Investments

3 Months Ended

Mar. 31, 2020

Investments, Debt and Equity Securities [Abstract]

Investments

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 Cost		Fair Value
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 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 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 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 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 Months or Less Below Amortized Cost					More Than Twelve Months Below Amortized Cost					Total
March 31, 2020	Fair Value		Unrealized Capital  Losses		Number of securities	Fair Value		Unrealized Capital  Losses		Number of securities	Fair Value		Unrealized Capital  Losses		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 Months Below Amortized Cost					Total
	Fair Value		Unrealized Capital Losses		Fair Value		Unrealized Capital Losses			Fair Value		Unrealized Capital Losses
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 not have any new commercial mortgage loan or private placement troubled debt restructuring. For the three months ended March 31, 2019, the Company did not 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