| Investments | 20% < 20% > 20% < 20% > 20% December 31, 2017 Six months or less below amortized cost $ 2,035 $ 39 $ 25 $ 22 399 7 More than six months and twelve months or less below amortized cost 96 — 2 — 36 — More than twelve months below amortized cost 1,057 22 36 6 291 6 Total $ 3,188 $ 61 $ 63 $ 28 726 13 December 31, 2016 Six months or less below amortized cost $ 5,318 $ 18 $ 148 $ 4 955 8 More than six months and twelve months or less below amortized cost 261 13 15 4 59 3 More than twelve months below amortized cost 429 22 29 7 141 6 Total $ 6,008 $ 53 $ 192 $ 15 1,155 17 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% December 31, 2017 U.S. Treasuries $ 505 $ — $ 6 $ — 16 — State, municipalities and political subdivisions 111 — 3 — 95 — U.S. corporate public securities 723 1 13 — 126 2 U.S. corporate private securities 560 21 12 6 73 2 Foreign corporate public securities and foreign governments 245 — 8 — 52 — Foreign corporate private securities 232 35 5 21 34 6 Residential mortgage-backed 319 3 10 1 166 2 Commercial mortgage-backed 418 — 5 — 122 — Other asset-backed 75 1 1 — 42 1 Total $ 3,188 $ 61 $ 63 $ 28 726 13 December 31, 2016 U.S. Treasuries $ 463 $ — $ 8 $ — 11 — State, municipalities and political subdivisions 292 — 11 — 185 — U.S. corporate public securities 2,172 12 55 3 374 3 U.S. corporate private securities 996 34 40 9 114 3 Foreign corporate public securities and foreign governments 599 4 30 1 126 3 Foreign corporate private securities 552 — 23 — 61 2 Residential mortgage-backed 478 — 16 — 172 3 Commercial mortgage-backed 314 3 6 2 66 3 Other asset-backed 142 — 3 — 46 — Total $ 6,008 $ 53 $ 192 $ 15 1,155 17 Investments with fair values less than amortized cost are included in the Company’s other-than-temporary impairment 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. For the year ended December 31, 2017 , the Company did no t 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 $11 . For the year ended December 31, 2016 , the Company had no new troubled debt restructurings for commercial mortgage loans or private placement bonds. As of December 31, 2017 , the Company held no commercial mortgage troubled debt restructured loans. As of December 31, 2017 and 2016 , 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: December 31, 2017 December 31, 2016 Impaired Non Impaired Total Impaired Non Impaired Total Commercial mortgage loans $ — $ 4,379 $ 4,379 $ — $ 3,883 $ 3,883 Collective valuation allowance for losses N/A (1 ) (1 ) N/A (1 ) (1 ) Total net commercial mortgage loans $ — $ 4,378 $ 4,378 $ — $ 3,882 $ 3,882 N/A - Not Applicable There were no impairments taken on the mortgage loan portfolio for the years ended December 31, 2017 , 2016 and 2015 . The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated: December 31, 2017 December 31, 2016 Collective valuation allowance for losses, balance at January 1 $ 1 $ 1 Addition to (reduction of) allowance for losses — — Collective valuation allowance for losses, end of period $ 1 $ 1 For the years ended December 31, 2017 and 2016 , 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 December 31, 2017 and 2016 . There were no loans 30 days or less in arrears, with respect to principal and interest as of December 31, 2017 and 2016 . Commercial loans are placed on non-accrual status when 90 days in arrears if the Company has concerns regarding the collectability of future payments, or if a loan has matured without being paid off or extended. Factors considered may include loss of major tenant, bankruptcy of borrower or major tenant, decreased property cash flow, number of days past due, or various other circumstances. Based on an assessment as to the collectability of the principal, a determination is made to either apply against the book value or apply according to the contractual terms of the loan. Funds recovered in excess of book value would then be applied to recover expenses, impairments, and then interest. Accrual of interest resumes after factors resulting in doubts about collectability have improved. The following table presents 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: Year Ended December 31, 2017 2016 2015 Impaired loans, average investment during the period (amortized cost) (1) $ — $ 2 $ 10 Interest income recognized on impaired loans, on an accrual basis (1) — — 1 Interest income recognized on impaired loans, on a cash basis (1) — — 1 Interest income recognized on troubled debt restructured loans, on an accrual basis — — 1 (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: December 31, 2017 (1) December 31, 2016 (1) Loan-to-Value Ratio: 0% - 50% $ 412 $ 428 >50% - 60% 1,141 1,009 >60% - 70% 2,428 2,105 >70% - 80% 389 336 >80% and above 9 5 Total Commercial mortgage loans $ 4,379 $ 3,883 (1) Balances do not include collective valuation allowance for losses. The following table presents the DSC ratios as of the dates indicated: December 31, 2017 (1) December 31, 2016 (1) Debt Service Coverage Ratio: Greater than 1.5x $ 3,436 $ 3,014 >1.25x - 1.5x 549 439 >1.0x - 1.25x 301 308 Less than 1.0x 67 77 Commercial mortgage loans secured by land or construction loans 26 45 Total Commercial mortgage loans $ 4,379 $ 3,883 (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: December 31, 2017 (1) December 31, 2016 (1) Gross % of Total Gross % of Total Commercial Mortgage Loans by U.S. Region: Pacific $ 879 20.1 % $ 888 22.9 % South Atlantic 1,012 23.1 % 979 25.2 % Middle Atlantic 588 13.4 % 495 12.7 % West South Central 554 12.7 % 466 12.0 % Mountain 557 12.7 % 379 9.8 % East North Central 469 10.7 % 400 10.3 % New England 61 1.4 % 64 1.6 % West North Central 201 4.6 % 140 3.6 % East South Central 58 1.3 % 72 1.9 % Total Commercial mortgage loans $ 4,379 100.0 % $ 3,883 100.0 % (1) Balances do not include collective valuation allowance for losses. December 31, 2017 (1) December 31, 2016 (1) Gross % of Total Gross % of Total Commercial Mortgage Loans by Property Type: Retail $ 1,127 25.7 % $ 1,145 29.5 % Industrial 1,208 27.6 % 988 25.5 % Apartments 1,084 24.8 % 832 21.4 % Office 720 16.4 % 669 17.2 % Hotel/Motel 79 1.8 % 83 2.1 % Mixed Use 31 0.7 % 31 0.8 % Other 130 3.0 % 135 3.5 % Total Commercial mortgage loans $ 4,379 100.0 % $ 3,883 100.0 % (1) Balances do not include collective valuation allowance for losses. The following table presents mortgages by year of origination as of the dates indicated: December 31, 2017 (1) December 31, 2016 (1) Year of Origination: 2017 $ 831 $ — 2016 941 $ 959 2015 763 796 2014 547 554 2013 573 600 2012 153 169 2011 and prior 571 805 Total Commercial mortgage loans $ 4,379 $ 3,883 (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 and equity securities, in accordance with its impairment policy in order to evaluate whether such investments are other-than-temporarily impaired. The following table identifies the Company's credit-related and intent-related impairments included in the Statements of Operations, excluding impairments included in Other comprehensive income (loss) by type for the periods indicated: Year Ended December 31, 2017 2016 2015 Impairment No. of Securities Impairment No. of Securities Impairment No. of Securities U.S. corporate public securities $ — * 3 $ 2 2 $ 11 10 Foreign corporate public securities and foreign governments (1) 1 2 3 2 18 6 Foreign corporate private securities (1) 10 2 1 2 1 1 Residential mortgage-backed 1 20 4 32 3 27 Commercial mortgage-backed 2 4 — * 1 — * 2 Other asset-backed — * 1 — * 2 — — Equity — — — — — * 1 Total $ 14 32 $ 10 41 $ 33 47 (1) Primarily U.S. dollar denominated. * Less than $1. The above tables include $12 , $5 and $8 of write-downs related to credit impairments for the years ended December 31, 2017 , 2016 and 2015 , respectively, in Other-than-temporary impairments, which are recognized in the Statements of Operations. The remaining $2 , $5 and $25 in write-downs, for the years ended December 31, 2017 , 2016 and 2015 , respectively, are related to intent impairments. The following table summarizes these intent impairments, which are also recognized in earnings, by type for the periods indicated: Year Ended December 31, 2017 2016 2015 Impairment No. of Securities Impairment No. of Securities Impairment No. of Securities U.S. corporate public securities $ — * 3 $ 2 1 $ 11 9 Foreign corporate public securities and foreign governments (1) — — 2 1 14 5 Residential mortgage-backed — * 3 1 3 — * 4 Commercial mortgage-backed 2 4 — * 1 — * 2 Total $ 2 10 $ 5 6 $ 25 20 (1) Primarily U.S. dollar denominated. * Less than $1. The Company may sell securities during the period in which fair value has declined below amortized cost for fixed maturities or cost for equity securities. In certain situations, new factors, including changes in the business environment, can change the Company's previous intent to continue holding a security. Accordingly, these factors may lead the Company to record additional intent related capital losses. The following table identifies the amount of credit impairments on fixed maturities for which a portion of the OTTI loss was recognized in Other comprehensive income (loss) and the corresponding changes in such amounts for the periods indicated: Year Ended December 31, 2017 2016 2015 Balance at January 1 $ 20 $ 27 $ 33 Additional credit impairments: On securities not previously impaired 11 — — On securities previously impaired — 3 2 Reductions: Increase in cash flows 1 1 1 Securities sold, matured, prepaid or paid down 6 9 7 Balance at December 31 $ 24 $ 20 $ 27 Net Investment Income The following table summarizes Net investment income for the periods indicated: Year Ended December 31, 2017 2016 2015 Fixed maturities $ 1,121 $ 1,205 $ 1,169 Equity securities, available-for-sale 9 3 2 Mortgage loans on real estate 183 176 165 Policy loans 4 5 5 Other 58 34 19 Gross investment income 1,375 1,423 1,360 Less: investment expenses 61 60 54 Net investment income $ 1,314 $ 1,363 $ 1,306 As of December 31, 2017 and 2016 , the Company had $4 and $6 , respectively, of investments in fixed maturities that did not produce net investment income. Fixed maturities are mov" id="sjs-B4">Investments Fixed Maturities and Equity 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 $ 821 $ 51 $ 6 $ — $ 866 $ — U.S. Government agencies and authorities 29 6 — — 35 — State, municipalities and political subdivisions 565 25 3 — 587 — U.S. corporate public securities 9,190 737 13 — 9,914 — U.S. corporate private securities 3,001 121 18 — 3,104 — Foreign corporate public securities and foreign governments (1) 2,597 162 8 — 2,751 — Foreign corporate private securities (1) 2,594 115 26 — 2,683 7 Residential mortgage-backed securities: Agency 1,086 49 9 7 1,133 — Non-Agency 528 48 2 4 578 9 Total Residential mortgage-backed securities 1,614 97 11 11 1,711 9 Commercial mortgage-backed securities 981 14 5 — 990 — Other asset-backed securities 507 9 1 — 515 — Total fixed maturities, including securities pledged 21,899 1,337 91 11 23,156 16 Less: Securities pledged 814 51 4 — 861 — Total fixed maturities 21,085 1,286 87 11 22,295 16 Equity securities 20 5 — — 25 — Total fixed maturities and equity securities investments $ 21,105 $ 1,291 $ 87 $ 11 $ 22,320 $ 16 (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 Statements of Operations. (3) Represents OTTI reported as a component of Other comprehensive income (loss). (4) Amount excludes $128 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, 2016 : Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Embedded Derivatives (2) Fair Value OTTI (3)(4) Fixed maturities: U.S. Treasuries $ 946 $ 45 $ 8 $ — $ 983 $ — U.S. Government agencies and authorities 29 4 — — 33 — State, municipalities and political subdivisions 500 8 11 — 497 — U.S. corporate public securities 9,993 510 58 — 10,445 4 U.S. corporate private securities 2,754 73 49 — 2,778 — Foreign corporate public securities and foreign governments (1) 2,620 99 31 — 2,688 — Foreign corporate private securities (1) 2,735 104 23 — 2,816 — Residential mortgage-backed securities Agency 1,376 62 14 11 1,435 — Non-Agency 271 41 2 5 315 11 Total Residential mortgage-backed securities 1,647 103 16 16 1,750 11 Commercial mortgage-backed securities 951 14 8 — 957 — Other asset-backed securities 318 8 3 — 323 — Total fixed maturities, including securities pledged 22,493 968 207 16 23,270 15 Less: Securities pledged 723 29 4 — 748 — Total fixed maturities 21,770 939 203 16 22,522 15 Equity securities 15 4 — — 19 — Total fixed maturities and equity securities investments $ 21,785 $ 943 $ 203 $ 16 $ 22,541 $ 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 Statements of Operations. (3) Represents OTTI reported as a component of Other comprehensive income (loss). (4) Amount excludes $118 of net unrealized gains on impaired available-for-sale securities. The amortized cost and fair value of fixed maturities, including securities pledged, as of December 31, 2017 , are shown below by contractual maturity. Actual maturities may differ from contractual maturities as securities may be restructured, called or prepaid. MBS and Other 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 $ 470 $ 476 After one year through five years 4,517 4,672 After five years through ten years 7,326 7,547 After ten years 6,484 7,245 Mortgage-backed securities 2,595 2,701 Other asset-backed securities 507 515 Fixed maturities, including securities pledged $ 21,899 $ 23,156 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 December 31, 2017 and 2016 , 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 Shareholder's equity. The following tables set forth 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 December 31, 2017 Communications $ 1,069 $ 97 $ 2 $ 1,164 Financial 2,816 168 3 2,981 Industrial and other companies 8,004 491 38 8,457 Energy 1,649 121 10 1,760 Utilities 2,833 201 8 3,026 Transportation 627 39 2 664 Total $ 16,998 $ 1,117 $ 63 $ 18,052 December 31, 2016 Communications $ 1,070 $ 84 $ 4 $ 1,150 Financial 2,918 116 18 3,016 Industrial and other companies 8,692 343 71 8,964 Energy 1,809 85 20 1,874 Utilities 2,642 125 33 2,734 Transportation 600 24 6 618 Total $ 17,731 $ 777 $ 152 $ 18,356 Fixed Maturities and Equity Securities The Company's fixed maturities and equity securities are currently designated as available-for-sale, except those accounted for using the FVO. 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 DAC, VOBA and Deferred income taxes. In addition, certain fixed maturities have embedded derivatives, which are reported with the host contract on the 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 Statements of Operations. Certain CMOs, primarily interest-only and principal-only strips, are accounted for as hybrid instruments and valued at fair value with changes in the fair value recorded in Other net realized capital gains (losses) in the 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 December 31, 2017 and 2016 , approximately 47.3% and 53.8% , 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 December 31, 2017 and 2016 , the Company did no t have any securities pledged in dollar rolls, repurchase agreement transactions or reverse repurchase agreements. Securities Lending As of December 31, 2017 and 2016 , the fair value of loaned securities was $384 and $271 , respectively, and is included in Securities pledged on the Balance Sheets. As of December 31, 2017 and 2016 , cash collateral retained by the lending agent and invested in short-term liquid assets on the Company's behalf was $389 and $111 , respectively, and is recorded in Short-term investments under securities loan agreements, including collateral delivered on the Balance Sheets. As of December 31, 2017 and 2016 , liabilities to return collateral of $389 and $111 , respectively, are included in Payables under securities loan agreements, including collateral held on the Balance Sheets. The Company is in the process of unwinding the securities lending program in anticipation of the closing of the Transaction. During the first quarter of 2016 under an amendment to the securities lending program, the Company began accepting 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 in the Company’s Balance Sheets. This collateral generally consists of U.S. Treasury, U.S. Government agency securities and MBS pools. As of December 31, 2017 and 2016 , the fair value of securities retained as collateral by the lending agent on the Company’s behalf was $9 and $168 , respectively. The following table sets forth borrowings under securities lending transactions by class of collateral pledged for the dates indicated: December 31, 2017 (1)(2) December 31, 2016 (1)(2) U.S. Treasuries $ 9 $ 62 U.S. corporate public securities 286 174 Foreign corporate public securities and foreign governments 103 43 Payables under securities loan agreements $ 398 $ 279 (1) As of December 31, 2017 and 2016 , borrowings under securities lending transactions include cash collateral of $389 and $111 , respectively. (2) As of December 31, 2017 and 2016 , borrowings under securities lending transactions include non-cash collateral of $9 and $168 , 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. Variable Interest Entities The Company holds certain VIEs for investment purposes. VIEs may be in the form of private placement securities, structured securities, securitization transactions, or limited partnerships. The Company has reviewed each of its holdings and determined that consolidation of these investments in the Company's financial statements is not required, as the Company is not the primary beneficiary, because the Company does not have both the power to direct the activities that most significantly impact the entity's economic performance and the obligation or right to potentially significant losses or benefits, for any of its investments in VIEs. The Company did not provide any non-contractual financial support and its carrying value represents the Company's exposure to loss. The carrying value of the investments in VIEs was $280 and $227 as of December 31, 2017 and 2016 , respectively; these investments are included in Limited partnerships/corporations on the Balance Sheets. Income and losses recognized on these investments are reported in Net investment income in the Statements of Operations. Securitizations The Company invests in various tranches of securitization entities, including RMBS, CMBS and ABS. Through its investments, the Company is not obligated to provide any financial or other support to these entities. Each of the RMBS, CMBS and ABS entities are thinly capitalized by design and considered VIEs. The Company's involvement with these entities is limited to that of a passive investor. The Company has no unilateral right to appoint or remove the servicer, special servicer or investment manager, which are generally viewed to have the power to direct the activities that most significantly impact the securitization entities' economic performance, in any of these entities, nor does the Company function in any of these roles. The Company, through its investments or other arrangements, does not have the obligation to absorb losses or the right to receive benefits from the entity that could potentially be significant to the entity. Therefore, the Company is not the primary beneficiary and will not consolidate any of the RMBS, CMBS and ABS entities in which it holds investments. These investments are accounted for as investments available-for-sale as described in the Business, Basis of Presentation and Significant Accounting Policies Note to these Financial Statements and unrealized capital gains (losses) on these securities are recorded directly in AOCI, except for certain RMBS which are accounted for under the FVO for which changes in fair value are reflected in Other net realized gains (losses) in the Statements of Operations. The Company's maximum exposure to loss on these structured investments is limited to the amount of its investment. 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 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 $ 462 $ 6 $ — $ — $ 37 $ — $ 499 $ 6 State, municipalities and political subdivisions 45 — — — 63 3 108 3 U.S. corporate public securities 498 7 17 — 196 6 711 13 U.S. corporate private securities 189 1 32 1 342 16 563 18 Foreign corporate public securities and foreign governments 168 3 — — 69 5 237 8 Foreign corporate private securities 101 21 10 — 130 5 241 26 Residential mortgage-backed 158 3 10 — 143 8 311 11 Commercial mortgage-backed 351 3 13 — 49 2 413 5 Other asset-backed 44 — 9 1 22 — 75 1 Total $ 2,016 $ 44 $ 91 $ 2 $ 1,051 $ 45 $ 3,158 $ 91 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, 2016 : 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 $ 455 $ 8 $ — $ — $ — $ — $ 455 $ 8 State, municipalities and political subdivisions 269 10 — — 12 1 281 11 U.S. corporate public securities 1,932 43 24 1 171 14 2,127 58 U.S. corporate private securities 823 29 34 1 123 19 980 49 Foreign corporate public securities and foreign governments 411 13 20 1 141 17 572 31 Foreign corporate private securities 479 18 — — 50 5 529 23 Residential mortgage-backed 374 11 35 1 53 4 462 16 Commercial mortgage-backed 282 6 13 — 14 2 309 8 Other asset-backed 87 — — — 52 3 139 3 Total $ 5,112 $ 138 $ 126 $ 4 $ 616 $ 65 $ 5,854 $ 207 Of the unrealized capital losses aged more than twelve months, the average market value of the related fixed maturities was 95.9% and 90.5% of the average book value as of December 31, 2017 and 2016 , 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% December 31, 2017 Six months or less below amortized cost $ 2,035 $ 39 $ 25 $ 22 399 7 More than six months and twelve months or less below amortized cost 96 — 2 — 36 — More than twelve months below amortized cost 1,057 22 36 6 291 6 Total $ 3,188 $ 61 $ 63 $ 28 726 13 December 31, 2016 Six months or less below amortized cost $ 5,318 $ 18 $ 148 $ 4 955 8 More than six months and twelve months or less below amortized cost 261 13 15 4 59 3 More than twelve months below amortized cost 429 22 29 7 141 6 Total $ 6,008 $ 53 $ 192 $ 15 1,155 17 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% December 31, 2017 U.S. Treasuries $ 505 $ — $ 6 $ — 16 — State, municipalities and political subdivisions 111 — 3 — 95 — U.S. corporate public securities 723 1 13 — 126 2 U.S. corporate private securities 560 21 12 6 73 2 Foreign corporate public securities and foreign governments 245 — 8 — 52 — Foreign corporate private securities 232 35 5 21 34 6 Residential mortgage-backed 319 3 10 1 166 2 Commercial mortgage-backed 418 — 5 — 122 — Other asset-backed 75 1 1 — 42 1 Total $ 3,188 $ 61 $ 63 $ 28 726 13 December 31, 2016 U.S. Treasuries $ 463 $ — $ 8 $ — 11 — State, municipalities and political subdivisions 292 — 11 — 185 — U.S. corporate public securities 2,172 12 55 3 374 3 U.S. corporate private securities 996 34 40 9 114 3 Foreign corporate public securities and foreign governments 599 4 30 1 126 3 Foreign corporate private securities 552 — 23 — 61 2 Residential mortgage-backed 478 — 16 — 172 3 Commercial mortgage-backed 314 3 6 2 66 3 Other asset-backed 142 — 3 — 46 — Total $ 6,008 $ 53 $ 192 $ 15 1,155 17 Investments with fair values less than amortized cost are included in the Company’s other-than-temporary impairment 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. For the year ended December 31, 2017 , the Company did no t 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 $11 . For the year ended December 31, 2016 , the Company had no new troubled debt restructurings for commercial mortgage loans or private placement bonds. As of December 31, 2017 , the Company held no commercial mortgage troubled debt restructured loans. As of December 31, 2017 and 2016 , 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: December 31, 2017 December 31, 2016 Impaired Non Impaired Total Impaired Non Impaired Total Commercial mortgage loans $ — $ 4,379 $ 4,379 $ — $ 3,883 $ 3,883 Collective valuation allowance for losses N/A (1 ) (1 ) N/A (1 ) (1 ) Total net commercial mortgage loans $ — $ 4,378 $ 4,378 $ — $ 3,882 $ 3,882 N/A - Not Applicable There were no impairments taken on the mortgage loan portfolio for the years ended December 31, 2017 , 2016 and 2015 . The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated: December 31, 2017 December 31, 2016 Collective valuation allowance for losses, balance at January 1 $ 1 $ 1 Addition to (reduction of) allowance for losses — — Collective valuation allowance for losses, end of period $ 1 $ 1 For the years ended December 31, 2017 and 2016 , 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 December 31, 2017 and 2016 . There were no loans 30 days or less in arrears, with respect to principal and interest as of December 31, 2017 and 2016 . Commercial loans are placed on non-accrual status when 90 days in arrears if the Company has concerns regarding the collectability of future payments, or if a loan has matured without being paid off or extended. Factors considered may include loss of major tenant, bankruptcy of borrower or major tenant, decreased property cash flow, number of days past due, or various other circumstances. Based on an assessment as to the collectability of the principal, a determination is made to either apply against the book value or apply according to the contractual terms of the loan. Funds recovered in excess of book value would then be applied to recover expenses, impairments, and then interest. Accrual of interest resumes after factors resulting in doubts about collectability have improved. The following table presents 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: Year Ended December 31, 2017 2016 2015 Impaired loans, average investment during the period (amortized cost) (1) $ — $ 2 $ 10 Interest income recognized on impaired loans, on an accrual basis (1) — — 1 Interest income recognized on impaired loans, on a cash basis (1) — — 1 Interest income recognized on troubled debt restructured loans, on an accrual basis — — 1 (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: December 31, 2017 (1) December 31, 2016 (1) Loan-to-Value Ratio: 0% - 50% $ 412 $ 428 >50% - 60% 1,141 1,009 >60% - 70% 2,428 2,105 >70% - 80% 389 336 >80% and above 9 5 Total Commercial mortgage loans $ 4,379 $ 3,883 (1) Balances do not include collective valuation allowance for losses. The following table presents the DSC ratios as of the dates indicated: December 31, 2017 (1) December 31, 2016 (1) Debt Service Coverage Ratio: Greater than 1.5x $ 3,436 $ 3,014 >1.25x - 1.5x 549 439 >1.0x - 1.25x 301 308 Less than 1.0x 67 77 Commercial mortgage loans secured by land or construction loans 26 45 Total Commercial mortgage loans $ 4,379 $ 3,883 (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: December 31, 2017 (1) December 31, 2016 (1) Gross % of Total Gross % of Total Commercial Mortgage Loans by U.S. Region: Pacific $ 879 20.1 % $ 888 22.9 % South Atlantic 1,012 23.1 % 979 25.2 % Middle Atlantic 588 13.4 % 495 12.7 % West South Central 554 12.7 % 466 12.0 % Mountain 557 12.7 % 379 9.8 % East North Central 469 10.7 % 400 10.3 % New England 61 1.4 % 64 1.6 % West North Central 201 4.6 % 140 3.6 % East South Central 58 1.3 % 72 1.9 % Total Commercial mortgage loans $ 4,379 100.0 % $ 3,883 100.0 % (1) Balances do not include collective valuation allowance for losses. December 31, 2017 (1) December 31, 2016 (1) Gross % of Total Gross % of Total Commercial Mortgage Loans by Property Type: Retail $ 1,127 25.7 % $ 1,145 29.5 % Industrial 1,208 27.6 % 988 25.5 % Apartments 1,084 24.8 % 832 21.4 % Office 720 16.4 % 669 17.2 % Hotel/Motel 79 1.8 % 83 2.1 % Mixed Use 31 0.7 % 31 0.8 % Other 130 3.0 % 135 3.5 % Total Commercial mortgage loans $ 4,379 100.0 % $ 3,883 100.0 % (1) Balances do not include collective valuation allowance for losses. The following table presents mortgages by year of origination as of the dates indicated: December 31, 2017 (1) December 31, 2016 (1) Year of Origination: 2017 $ 831 $ — 2016 941 $ 959 2015 763 796 2014 547 554 2013 573 600 2012 153 169 2011 and prior 571 805 Total Commercial mortgage loans $ 4,379 $ 3,883 (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 and equity securities, in accordance with its impairment policy in order to evaluate whether such investments are other-than-temporarily impaired. The following table identifies the Company's credit-related and intent-related impairments included in the Statements of Operations, excluding impairments included in Other comprehensive income (loss) by type for the periods indicated: Year Ended December 31, 2017 2016 2015 Impairment No. of Securities Impairment No. of Securities Impairment No. of Securities U.S. corporate public securities $ — * 3 $ 2 2 $ 11 10 Foreign corporate public securities and foreign governments (1) 1 2 3 2 18 6 Foreign corporate private securities (1) 10 2 1 2 1 1 Residential mortgage-backed 1 20 4 32 3 27 Commercial mortgage-backed 2 4 — * 1 — * 2 Other asset-backed — * 1 — * 2 — — Equity — — — — — * 1 Total $ 14 32 $ 10 41 $ 33 47 (1) Primarily U.S. dollar denominated. * Less than $1. The above tables include $12 , $5 and $8 of write-downs related to credit impairments for the years ended December 31, 2017 , 2016 and 2015 , respectively, in Other-than-temporary impairments, which are recognized in the Statements of Operations. The remaining $2 , $5 and $25 in write-downs, for the years ended December 31, 2017 , 2016 and 2015 , respectively, are related to intent impairments. The following table summarizes these intent impairments, which are also recognized in earnings, by type for the periods indicated: Year Ended December 31, 2017 2016 2015 Impairment No. of Securities Impairment No. of Securities Impairment No. of Securities U.S. corporate public securities $ — * 3 $ 2 1 $ 11 9 Foreign corporate public securities and foreign governments (1) — — 2 1 14 5 Residential mortgage-backed — * 3 1 3 — * 4 Commercial mortgage-backed 2 4 — * 1 — * 2 Total $ 2 10 $ 5 6 $ 25 20 (1) Primarily U.S. dollar denominated. * Less than $1. The Company may sell securities during the period in which fair value has declined below amortized cost for fixed maturities or cost for equity securities. In certain situations, new factors, including changes in the business environment, can change the Company's previous intent to continue holding a security. Accordingly, these factors may lead the Company to record additional intent related capital losses. The following table identifies the amount of credit impairments on fixed maturities for which a portion of the OTTI loss was recognized in Other comprehensive income (loss) and the corresponding changes in such amounts for the periods indicated: Year Ended December 31, 2017 2016 2015 Balance at January 1 $ 20 $ 27 $ 33 Additional credit impairments: On securities not previously impaired 11 — — On securities previously impaired — 3 2 Reductions: Increase in cash flows 1 1 1 Securities sold, matured, prepaid or paid down 6 9 7 Balance at December 31 $ 24 $ 20 $ 27 Net Investment Income The following table summarizes Net investment income for the periods indicated: Year Ended December 31, 2017 2016 2015 Fixed maturities $ 1,121 $ 1,205 $ 1,169 Equity securities, available-for-sale 9 3 2 Mortgage loans on real estate 183 176 165 Policy loans 4 5 5 Other 58 34 19 Gross investment income 1,375 1,423 1,360 Less: investment expenses 61 60 54 Net investment income $ 1,314 $ 1,363 $ 1,306 As of December 31, 2017 and 2016 , the Company had $4 and $6 , respectively, of investments in fixed maturities that did not produce net investment income. Fixed maturities are mov |
