| Investments | 50% - 60% >60% - 70% >70% - 80% >80% and above Total 2020 $ 41 $ 126 $ 28 $ — $ — $ 195 2019 263 152 80 15 — 510 2018 116 109 90 — — 315 2017 547 362 17 — — 926 2016 400 280 13 — — 693 2015 381 145 — — — 526 2014 and prior 1,193 392 24 — — 1,609 Total $ 2,941 $ 1,566 $ 252 $ 15 $ — $ 4,774 As of December 31, 2019 Loan-to-Value Ratios Year of Origination 0% - 50% >50% - 60% >60% - 70% >70% - 80% >80% and above Total 2020 $ — $ — $ — $ — $ — $ — 2019 85 96 145 170 26 522 2018 4 88 110 133 14 349 2017 101 244 566 13 10 934 2016 46 150 470 31 — 697 2015 10 343 168 8 — 529 2014 and prior 134 252 1,093 154 — 1,633 Total $ 380 $ 1,173 $ 2,552 $ 509 $ 50 $ 4,664 The following tables present commercial mortgage loans by year of origination and DSC ratio as of the dates indicated. The information is updated as of March 31, 2020 and December 31, 2019 , respectively. As of March 31, 2020 Debt Service Coverage Ratios Year of Origination >1.5x >1.25x - 1.5x >1.0x - 1.25x <1.0x Commercial mortgage loans secured by land or construction loans Total 2020 $ 140 $ 31 $ 24 $ — $ — $ 195 2019 392 76 42 — — 510 2018 217 3 64 31 — 315 2017 491 224 143 68 — 926 2016 607 63 23 — — 693 2015 494 32 — — — 526 2014 and prior 1,353 134 76 46 — 1,609 Total $ 3,694 $ 563 $ 372 $ 145 $ — $ 4,774 As of December 31, 2019 Debt Service Coverage Ratios Year of Origination >1.5x >1.25x - 1.5x >1.0x - 1.25x <1.0x Commercial mortgage loans secured by land or construction loans Total 2020 $ — $ — $ — $ — $ — $ — 2019 353 127 42 — — 522 2018 236 3 60 50 — 349 2017 481 238 133 82 — 934 2016 615 59 23 — — 697 2015 492 32 — 5 — 529 2014 and prior 1,358 128 88 59 — 1,633 Total $ 3,535 $ 587 $ 346 $ 196 $ — $ 4,664 The following tables present the commercial mortgage loans by year of origination and U.S. region as of the dates indicated. The information is updated as of March 31, 2020 and December 31, 2019 , respectively. As of March 31, 2020 U.S. Region Year of Origination Pacific South Atlantic Middle Atlantic West South Central Mountain East North Central New England West North Central East South Central Total 2020 $ 14 $ 111 $ 17 $ 23 $ 14 $ 8 $ — $ — $ 8 $ 195 2019 64 128 11 155 53 44 18 11 26 510 2018 49 112 60 44 26 11 — 13 — 315 2017 102 99 390 150 77 60 5 43 — 926 2016 157 132 185 32 74 77 9 21 6 693 2015 123 159 103 34 42 51 10 4 — 526 2014 and prior 437 311 246 118 167 139 42 119 30 1609 Total $ 946 $ 1,052 $ 1,012 $ 556 $ 453 $ 390 $ 84 $ 211 $ 70 $ 4,774 As of December 31, 2019 U.S. Region Year of Origination Pacific South Atlantic Middle Atlantic West South Central Mountain East North Central New England West North Central East South Central Total 2020 $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — 2019 63 127 26 155 53 43 18 11 26 522 2018 50 132 60 43 26 11 — 12 15 349 2017 103 99 396 151 77 60 5 43 — 934 2016 158 132 187 32 75 77 9 21 6 697 2015 125 160 103 34 43 50 10 4 — 529 2014 and prior 445 316 247 122 168 142 42 121 30 1633 Total $ 944 $ 966 $ 1,019 $ 537 $ 442 $ 383 $ 84 $ 212 $ 77 $ 4,664 The following tables present the commercial mortgage loans by year of origination and property type as of the dates indicated. The information is updated as of March 31, 2020 and December 31, 2019 , respectively. As of March 31, 2020 Property Type Year of Origination Retail Industrial Apartments Office Hotel/Motel Other Mixed Use Total 2020 $ 44 $ 8 $ 98 $ 45 $ — $ — $ — $ 195 2019 33 90 286 81 20 — — 510 2018 50 90 137 17 3 18 — 315 2017 103 456 218 145 4 — — 926 2016 130 251 147 146 8 7 4 693 2015 147 183 68 62 24 42 — 526 2014 and prior 721 134 292 226 68 128 40 1609 Total $ 1,228 $ 1,212 $ 1,246 $ 722 $ 127 $ 195 $ 44 $ 4,774 As of December 31, 2019 Property Type Year of Origination Retail Industrial Apartments Office Hotel/Motel Other Mixed Use Total 2020 $ — $ — $ — $ — $ — $ — $ — $ — 2019 33 90 299 81 19 — — 522 2018 52 91 152 32 4 18 — 349 2017 104 461 218 147 4 — — 934 2016 131 254 147 146 8 7 4 697 2015 148 185 69 62 23 42 — 529 2014 and prior 730 135 300 229 69 130 40 1633 Total $ 1,198 $ 1,216 $ 1,185 $ 697 $ 127 $ 197 $ 44 $ 4,664 The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated: March 31, 2020 Allowance for credit losses, balance at January 1 $ 12 Credit losses on mortgage loans for which credit losses were not previously recorded 1 Initial allowance for credit losses recognized on financial assets accounted for as PCD — Increase (decrease) on mortgage loans with allowance recorded in previous period 4 Provision for expected credit losses 17 Writeoffs — Recoveries of amounts previously written off — Allowance for credit losses, end of period $ 17 The following table presents past due commercial mortgage loans as of the dates indicated: March 31, 2020 December 31, 2019 Delinquency: Current $ 4,774 $ 4,664 30-59 days past due — — 60-89 days past due — — Greater than 90 days past due — — Total $ 4,774 $ 4,664 Commercial mortgage 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. As of March 31, 2020 and December 31, 2019 , the Company had no commercial mortgage loans in non-accrual status. There was no interest income recognized on loans in non-accrual status for the three months ended March 31, 2020 and December 31, 2019 . As of March 31, 2020 and December 31, 2019 , the Company had no commercial mortgage loans that were over 90 days or more past due but are not on non-accrual status. The Company had no commercial mortgage loans on non-accrual status for which there is no related allowance for credit losses as of March 31, 2020 . Net Investment Income The following table summarizes Net investment income for the periods indicated: Three Months Ended March 31, 2020 2019 Fixed maturities $ 373 $ 352 Equity securities 2 2 Mortgage loans on real estate 50 54 Policy loans 2 2 Short-term investments and cash equivalents 1 1 Other 30 1 Gross investment income 458 412 Less: Investment expenses 19 18 Net investment income $ 439 $ 394 As of March 31, 2020 and December 31, 2019 , the Company had $2 and $0 , 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 earned using an effective yield method, giving effect to amortization of premiums and accretion of discounts. Such interest income is recorded in Net investment income in the Condensed Consolidated Statements of Operations. Net Realized Capital Gains (Losses) Net realized capital gains (losses) comprise the difference between the amortized cost of investments and proceeds from sale and redemption, as well as losses incurred due to the credit-related and intent-related impairment of investments. Realized investment gains and losses are also primarily generated from changes in fair value of embedded derivatives within products and fixed maturities, changes in fair value of fixed maturities recorded at FVO and changes in fair value including accruals on derivative instruments, except for effective cash flow hedges. Net realized capital gains (losses) also include changes in fair value of equity securities. The cost of the investments on disposal is generally determined based on first-in-first-out ("FIFO") methodology. Net realized capital gains (losses) were as follows for the periods indicated: Three Months Ended March 31, 2020 2019 Fixed maturities, available-for-sale, including securities pledged $ (18 ) $ (16 ) Fixed maturities, at fair value option 55 24 Equity securities (5 ) 1 Derivatives 46 (32 ) Embedded derivatives - fixed maturities 4 1 Guaranteed benefit derivatives (169 ) — Other investments (5 ) (2 ) Net realized capital gains (losses) $ (92 ) $ (24 ) For the three months ended March 31, 2020 , the change in fair value of equity securities still held as of March 31, 2020 was $(5) . For the three months ended March 31, 2019 , the change in fair value of equity securities still held as of March 31, 2019 was $(1) . Proceeds from the sale of fixed maturities, available-for-sale, and equity securities and the related gross realized gains and losses, before tax, were as follows for the periods indicated: Three Months Ended March 31, 2020 2019 Proceeds on sales $ 277 $ 1,223 Gross gains 5 12 Gross losses 13 11" id="sjs-B4">2. Investments Fixed Maturities Available-for-sale and fair value option ("FVO") fixed maturities were as follows as of March 31, 2020 : Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Embedded Derivatives (2) Fair Value Allowance for credit losses Fixed maturities: U.S. Treasuries $ 566 $ 233 $ — $ — $ 799 $ — U.S. Government agencies and authorities 19 1 — — 20 — State, municipalities and political subdivisions 742 68 2 — 808 — U.S. corporate public securities 7,011 696 200 — 7,507 — U.S. corporate private securities 3,754 154 97 — 3,811 — Foreign corporate public securities and foreign governments (1) 2,423 147 73 — 2,497 — Foreign corporate private securities (1) 3,153 54 138 — 3,068 1 Residential mortgage-backed securities 4,138 147 131 15 4,169 — Commercial mortgage-backed securities 2,553 132 231 — 2,453 1 Other asset-backed securities 1,478 6 142 — 1,340 2 Total fixed maturities, including securities pledged 25,837 1,638 1,014 15 26,472 4 Less: Securities pledged 848 103 32 — 919 — Total fixed maturities $ 24,989 $ 1,535 $ 982 $ 15 $ 25,553 $ 4 (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. Available-for-sale and FVO fixed maturities were as follows as of December 31, 2019 : Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Embedded Derivatives (2) Fair Value OTTI (3)(4) Fixed maturities: U.S. Treasuries $ 565 $ 129 $ 3 $ — $ 691 $ — U.S. Government agencies and authorities 19 — — — 19 — State, municipalities and political subdivisions 747 68 — — 815 — U.S. corporate public securities 7,103 941 13 — 8,031 — U.S. corporate private securities 3,776 306 16 — 4,066 — Foreign corporate public securities and foreign governments (1) 2,417 265 3 — 2,679 — Foreign corporate private securities (1) 3,171 205 1 — 3,375 — Residential mortgage-backed securities 3,685 125 11 11 3,810 2 Commercial mortgage-backed securities 2,381 122 3 — 2,500 — Other asset-backed securities 1,472 15 13 — 1,474 1 Total fixed maturities, including securities pledged 25,336 2,176 63 11 27,460 3 Less: Securities pledged 749 85 6 — 828 — Total fixed maturities $ 24,587 $ 2,091 $ 57 $ 11 $ 26,632 $ 3 (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 $137 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, 2020 , 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 $ 740 $ 743 After one year through five years 3,393 3,382 After five years through ten years 5,628 5,657 After ten years 7,907 8,728 Mortgage-backed securities 6,691 6,622 Other asset-backed securities 1,478 1,340 Fixed maturities, including securities pledged $ 25,837 $ 26,472 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, 2020 and December 31, 2019 , 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 present the composition of the U.S. and foreign corporate securities within the fixed maturity portfolio by industry category as of the dates indicated: Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Fair Value March 31, 2020 Communications $ 976 $ 117 $ 4 $ 1,089 Financial 2,614 205 33 2,786 Industrial and other companies 7,014 459 178 7,295 Energy 1,616 38 189 1,465 Utilities 2,938 171 55 3,054 Transportation 856 39 37 858 Total $ 16,014 $ 1,029 $ 496 $ 16,547 December 31, 2019 Communications $ 1,002 $ 156 $ — $ 1,158 Financial 2,650 302 — 2,952 Industrial and other companies 7,053 667 11 7,709 Energy 1,675 185 18 1,842 Utilities 2,913 294 1 3,206 Transportation 856 78 2 932 Total $ 16,149 $ 1,682 $ 32 $ 17,799 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, 2020 and December 31, 2019 , approximately 48.9% and 48.4% , 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, 2020 and December 31, 2019 , 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 the 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, 2020 and December 31, 2019 , the fair value of loaned securities was $820 and $715 , 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, 2020 and December 31, 2019 , cash collateral retained by the lending agent and invested in short-term liquid assets on the Company's behalf was $776 and $650 , 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, 2020 and December 31, 2019 , liabilities to return collateral of $776 and $650 , 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, 2020 and December 31, 2019 , the fair value of securities retained as collateral by the lending agent on the Company’s behalf was $64 and $91 , respectively. The following table presents borrowings under securities lending transactions by asset class pledged as of the dates indicated: March 31, 2020 (1)(2) December 31, 2019 (1)(2) U.S. Treasuries $ 115 $ 109 U.S. Government agencies and authorities 11 — U.S. corporate public securities 508 447 Foreign corporate public securities and foreign governments 204 185 Payables under securities loan agreements $ 838 $ 741 (1) As of March 31, 2020 and December 31, 2019 , borrowings under securities lending transactions include cash collateral of $776 and $650 , respectively. (2) As of March 31, 2020 and December 31, 2019 , borrowings under securities lending transactions include non-cash collateral of $64 and $91 , 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 $784 and $738 as of March 31, 2020 and December 31, 2019 , 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. Allowance for credit losses The following table presents a rollforward of the allowance for credit losses on available-for-sale fixed maturity securities for the period presented: Three Months Ended March 31, 2020 Residential mortgage-backed securities Commercial mortgage-backed securities Foreign corporate private securities Other asset-backed securities Total Balance as of January 1 $ — $ — $ — $ — $ — Credit losses on securities for which credit losses were not previously recorded — 1 1 2 4 Initial allowance for credit losses recognized on financial assets accounted for as PCD — — — — — Reductions for securities sold during the period — — — — — Reductions for intent to sell or more likely than not will be required to sell securities prior to recovery of amortized cost — — — — — Increase (decrease) on securities with allowance recorded in previous period — — — — — Write-offs — — — — — Recoveries of amounts previously written off — — — — — Balance as of March 31 $ — $ 1 $ 1 $ 2 $ 4 Unrealized Capital Losses The following table presents available-for-sale fixed maturities, including securities pledged, for which an allowance for credit losses has not been recorded by market sector and duration as of the date indicated: Twelve More Than Twelve Total March 31, 2020 Fair Value Unrealized Number of securities Fair Value Unrealized Number of securities Fair Value Unrealized Number of securities U.S. Treasuries $ — $ — — $ — $ — — $ — $ — — State, municipalities and political subdivisions 42 2 15 — — — 42 2 15 U.S. corporate public securities 1,501 186 371 28 14 9 1,529 200 380 U.S. corporate private securities 1,013 67 108 77 30 11 1,090 97 119 Foreign corporate public securities and foreign governments 686 68 198 13 5 8 699 73 206 Foreign corporate private securities 1,557 131 144 36 7 6 1,593 138 150 Residential mortgage-backed 1,401 117 322 97 14 53 1,498 131 375 Commercial mortgage-backed 1,295 231 291 — — — 1,295 231 291 Other asset-backed 909 99 238 254 43 102 1,163 142 340 Total $ 8,404 $ 901 1,687 $ 505 $ 113 189 $ 8,909 $ 1,014 1,876 The Company concluded that an allowance for credit losses was unnecessary for these securities because the unrealized losses are not credit related. 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, 2019 : Twelve Months or Less Below Amortized Cost More Than Twelve Total Fair Unrealized Fair Unrealized Fair Unrealized U.S. Treasuries $ 68 $ 3 $ 12 $ — * $ 80 $ 3 State, municipalities and political subdivisions 21 — — — 21 — U.S. corporate public securities 97 3 131 10 228 13 U.S. corporate private securities 75 — 134 16 209 16 Foreign corporate public securities and foreign governments 6 — 53 3 59 3 Foreign corporate private securities 21 — 56 1 77 1 Residential mortgage-backed 535 6 139 5 674 11 Commercial mortgage-backed 331 3 18 — 349 3 Other asset-backed 217 2 500 11 717 13 Total $ 1,389 $ 17 $ 1,043 $ 46 $ 2,432 $ 63 Total number of securities in an unrealized loss position 289 278 567 *Less than $1. Based on the Company's quarterly evaluation of its securities in a unrealized loss position, described below, the Company concluded that these securities were not impaired as of March 31, 2020 . The Company does not intend to sell the investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases. See the Business, Basis of Presentation and Significant Accounting Policies Note to these Consolidated Financial Statements for the policy used to evaluate whether the investments are impaired. Gross unrealized capital losses on fixed maturities, including securities pledged, increased $951 from $63 to $1,014 for the three months ended March 31, 2020 . The increase in gross unrealized capital losses was primarily due to non-credit related market factors. At March 31, 2020 , $7 of the total $1,014 of gross unrealized losses were from 3 available-for-sale fixed maturity securities with an unrealized loss position of 20% or more of amortized cost for 12 months or greater. Evaluating Securities for 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 impaired. The following tables identify the Company's 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, 2020 2019 Impairment No. of Securities Impairment No. of Securities U.S. corporate public securities $ 6 2 $ — — Foreign corporate public securities and foreign governments (1) — — — — Foreign corporate private securities (1) — — 18 3 Residential mortgage-backed 1 7 — 10 Commercial mortgage-backed — * 1 — — Limited partnerships — — — 2 Total $ 7 10 $ 18 15 Credit Impairments $ — $ 18 Intent Impairments $ 7 $ — (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. 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. 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 credit allowance recorded in connection with the troubled debt restructuring. A credit 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 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 three months ended March 31, 2020 , the Company did no t have any new commercial mortgage loan or private placement troubled debt restructuring. For the three months ended March 31, 2019 , the Company did no t have any new commercial mortgage loan and had one new private placement troubled debt restructuring with a pre-modification cost basis of $74 and post-modification carrying value of $57 . For the three months ended March 31, 2020 and March 31, 2019 , the Company did not 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 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 performance, 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. 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 tables present commercial mortgage loans by year of origination and LTV ratio as of the dates indicated. The information is updated as of March 31, 2020 and December 31, 2019 , respectively. As of March 31, 2020 Loan-to-Value Ratios Year of Origination 0% - 50% >50% - 60% >60% - 70% >70% - 80% >80% and above Total 2020 $ 41 $ 126 $ 28 $ — $ — $ 195 2019 263 152 80 15 — 510 2018 116 109 90 — — 315 2017 547 362 17 — — 926 2016 400 280 13 — — 693 2015 381 145 — — — 526 2014 and prior 1,193 392 24 — — 1,609 Total $ 2,941 $ 1,566 $ 252 $ 15 $ — $ 4,774 As of December 31, 2019 Loan-to-Value Ratios Year of Origination 0% - 50% >50% - 60% >60% - 70% >70% - 80% >80% and above Total 2020 $ — $ — $ — $ — $ — $ — 2019 85 96 145 170 26 522 2018 4 88 110 133 14 349 2017 101 244 566 13 10 934 2016 46 150 470 31 — 697 2015 10 343 168 8 — 529 2014 and prior 134 252 1,093 154 — 1,633 Total $ 380 $ 1,173 $ 2,552 $ 509 $ 50 $ 4,664 The following tables present commercial mortgage loans by year of origination and DSC ratio as of the dates indicated. The information is updated as of March 31, 2020 and December 31, 2019 , respectively. As of March 31, 2020 Debt Service Coverage Ratios Year of Origination >1.5x >1.25x - 1.5x >1.0x - 1.25x <1.0x Commercial mortgage loans secured by land or construction loans Total 2020 $ 140 $ 31 $ 24 $ — $ — $ 195 2019 392 76 42 — — 510 2018 217 3 64 31 — 315 2017 491 224 143 68 — 926 2016 607 63 23 — — 693 2015 494 32 — — — 526 2014 and prior 1,353 134 76 46 — 1,609 Total $ 3,694 $ 563 $ 372 $ 145 $ — $ 4,774 As of December 31, 2019 Debt Service Coverage Ratios Year of Origination >1.5x >1.25x - 1.5x >1.0x - 1.25x <1.0x Commercial mortgage loans secured by land or construction loans Total 2020 $ — $ — $ — $ — $ — $ — 2019 353 127 42 — — 522 2018 236 3 60 50 — 349 2017 481 238 133 82 — 934 2016 615 59 23 — — 697 2015 492 32 — 5 — 529 2014 and prior 1,358 128 88 59 — 1,633 Total $ 3,535 $ 587 $ 346 $ 196 $ — $ 4,664 The following tables present the commercial mortgage loans by year of origination and U.S. region as of the dates indicated. The information is updated as of March 31, 2020 and December 31, 2019 , respectively. As of March 31, 2020 U.S. Region Year of Origination Pacific South Atlantic Middle Atlantic West South Central Mountain East North Central New England West North Central East South Central Total 2020 $ 14 $ 111 $ 17 $ 23 $ 14 $ 8 $ — $ — $ 8 $ 195 2019 64 128 11 155 53 44 18 11 26 510 2018 49 112 60 44 26 11 — 13 — 315 2017 102 99 390 150 77 60 5 43 — 926 2016 157 132 185 32 74 77 9 21 6 693 2015 123 159 103 34 42 51 10 4 — 526 2014 and prior 437 311 246 118 167 139 42 119 30 1609 Total $ 946 $ 1,052 $ 1,012 $ 556 $ 453 $ 390 $ 84 $ 211 $ 70 $ 4,774 As of December 31, 2019 U.S. Region Year of Origination Pacific South Atlantic Middle Atlantic West South Central Mountain East North Central New England West North Central East South Central Total 2020 $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — 2019 63 127 26 155 53 43 18 11 26 522 2018 50 132 60 43 26 11 — 12 15 349 2017 103 99 396 151 77 60 5 43 — 934 2016 158 132 187 32 75 77 9 21 6 697 2015 125 160 103 34 43 50 10 4 — 529 2014 and prior 445 316 247 122 168 142 42 121 30 1633 Total $ 944 $ 966 $ 1,019 $ 537 $ 442 $ 383 $ 84 $ 212 $ 77 $ 4,664 The following tables present the commercial mortgage loans by year of origination and property type as of the dates indicated. The information is updated as of March 31, 2020 and December 31, 2019 , respectively. As of March 31, 2020 Property Type Year of Origination Retail Industrial Apartments Office Hotel/Motel Other Mixed Use Total 2020 $ 44 $ 8 $ 98 $ 45 $ — $ — $ — $ 195 2019 33 90 286 81 20 — — 510 2018 50 90 137 17 3 18 — 315 2017 103 456 218 145 4 — — 926 2016 130 251 147 146 8 7 4 693 2015 147 183 68 62 24 42 — 526 2014 and prior 721 134 292 226 68 128 40 1609 Total $ 1,228 $ 1,212 $ 1,246 $ 722 $ 127 $ 195 $ 44 $ 4,774 As of December 31, 2019 Property Type Year of Origination Retail Industrial Apartments Office Hotel/Motel Other Mixed Use Total 2020 $ — $ — $ — $ — $ — $ — $ — $ — 2019 33 90 299 81 19 — — 522 2018 52 91 152 32 4 18 — 349 2017 104 461 218 147 4 — — 934 2016 131 254 147 146 8 7 4 697 2015 148 185 69 62 23 42 — 529 2014 and prior 730 135 300 229 69 130 40 1633 Total $ 1,198 $ 1,216 $ 1,185 $ 697 $ 127 $ 197 $ 44 $ 4,664 The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated: March 31, 2020 Allowance for credit losses, balance at January 1 $ 12 Credit losses on mortgage loans for which credit losses were not previously recorded 1 Initial allowance for credit losses recognized on financial assets accounted for as PCD — Increase (decrease) on mortgage loans with allowance recorded in previous period 4 Provision for expected credit losses 17 Writeoffs — Recoveries of amounts previously written off — Allowance for credit losses, end of period $ 17 The following table presents past due commercial mortgage loans as of the dates indicated: March 31, 2020 December 31, 2019 Delinquency: Current $ 4,774 $ 4,664 30-59 days past due — — 60-89 days past due — — Greater than 90 days past due — — Total $ 4,774 $ 4,664 Commercial mortgage 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. As of March 31, 2020 and December 31, 2019 , the Company had no commercial mortgage loans in non-accrual status. There was no interest income recognized on loans in non-accrual status for the three months ended March 31, 2020 and December 31, 2019 . As of March 31, 2020 and December 31, 2019 , the Company had no commercial mortgage loans that were over 90 days or more past due but are not on non-accrual status. The Company had no commercial mortgage loans on non-accrual status for which there is no related allowance for credit losses as of March 31, 2020 . Net Investment Income The following table summarizes Net investment income for the periods indicated: Three Months Ended March 31, 2020 2019 Fixed maturities $ 373 $ 352 Equity securities 2 2 Mortgage loans on real estate 50 54 Policy loans 2 2 Short-term investments and cash equivalents 1 1 Other 30 1 Gross investment income 458 412 Less: Investment expenses 19 18 Net investment income $ 439 $ 394 As of March 31, 2020 and December 31, 2019 , the Company had $2 and $0 , 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 earned using an effective yield method, giving effect to amortization of premiums and accretion of discounts. Such interest income is recorded in Net investment income in the Condensed Consolidated Statements of Operations. Net Realized Capital Gains (Losses) Net realized capital gains (losses) comprise the difference between the amortized cost of investments and proceeds from sale and redemption, as well as losses incurred due to the credit-related and intent-related impairment of investments. Realized investment gains and losses are also primarily generated from changes in fair value of embedded derivatives within products and fixed maturities, changes in fair value of fixed maturities recorded at FVO and changes in fair value including accruals on derivative instruments, except for effective cash flow hedges. Net realized capital gains (losses) also include changes in fair value of equity securities. The cost of the investments on disposal is generally determined based on first-in-first-out ("FIFO") methodology. Net realized capital gains (losses) were as follows for the periods indicated: Three Months Ended March 31, 2020 2019 Fixed maturities, available-for-sale, including securities pledged $ (18 ) $ (16 ) Fixed maturities, at fair value option 55 24 Equity securities (5 ) 1 Derivatives 46 (32 ) Embedded derivatives - fixed maturities 4 1 Guaranteed benefit derivatives (169 ) — Other investments (5 ) (2 ) Net realized capital gains (losses) $ (92 ) $ (24 ) For the three months ended March 31, 2020 , the change in fair value of equity securities still held as of March 31, 2020 was $(5) . For the three months ended March 31, 2019 , the change in fair value of equity securities still held as of March 31, 2019 was $(1) . Proceeds from the sale of fixed maturities, available-for-sale, and equity securities and the related gross realized gains and losses, before tax, were as follows for the periods indicated: Three Months Ended March 31, 2020 2019 Proceeds on sales $ 277 $ 1,223 Gross gains 5 12 Gross losses 13 11 |
