically dispersed throughout the United States, as well as diversified by property type, as reflected in the following tables as of the dates indicated: September 30, 2018 (1) December 31, 2017 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by U.S. Region: Pacific $ 2,070 23.4 % $ 2,024 23.4 % South Atlantic 1,818 20.6 % 1,716 19.7 % Middle Atlantic 1,543 17.4 % 1,612 18.5 % West South Central 1,002 11.3 % 959 11.0 % Mountain 925 10.4 % 859 9.9 % East North Central 864 9.7 % 884 10.2 % New England 155 1.7 % 161 1.8 % West North Central 418 4.7 % 391 4.5 % East South Central 69 0.8 % 83 1.0 % Total Commercial mortgage loans $ 8,864 100.0 % $ 8,689 100.0 % (1) Balances do not include collective valuation allowance for losses. September 30, 2018 (1) December 31, 2017 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by Property Type: Retail $ 2,515 28.3 % $ 2,587 29.7 % Industrial 2,080 23.5 % 2,108 24.3 % Apartments 2,147 24.2 % 1,849 21.3 % Office 1,310 14.8 % 1,384 15.9 % Hotel/Motel 319 3.6 % 309 3.6 % Other 415 4.7 % 364 4.2 % Mixed Use 78 0.9 % 88 1.0 % Total Commercial mortgage loans $ 8,864 100.0 % $ 8,689 100.0 % (1) Balances do not include collective valuation allowance for losses. The following table presents mortgages by year of origination as of the dates indicated: September 30, 2018 (1) December 31, 2017 (1) Year of Origination: 2018 $ 650 $ — 2017 1,560 1,525 2016 1,440 1,428 2015 1,191 1,250 2014 1,234 1,303 2013 1,189 1,287 2012 and prior 1,600 1,896 Total Commercial mortgage loans $ 8,864 $ 8,689 (1) Balances do not include collective valuation allowance for losses. Evaluating Securities for Other-Than-Temporary Impairments The Company performs a regular evaluation, on a security-by-security basis, of its available-for-sale securities holdings, including fixed maturity securities in accordance with its impairment policy in order to evaluate whether such investments are other-than-temporarily impaired. The following tables identify the Company's credit-related and intent-related impairments included in the Condensed Consolidated Statements of Operations, excluding impairments included in Other comprehensive income (loss) by type for the periods indicated: Three Months Ended September 30, 2018 2017 Impairment No. of Securities Impairment No. of Securities State, municipalities and political subdivisions $ — — $ — * 3 U.S. corporate public securities 6 2 — — Foreign corporate private securities (1) — — — * 1 Residential mortgage-backed 1 18 1 14 Commercial mortgage-backed — — — — Total $ 7 20 $ 1 18 * Less than $1 (1) Primarily U.S. dollar denominated. Nine Months Ended September 30, 2018 2017 Impairment No. of Securities Impairment No. of Securities State, municipalities and political subdivisions $ — — $ 1 3 U.S. corporate public securities 6 2 — * 1 Foreign corporate private securities (1) 14 1 — * 1 Residential mortgage-backed 2 39 2 45 Commercial mortgage-backed — — 1 4 Total $ 22 42 $ 4 54 * Less than $1 (1) Primarily U.S. dollar denominated. The above tables include $15 of write-downs related to credit impairments for the nine months ended September 30, 2018 in Other-than-temporary impairments, which are recognized in the Condensed Consolidated Statements of Operations. There were immaterial write-downs related to credit impairments for the three months ended September 30, 2018 . The remaining $7 in write-downs for the three and nine months ended September 30, 2018 are related to intent impairments. The above tables include $1 and $3 of write-downs related to credit impairments for the three and nine months ended September 30, 2017 , respectively, in Other-than-temporary impairments, which are recognized in the Condensed Consolidated Statements of Operations. The remaining $1 in write-downs for the nine months e" id="sjs-B4">Investments (excluding Consolidated Investment Entities) Fixed Maturities and Equity Securities Available-for-sale and fair value option ("FVO") fixed maturities were as follows as of September 30, 2018 : Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Embedded Derivatives (2) Fair Value OTTI (3)(4) Fixed maturities: U.S. Treasuries $ 1,800 $ 294 $ 5 $ — $ 2,089 $ — U.S. Government agencies and authorities 204 34 — — 238 — State, municipalities and political subdivisions 1,648 21 38 — 1,631 — U.S. corporate public securities 19,421 1,231 271 — 20,381 — U.S. corporate private securities 6,405 162 149 — 6,418 — Foreign corporate public securities and foreign governments (1) 5,407 239 104 — 5,542 — Foreign corporate private securities (1) 5,128 94 119 — 5,103 — Residential mortgage-backed securities: Agency 2,840 125 67 12 2,910 — Non-Agency 1,600 92 13 10 1,689 13 Total Residential mortgage-backed securities 4,440 217 80 22 4,599 13 Commercial mortgage-backed securities 3,176 17 77 — 3,116 — Other asset-backed securities 1,997 33 13 — 2,017 2 Total fixed maturities, including securities pledged 49,626 2,342 856 22 51,134 15 Less: Securities pledged 1,974 126 37 — 2,063 — Total fixed maturities $ 47,652 $ 2,216 $ 819 $ 22 $ 49,071 $ 15 (1) Primarily U.S. dollar denominated. (2) Embedded derivatives within fixed maturity securities are reported with the host investment. The changes in fair value of embedded derivatives are reported in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (3) Represents Other-than-Temporary-Impairments ("OTTI") reported as a component of Other comprehensive income (loss). (4) Amount excludes $306 of net unrealized gains on impaired available-for-sale securities. Available-for-sale and FVO fixed maturities and equity securities were as follows as of December 31, 2017 : Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Embedded Derivatives (2) Fair Value OTTI (3)(4) Fixed maturities: U.S. Treasuries $ 2,047 $ 477 $ 2 $ — $ 2,522 $ — U.S. Government agencies and authorities 223 52 — — 275 — State, municipalities and political subdivisions 1,856 68 11 — 1,913 — U.S. corporate public securities 20,857 2,451 50 — 23,258 — U.S. corporate private securities 5,628 255 50 — 5,833 — Foreign corporate public securities and foreign governments (1) 5,241 493 18 — 5,716 — Foreign corporate private securities (1) 4,974 251 64 — 5,161 10 Residential mortgage-backed securities: Agency 2,990 164 30 21 3,145 — Non-Agency 1,257 110 4 16 1,379 16 Total Residential mortgage-backed securities 4,247 274 34 37 4,524 16 Commercial mortgage-backed securities 2,646 69 11 — 2,704 — Other asset-backed securities 1,488 43 3 — 1,528 3 Total fixed maturities, including securities pledged 49,207 4,433 243 37 53,434 29 Less: Securities pledged 1,823 284 20 — 2,087 — Total fixed maturities 47,384 4,149 223 37 51,347 29 Equity securities: Common stock 272 1 — — 273 — Preferred stock 81 26 — — 107 — Total equity securities 353 27 — — 380 — Total fixed maturities and equity securities investments $ 47,737 $ 4,176 $ 223 $ 37 $ 51,727 $ 29 (1) Primarily U.S. dollar denominated. (2) Embedded derivatives within fixed maturity securities are reported with the host investment. The changes in fair value of embedded derivatives are reported in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (3) Represents OTTI reported as a component of Other comprehensive income (loss). (4) Amount excludes $441 of net unrealized gains on impaired available-for-sale securities. The amortized cost and fair value of fixed maturities, including securities pledged, as of September 30, 2018 , are shown below by contractual maturity. Actual maturities may differ from contractual maturities as securities may be restructured, called or prepaid. Mortgage-backed securities ("MBS") and Other asset-backed securities ("ABS") are shown separately because they are not due at a single maturity date. Amortized Cost Fair Value Due to mature: One year or less $ 1,059 $ 1,070 After one year through five years 7,230 7,313 After five years through ten years 10,009 9,993 After ten years 21,715 23,026 Mortgage-backed securities 7,616 7,715 Other asset-backed securities 1,997 2,017 Fixed maturities, including securities pledged $ 49,626 $ 51,134 The investment portfolio is monitored to maintain a diversified portfolio on an ongoing basis. Credit risk is mitigated by monitoring concentrations by issuer, sector and geographic stratification and limiting exposure to any one issuer. As of September 30, 2018 and December 31, 2017 , the Company did no t have any investments in a single issuer, other than obligations of the U.S. Government and government agencies, with a carrying value in excess of 10% of the Company’s Total shareholders' equity. The following tables present the composition of the U.S. and foreign corporate securities within the fixed maturity portfolio by industry category as of the dates indicated: Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Fair Value September 30, 2018 Communications $ 2,568 $ 198 $ 22 $ 2,744 Financial 5,395 327 74 5,648 Industrial and other companies 15,840 586 297 16,129 Energy 4,014 269 74 4,209 Utilities 6,379 270 134 6,515 Transportation 1,313 57 25 1,345 Total $ 35,509 $ 1,707 $ 626 $ 36,590 December 31, 2017 Communications $ 2,587 $ 341 $ 4 $ 2,924 Financial 5,094 487 5 5,576 Industrial and other companies 16,478 1,391 98 17,771 Energy 4,268 459 45 4,682 Utilities 6,243 607 22 6,828 Transportation 1,295 121 4 1,412 Total $ 35,965 $ 3,406 $ 178 $ 39,193 Fixed Maturities and Equity Securities The Company's fixed maturities are currently designated as available-for-sale, except those accounted for using the FVO. Prior to the adoption of ASU 2016-01 as of January 1, 2018, equity securities were also designated as available-for-sale. Available-for-sale securities are reported at fair value and unrealized capital gains (losses) on these securities are recorded directly in AOCI and presented net of related changes in Deferred policy acquisition costs ("DAC"), Value of business acquired ("VOBA") and Deferred income taxes. In addition, certain fixed maturities have embedded derivatives, which are reported with the host contract on the Condensed Consolidated Balance Sheets. The Company has elected the FVO for certain of its fixed maturities to better match the measurement of assets and liabilities in the Condensed Consolidated Statements of Operations. Certain collateralized mortgage obligations ("CMOs"), primarily interest-only and principal-only strips, are accounted for as hybrid instruments and reported at fair value with changes in the fair value recorded in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. The Company invests in various categories of CMOs, including CMOs that are not agency-backed, that are subject to different degrees of risk from changes in interest rates and defaults. The principal risks inherent in holding CMOs are prepayment and extension risks related to significant decreases and increases in interest rates resulting in the prepayment of principal from the underlying mortgages, either earlier or later than originally anticipated. As of September 30, 2018 and December 31, 2017 , approximately 40.5% and 43.2% , respectively, of the Company's CMO holdings, were invested in the above mentioned types of CMOs such as interest-only or principal-only strips, that are subject to more prepayment and extension risk than traditional CMOs. Public corporate fixed maturity securities are distinguished from private corporate fixed maturity securities based upon the manner in which they are transacted. Public corporate fixed maturity securities are issued initially through market intermediaries on a registered basis or pursuant to Rule 144A under the Securities Act of 1933 (the "Securities Act") and are traded on the secondary market through brokers acting as principal. Private corporate fixed maturity securities are originally issued by borrowers directly to investors pursuant to Section 4(a)(2) of the Securities Act, and are traded in the secondary market directly with counterparties, either without the participation of a broker or in agency transactions. Repurchase Agreements As of September 30, 2018 , the Company had immaterial securities pledged in repurchase agreement transactions and did no t have any securities pledged in dollar rolls or reverse repurchase agreements. As of December 31, 2017 , the Company did no t have any such securities pledged. Securities Lending The Company engages in securities lending whereby certain securities from its portfolio are loaned to other institutions, through a lending agent, for short periods of time. The Company has the right to approve any institution with whom the lending agent transacts on its behalf. Initial collateral is required at a rate of 102% of the market value of the loaned securities. The lending agent retains the collateral and invests it in high quality liquid assets on behalf of the Company. The market value of the loaned securities is monitored on a daily basis with additional collateral obtained or refunded as the market value of the loaned securities fluctuates. The lending agent indemnifies the Company against losses resulting from the failure of a counterparty to return securities pledged where collateral is insufficient to cover the loss. As of September 30, 2018 and December 31, 2017 , the fair value of loaned securities was $1,809 and $1,854 , respectively, and is included in Securities pledged on the Condensed Consolidated Balance Sheets. If cash is received as collateral, the lending agent retains the cash collateral and invests it in short-term liquid assets on behalf of the Company. As of September 30, 2018 and December 31, 2017 , cash collateral retained by the lending agent and invested in short-term liquid assets on the Company's behalf was $1,739 and $1,589 , respectively, and is recorded in Short-term investments under securities loan agreements, including collateral delivered on the Condensed Consolidated Balance Sheets. As of September 30, 2018 and December 31, 2017 , liabilities to return collateral of $1,739 and $1,589 , respectively, are included in Payables under securities loan agreements, including collateral held on the Condensed Consolidated Balance Sheets. The Company accepts non-cash collateral in the form of securities. The securities retained as collateral by the lending agent may not be sold or re-pledged, except in the event of default, and are not reflected on the Company’s Condensed Consolidated Balance Sheets. This collateral generally consists of U.S. Treasury, U.S. Government agency securities and MBS pools. As of September 30, 2018 and December 31, 2017 , the fair value of securities retained as collateral by the lending agent on the Company’s behalf was $132 and $308 , respectively. The following table presents borrowings under securities lending transactions by class of collateral pledged for the dates indicated: September 30, 2018 (1)(2) December 31, 2017 (1)(2) U.S. Treasuries $ 445 $ 587 U.S. Government agencies and authorities 9 5 U.S. corporate public securities 1,016 967 Short-term investments — — Foreign corporate public securities and foreign governments 401 338 Payables under securities loan agreements $ 1,871 $ 1,897 (1) As of September 30, 2018 and December 31, 2017 , borrowings under securities lending transactions include cash collateral of $1,739 and $1,589 , respectively. (2) As of September 30, 2018 and December 31, 2017 , borrowings under securities lending transactions include non-cash collateral of $132 and $308 , respectively. The Company's securities lending activities are conducted on an overnight basis, and all securities loaned can be recalled at any time. The Company does not offset assets and liabilities associated with its securities lending program. Unrealized Capital Losses Unrealized capital losses (including noncredit impairments), along with the fair value of fixed maturity securities, including securities pledged, by market sector and duration were as follows as of September 30, 2018 : Six Months or Less Below Amortized Cost More Than Six Months and Twelve Months or Less Below Amortized Cost More Than Twelve Months Below Amortized Cost Total Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses U.S. Treasuries $ 21 $ — * $ 81 $ 3 $ 54 $ 2 $ 156 $ 5 State, municipalities and political subdivisions 467 9 307 13 220 16 994 38 U.S. corporate public securities 2,727 53 3,084 139 732 79 6,543 271 U.S. corporate private securities 1,010 11 1,268 44 846 94 3,124 149 Foreign corporate public securities and foreign governments 987 17 1,223 62 194 25 2,404 104 Foreign corporate private securities 977 52 805 33 336 34 2,118 119 Residential mortgage-backed 384 6 432 25 537 49 1,353 80 Commercial mortgage-backed 1,031 14 749 41 298 22 2,078 77 Other asset-backed 714 5 239 6 68 2 1,021 13 Total $ 8,318 $ 167 $ 8,188 $ 366 $ 3,285 $ 323 $ 19,791 $ 856 *Less than $1. Unrealized capital losses (including noncredit impairments), along with the fair value of fixed maturity securities, including securities pledged, by market sector and duration were as follows as of December 31, 2017 : Six Months or Less Below Amortized Cost More Than Six Months and Twelve Months or Less Below Amortized Cost More Than Twelve Months Below Amortized Cost Total Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses U.S. Treasuries $ 166 $ 2 $ — $ — $ 15 $ — * $ 181 $ 2 State, municipalities and political subdivisions 356 9 6 — 35 2 397 11 U.S. corporate public securities 1,399 47 8 — 114 3 1,521 50 U.S. corporate private securities 1,068 46 — — 84 4 1,152 50 Foreign corporate public securities and foreign governments 463 17 6 — 26 1 495 18 Foreign corporate private securities 493 64 9 — 8 — 510 64 Residential mortgage-backed 967 32 6 — 81 2 1,054 34 Commercial mortgage-backed 756 10 18 — 86 1 860 11 Other asset-backed 374 3 4 — * 27 — 405 3 Total $ 6,042 $ 230 $ 57 $ — $ 476 $ 13 $ 6,575 $ 243 * Less than $1. Of the unrealized capital losses aged more than twelve months, the average market value of the related fixed maturities was 91.0% and 97.3% of the average book value as of September 30, 2018 and December 31, 2017 , respectively. Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, for instances in which fair value declined below amortized cost by greater than or less than 20% for consecutive months as indicated in the tables below, were as follows as of the dates indicated: Amortized Cost Unrealized Capital Losses Number of Securities < 20% > 20% < 20% > 20% < 20% > 20% September 30, 2018 Six months or less below amortized cost $ 8,430 $ 168 $ 138 $ 49 1,042 22 More than six months and twelve months or less below amortized cost 9,604 25 425 6 1,381 7 More than twelve months below amortized cost 2,295 125 203 35 340 16 Total $ 20,329 $ 318 $ 766 $ 90 2,763 45 December 31, 2017 Six months or less below amortized cost $ 6,126 $ 196 $ 148 $ 82 1,098 38 More than six months and twelve months or less below amortized cost 48 — 1 — 14 — More than twelve months below amortized cost 448 — 12 — 87 — Total $ 6,622 $ 196 $ 161 $ 82 1,199 38 Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, by market sector for instances in which fair value declined below amortized cost by greater than or less than 20% were as follows as of the dates indicated: Amortized Cost Unrealized Capital Losses Number of Securities < 20% > 20% < 20% > 20% < 20% > 20% September 30, 2018 U.S. Treasuries $ 161 $ — $ 5 $ — 27 — State, municipalities and political subdivisions 1,032 — 38 — 197 — U.S. corporate public securities 6,778 36 262 9 898 2 U.S. corporate private securities 3,179 94 124 25 226 2 Foreign corporate public securities and foreign governments 2,469 39 96 8 326 4 Foreign corporate private securities 2,143 94 86 33 134 3 Residential mortgage-backed 1,379 54 66 14 415 33 Commercial mortgage-backed 2,155 — 77 — 329 — Other asset-backed 1,033 1 12 1 211 1 Total $ 20,329 $ 318 $ 766 $ 90 2,763 45 December 31, 2017 U.S. Treasuries $ 183 $ — $ 2 $ — 29 — State, municipalities and political subdivisions 408 — 11 — 103 — U.S. corporate public securities 1,553 18 45 5 232 2 U.S. corporate private securities 1,129 73 28 22 73 2 Foreign corporate public securities and foreign governments 506 7 16 2 84 1 Foreign corporate private securities 490 84 16 48 35 6 Residential mortgage-backed 1,075 13 29 5 334 25 Commercial mortgage-backed 871 — 11 — 164 — Other asset-backed 407 1 3 — 145 2 Total $ 6,622 $ 196 $ 161 $ 82 1,199 38 The following tables summarize loan-to-value, credit enhancement and fixed floating rate details for residential mortgage-backed securities ("RMBS") and Other ABS in a gross unrealized loss position as of the dates indicated: Loan-to-Value Ratio Amortized Cost Unrealized Capital Losses September 30, 2018 < 20% > 20% < 20% > 20% RMBS and Other ABS (1) Non-agency RMBS > 100% $ — $ — $ — $ — Non-agency RMBS > 90% - 100% — — — — Non-agency RMBS 80% - 90% — — — — Non-agency RMBS < 80% 400 — 13 — Agency RMBS 993 54 53 14 Other ABS (Non-RMBS) 1,019 1 12 1 Total RMBS and Other ABS $ 2,412 $ 55 $ 78 $ 15 Credit Enhancement Percentage Amortized Cost Unrealized Capital Losses September 30, 2018 < 20% > 20% < 20% > 20% RMBS and Other ABS (1) Non-agency RMBS 10% + $ 345 $ — $ 11 $ — Non-agency RMBS > 5% - 10% 6 — — — Non-agency RMBS > 0% - 5% 33 — 1 — Non-agency RMBS 0% 16 — 1 — Agency RMBS 993 54 53 14 Other ABS (Non-RMBS) 1,019 1 12 1 Total RMBS and Other ABS $ 2,412 $ 55 $ 78 $ 15 Fixed Rate/Floating Rate Amortized Cost Unrealized Capital Losses September 30, 2018 < 20% > 20% < 20% > 20% Fixed Rate $ 1,439 $ 7 $ 49 $ 2 Floating Rate 973 48 29 13 Total $ 2,412 $ 55 $ 78 $ 15 (1) For purposes of this table, subprime mortgages are included in Non-agency RMBS categories. Loan-to-Value Ratio Amortized Cost Unrealized Capital Losses December 31, 2017 < 20% > 20% < 20% > 20% RMBS and Other ABS (1) Non-agency RMBS > 100% $ — $ — $ — $ — Non-agency RMBS > 90% - 100% — — — — Non-agency RMBS 80% - 90% 13 — — — Non-agency RMBS < 80% 211 1 4 — Agency RMBS 878 12 26 4 Other ABS (Non-RMBS) 380 1 2 1 Total RMBS and Other ABS $ 1,482 $ 14 $ 32 $ 5 Credit Enhancement Percentage Amortized Cost Unrealized Capital Losses December 31, 2017 < 20% > 20% < 20% > 20% RMBS and Other ABS (1) Non-agency RMBS 10% + $ 162 $ — $ 2 $ — Non-agency RMBS > 5% - 10% 11 — — — Non-agency RMBS > 0% - 5% 25 1 1 — Non-agency RMBS 0% 26 — 1 — Agency RMBS 878 12 26 4 Other ABS (Non-RMBS) 380 1 2 1 Total RMBS and Other ABS $ 1,482 $ 14 $ 32 $ 5 Fixed Rate/Floating Rate Amortized Cost Unrealized Capital Losses December 31, 2017 < 20% > 20% < 20% > 20% Fixed Rate $ 1,104 $ 6 $ 20 $ 2 Floating Rate 378 8 12 3 Total $ 1,482 $ 14 $ 32 $ 5 (1) For purposes of this table, subprime mortgages are included in Non-agency RMBS categories. Investments with fair values less than amortized cost are included in the Company's other-than-temporary impairments analysis. Impairments were recognized as disclosed in the "Evaluating Securities for Other-Than-Temporary Impairments" section below. The Company evaluates non-agency RMBS and ABS for "other-than-temporary impairments" each quarter based on actual and projected cash flows, after considering the quality and updated loan-to-value ratios reflecting current home prices of underlying collateral, forecasted loss severity, the payment priority within the tranche structure of the security and amount of any credit enhancements. The Company's assessment of current levels of cash flows compared to estimated cash flows at the time the securities were acquired (typically pre-2008) indicates the amount and the pace of projected cash flows from the underlying collateral has generally been lower and slower, respectively. However, since cash flows are typically projected at a trust level, the impairment review incorporates the security's position within the trust structure as well as credit enhancement remaining in the trust to determine whether an impairment is warranted. Therefore, while lower and slower cash flows will impact the trust, the effect on the valuation of a particular security within the trust will also be dependent upon the trust structure. Where the assessment continues to project full recovery of principal and interest on schedule, the Company has not recorded an impairment. Based on this analysis, the Company determined that the remaining investments in an unrealized loss position were not other-than-temporarily impaired and therefore no further other-than-temporary impairment was necessary. Troubled Debt Restructuring The Company invests in high quality, well performing portfolios of commercial mortgage loans and private placements. Under certain circumstances, modifications are granted to these contracts. Each modification is evaluated as to whether a troubled debt restructuring has occurred. A modification is a troubled debt restructuring when the borrower is in financial difficulty and the creditor makes concessions. Generally, the types of concessions may include reducing the face amount or maturity amount of the debt as originally stated, reducing the contractual interest rate, extending the maturity date at an interest rate lower than current market interest rates and/or reducing accrued interest. The Company considers the amount, timing and extent of the concession granted in determining any impairment or changes in the specific valuation allowance recorded in connection with the troubled debt restructuring. A valuation allowance may have been recorded prior to the quarter when the loan is modified in a troubled debt restructuring. Accordingly, the carrying value (net of the specific valuation allowance) before and after modification through a troubled debt restructuring may not change significantly, or may increase if the expected recovery is higher than the pre-modification recovery assessment. As of September 30, 2018 , the Company did not have any new commercial mortgage loan or private placement troubled debt restructuring. As of December 31, 2017 the Company did not have any new commercial mortgage loan troubled debt restructuring and had one private placement troubled debt restructuring with a pre-modification and post-modification carrying value of $22 . As of September 30, 2018 and December 31, 2017 , the Company did no t have any commercial mortgage loans or private placements modified in a troubled debt restructuring with a subsequent payment default. Mortgage Loans on Real Estate The Company's mortgage loans on real estate are all commercial mortgage loans held for investment, which are reported at amortized cost, less impairment write-downs and allowance for losses. The Company diversifies its commercial mortgage loan portfolio by geographic region and property type to reduce concentration risk. The Company manages risk when originating commercial mortgage loans by generally lending only up to 75% of the estimated fair value of the underlying real estate. Subsequently, the Company continuously evaluates mortgage loans based on relevant current information including a review of loan-specific credit quality, property characteristics and market trends. Loan performance is monitored on a loan specific basis through the review of submitted appraisals, operating statements, rent revenues and annual inspection reports, among other items. This review ensures properties are performing at a consistent and acceptable level to secure the debt. The components to evaluate debt service coverage are received and reviewed at least annually to determine the level of risk. The following table summarizes the Company's investment in mortgage loans as of the dates indicated: September 30, 2018 December 31, 2017 Impaired Non Impaired Total Impaired Non Impaired Total Commercial mortgage loans $ 4 $ 8,860 $ 8,864 $ 4 $ 8,685 $ 8,689 Collective valuation allowance for losses N/A (2 ) (2 ) N/A (3 ) (3 ) Total net commercial mortgage loans $ 4 $ 8,858 $ 8,862 $ 4 $ 8,682 $ 8,686 N/A - Not Applicable There were no impairments taken on the mortgage loan portfolio for the three and nine months ended September 30, 2018 and 2017 . The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated: September 30, 2018 December 31, 2017 Collective valuation allowance for losses, balance at January 1 $ 3 $ 3 Addition to (reduction of) allowance for losses (1 ) — Collective valuation allowance for losses, end of period $ 2 $ 3 The carrying values and unpaid principal balances of impaired mortgage loans were as follows as of the dates indicated: September 30, 2018 December 31, 2017 Impaired loans without allowances for losses $ 4 $ 4 Less: Allowances for losses on impaired loans — — Impaired loans, net $ 4 $ 4 Unpaid principal balance of impaired loans $ 6 $ 6 As of September 30, 2018 and December 31, 2017 , the Company did not have any impaired loans with allowances for losses. The Company defines delinquent mortgage loans consistent with industry practice as 60 days past due. The Company's policy is to recognize interest income until a loan becomes 90 days delinquent or foreclosure proceedings are commenced, at which point interest accrual is discontinued. Interest accrual is not resumed until the loan is brought current. There were no mortgage loans in the Company's portfolio in process of foreclosure as of September 30, 2018 and December 31, 2017 . There were no loans 30 days or less in arrears, with respect to principal and interest as of September 30, 2018 and December 31, 2017 . The following tables present information on the average investment during the period in impaired loans and interest income recognized on impaired and troubled debt restructured loans for the periods indicated: Three Months Ended September 30, 2018 2017 Impaired loans, average investment during the period (amortized cost) (1) $ 4 $ 4 Interest income recognized on impaired loans, on an accrual basis (1) — — Interest income recognized on impaired loans, on a cash basis (1) — — Interest income recognized on troubled debt restructured loans, on an accrual basis — — (1) Includes amounts for Troubled debt restructured loans. Nine Months Ended September 30, 2018 2017 Impaired loans, average investment during the period (amortized cost) (1) $ 4 $ 5 Interest income recognized on impaired loans, on an accrual basis (1) — — Interest income recognized on impaired loans, on a cash basis (1) — — Interest income recognized on troubled debt restructured loans, on an accrual basis — — (1) Includes amounts for Troubled debt restructured loans. Loan-to-value ("LTV") and debt service coverage ("DSC") ratios are measures commonly used to assess the risk and quality of mortgage loans. The LTV ratio, calculated at time of origination, is expressed as a percentage of the amount of the loan relative to the value of the underlying property. A LTV ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. The DSC ratio, based upon the most recently received financial statements, is expressed as a percentage of the amount of a property’s net income to its debt service payments. A DSC ratio of less than 1.0 indicates that a property’s operations do not generate sufficient income to cover debt payments. These ratios are utilized as part of the review process described above. The following table presents the LTV ratios as of the dates indicated: September 30, 2018 (1) December 31, 2017 (1) Loan-to-Value Ratio: 0% - 50% $ 844 $ 849 > 50% - 60% 2,120 2,125 > 60% - 70% 5,131 5,144 > 70% - 80% 718 551 > 80% and above 51 20 Total Commercial mortgage loans $ 8,864 $ 8,689 (1) Balances do not include collective valuation allowance for losses. The following table presents the DSC ratios as of the dates indicated: September 30, 2018 (1) December 31, 2017 (1) Debt Service Coverage Ratio: Greater than 1.5x $ 7,021 $ 7,013 > 1.25x - 1.5x 707 655 > 1.0x - 1.25x 977 893 Less than 1.0x 104 105 Commercial mortgage loans secured by land or construction loans 55 23 Total Commercial mortgage loans $ 8,864 $ 8,689 (1) Balances do not include collective valuation allowance for losses. Properties collateralizing mortgage loans are geographically dispersed throughout the United States, as well as diversified by property type, as reflected in the following tables as of the dates indicated: September 30, 2018 (1) December 31, 2017 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by U.S. Region: Pacific $ 2,070 23.4 % $ 2,024 23.4 % South Atlantic 1,818 20.6 % 1,716 19.7 % Middle Atlantic 1,543 17.4 % 1,612 18.5 % West South Central 1,002 11.3 % 959 11.0 % Mountain 925 10.4 % 859 9.9 % East North Central 864 9.7 % 884 10.2 % New England 155 1.7 % 161 1.8 % West North Central 418 4.7 % 391 4.5 % East South Central 69 0.8 % 83 1.0 % Total Commercial mortgage loans $ 8,864 100.0 % $ 8,689 100.0 % (1) Balances do not include collective valuation allowance for losses. September 30, 2018 (1) December 31, 2017 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by Property Type: Retail $ 2,515 28.3 % $ 2,587 29.7 % Industrial 2,080 23.5 % 2,108 24.3 % Apartments 2,147 24.2 % 1,849 21.3 % Office 1,310 14.8 % 1,384 15.9 % Hotel/Motel 319 3.6 % 309 3.6 % Other 415 4.7 % 364 4.2 % Mixed Use 78 0.9 % 88 1.0 % Total Commercial mortgage loans $ 8,864 100.0 % $ 8,689 100.0 % (1) Balances do not include collective valuation allowance for losses. The following table presents mortgages by year of origination as of the dates indicated: September 30, 2018 (1) December 31, 2017 (1) Year of Origination: 2018 $ 650 $ — 2017 1,560 1,525 2016 1,440 1,428 2015 1,191 1,250 2014 1,234 1,303 2013 1,189 1,287 2012 and prior 1,600 1,896 Total Commercial mortgage loans $ 8,864 $ 8,689 (1) Balances do not include collective valuation allowance for losses. Evaluating Securities for Other-Than-Temporary Impairments The Company performs a regular evaluation, on a security-by-security basis, of its available-for-sale securities holdings, including fixed maturity securities in accordance with its impairment policy in order to evaluate whether such investments are other-than-temporarily impaired. The following tables identify the Company's credit-related and intent-related impairments included in the Condensed Consolidated Statements of Operations, excluding impairments included in Other comprehensive income (loss) by type for the periods indicated: Three Months Ended September 30, 2018 2017 Impairment No. of Securities Impairment No. of Securities State, municipalities and political subdivisions $ — — $ — * 3 U.S. corporate public securities 6 2 — — Foreign corporate private securities (1) — — — * 1 Residential mortgage-backed 1 18 1 14 Commercial mortgage-backed — — — — Total $ 7 20 $ 1 18 * Less than $1 (1) Primarily U.S. dollar denominated. Nine Months Ended September 30, 2018 2017 Impairment No. of Securities Impairment No. of Securities State, municipalities and political subdivisions $ — — $ 1 3 U.S. corporate public securities 6 2 — * 1 Foreign corporate private securities (1) 14 1 — * 1 Residential mortgage-backed 2 39 2 45 Commercial mortgage-backed — — 1 4 Total $ 22 42 $ 4 54 * Less than $1 (1) Primarily U.S. dollar denominated. The above tables include $15 of write-downs related to credit impairments for the nine months ended September 30, 2018 in Other-than-temporary impairments, which are recognized in the Condensed Consolidated Statements of Operations. There were immaterial write-downs related to credit impairments for the three months ended September 30, 2018 . The remaining $7 in write-downs for the three and nine months ended September 30, 2018 are related to intent impairments. The above tables include $1 and $3 of write-downs related to credit impairments for the three and nine months ended September 30, 2017 , respectively, in Other-than-temporary impairments, which are recognized in the Condensed Consolidated Statements of Operations. The remaining $1 in write-downs for the nine months e |
