| Investments | 20% < 20% > 20% < 20% > 20% March 31, 2018 Six months or less below amortized cost $ 5,668 $ 89 $ 107 $ 28 1,139 9 More than six months and twelve months or less below amortized cost 901 1 44 — 181 1 More than twelve months below amortized cost 1,536 79 95 24 324 6 Total $ 8,105 $ 169 $ 246 $ 52 1,644 16 December 31, 2017 Six months or less below amortized cost $ 1,883 $ 67 $ 30 $ 38 433 7 More than six months and twelve months or less below amortized cost 128 7 4 2 37 1 More than twelve months below amortized cost 1,661 72 53 21 335 7 Total $ 3,672 $ 146 $ 87 $ 61 805 15 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% March 31, 2018 U.S. Treasuries $ 28 $ — $ 1 $ — 6 — State, municipalities and political subdivisions 297 — 8 — 167 — U.S. corporate public securities 2,356 33 65 8 513 3 U.S. corporate private securities 1,564 67 57 21 176 2 Foreign corporate public securities and foreign governments 908 12 28 3 197 2 Foreign corporate private securities 939 56 28 20 101 5 Residential mortgage-backed 935 — 36 — 233 2 Commercial mortgage-backed 871 — 21 — 185 — Other asset-backed 207 1 2 — 66 2 Total $ 8,105 $ 169 $ 246 $ 52 1,644 16 December 31, 2017 U.S. Treasuries $ 30 $ — $ — $ — 6 — State, municipalities and political subdivisions 130 — 4 — 96 — U.S. corporate public securities 828 6 24 2 167 2 U.S. corporate private securities 743 66 18 20 71 2 Foreign corporate public securities and foreign governments 254 7 7 2 61 1 Foreign corporate private securities 288 66 8 37 35 6 Residential mortgage-backed 746 — 19 — 194 3 Commercial mortgage-backed 511 — 6 — 131 — Other asset-backed 142 1 1 — 44 1 Total $ 3,672 $ 146 $ 87 $ 61 805 15 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 March 31, 2018 , the Company did no t have any new commercial mortgage loan or private placement troubled debt restructuring. As of 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 $3 . As of March 31, 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: March 31, 2018 December 31, 2017 Impaired Non Impaired Total Impaired Non Impaired Total Commercial mortgage loans $ 4 $ 4,888 $ 4,892 $ 4 $ 4,907 $ 4,911 Collective valuation allowance for losses — (1 ) (1 ) N/A (1 ) (1 ) Total net commercial mortgage loans $ 4 $ 4,887 $ 4,891 $ 4 $ 4,906 $ 4,910 N/A- Not Applicable There were no impairments taken on the mortgage loan portfolio for the three months ended March 31, 2018 and 2017 . The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated: March 31, 2018 December 31, 2017 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 The carrying values and unpaid principal balances of impaired mortgage loans were as follows as of the dates indicated: March 31, 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 March 31, 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 March 31, 2018 and December 31, 2017 . There were no loans 30 days or less in arrears, with respect to principal and interest as of March 31, 2018 and December 31, 2017 . 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: Three Months Ended March 31, 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: March 31, 2018 (1) December 31, 2017 (1) Loan-to-Value Ratio: 0% - 50% $ 343 $ 341 >50% - 60% 1,291 1,256 >60% - 70% 2,971 3,042 >70% - 80% 276 262 >80% and above 11 10 Total Commercial mortgage loans $ 4,892 $ 4,911 (1) Balances do not include collective valuation allowance for losses. The following table presents the DSC ratios as of the dates indicated: March 31, 2018 (1) December 31, 2017 (1) Debt Service Coverage Ratio: Greater than 1.5x $ 3,793 $ 3,902 >1.25x - 1.5x 355 340 >1.0x - 1.25x 645 600 Less than 1.0x 82 54 Commercial mortgage loans secured by land or construction loans 17 15 Total Commercial mortgage loans $ 4,892 $ 4,911 (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: March 31, 2018 (1) December 31, 2017 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by U.S. Region: Pacific $ 987 20.2 % $ 985 20.1 % South Atlantic 996 20.3 % 982 20.0 % Middle Atlantic 1,101 22.4 % 1,097 22.4 % West South Central 544 11.1 % 552 11.2 % Mountain 463 9.5 % 457 9.3 % East North Central 454 9.3 % 468 9.5 % New England 76 1.6 % 77 1.6 % West North Central 229 4.7 % 243 4.9 % East South Central 42 0.9 % 50 1.0 % Total Commercial mortgage loans $ 4,892 100.0 % $ 4,911 100.0 % (1) Balances do not include collective valuation allowance for losses. March 31, 2018 (1) December 31, 2017 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by Property Type: Retail $ 1,383 28.3 % $ 1,383 28.1 % Industrial 1,273 26.1 % 1,326 27.0 % Apartments 951 19.4 % 948 19.3 % Office 842 17.2 % 829 16.9 % Hotel/Motel 178 3.6 % 177 3.6 % Mixed Use 51 1.0 % 52 1.1 % Other 214 4.4 % 196 4.0 % Total Commercial mortgage loans $ 4,892 100.0 % $ 4,911 100.0 % (1) Balances do not include collective valuation allowance for losses. The following table presents mortgages by year of origination as of the dates indicated: March 31, 2018 (1) December 31, 2017 (1) Year of Origination: 2018 $ 137 $ — 2017 1,073 1,086 2016 857 867 2015 700 703 2014 523 538 2013 638 644 2012 and prior 964 1,073 Total Commercial mortgage loans $ 4,892 $ 4,911 (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 March 31, 2018 2017 Impairment No. of Securities Impairment No. of Securities Foreign corporate private securities (1) $ 9 1 $ — — Residential mortgage-backed — * 6 — * 8 Total $ 9 7 $ — * 8 (1) Primarily U.S. dollar denominated. *Less than $1. The above table includes $9 of write-downs related to credit impairments for the three months ended March 31, 2018 in Other-than-temporary impairments, which are recognized in the Condensed Consolidated Statements of Operations. The above table includes immaterial write-downs related to credit impairments for the three months ended March 31, 2017 . The remaining write-downs for the three months ended March 31, 2018 and March 31, 2017 related to intent impairments are immaterial. The Company may sell securities during the period in which fair value has declined below amortized cost for fixed maturities. 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 presents 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: Three Months Ended March 31, 2018 2017 Balance at January 1 $ 16 $ 9 Additional credit impairments: On securities previously impaired — — Reductions: Increase in cash flows — — Securities sold, matured, prepaid or paid down 10 1 Balance at March 31 $ 6 $ 8 Net Investment Income The following table summarizes Net investment income for the periods indicated: Three Months Ended March 31, 2018 2017 Fixed maturities $ 323 $ 326 Equity securities 1 1 Mortgage loans on real estate 53 51 Policy loans 2 3 Short-term investments and cash equivalents 1 — Other 19 15 Gross investment income 399 396 Less: Investment expenses 17 17 Net investment income $ 382 $ 379 As of March 31, 2018 and December 31, 2017 , the Company had $1 and $3 , respectively, of investments in fixed maturities that did not produce net investment income. Fixed maturities are moved to a non-accrual status when the investment defaults. Interest income on fixed maturities is recorded when" id="sjs-B4">Investments Fixed Maturities and Equity Securities Available-for-sale and fair value option ("FVO") fixed maturities were as follows as of March 31, 2018 : Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Embedded Derivatives (2) Fair Value OTTI (3)(4) Fixed maturities: U.S. Treasuries $ 463 $ 90 $ 1 $ — $ 552 $ — U.S. Government agencies and authorities — — — — — — State, municipalities and political subdivisions 841 26 8 — 859 — U.S. corporate public securities 8,342 523 73 — 8,792 — U.S. corporate private securities 3,387 86 78 — 3,395 — Foreign corporate public securities and foreign governments (1) 2,601 126 31 — 2,696 — Foreign corporate private securities (1) 3,223 101 48 — 3,276 — Residential mortgage-backed securities: Agency 1,876 54 32 5 1,903 — Non-Agency 740 51 4 5 792 4 Total Residential mortgage-backed securities 2,616 105 36 10 2,695 4 Commercial mortgage-backed securities 1,570 18 21 — 1,567 — Other asset-backed securities 839 9 2 — 846 1 Total fixed maturities, including securities pledged 23,882 1,084 298 10 24,678 5 Less: Securities pledged 776 66 9 — 833 — Total fixed maturities $ 23,106 $ 1,018 $ 289 $ 10 $ 23,845 $ 5 (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 $160 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 $ 547 $ 109 $ — $ — $ 656 $ — U.S. Government agencies and authorities 3 — — — 3 — State, municipalities and political subdivisions 842 40 4 — 878 — U.S. corporate public securities 8,476 786 26 — 9,236 — U.S. corporate private securities 3,387 148 38 — 3,497 — Foreign corporate public securities and foreign governments (1) 2,594 192 9 — 2,777 — Foreign corporate private securities (1) 3,105 155 45 — 3,215 7 Residential mortgage-backed securities: Agency 1,878 65 17 6 1,932 — Non-Agency 639 54 2 6 697 4 Total Residential mortgage-backed securities 2,517 119 19 12 2,629 4 Commercial mortgage-backed securities 1,437 39 6 — 1,470 — Other asset-backed securities 671 11 1 — 681 2 Total fixed maturities, including securities pledged 23,579 1,599 148 12 25,042 13 Less: Securities pledged 864 104 8 — 960 — Total fixed maturities 22,715 1,495 140 12 24,082 13 Equity securities 45 15 — — 60 — Total fixed maturities and equity securities investments $ 22,760 $ 1,510 $ 140 $ 12 $ 24,142 $ 13 (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 $190 of net unrealized gains on impaired available-for-sale securities. The amortized cost and fair value of fixed maturities, including securities pledged, as of March 31, 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 Fair Due to mature: One year or less $ 566 $ 572 After one year through five years 4,392 4,498 After five years through ten years 6,029 6,072 After ten years 7,870 8,428 Mortgage-backed securities 4,186 4,262 Other asset-backed securities 839 846 Fixed maturities, including securities pledged $ 23,882 $ 24,678 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 March 31, 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 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 March 31, 2018 Communications $ 1,184 $ 82 $ 8 $ 1,258 Financial 2,717 117 22 2,812 Industrial and other companies 7,856 335 109 8,082 Energy 1,974 113 44 2,043 Utilities 2,775 142 35 2,882 Transportation 715 33 8 740 Total $ 17,221 $ 822 $ 226 $ 17,817 December 31, 2017 Communications $ 1,145 $ 114 $ 1 $ 1,258 Financial 2,750 185 4 2,931 Industrial and other companies 7,953 532 65 8,420 Energy 1,970 159 33 2,096 Utilities 2,725 216 11 2,930 Transportation 697 52 2 747 Total $ 17,240 $ 1,258 $ 116 $ 18,382 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 March 31, 2018 and December 31, 2017 , approximately 50.5% and 52.1% , 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 March 31, 2018 and December 31, 2017 , the Company did no t have any securities pledged in dollar rolls, repurchase agreement transactions or reverse repurchase agreements. 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 March 31, 2018 and December 31, 2017 , the fair value of loaned securities was $646 and $799 , 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 March 31, 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 $581 and $744 , respectively, and is recorded in Short-term investments under securities loan agreements, including collateral delivered on the Condensed Consolidated Balance Sheets. As of March 31, 2018 and December 31, 2017 , liabilities to return collateral of $581 and $744 , 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 March 31, 2018 and December 31, 2017 , the fair value of securities retained as collateral by the lending agent on the Company’s behalf was $85 and $61 , respectively. The following table presents borrowings under securities lending transactions by class of collateral pledged for the dates indicated: March 31, 2018 (1)(2) December 31, 2017 (1)(2) U.S. Treasuries $ 80 $ 177 U.S. corporate public securities 445 460 Foreign corporate public securities and foreign governments 141 168 Payables under securities loan agreements $ 666 $ 805 (1) As of March 31, 2018 and December 31, 2017 , borrowings under securities lending transactions include cash collateral of $581 and $744 , respectively. (2) As of March 31, 2018 and December 31, 2017 , borrowings under securities lending transactions include non-cash collateral of $85 and $61 , 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 ("VIEs") 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 $425 and $411 as of March 31, 2018 and December 31, 2017 , respectively; these investments are included in Limited partnerships/corporations on the Condensed Consolidated Balance Sheets. Income and losses recognized on these investments are reported in Net investment income in the Condensed Consolidated Statements of Operations. Securitizations The Company invests in various tranches of securitization entities, including Residential mortgage-backed securities ("RMBS"), Commercial mortgage-backed securities ("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 does 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 Fair Value Measurements Note to these Condensed Consolidated Financial Statements and unrealized capital gains (losses) on these securities are recorded directly in AOCI, except for certain RMBS that are accounted for under the FVO, for which changes in fair value are reflected in Other net realized capital gains (losses) in the Condensed Consolidated 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 March 31, 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 $ 15 $ — $ — $ — $ 12 $ 1 $ 27 $ 1 State, municipalities and political subdivisions 183 2 17 1 89 5 289 8 U.S. corporate public securities 1,904 38 184 13 228 22 2,316 73 U.S. corporate private securities 932 17 146 8 475 53 1,553 78 Foreign corporate public securities and foreign governments 766 18 40 3 83 10 889 31 Foreign corporate private securities 711 13 70 21 166 14 947 48 Residential mortgage-backed 334 7 147 8 418 21 899 36 Commercial mortgage-backed 573 10 240 9 37 2 850 21 Other asset-backed 145 1 45 1 16 — 206 2 Total $ 5,563 $ 106 $ 889 $ 64 $ 1,524 $ 128 $ 7,976 $ 298 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 More Than Six More Than Twelve Total Fair Unrealized Fair Unrealized Fair Unrealized Fair Unrealized U.S. Treasuries $ 18 $ — $ — $ — $ 12 $ — $ 30 $ — State, municipalities and political subdivisions 34 — 1 — 91 4 126 4 U.S. corporate public securities 504 11 — — 304 15 808 26 U.S. corporate private securities 226 2 46 2 499 34 771 38 Foreign corporate public securities and foreign governments 148 1 5 — 99 8 252 9 Foreign corporate private securities 135 38 13 — 161 7 309 45 Residential mortgage-backed 263 5 26 1 438 13 727 19 Commercial mortgage-backed 436 5 19 — 50 1 505 6 Other asset-backed 95 1 9 — 38 — 142 1 Total $ 1,859 $ 63 $ 119 $ 3 $ 1,692 $ 82 $ 3,670 $ 148 Of the unrealized capital losses aged more than twelve months, the average market value of the related fixed maturities was 92.3% and 95.4% of the average book value as of March 31, 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% March 31, 2018 Six months or less below amortized cost $ 5,668 $ 89 $ 107 $ 28 1,139 9 More than six months and twelve months or less below amortized cost 901 1 44 — 181 1 More than twelve months below amortized cost 1,536 79 95 24 324 6 Total $ 8,105 $ 169 $ 246 $ 52 1,644 16 December 31, 2017 Six months or less below amortized cost $ 1,883 $ 67 $ 30 $ 38 433 7 More than six months and twelve months or less below amortized cost 128 7 4 2 37 1 More than twelve months below amortized cost 1,661 72 53 21 335 7 Total $ 3,672 $ 146 $ 87 $ 61 805 15 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% March 31, 2018 U.S. Treasuries $ 28 $ — $ 1 $ — 6 — State, municipalities and political subdivisions 297 — 8 — 167 — U.S. corporate public securities 2,356 33 65 8 513 3 U.S. corporate private securities 1,564 67 57 21 176 2 Foreign corporate public securities and foreign governments 908 12 28 3 197 2 Foreign corporate private securities 939 56 28 20 101 5 Residential mortgage-backed 935 — 36 — 233 2 Commercial mortgage-backed 871 — 21 — 185 — Other asset-backed 207 1 2 — 66 2 Total $ 8,105 $ 169 $ 246 $ 52 1,644 16 December 31, 2017 U.S. Treasuries $ 30 $ — $ — $ — 6 — State, municipalities and political subdivisions 130 — 4 — 96 — U.S. corporate public securities 828 6 24 2 167 2 U.S. corporate private securities 743 66 18 20 71 2 Foreign corporate public securities and foreign governments 254 7 7 2 61 1 Foreign corporate private securities 288 66 8 37 35 6 Residential mortgage-backed 746 — 19 — 194 3 Commercial mortgage-backed 511 — 6 — 131 — Other asset-backed 142 1 1 — 44 1 Total $ 3,672 $ 146 $ 87 $ 61 805 15 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 March 31, 2018 , the Company did no t have any new commercial mortgage loan or private placement troubled debt restructuring. As of 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 $3 . As of March 31, 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: March 31, 2018 December 31, 2017 Impaired Non Impaired Total Impaired Non Impaired Total Commercial mortgage loans $ 4 $ 4,888 $ 4,892 $ 4 $ 4,907 $ 4,911 Collective valuation allowance for losses — (1 ) (1 ) N/A (1 ) (1 ) Total net commercial mortgage loans $ 4 $ 4,887 $ 4,891 $ 4 $ 4,906 $ 4,910 N/A- Not Applicable There were no impairments taken on the mortgage loan portfolio for the three months ended March 31, 2018 and 2017 . The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated: March 31, 2018 December 31, 2017 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 The carrying values and unpaid principal balances of impaired mortgage loans were as follows as of the dates indicated: March 31, 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 March 31, 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 March 31, 2018 and December 31, 2017 . There were no loans 30 days or less in arrears, with respect to principal and interest as of March 31, 2018 and December 31, 2017 . 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: Three Months Ended March 31, 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: March 31, 2018 (1) December 31, 2017 (1) Loan-to-Value Ratio: 0% - 50% $ 343 $ 341 >50% - 60% 1,291 1,256 >60% - 70% 2,971 3,042 >70% - 80% 276 262 >80% and above 11 10 Total Commercial mortgage loans $ 4,892 $ 4,911 (1) Balances do not include collective valuation allowance for losses. The following table presents the DSC ratios as of the dates indicated: March 31, 2018 (1) December 31, 2017 (1) Debt Service Coverage Ratio: Greater than 1.5x $ 3,793 $ 3,902 >1.25x - 1.5x 355 340 >1.0x - 1.25x 645 600 Less than 1.0x 82 54 Commercial mortgage loans secured by land or construction loans 17 15 Total Commercial mortgage loans $ 4,892 $ 4,911 (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: March 31, 2018 (1) December 31, 2017 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by U.S. Region: Pacific $ 987 20.2 % $ 985 20.1 % South Atlantic 996 20.3 % 982 20.0 % Middle Atlantic 1,101 22.4 % 1,097 22.4 % West South Central 544 11.1 % 552 11.2 % Mountain 463 9.5 % 457 9.3 % East North Central 454 9.3 % 468 9.5 % New England 76 1.6 % 77 1.6 % West North Central 229 4.7 % 243 4.9 % East South Central 42 0.9 % 50 1.0 % Total Commercial mortgage loans $ 4,892 100.0 % $ 4,911 100.0 % (1) Balances do not include collective valuation allowance for losses. March 31, 2018 (1) December 31, 2017 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by Property Type: Retail $ 1,383 28.3 % $ 1,383 28.1 % Industrial 1,273 26.1 % 1,326 27.0 % Apartments 951 19.4 % 948 19.3 % Office 842 17.2 % 829 16.9 % Hotel/Motel 178 3.6 % 177 3.6 % Mixed Use 51 1.0 % 52 1.1 % Other 214 4.4 % 196 4.0 % Total Commercial mortgage loans $ 4,892 100.0 % $ 4,911 100.0 % (1) Balances do not include collective valuation allowance for losses. The following table presents mortgages by year of origination as of the dates indicated: March 31, 2018 (1) December 31, 2017 (1) Year of Origination: 2018 $ 137 $ — 2017 1,073 1,086 2016 857 867 2015 700 703 2014 523 538 2013 638 644 2012 and prior 964 1,073 Total Commercial mortgage loans $ 4,892 $ 4,911 (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 March 31, 2018 2017 Impairment No. of Securities Impairment No. of Securities Foreign corporate private securities (1) $ 9 1 $ — — Residential mortgage-backed — * 6 — * 8 Total $ 9 7 $ — * 8 (1) Primarily U.S. dollar denominated. *Less than $1. The above table includes $9 of write-downs related to credit impairments for the three months ended March 31, 2018 in Other-than-temporary impairments, which are recognized in the Condensed Consolidated Statements of Operations. The above table includes immaterial write-downs related to credit impairments for the three months ended March 31, 2017 . The remaining write-downs for the three months ended March 31, 2018 and March 31, 2017 related to intent impairments are immaterial. The Company may sell securities during the period in which fair value has declined below amortized cost for fixed maturities. 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 presents 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: Three Months Ended March 31, 2018 2017 Balance at January 1 $ 16 $ 9 Additional credit impairments: On securities previously impaired — — Reductions: Increase in cash flows — — Securities sold, matured, prepaid or paid down 10 1 Balance at March 31 $ 6 $ 8 Net Investment Income The following table summarizes Net investment income for the periods indicated: Three Months Ended March 31, 2018 2017 Fixed maturities $ 323 $ 326 Equity securities 1 1 Mortgage loans on real estate 53 51 Policy loans 2 3 Short-term investments and cash equivalents 1 — Other 19 15 Gross investment income 399 396 Less: Investment expenses 17 17 Net investment income $ 382 $ 379 As of March 31, 2018 and December 31, 2017 , the Company had $1 and $3 , respectively, of investments in fixed maturities that did not produce net investment income. Fixed maturities are moved to a non-accrual status when the investment defaults. Interest income on fixed maturities is recorded when |
