| Investments | 50% - 60% >60% - 70% >70% - 80% >80% and above Total 2020 $ 98 $ 156 $ 28 $ — $ — $ 282 2019 218 178 85 15 — 496 2018 114 102 74 — — 290 2017 505 359 17 — — 881 2016 394 284 6 — — 684 2015 406 73 — — — 479 2014 and prior 1,250 284 24 — — 1,558 Total $ 2,985 $ 1,436 $ 234 $ 15 $ — $ 4,670 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. As of September 30, 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 $ 218 $ 54 $ 10 $ — $ — $ 282 2019 328 77 36 55 — 496 2018 129 49 65 47 — 290 2017 496 219 105 61 — 881 2016 598 55 31 — — 684 2015 455 23 1 — — 479 2014 and prior 1,279 158 57 64 — 1,558 Total $ 3,503 $ 635 $ 305 $ 227 $ — $ 4,670 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. As of September 30, 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 $ 62 $ 124 $ 20 $ 28 $ 15 $ 13 $ — $ — $ 20 $ 282 2019 64 125 11 149 54 38 17 11 27 496 2018 49 99 57 35 26 11 — 13 — 290 2017 100 98 357 149 75 60 5 37 — 881 2016 156 130 180 32 73 77 9 21 6 684 2015 110 134 101 31 42 48 9 4 — 479 2014 and prior 426 300 236 114 164 136 40 113 29 1,558 Total $ 967 $ 1,010 $ 962 $ 538 $ 449 $ 383 $ 80 $ 199 $ 82 $ 4,670 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 1,633 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. As of September 30, 2020 Property Type Year of Origination Retail Industrial Apartments Office Hotel/Motel Other Mixed Use Total 2020 $ 44 $ 23 $ 103 $ 112 $ — $ — $ — $ 282 2019 33 73 293 76 21 — — 496 2018 50 79 123 17 3 18 — 290 2017 102 421 216 138 4 — — 881 2016 129 246 146 145 8 7 3 684 2015 122 181 66 51 18 41 — 479 2014 and prior 694 131 284 220 63 126 40 1,558 Total $ 1,174 $ 1,154 $ 1,231 $ 759 $ 117 $ 192 $ 43 $ 4,670 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 1,633 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: September 30, 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 28 Provision for expected credit losses 41 Writeoffs (2) Recoveries of amounts previously written off — Allowance for credit losses, end of period $ 39 While still heavily impacted by COVID-19, the Commercial Mortgage Loan portfolio allowance decreased during the quarter as certain sectors of the economy resumed operations, albeit at lower than pre-pandemic levels. We continue to observe distress in the hotel sector. To provide temporary financial assistance to our commercial mortgage loans borrowers adversely effected by COVID-19 related stress, the Company has provided payment forbearance to approximately 7% of the outstanding principal amount of our commercial mortgage loans. Deferred payment amounts are expected to be repaid across the 12 months following the end of the agreed upon forbearance period. No modifications to any commercial mortgage loans have been made as of the issuance date of this filing. The following table presents past due commercial mortgage loans as of the dates indicated: September 30, 2020 December 31, 2019 Delinquency: Current $ 4,665 $ 4,664 30-59 days past due 2 — 60-89 days past due — — Greater than 90 days past due 3 — Total $ 4,670 $ 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 September 30, 2020, the Company had one commercial mortgage loans in non-accrual status. As of 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 nine months ended September 30, 2020 and at December 31, 2019. As of September 30, 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 September 30, 2020. Net Investment Income The following table summarizes Net investment income for the periods indicated: Three Months Ended September 30, Nine Months Ended September 30, 2020 2019 2020 2019 Fixed maturities $ 415 $ 352 $ 1,186 $ 1,058 Equity securities 2 2 6 5 Mortgage loans on real estate 50 54 150 163 Policy loans 3 — 9 4 Short-term investments and cash equivalents — 1 1 3 Other 54 22 33 55 Gross investment income 524 431 1,385 1,288 Less: Investment expenses 19 18 56 53 Net investment income $ 505 $ 413 $ 1,329 $ 1,235 As of September 30, 2020 and December 31, 2019, the Company had $1 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 September 30, Nine Months Ended September 30, 2020 2019 2020 2019 Fixed maturities, available-for-sale, including securities pledged $ (5) $ 44 $ (26) $ 31 Fixed maturities, at fair value option (125) (18) (109) 59 Equity securities 4 — 5 4 Derivatives 5 13 57 (69) Embedded derivatives - fixed maturities (2) 2 2 4 Guaranteed benefit derivatives 31 (36) (99) (49) Other investments 14 (1) (29) (2) Net realized capital gains (losses) $ (78) $ 4 $ (199) $ (22) For the three and nine months ended September 30, 2020, the change in fair value of equity securities still held as of September 30, 2020 was $4 and $5, respectively. For the three and nine months ended September 30, 2019, the change in fair value of equity securities still held as of September 30, 2019 was $0 and $4, respectively. 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 " id="sjs-B4" xml:space="preserve">2. Investments Fixed Maturities Available-for-sale and fair value option ("FVO") fixed maturities were as follows as of September 30, 2020: Amortized Gross Gross Embedded Derivatives (2) Fair Allowance for credit losses Fixed maturities: U.S. Treasuries $ 542 $ 207 $ — $ — $ 749 $ — U.S. Government agencies and authorities 18 2 — — 20 — State, municipalities and political subdivisions 700 118 — — 818 — U.S. corporate public securities 7,348 1,317 32 — 8,633 — U.S. corporate private securities 3,719 519 31 — 4,207 — Foreign corporate public securities and foreign governments (1) 2,521 348 9 — 2,860 — Foreign corporate private securities (1) 3,089 300 31 — 3,358 — Residential mortgage-backed securities 4,134 185 29 13 4,301 2 Commercial mortgage-backed securities 2,825 192 57 — 2,959 1 Other asset-backed securities 1,499 25 18 — 1,503 3 Total fixed maturities, including securities pledged 26,395 3,213 207 13 29,408 6 Less: Securities pledged 396 83 3 — 476 — Total fixed maturities $ 25,999 $ 3,130 $ 204 $ 13 $ 28,932 $ 6 (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 Gross Gross Embedded Derivatives (2) Fair 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 September 30, 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 $ 858 $ 868 After one year through five years 3,341 3,561 After five years through ten years 5,359 6,010 After ten years 8,379 10,206 Mortgage-backed securities 6,959 7,260 Other asset-backed securities 1,499 1,503 Fixed maturities, including securities pledged $ 26,395 $ 29,408 The investment portfolio is monitored to maintain a diversified portfolio on an ongoing basis. Credit risk is mitigated by monitoring concentrations by issuer, sector and geographic stratification and limiting exposure to any one issuer. As of September 30, 2020 and December 31, 2019, the Company did not 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 Gross Unrealized Capital Gains Gross Unrealized Capital Losses Fair Value September 30, 2020 Communications $ 981 $ 214 $ 1 $ 1,194 Financial 2,751 412 9 3,154 Industrial and other companies 7,088 1,024 26 8,086 Energy 1,600 193 38 1,755 Utilities 3,005 494 1 3,498 Transportation 923 101 25 999 Total $ 16,348 $ 2,438 $ 100 $ 18,686 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 September 30, 2020 and December 31, 2019, approximately 49.0% 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 September 30, 2020 and December 31, 2019, the Company did not 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 September 30, 2020 and December 31, 2019, the fair value of loaned securities was $380 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 September 30, 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 $183 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 September 30, 2020 and December 31, 2019, liabilities to return collateral of $183 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 September 30, 2020 and December 31, 2019, the fair value of securities retained as collateral by the lending agent on the Company’s behalf was $207 and $91, respectively. The following table presents borrowings under securities lending transactions by asset class pledged as of the dates indicated: September 30, 2020 (1)(2) December 31, 2019 (1)(2) U.S. Treasuries $ 103 $ 109 U.S. corporate public securities 121 447 Foreign corporate public securities and foreign governments 61 185 Equity Securities 105 — Payables under securities loan agreements $ 390 $ 741 (1) As of September 30, 2020 and December 31, 2019, borrowings under securities lending transactions include cash collateral of $183 and $650, respectively. (2) As of September 30, 2020 and December 31, 2019, borrowings under securities lending transactions include non-cash collateral of $207 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 $757 and $738 as of September 30, 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: Nine Months Ended September 30, 2020 Residential mortgage-backed securities Commercial mortgage-backed securities Other asset-backed securities Total Balance as of January 1, 2020 $ — $ — $ — $ — Credit losses on securities for which credit losses were not previously recorded 2 1 3 6 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 at September 30, 2020 $ 2 $ 1 $ 3 $ 6 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 September 30, 2020 Fair Unrealized Number of securities Fair Unrealized Number of securities Fair Unrealized Number of securities U.S. Treasuries $ 9 $ — 3 $ — $ — — $ 9 $ — 3 State, municipalities and political subdivisions 11 — 5 — — — 11 — 5 U.S. corporate public securities 673 25 326 38 7 10 711 32 336 U.S. corporate private securities 251 10 31 68 21 8 319 31 39 Foreign corporate public securities and foreign governments 134 7 62 10 2 4 144 9 66 Foreign corporate private securities 246 31 30 3 — 1 249 31 31 Residential mortgage-backed 579 24 121 139 5 62 718 29 183 Commercial mortgage-backed 917 56 170 13 1 3 930 57 173 Other asset-backed 544 7 132 296 11 103 840 18 235 Total $ 3,364 $ 160 880 $ 567 $ 47 191 $ 3,931 $ 207 1,071 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 September 30, 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 $144 from $63 to $207 for the nine months ended September 30, 2020. The increase in gross unrealized capital losses was primarily due to non-credit related market factors. At September 30, 2020, $6 of the total $207 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 September 30, 2020 2019 Impairment No. of Securities Impairment No. of Securities State, municipalities, and political subdivisions $ — 1 $ — — U.S. corporate public securities 1 9 — — U.S. corporate private securities — 1 — — Foreign corporate public securities and foreign governments (1) — 5 1 2 Foreign corporate private securities (1) — — — 1 Residential mortgage-backed 1 18 2 11 Commercial mortgage-backed 3 12 — — Other asset-backed — 1 — * 1 Total $ 5 47 $ 3 15 Credit Impairments $ — $ 1 Intent Impairments $ 5 $ 2 (1) Primarily U.S. dollar denominated. *Less than $1. Nine Months Ended September 30, 2020 2019 Impairment No. of Securities Impairment No. of Securities State, municipalities, and political subdivisions $ — 6 $ — — U.S. corporate public securities 12 43 — — U.S. corporate private securities — 2 — — Foreign corporate public securities and foreign governments (1) 1 22 2 3 Foreign corporate private securities (1) — 7 18 4 Residential mortgage-backed 2 40 2 21 Commercial mortgage-backed 20 102 — — Other asset-backed 1 60 — * 4 Total $ 36 282 $ 22 32 Credit Impairments $ — $ 19 Intent Impairments $ 36 $ 3 (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. For the three and nine months ended September 30, 2020 intent impairments in the amount of $1 and $25 were recorded on assets designated to be included in the reinsurance agreement associated with the Individual Life Transaction. 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 and nine months ended September 30, 2020, the Company did have one new commercial mortgage loan troubled debt restructuring with a pre and post modification carrying value of $3. For the three and nine months ended September 30, 2020 the company did not have any new private placement troubled debt restructuring. For the three and nine months ended September 30, 2019, the Company did have one 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 and nine months ended September 30, 2020 and September 30, 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. As of September 30, 2020 Loan-to-Value Ratios Year of Origination 0% - 50% >50% - 60% >60% - 70% >70% - 80% >80% and above Total 2020 $ 98 $ 156 $ 28 $ — $ — $ 282 2019 218 178 85 15 — 496 2018 114 102 74 — — 290 2017 505 359 17 — — 881 2016 394 284 6 — — 684 2015 406 73 — — — 479 2014 and prior 1,250 284 24 — — 1,558 Total $ 2,985 $ 1,436 $ 234 $ 15 $ — $ 4,670 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. As of September 30, 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 $ 218 $ 54 $ 10 $ — $ — $ 282 2019 328 77 36 55 — 496 2018 129 49 65 47 — 290 2017 496 219 105 61 — 881 2016 598 55 31 — — 684 2015 455 23 1 — — 479 2014 and prior 1,279 158 57 64 — 1,558 Total $ 3,503 $ 635 $ 305 $ 227 $ — $ 4,670 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. As of September 30, 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 $ 62 $ 124 $ 20 $ 28 $ 15 $ 13 $ — $ — $ 20 $ 282 2019 64 125 11 149 54 38 17 11 27 496 2018 49 99 57 35 26 11 — 13 — 290 2017 100 98 357 149 75 60 5 37 — 881 2016 156 130 180 32 73 77 9 21 6 684 2015 110 134 101 31 42 48 9 4 — 479 2014 and prior 426 300 236 114 164 136 40 113 29 1,558 Total $ 967 $ 1,010 $ 962 $ 538 $ 449 $ 383 $ 80 $ 199 $ 82 $ 4,670 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 1,633 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. As of September 30, 2020 Property Type Year of Origination Retail Industrial Apartments Office Hotel/Motel Other Mixed Use Total 2020 $ 44 $ 23 $ 103 $ 112 $ — $ — $ — $ 282 2019 33 73 293 76 21 — — 496 2018 50 79 123 17 3 18 — 290 2017 102 421 216 138 4 — — 881 2016 129 246 146 145 8 7 3 684 2015 122 181 66 51 18 41 — 479 2014 and prior 694 131 284 220 63 126 40 1,558 Total $ 1,174 $ 1,154 $ 1,231 $ 759 $ 117 $ 192 $ 43 $ 4,670 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 1,633 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: September 30, 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 28 Provision for expected credit losses 41 Writeoffs (2) Recoveries of amounts previously written off — Allowance for credit losses, end of period $ 39 While still heavily impacted by COVID-19, the Commercial Mortgage Loan portfolio allowance decreased during the quarter as certain sectors of the economy resumed operations, albeit at lower than pre-pandemic levels. We continue to observe distress in the hotel sector. To provide temporary financial assistance to our commercial mortgage loans borrowers adversely effected by COVID-19 related stress, the Company has provided payment forbearance to approximately 7% of the outstanding principal amount of our commercial mortgage loans. Deferred payment amounts are expected to be repaid across the 12 months following the end of the agreed upon forbearance period. No modifications to any commercial mortgage loans have been made as of the issuance date of this filing. The following table presents past due commercial mortgage loans as of the dates indicated: September 30, 2020 December 31, 2019 Delinquency: Current $ 4,665 $ 4,664 30-59 days past due 2 — 60-89 days past due — — Greater than 90 days past due 3 — Total $ 4,670 $ 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 September 30, 2020, the Company had one commercial mortgage loans in non-accrual status. As of 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 nine months ended September 30, 2020 and at December 31, 2019. As of September 30, 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 September 30, 2020. Net Investment Income The following table summarizes Net investment income for the periods indicated: Three Months Ended September 30, Nine Months Ended September 30, 2020 2019 2020 2019 Fixed maturities $ 415 $ 352 $ 1,186 $ 1,058 Equity securities 2 2 6 5 Mortgage loans on real estate 50 54 150 163 Policy loans 3 — 9 4 Short-term investments and cash equivalents — 1 1 3 Other 54 22 33 55 Gross investment income 524 431 1,385 1,288 Less: Investment expenses 19 18 56 53 Net investment income $ 505 $ 413 $ 1,329 $ 1,235 As of September 30, 2020 and December 31, 2019, the Company had $1 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 September 30, Nine Months Ended September 30, 2020 2019 2020 2019 Fixed maturities, available-for-sale, including securities pledged $ (5) $ 44 $ (26) $ 31 Fixed maturities, at fair value option (125) (18) (109) 59 Equity securities 4 — 5 4 Derivatives 5 13 57 (69) Embedded derivatives - fixed maturities (2) 2 2 4 Guaranteed benefit derivatives 31 (36) (99) (49) Other investments 14 (1) (29) (2) Net realized capital gains (losses) $ (78) $ 4 $ (199) $ (22) For the three and nine months ended September 30, 2020, the change in fair value of equity securities still held as of September 30, 2020 was $4 and $5, respectively. For the three and nine months ended September 30, 2019, the change in fair value of equity securities still held as of September 30, 2019 was $0 and $4, respectively. 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 |
