Investments (excluding Consolidated Investment Entities)

3 Months Ended

Mar. 31, 2020

Investments, Debt and Equity Securities [Abstract]

Investments (excluding Consolidated Investment Entities)

Investments (excluding Consolidated Investment Entities)

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	$	1,076	$	519	$	—	$	—	$	1,595	$	—
U.S. Government agencies and authorities	73		27		—		—		100		—
State, municipalities and political subdivisions	1,213		105		3		—		1,315		—
U.S. corporate public securities	12,721		1,537		302		—		13,956		—
U.S. corporate private securities	5,519		254		130		—		5,643		—
Foreign corporate public securities and foreign governments(1)	3,875		251		120		—		4,006		—
Foreign corporate private securities(1)	4,522		87		189		—		4,416		4
Residential mortgage-backed securities	5,515		227		162		27		5,607		—
Commercial mortgage-backed securities	3,629		186		330		—		3,484		1
Other asset-backed securities	2,083		9		218		—		1,872		2
Total fixed maturities, including securities pledged	40,226		3,202		1,454		27		41,994		7
Less: Securities pledged	1,416		201		62		—		1,555		—
Total fixed maturities	$	38,810	$	3,001	$	1,392	$	27	$	40,439	$	7

⁽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	$	1,074	$	308	$	—	$	—	$	1,382	$	—
U.S. Government agencies and authorities	74		21		—		—		95		—
State, municipalities and political subdivisions	1,220		103		—		—		1,323		—
U.S. corporate public securities	12,980		1,977		19		—		14,938		—
U.S. corporate private securities	5,568		488		21		—		6,035		—
Foreign corporate public securities and foreign governments(1)	3,887		460		6		—		4,341		—
Foreign corporate private securities(1)	4,545		288		2		—		4,831		—
Residential mortgage-backed securities	4,999		200		14		19		5,204		5
Commercial mortgage-backed securities	3,402		176		4		—		3,574		—
Other asset-backed securities	2,058		22		25		—		2,055		1
Total fixed maturities, including securities pledged	39,807		4,043		91		19		43,778		6
Less: Securities pledged	1,264		154		10		—		1,408		—
Total fixed maturities	$	38,543	$	3,889	$	81	$	19	$	42,370	$	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.

⁽³⁾ Represents OTTI reported as a component of Other comprehensive income (loss).

⁽⁴⁾ Amount excludes $336 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 Cost		Fair Value
Due to mature:
One year or less	$	1,224	$	1,227
After one year through five years	5,035		5,019
After five years through ten years	7,998		8,117
After ten years	14,742		16,668
Mortgage-backed securities	9,144		9,091
Other asset-backed securities	2,083		1,872
Fixed maturities, including securities pledged	$	40,226	$	41,994

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 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 shareholders' equity.

The following tables present the composition of the U.S. and foreign corporate securities within the fixed maturity portfolio by industry category as of the dates indicated:

	Amortized Cost		Gross Unrealized Capital Gains		Gross Unrealized Capital Losses		Fair Value
March 31, 2020
Communications	$	1,653	$	227	$	6	$	1,874
Financial	4,013		365		46		4,332
Industrial and other companies	11,511		973		248		12,236
Energy	2,692		103		294		2,501
Utilities	4,921		358		77		5,202
Transportation	1,209		63		49		1,223
Total	$	25,999	$	2,089	$	720	$	27,368
December 31, 2019
Communications	$	1,694	$	295	$	—	$	1,989
Financial	4,067		535		1		4,601
Industrial and other companies	11,669		1,274		16		12,927
Energy	2,819		368		27		3,160
Utilities	4,895		561		1		5,455
Transportation	1,206		116		2		1,320
Total	$	26,350	$	3,149	$	47	$	29,452

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 44.7% and 43.4%, 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 not have any securities pledged in dollar rolls or reverse repurchase agreements. As of March 31, 2020, the carrying value of securities pledged and obligation to repay loans related to repurchase agreement transaction was $72 and included in Securities pledged and Payables under securities loan and repurchase agreements, including collateral held on the Condensed Consolidated Balance Sheets. As of December 31, 2019, the carrying value of securities pledged and obligation to repay loans related to repurchase agreement transaction was $66. Securities pledged related to repurchase agreements are comprised of other asset-backed securities.

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 $1,273 and $1,159, 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 $1,179 and $1,055, 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 $1,179 and $1,055, respectively, are included in Payables under securities loan and repurchase 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 $126 and $146, 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	$	204	$	213
U.S. Government agencies and authorities	50		15
U.S. corporate public securities	729		684
Foreign corporate public securities and foreign governments	322		289
Payables under securities loan agreements	$	1,305	$	1,201

⁽¹⁾As of March 31, 2020 and December 31, 2019, borrowings under securities lending transactions include cash collateral of $1,179 and $1,055, respectively.

⁽²⁾As of March 31, 2020 and December 31, 2019, borrowings under securities lending transactions include non-cash collateral of $126 and $146, 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.

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		4		2		7
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	$	4	$	2	$	7

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 Months or Less Below Amortized Cost					More Than Twelve Months Below Amortized Cost					Total
	Fair Value		Unrealized Capital Losses		Number of securities	Fair Value		Unrealized Capital Losses		Number of securities	Fair Value		Unrealized Capital Losses		Number of securities
March 31, 2020
State, municipalities and political subdivisions	$	66	$	3	22	$	1	$	—	1	$	67	$	3	23
U.S. corporate public securities	2,350		288		452	30		14		8	2,380		302		460
U.S. corporate private securities	1,362		89		110	116		41		11	1,478		130		121
Foreign corporate public securities and foreign governments	1,078		112		224	37		8		8	1,115		120		232
Foreign corporate private securities	2,100		178		144	52		11		6	2,152		189		150
Residential mortgage-backed	1,870		145		357	130		17		77	2,000		162		434
Commercial mortgage-backed	1,836		330		307	—		—		—	1,836		330		307
Other asset-backed	1,217		148		283	336		70		116	1,553		218		399
Total	$	11,879	$	1,293	1,899	$	702	$	161	227	$	12,581	$	1,454	2,126

The Company concluded that an allowance for credit losses was unnecessary for these securities because the unrealized losses are interest rate 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 Months Below Amortized Cost					Total
	Fair Value		Unrealized Capital Losses			Fair Value		Unrealized Capital Losses			Fair Value		Unrealized Capital Losses
U.S. Treasuries	$	2	$	—	*	$	21	$	—	*	$	23	$	—	*
State, municipalities and political subdivisions	25		—		*	1		—		*	26		—		*
U.S. corporate public securities	122		3			199		16			321		19
U.S. corporate private securities	113		1			195		20			308		21
Foreign corporate public securities and foreign governments	15		—		*	103		6			118		6
Foreign corporate private securities	36		—		*	78		2			114		2
Residential mortgage-backed	730		8			194		6			924		14
Commercial mortgage-backed	472		4			18		—		*	490		4
Other asset-backed	308		5			641		20			949		25
Total	$	1,823	$	21		$	1,450	$	70		$	3,273	$	91
Total number of securities in an unrealized loss position	334					338					672

*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 these Condensed 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 $1,363 from $91 to $1,454 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, $9 of the total $1,454 of gross unrealized losses were from 5 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 table identifies 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	$	19	2	$	—		—
Foreign corporate private securities(1)	—		—	25			3
Residential mortgage-backed	1		8	—		*	15
Commercial mortgage-backed	—		1	—			—
Other asset-backed	—		—	1			2
Total	$	20	11	$	26		20
Credit Impairments	$	—		$	26
Intent Impairments	$	20		$	—
(1) Primarily U.S. dollar denominated.
*Less than $1

The Company may sell securities during the period in which fair value has declined below amortized cost for fixed maturities. 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 not have any new commercial mortgage loan or new private placement troubled debt restructuring. For the three months ended March 31, 2019, the Company did not have any new commercial mortgage loans and had one new private placement troubled debt restructuring with a pre-modification cost basis of $107 and a post-modification carrying value of $81.

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	$	55	$	144	$	28	$	—	$	—	$	227
2019	389		208		99		15		—		711
2018	206		168		97		—		—		471
2017	699		434		18		—		—		1,151
2016	630		321		15		—		—		966
2015	610		189		—		—		—		799
2014 and prior	1,913		700		31		—		—		2,644
Total	$	4,502	$	2,164	$	288	$	15	$	—	$	6,969

	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	121		138		227		211		26		723
2018	11		141		188		159		14		513
2017	153		283		697		12		15		1,160
2016	122		221		579		50		—		972
2015	39		502		248		15		—		804
2014 and prior	241		438		1,771		256		1		2,707
Total	$	687	$	1,723	$	3,710	$	703	$	56	$	6,879

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	$	167	$	35	$	25	$	—	$	—	$	227
2019	540		106		65		—		—		711
2018	319		13		98		41		—		471
2017	623		272		176		80		—		1,151
2016	864		68		30		4		—		966
2015	744		49		6		—		—		799
2014 and prior	2,232		218		123		71		—		2,644
Total	$	5,489	$	761	$	523	$	196	$	—	$	6,969

	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	493		165		66		—		—		724
2018	351		13		88		61		—		513
2017	608		292		167		93		—		1,160
2016	873		63		31		4		—		971
2015	743		50		6		6		—		805
2014 and prior	2,265		210		139		92		—		2,706
Total	$	5,333	$	793	$	497	$	256	$	—	$	6,879

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	$	32	$	124	$	17	$	23	$	15	$	8	$	—	$	—	$	8	$	227
2019	99		201		20		189		68		64		18		14		38		711
2018	106		156		72		47		60		16		—		14		—		471
2017	176		127		458		170		106		63		6		45		—		1,151
2016	276		180		191		46		106		119		14		28		6		966
2015	223		217		171		42		54		68		12		12		—		799
2014 and prior	718		541		386		212		272		237		66		167		45		2,644
Total	$	1,630	$	1,546	$	1,315	$	729	$	681	$	575	$	116	$	280	$	97	$	6,969

	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	100		200		35		187		67		63		18		15		37		722
2018	106		182		73		47		60		16		—		14		15		513
2017	177		128		464		171		107		63		6		45		—		1,161
2016	277		181		193		47		107		119		14		28		6		972
2015	226		218		171		43		54		68		12		12		—		804
2014 and prior	741		553		390		224		275		242		67		169		46		2,707
Total	$	1,627	$	1,462	$	1,326	$	719	$	670	$	571	$	117	$	283	$	104	$	6,879

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	$	49	$	9	$	116	$	53	$	—	$	—	$	—	$	227
2019	55		130		388		105		33		—		—		711
2018	78		121		206		26		4		36		—		471
2017	141		550		267		189		4		—		—		1,151
2016	178		309		262		192		10		9		6		966
2015	198		283		131		89		30		68		—		799
2014 and prior	1,194		223		485		371		107		208		56		2,644
Total	$	1,893	$	1,625	$	1,855	$	1,025	$	188	$	321	$	62	$	6,969

	As of December 31, 2019
	Property Type
Year of Origination	Retail		Industrial		Apartments		Office		Hotel/Motel		Other		Mixed Use		Total
2020	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2019	55		130		400		105		32		—		—		722
2018	83		122		221		46		4		36		—		512
2017	142		557		268		190		4		—		—		1,161
2016	179		312		263		192		10		10		6		972
2015	198		285		133		90		30		69		—		805
2014 and prior	1,216		230		512		376		108		209		56		2,707
Total	$	1,873	$	1,636	$	1,797	$	999	$	188	$	324	$	62	$	6,879

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	$	16
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	5
Provision for expected credit losses	22
Writeoffs	—
Recoveries of amounts previously written off	—
Allowance for credit losses, end of period	$	22

The following table presents past due commercial mortgage loans as of the dates indicated:

	March 31, 2020		December 31, 2019
Delinquency:
Current	$	6,969	$	6,879
30-59 days past due	—		—
60-89 days past due	—		—
Greater than 90 days past due	—		—
Total	$	6,969	$	6,879

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	$	571	$	555
Equity securities	3		3
Mortgage loans on real estate	74		79
Policy loans	11		11
Short-term investments and cash equivalents	2		4
Other	55		23
Gross investment income	716		675
Less: investment expenses	18		17
Net investment income	$	698	$	658

As of March 31, 2020 and December 31, 2019, the Company had $5 and $1, 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	$	(36	)	$	(23	)
Fixed maturities, at fair value option	33			67
Equity securities	(10		)	5
Derivatives	(30		)	(64		)
Embedded derivatives - fixed maturities	8			1
Guaranteed benefit derivatives	(193		)	5
Mortgage Loans	(5		)	—
Other investments	—			(3		)
Net realized capital gains (losses)	$	(233	)	$	(12	)

For the three months ended March 31, 2020 and 2019, the change in the fair value of equity securities still held as of March 31, 2020 and 2019 was $(10) and $5, 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 for the periods indicated:

	Three Months Ended March 31,
	2020		2019
Proceeds on sales	$	467	$	1,589
Gross gains	11		22
Gross losses	20		24