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Investments
 3 Months Ended
Mar. 31, 2020
Investments
(4) Investments
(a) Net Investment Income
Sources of net investment income were as follows for the periods indicated:
 
Three months ended
March 31,
 
(Amounts in millions)
  
2020
 
  
2019
 
Fixed maturity securities—taxable
   $
     622
     $
     613
  
Fixed maturity
securities—non-taxable
    
2
      
2
  
Equity securities
    
2
      
4
  
Commercial mortgage loans
    
85
      
82
  
Policy loans
    
49
      
46
  
Other invested assets
    
47
      
59
  
Cash, cash equivalents, restricted cash and short-term investments
    
11
      
11
  
                 
Gross investment income before expenses and fees
    
818
      
817
  
Expenses and fees
    
(25
 )    
(23
 )
                 
Net investment income
   $
793
     $
794
  
                 
(b) Net Investment Gains (Losses)
The following table sets forth net investment gains (losses) for the periods indicated:
 
Three months ended
March 31,
 
(Amounts in millions)
  
2020
 
  
2019
 
Available-for-sale
fixed maturity securities:
    
     
 
Realized gains
   $
         14
     $
         79
  
Realized losses
    
(1
 )    
(21
 )
                 
Net realized gains (losses) on
available-for-sale
fixed maturity securities
    
13
      
58
  
                 
Impairments:
    
     
 
Total other-than-temporary impairments
    
—  
      
—  
  
Portion of other-than-temporary impairments included in othercomprehensive income
    
—  
      
—  
  
                 
Net other-than-temporary impairments
    
—  
      
—  
  
                 
Net change in allowance for credit losses on
available-for-sale
fixed maturity
securities
    
—
      
—
  
Net realized gains (losses) on equity securities sold
    
—  
      
3
  
Net unrealized gains (losses) on equity securities still held
    
(19
 )    
12
  
Limited partnerships
    
(40
 )    
15
  
Commercial mortgage loans
    
—  
      
(1
 )
Derivative instruments
(1)
    
(105
 )    
(12
 )
Other
    
(1
 )    
—  
  
                 
Net investment gains (losses)
   $
(152
 )   $
75
  
                 
 
(1)
See note 5 for additional information on the impact of derivative instruments included in net investment gains (losses).
The following represents the activity for credit losses recognized in net income on debt securities where an other-than-temporary impairment was identified and a portion of other-than-temporary impairments was included in other comprehensive income (“OCI”) as of and for the three months ended March 31, 2019:
(Amounts in millions)
 
 
Beginning balance
  $
         24
  
Other-than-temporary impairments not previously recognized
   
—
  
Increases related to other-than-temporary impairments previously recognized
   
—
  
Reductions:
   
 
Securities sold, paid down or disposed
   
(1
 )
         
Ending balance
  $
23
  
         
(c) Unrealized Investment Gains and Losses
Net unrealized gains and losses on
available-for-sale
investment securities reflected as a separate component of accumulated other comprehensive income (loss) were as follows as of the dates indicated:
(Amounts in millions)
  
March 31, 2020
 
  
December 31, 2019
 
Net unrealized gains (losses) on fixed maturity securities without an allowance for credit losses
 
(1)
 
$
4,957
 
 
$
6,676
 
Net unrealized gains (losses) on fixed maturity securities with an allowance for credit losses
(1)
    
—  
      
—
  
Adjustments to deferred acquisition costs, present value of future profits, sales inducements
and benefit reserves
    
(3,478
 )    
(4,789
 )
Income taxes, net
    
(318
 )    
(406
 )
                 
Net unrealized investment gains (losses)
    
1,161
      
1,481
  
Less: net unrealized investment gains (losses) attributable to noncontrolling interests
    
21
      
25
  
                 
Net unrealized investment gains (losses) attributable to Genworth Financial, Inc.
 
$
1,140
 
 
$
1,456
 
                 
 
(1)
Excludes foreign exchange.
The change in net unrealized gains (losses) on
available-for-sale
investment securities reported in accumulated other comprehensive income (loss) was as follows as of and for the three months ended March 31:
                 
(Amounts in millions)
 
2020
 
  
2019
 
Beginning balance
 
$
     1,456
 
 
$
         595
 
Unrealized gains (losses) arising during the period:
   
     
 
Unrealized gains (losses) on fixed maturity securities
   
(1,712
 )    
1,999
  
Adjustment to deferred acquisition costs
   
168
      
(989
 )
Adjustment to present value of future profits
   
(1
 )    
(53
 )
Adjustment to sales inducements
   
36
      
(19
 )
Adjustment to benefit reserves
   
1,108
      
(388
 )
Provision for income taxes
   
87
      
(123
 )
                 
Change in unrealized gains (losses) on investment securities
   
(314
 )    
427
  
Reclassification adjustments to net investment (gains) losses, net of taxes of $1 and $13
   
(6
 )    
(47
 )
                 
Change in net unrealized investment gains (losses)
   
(320
 )    
380
  
Less: change in net unrealized investment gains (losses) attributable to noncontrolling interests
   
(4
 )    
32
  
                 
Ending balance
 
$
1,140
 
 
$
943
 
                 
 
 
 
Amounts reclassified out of accumulated other comprehensive income (loss) to net investment gains (losses) include realized gains (losses) on sales of securities, which are determined on a specific identification basis.
(d) Fixed Maturity Securities
As of March 31, 2020, the amortized cost or cost, gross unrealized gains (losses), allowance for credit losses and fair value of our fixed maturity securities classified as
available-for-sale
were as follows:
                                         
(Amounts in millions)
 
Amortized
cost or
cost
 
  
Gross
unrealized
gains
 
  
Gross
unrealized
losses
 
  
Allowance
for credit
losses
 
  
Fair
value
 
Fixed maturity securities:
   
     
     
     
     
 
U.S. government, agencies and government-sponsored enterprises
  $
4,041
     $
1,730
     $
—
     $
—
     $
5,771
  
State and political subdivisions
   
2,495
      
374
      
(5
 )    
—
      
2,864
  
Non-U.S.
government
    
1,118
      
92
      
(9
 )    
—
      
1,201
  
U.S. corporate:
   
     
     
     
     
 
Utilities
   
4,333
      
556
      
(22
 )    
—
      
4,867
  
Energy
   
2,426
      
51
      
(385
 )    
—
      
2,092
  
Finance and insurance
   
7,179
      
548
      
(104
 )    
—
      
7,623
  
Consumer—non-cyclical
   
5,006
      
725
      
(46
 )    
—
      
5,685
  
Technology and communications
   
3,000
      
312
      
(37
 )    
—
      
3,275
  
Industrial
   
1,304
      
72
      
(31
 )    
—
      
1,345
  
Capital goods
   
2,420
      
272
      
(28
 )    
—
      
2,664
  
Consumer—cyclical
   
1,628
      
134
      
(43
 )    
—
      
1,719
  
Transportation
   
1,344
      
152
      
(23
 )    
—
      
1,473
  
Other
   
295
      
40
      
(1
 )    
—
      
334
  
                                         
Total U.S. corporate
   
28,935
      
2,862
      
(720
 )    
—
      
31,077
  
                                         
Non-U.S.
corporate:
    
     
     
     
     
 
Utilities
   
757
      
24
      
(16
 )    
—
      
765
  
Energy
   
1,158
      
42
      
(102
 )    
—
      
1,098
  
Finance and insurance
   
2,023
      
128
      
(40
 )    
—
      
2,111
  
Consumer—non-cyclical
   
639
      
43
      
(8
 )    
—
      
674
  
Technology and communications
   
1,021
      
96
      
(8
 )    
—
      
1,109
  
Industrial
   
877
      
63
      
(29
 )    
—
      
911
  
Capital goods
   
546
      
25
      
(10
 )    
—
      
561
  
Consumer—cyclical
   
362
      
12
      
(12
 )    
—
      
362
  
Transportation
   
554
      
62
      
(13
 )    
—
      
603
  
Other
   
1,475
      
155
      
(25
 )    
—
      
1,605
  
                                         
Total
non-U.S.
corporate
    
9,412
      
650
      
(263
 )    
—
      
9,799
  
                                         
Residential mortgage-backed
   
2,032
      
258
      
(17
 )    
—
      
2,273
  
Commercial mortgage-backed
   
2,876
      
169
      
(64
 )    
—
      
2,981
  
Other asset-backed
   
3,227
      
12
      
(154
 )    
—
      
3,085
  
                                         
Total
available-for-sale
fixed maturity securities
   $
54,136
     $
6,147
     $
(1,232
 )   $
—
     $
 
 
59,051
  
                                         
 
 
 
As of December 31, 2019, the amortized cost or cost, gross unrealized gains (losses) and fair value of our fixed maturity securities classified as
available-for-sale
were as follows:
 
  
 
    
Gross unrealized gains
    
Gross unrealized losses
    
 
  
(Amounts in millions)
  
Amortized
cost or
cost
    
Not
 other-than-

temporarily
impaired
    
Other-than-

temporarily
impaired
    
Not
 other-than-

temporarily
impaired
    
Other-than-

temporarily
impaired
    
Fair
value
  
Fixed maturity securities:
   
     
     
     
     
     
 
U.S. government, agencies and government-sponsored enterprises
  $
4,073
     $
952
     $
     —  
     $
     —  
     $
     —  
     $
5,025
  
State and political subdivisions
   
2,394
      
355
      
—  
      
(2
 )    
—  
      
2,747
  
Non-U.S.
government
    
1,235
      
117
      
—  
      
(2
 )    
—  
      
1,350
  
U.S. corporate:
   
     
     
     
     
     
 
Utilities
   
4,322
      
675
      
—  
      
—  
      
—  
      
4,997
  
Energy
   
2,404
      
303
      
—  
      
(8
 )    
—  
      
2,699
  
Finance and insurance
   
6,977
      
798
      
—  
      
(1
 )    
—  
      
7,774
  
Consumer—non-cyclical
   
4,909
      
796
      
—  
      
(4
 )    
—  
      
5,701
  
Technology and communications
   
2,883
      
363
      
—  
      
(1
 )    
—  
      
3,245
  
Industrial
   
1,271
      
125
      
—  
      
—  
      
—  
      
1,396
  
Capital goods
   
2,345
      
367
      
—  
      
(1
 )    
—  
      
2,711
  
Consumer—cyclical
   
1,590
      
172
      
—  
      
(2
 )    
—  
      
1,760
  
Transportation
   
1,320
      
187
      
—  
      
(1
 )    
—  
      
1,506
  
Other
   
292
      
30
      
—  
      
—  
      
—  
      
322
  
                                                 
Total U.S. corporate
   
28,313
      
3,816
      
—  
      
(18
 )    
—  
      
32,111
  
                                                 
Non-U.S.
corporate:
    
     
     
     
     
     
 
Utilities
   
779
      
50
      
—  
      
—  
      
—  
      
829
  
Energy
   
1,140
      
179
      
—  
      
—  
      
—  
      
1,319
  
Finance and insurance
   
2,087
      
232
      
—  
      
—  
      
—  
      
2,319
  
Consumer—non-cyclical
   
631
      
55
      
—  
      
(2
 )    
—  
      
684
  
Technology and communications
   
1,010
      
128
      
—  
      
—  
      
—  
      
1,138
  
Industrial
   
896
      
92
      
—  
      
—  
      
—  
      
988
  
Capital goods
   
565
      
40
      
—  
      
—  
      
—  
      
605
  
Consumer—cyclical
   
373
      
24
      
—  
      
—  
      
—  
      
397
  
Transportation
   
557
      
73
      
—  
      
(1
 )    
—  
      
629
  
Other
   
1,431
      
188
      
—  
      
(2
 )    
—  
      
1,617
  
                                                 
Total
non-U.S.
corporate
    
9,469
      
1,061
      
—  
      
(5
 )    
—  
      
10,525
  
                                                 
Residential mortgage-backed
   
2,057
      
199
      
15
      
(1
 )    
—  
      
2,270
  
Commercial mortgage-backed
   
2,897
      
137
      
—  
      
(8
 )    
—  
      
3,026
  
Other asset-backed
   
3,262
      
30
      
—  
      
(7
 )    
—  
      
3,285
  
                                                 
Total
available-for-sale
fixed maturity securities
   $
53,700
     $
6,667
     $
15
     $
(43
 )   $
—  
     $
 
 
60,339
  
                                                 
The following table presents the gross unrealized losses and fair values of our fixed maturity securities, aggregated by investment type and length of time that individual fixed maturity securities have been in a continuous unrealized loss position, as of March 31, 2020:
 
Less than 12 months
   
12 months or more
   
Total
 
(Dollar amounts in millions)
  
Fair
value
    
Gross
unrealized
losses
    
Number of
securities
    
Fair
value
    
Gross
unrealized
losses
    
Number of
securities
    
Fair
value
    
Gross
unrealized
losses
    
Number of
securities
  
Description of Securities
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
Fixed maturity securities:
    
     
     
     
     
     
     
     
     
 
State and political subdivisions
 
   $
106
     $
(5
 )    
18
     $
  —  
     $
—
      
—  
     $
106
     $
(5
 )
    
18
  
Non-U.S.
government
    
156
      
(9
 )    
27
      
—  
      
—
      
—  
      
156
      
(9
 )
    
27
  
U.S. corporate
    
7,358
      
(685
 )    
1,157
      
139
      
(35
 )
    
16
      
7,497
      
(720
 )
    
1,173
  
Non-U.S.
corporate
    
3,257
      
(258
 )    
537
      
17
      
(5
 )
    
3
      
3,274
      
(263
 )
    
540
  
Residential mortgage-backed
   
304
      
(16
 )    
59
      
13
      
(1
 )
    
6
      
317
      
(17
 )
    
65
  
Commercial mortgage-backed
   
894
      
(60
 )    
152
      
9
      
(4
 )
    
3
      
903
      
(64
 )
    
155
  
Other asset-backed
    
2,353
      
(130
 )    
455
      
245
      
(24
 )
    
64
      
2,598
      
(154
 )
    
519
  
                                                                         
Total for fixed maturity securities inan unrealized loss position
   $
14,428
     $
(1,163
 )    
2,405
     $
423
     $
(69
 )    
92
     $
14,851
     $
(1,232
 )    
2,497
  
                                                                         
% Below cost:
    
     
     
     
     
     
     
     
     
 
<20% Below cost
   $
13,585
     $
(752
 )    
2,258
     $
357
     $
(38
 )    
79
     $
13,942
     $
(790
 )
    
2,337
  
20%-50%
Below cost
    
784
      
(338
 )    
134
      
63
      
(28
 )
    
11
      
847
      
(366
 )
    
145
  
>50% Below cost
    
59
      
(73
 )    
13
      
3
      
(3
 )
    
2
      
62
      
(76
 )
    
15
  
                                                                         
Total for fixed maturity securities inan unrealized loss position
  $
14,428
     $
(1,163
 )    
2,405
     $
423
     $
(69
 )    
92
     $
14,851
     $
(1,232
 )    
2,497
  
                                                                         
Investment grade
   $
13,122
     $
(927
 )    
2,171
     $
313
     $
(42
 )    
77
     $
13,435
     $
(969
 )
    
2,248
  
Below investment grade
    
1,306
      
(236
 )    
234
      
110
      
(27
 )
    
15
      
1,416
      
(263
 )
    
249
  
                                                                         
Total for fixed maturity securities inan unrealized loss position
  $
 
 
14,428
     $
(1,163
 )    
2,405
     $
423
     $
(69
 )    
92
     $
 
 
14,851
     $
(1,232
 )    
2,497
  
                                                                         
The following table presents the gross unrealized losses and fair values of our corporate securities, aggregated by investment type and length of time that individual investment securities have been in a continuous unrealized loss position, based on industry, as of March 31, 2020:
 
Less than 12 months
   
12 months or more
   
Total
 
(Dollar amounts in millions)
  
Fair value
    
Gross
unrealized
losses
    
Number of
securities
    
Fair
value
    
Gross
unrealized
losses
    
Number of
securities
    
Fair
value
    
Gross
unrealized
losses
    
Number of
securities
  
Description of Securities
    
     
     
     
     
     
     
     
     
 
U.S. corporate:
    
     
     
     
     
     
     
     
     
 
Utilities
   $
582
     $
(22
 )    
112
     $
—
     $
—
      
—
     $
582
     $
(22
 )    
112
  
Energy
    
1,443
      
(364
 )    
240
      
56
      
(21
 )    
9
      
1,499
      
(385
 )    
249
  
Finance and insurance
    
1,911
      
(104
 )    
259
      
—
      
—
      
—
      
1,911
      
(104
 )    
259
  
Consumer—non-
 
cyclical
    
678
      
(39
 )    
108
      
36
      
(7
 )    
2
      
714
      
(46
 )    
110
  
Technology andcommunications
    
772
      
(37
 )    
116
      
—
      
—
      
—
      
772
      
(37
 )    
116
  
Industrial
    
473
      
(31
 )    
63
      
—
      
—
      
—
      
473
      
(31
 )    
63
  
Capital goods
    
489
      
(25
 )    
84
      
12
      
(3
 )    
1
      
501
      
(28
 )    
85
  
Consumer—cyclical
    
585
      
(39
 )    
102
      
35
      
(4
 )    
4
      
620
      
(43
 )    
106
  
Transportation
    
420
      
(23
 )    
71
      
—
      
—
      
—
      
420
      
(23
 )    
71
  
Other
    
5
      
(1
 )    
2
      
—
      
—
      
—
      
5
      
(1
 )    
2
  
                                                                         
Subtotal, U.S. corporate
securities
    
7,358
      
(685
 )    
1,157
      
139
      
(35
 )    
16
      
7,497
      
(720
 )    
1,173
  
                                                                         
Non-U.S.
corporate:
    
     
     
     
     
     
     
     
     
 
Utilities
    
279
      
(16
 )    
37
      
—
      
—
      
—
      
279
      
(16
 )    
37
  
Energy
    
591
      
(102
 )    
66
      
—
      
—
      
—
      
591
      
(102
 )    
66
  
Finance and insurance
    
649
      
(40
 )    
117
      
—
      
—
      
—
      
649
      
(40
 )    
117
  
Consumer—non-
 
cyclical
    
136
      
(6
 )    
50
      
5
      
(2
 )    
1
      
141
      
(8
 )    
51
  
Technology andcommunications
    
189
      
(8
 )    
48
      
—
      
—
      
—
      
189
      
(8
 )    
48
  
Industrial
    
384
      
(29
 )    
57
      
—
      
—
      
—
      
384
      
(29
 )    
57
  
Capital goods
    
208
      
(10
 )    
24
      
—
      
—
      
—
      
208
      
(10
 )    
24
  
Consumer—cyclical
    
197
      
(12
 )    
43
      
—
      
—
      
—
      
197
      
(12
 )    
43
  
Transportation
    
162
      
(12
 )    
33
      
7
      
(1
 )    
1
      
169
      
(13
 )    
34
  
Other
    
462
      
(23
 )    
62
      
5
      
(2
 )    
1
      
467
      
(25
 )    
63
  
                                                                         
Subtotal,
non-U.S.
corporate
securities
    
3,257
      
(258
 )    
537
      
17
      
(5
 )    
3
      
3,274
      
(263
 )    
540
  
                                                                         
Total for corporate securities in anunrealized loss position
   $
 
 
10,615
     $
(943
 )    
1,694
     $
156
     $
(40
 )    
19
     $
 
 
10,771
     $
(983
 )    
1,713
  
                                                                         
We did not recognize an allowance for credit losses on securities in an unrealized loss position. Based on a qualitative and quantitative review of the issuers of the securities, we believe the decline in fair value is largely
due to recent market volatility and is not indicative of credit losses. The issuers continue to make timely principal and interest payments. For all securities in an unrealized loss position, we expect to recover the amortized cost based on our estimate of the amount and timing of cash flows to be collected. We do not intend to sell nor do we expect that we will be required to sell these securities prior to recovering our amortized cost.
The following table presents the gross unrealized losses and fair values of our fixed maturity securities, aggregated by investment type and length of time that individual fixed maturity securities have been in a continuous unrealized loss position, as of December 31, 2019:
  
Less than 12 months
   
12 months or more
   
Total
 
(Dollar amounts in millions)
  
Fair
value
 
  
Gross
unrealized
losses
 
  
Number
of
securities
 
  
Fair
value
 
  
Gross
unrealized
losses
 
  
Number
of
securities
 
  
Fair
value
 
  
Gross
unrealized
losses
 
  
Number
of
securities
 
Description of Securities
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
Fixed maturity securities:
    
     
     
     
     
     
     
     
     
 
State and political subdivisions
   $
91
     $
(2
 )    
14
     $
—  
     $
—  
      
—  
     $
91
     $
(2
 )
    
14
  
Non-U.S.
government
    
224
      
(2
 )    
20
      
—  
      
—  
      
—  
      
224
      
(2
 )
    
20
  
U.S. corporate
    
123
      
(5
 )    
27
      
302
      
(13
 )
    
33
      
425
      
(18
 )
    
60
  
Non-U.S.
corporate
    
79
      
(1
 )    
12
      
62
      
(4
 )
    
7
      
141
      
(5
 )
    
19
  
Residential mortgage-backed
    
22
      
(1
 )    
10
      
—  
      
—  
      
—  
      
22
      
(1
 )
    
10
  
Commercial mortgage-backed
    
381
      
(5
 )    
51
      
14
      
(3
 )
    
3
      
395
      
(8
 )
    
54
  
Other asset-backed
    
532
      
(2
 )    
97
      
439
      
(5
 )
    
115
      
971
      
(7
 )
    
212
  
                                                                         
Total for fixed maturity securities in
an unrealized loss position
   $
1,452
     $
(18
 )    
231
     $
817
     $
(25
 )    
158
     $
2,269
     $
(43
 )    
389
  
                                                                         
% Below cost:
    
     
     
     
     
     
     
     
     
 
<20% Below cost
   $
1,452
     $
(18
 )    
231
     $
807
     $
(20
 )    
155
     $
2,259
     $
(38
 )    
386
  
20%-50%
Below cost
    
—  
      
—  
      
—  
      
10
      
(5
 )
    
3
      
10
      
(5
 )
    
3
  
                                                                         
Total for fixed maturity securities in
an unrealized loss position
   $
1,452
     $
(18
 )    
231
     $
817
     $
(25
 )    
158
     $
2,269
     $
(43
 )    
389
  
                                                                         
Investment grade
   $
1,408
     $
(14
 )    
223
     $
702
     $
(15
 )    
145
     $
2,110
     $
(29
 )    
368
  
Below investment grade
    
44
      
(4
 )    
8
      
115
      
(10
 )
    
13
      
159
      
(14
 )
    
21
  
                                                                         
Total for fixed maturity securities in
an unrealized loss position
   $
1,452
     $
(18
 )    
231
     $
817
     $
(25
 )    
158
     $
2,269
     $
(43
 )    
389
  
                                                                         
The following table presents the gross unrealized losses and fair values of our corporate securities, aggregated by investment type and length of time that individual investment securities have been in a continuous unrealized loss position, based on industry, as of December 31, 2019:
 
Less than 12 months
   
12 months or more
   
Total
 
(Dollar amounts in millions)
  
Fair
value
 
  
Gross
unrealized
losses
 
  
Number of
securities
 
  
Fair
value
 
  
Gross
unrealized
losses
 
  
Number of
securities
 
  
Fair
value
 
  
Gross
unrealized
losses
 
  
Number of
securities
 
Description of Securities
    
     
     
     
     
     
     
     
     
 
U.S. corporate:
    
     
     
     
     
     
     
     
     
 
Energy
  $
  54
     $
  (3
 )    
10
     $
  80
     $
  (5
 )    
10
     $
  134
     $
  (8
 )    
20
  
Finance and insurance
   
—  
      
—  
      
—  
      
34
      
(1
 )    
4
      
34
      
(1
 )    
4
  
Consumer—non-cyclical
    
34
      
(1
 )    
9
      
93
      
(3
 )    
9
      
127
      
(4
 )    
18
  
Technology and
 
communications
   
—  
      
—  
      
—  
      
18
      
(1
 )    
2
      
18
      
(1
 )    
2
  
Capital goods
    
35
      
(1
 )    
8
      
—  
      
—  
      
—  
      
35
      
(1
 )    
8
  
Consumer—cyclical
    
—  
      
—  
      
—  
      
54
      
(2
 )    
6
      
54
      
(2
 )    
6
  
Transportation
    
—  
      
—  
      
—  
      
23
      
(1
 )    
2
      
23
      
(1
 )    
2
  
                                                                         
Subtotal, U.S. corporate
securities
   
123
      
(5
 )    
27
      
302
      
(13
 )    
33
      
425
      
(18
 )    
60
  
                                                                         
Non-U.S.
corporate:
    
     
     
     
     
     
     
     
     
 
Consumer—non-cyclical
    
—  
      
—  
      
—  
      
31
      
(2
 )    
3
      
31
      
(2
 )    
3
  
Transportation
    
—  
      
—  
      
—  
      
25
      
(1
 )    
3
      
25
      
(1
 )    
3
  
Other
    
79
      
(1
 )    
12
      
6
      
(1
 )    
1
      
85
      
(2
 )    
13
  
                                                                         
Subtotal,
non-U.S.
corporate
securities
    
79
      
(1
 )    
12
      
62
      
(4
 )    
7
      
141
      
(5
 )    
19
  
                                                                         
Total for corporate securities in anunrealized loss position
   $
 
 
  202
     $
  (6
 )    
39
     $
 
 
  364
     $
  (17
 )    
40
     $
  566
     $
  (23
 )    
79
  
                                                                         
The scheduled maturity distribution of fixed maturity securities as of March 31, 2020 is set forth below. Actual maturities may differ from contractual maturities because issuers of securities may have the right to call or prepay obligations with or without call or prepayment penalties.
(Amounts in millions)
 
Amortized
cost or
cost
 
  
Fair value
 
Due one year or less
 
$
  1,415
 
 
$
  1,421
 
Due after one year through five years
   
8,835
      
8,949
  
Due after five years through ten years
   
12,207
      
12,642
  
Due after ten years
   
23,544
      
27,700
  
                 
Subtotal
   
46,001
      
50,712
  
Residential mortgage-backed
   
2,032
      
2,273
  
Commercial mortgage-backed
   
2,876
      
2,981
  
Other asset-backed
   
3,227
      
3,085
  
                 
Total
 
$
  54,136
 
 
$
  59,051
 
                 
As of March 31, 2020, securities issued by finance and insurance,
consumer—non-cyclical,
utilities and technology and communications industry groups represented approximately 23%, 15%, 14% and 11%,
respectively, of our domestic and foreign corporate fixed maturity securities portfolio. No other industry group comprised more than 10% of our investment portfolio.
As of March 31, 2020, we did not hold any fixed maturity securities in any single issuer, other than securities issued or guaranteed by the U.S. government, which exceeded 10% of stockholders’ equity.
(e) Commercial Mortgage Loans
Our mortgage loans are collateralized by commercial properties, including multi-family residential buildings. The carrying value of commercial mortgage loans is stated at original cost net of principal payments, amortization and allowance for credit losses.
We diversify our commercial mortgage loans by both property type and geographic region. The following tables set forth the distribution across property type and geographic region for commercial mortgage loans as of the dates indicated:
 
March 31, 2020
   
December 31, 2019
 
(Amounts in millions)
 
Carrying
value
 
  
% of
total
 
  
Carrying
value
 
  
% of
total
 
Property type:
   
     
     
     
 
Retail
  $
  2,566
      
37
 %   $
  2,590
      
37
 %
Industrial
   
1,646
      
24
      
1,670
      
24
  
Office
   
1,641
      
23
      
1,632
      
23
  
Apartments
   
548
      
8
      
541
      
8
  
Mixed use
   
279
      
4
      
281
      
4
  
Other
   
264
      
4
      
266
      
4
  
                                 
Subtotal
   
6,944
      
100
 %    
6,980
    
 
100
 %
                                 
Unamortized balance of loan origination fees
   
—  
      
     
(4
 )    
 
Allowance for credit losses
   
(29
 )    
     
(13
 )    
 
                                 
Total
  $
6,915
      
    $
6,963
      
 
                                 
                                 
 
March 31, 2020
   
December 31, 2019
 
(Amounts in millions)
 
Carrying
value
 
  
% of
total
 
  
Carrying
value
 
  
% of
total
 
Geographic region:
   
     
     
     
 
South Atlantic
  $
  1,699
      
24
 %   $
  1,715
      
25
 %
Pacific
   
1,648
      
24
      
1,673
      
24
  
Middle Atlantic
   
980
      
14
      
992
      
14
  
Mountain
   
763
      
11
      
753
      
11
  
West North Central
   
485
      
7
      
488
      
7
  
East North Central
   
453
      
7
      
455
      
6
  
West South Central
   
451
      
6
      
433
      
6
  
New England
   
255
      
4
      
257
      
4
  
East South Central
   
210
      
3
      
214
      
3
  
                                 
Subtotal
   
6,944
      
100
 %    
6,980
      
100
 %
                                 
Unamortized balance of loan origination fees
   
—  
      
     
(4
 )    
 
Allowance for credit losses
   
(29
 )    
     
(13
 )    
 
                                 
Total
  $
  6,915
      
    $
  6,963
      
 
                                 
 
 
 
 
The following tables set forth the aging of past due commercial mortgage loans by property type as of the dates indicated:
                                                 
 
March 31, 2020
 
(Amounts in millions)
 
31
 -
 60 days
past due
 
  
61 - 90 days
past due
 
  
Greater than
90 days past
due
 
  
Total
past due
 
  
Current
 
  
Total
 
Property type:
   
     
     
     
     
     
 
Retail
  $
 —  
     $
 —  
     $
 —  
     $
 —  
     $
  2,566
     $
  2,566
  
Industrial
   
—  
      
—  
      
—  
      
—  
      
1,646
      
1,646
  
Office
   
—  
      
—  
      
—  
      
—  
      
1,641
      
1,641
  
Apartments
   
—  
      
—  
      
—  
      
—  
      
548
      
548
  
Mixed use
   
—  
      
—  
      
—  
      
—  
      
279
      
279
  
Other
   
—  
      
—  
      
—  
      
—  
      
264
      
264
  
                                                 
Total amortized cost
  $
—  
     $
—  
     $
—  
     $
—  
     $
 
  6,944
     $
 
  6,944
  
                                                 
% of total commercial mortgage loans
   
—  
 %    
—  
 %    
—  
 %    
—  
 %    
100
 %    
100
 %
                                                 
 
 
 
 
                                                 
 
December 31, 2019
 
(Amounts in millions)
 
31
 -
 60 days
past due
 
  
61
 -
 90 days
past due
 
  
Greater than
90 days past
due
 
  
Total
past due
 
  
Current
 
  
Total
 
Property type:
   
     
     
     
     
     
 
Retail
  $
  —  
     $
  —  
     $
  —  
     $
  —  
     $
  2,590
     $
2,590
  
Industrial
   
—  
      
—  
      
—  
      
—  
      
1,670
      
1,670
  
Office
   
—  
      
—  
      
—  
      
—  
      
1,632
      
1,632
  
Apartments
   
—  
      
—  
      
—  
      
—  
      
541
      
541
  
Mixed use
   
—  
      
—  
      
—  
      
—  
      
281
      
281
  
Other
   
—  
      
—  
      
—  
      
—  
      
266
      
266
  
                                                 
Total recorded investment
  $
  —  
     $
  —  
     $
  —  
     $
 
 
  —  
     $
  6,980
     $
6,980
  
                                                 
% of total commercial mortgage loans
   
—  
 %    
—  
 %    
—  
 %    
—  
 %    
100
 %    
100
 %
                                                 
 
 
 
 
For a discussion of our policy related to placing commercial mortgage loans on
non-accrual
status, see Note 2—Summary of Significant Accounting Policies included in the Notes to Consolidated Financial Statements in our 2019 Annual Report on Form
10-K.
As of March 31, 2020 and December 31, 2019, we had no commercial mortgage loans on
non-accrual
status.
During the three months ended March 31, 2020 and the year ended December 31, 2019, we did not have any modifications or extensions that were considered troubled debt restructurings.
The following table sets forth the allowance for credit losses related to commercial mortgage loans as of or for the periods indicated:
                 
 
Three months ended
March 31,
 
(Amounts in millions)
 
2020
 
  
2019
 
Allowance for credit losses:
   
     
 
Beginning balance
  $
13
     $
9
  
Cumulative effect of change in accounting
   
16
      
—
  
Provision
   
—
      
—
  
Write-offs
   
—
      
—
  
Recoveries
   
—
      
1
  
                 
Ending balance
  $
29
     $
10
  
                 
 
 
 
 
In evaluating the credit quality of commercial mortgage loans, we assess the performance of the underlying loans using both quantitative and qualitative criteria. Certain risks associated with commercial mortgage loans can be evaluated by reviewing both the
debt-to-value
and debt service coverage ratio to understand both the probability of the borrower not being able to make the necessary loan payments as well as the ability to sell the underlying property for an amount that would enable us to recover our unpaid principal balance in the event of default by the borrower. The average
debt-to-value
ratio is based on our most recent estimate of the fair value for the underlying property which is evaluated at least annually and updated more frequently if necessary to better indicate risk associated with the loan. A lower
debt-to-value
indicates that our loan value is more likely to be recovered in the event of default by the borrower if the property was sold. The debt service coverage ratio is based on “normalized” annual income of the property compared to the payments required under the terms of the
loan. Normalization allows for the removal of annual
one-time
events such as capital expenditures, prepaid or late real estate tax payments or
non-recurring
third-party fees (such as legal, consulting or contract fees). This ratio is evaluated at least annually and updated more frequently if necessary to better indicate risk associated with the loan. A higher debt service coverage ratio indicates the borrower is less likely to default on the loan. The debt service coverage ratio is not used without considering other factors associated with the borrower, such as the borrower’s liquidity or access to other resources that may result in our expectation that the borrower will continue to make the future scheduled payments.
The following tables set forth the
debt-to-value
of commercial mortgage loans by property type as of the dates indicated:
                                                 
 
March 31, 2020
 
(Amounts in millions)
 
0%
 -
 50%
 
  
51%
 -
 60%
 
  
61%
 -
 75%
 
  
76%
 -
 100%
 
  
Greater
 
than 100%
 
  
Total
 
Property type:
   
     
     
     
     
     
 
Retail
  $
956
     $
587
     $
  1,023
     $
  —  
     $
  —  
     $
  2,566
  
Industrial
   
787
      
323
      
536
      
—  
      
—  
      
1,646
  
Office
   
550
      
353
      
738
      
—  
      
—  
      
1,641
  
Apartments
   
220
      
110
      
218
      
—  
      
—  
      
548
  
Mixed use
   
103
      
70
      
106
      
—  
      
—  
      
279
  
Other
   
55
      
69
      
140
      
—  
      
—  
      
264
  
                                                 
Total amortized cost
  $
  2,671
     $
  1,512
     $
  2,761
     $
  —  
     $
  —  
     $
  6,944
  
                                                 
% of total
   
38
 %    
22
 %    
40
 %    
—  
 %    
—  
 %    
100
 %
                                                 
Weighted-average debt service coverage ratio
   
2.31
      
1.82
      
1.55
      
—  
      
—  
      
1.90
  
                                                 
 
                                                 
 
December 31, 2019
 
(Amounts in millions)
 
0%
 -
 50%
 
  
51%
 -
 60%
 
  
61%
 -
 75%
 
  
76%
 -
 100%
 
  
Greater
than 100%
 
  
Total
 
Property type:
   
     
     
     
     
     
 
Retail
  $
986
     $
579
     $
  1,025
     $
  —  
     $
  —  
     $
  2,590
  
Industrial
   
808
      
337
      
525
      
—  
      
—  
      
1,670
  
Office
   
529
      
380
      
723
      
—  
      
—  
      
1,632
  
Apartments
   
211
      
110
      
220
      
—  
      
—  
      
541
  
Mixed use
   
104
      
70
      
107
      
—  
      
—  
      
281
  
Other
   
56
      
69
      
141
      
—  
      
—  
      
266
  
                                                 
Total recorded investment
  $
  2,694
     $
  1,545
     $
  2,741
     $
  —  
     $
  —  
     $
  6,980
  
                                                 
% of total
   
39
 %    
22
 %    
39
 %    
—  
 %    
—  
 %    
100
 %
                                                 
Weighted-average debt service coverage ratio
   
2.32
      
1.81
      
1.55
      
—  
      
—  
      
1.90
  
                                                 
 
The following tables set forth the debt service coverage ratio for fixed rate commercial mortgage loans by property type as of the dates indicated:
                                                 
 
March 31, 2020
 
(Amounts in millions)
  
Less than
1.00
    
1.00
 -
 1.25
    
1.26
 -
 1.50
    
1.51
 -
 2.00
    
Greater
than 2.00
    
Total
  
Property type:
   
     
     
     
     
     
 
Retail
  $
65
     $
138
     $
601
     $
1,126
     $
636
     $
2,566
  
Industrial
   
24
      
50
      
217
      
655
      
700
      
1,646
  
Office
   
41
      
113
      
273
      
745
      
469
      
1,641
  
Apartments
   
16
      
31
      
130
      
186
      
185
      
548
  
Mixed use
   
3
      
18
      
37
      
105
      
116
      
279
  
Other
   
34
      
146
      
19
      
31
      
34
      
264
  
                                                 
Total amortized cost
  $
183
     $
496
     $
1,277
     $
2,848
     $
2,140
     $
6,944
  
                                                 
% of total
   
3
 %    
7
 %    
18
 %    
41
 %    
31
 %    
100
 %
                                                 
Weighted-average
debt-to-value
   
58
 %    
61
 %    
63
 %    
58
 %    
41
 %    
54
 %
                                                 
       
 
December 31, 2019
 
(Amounts in millions)
  
Less than
1.00
    
1.00
 -
 1.25
    
1.26
 -
 1.50
    
1.51
 -
 2.00
    
Greater
than 2.00
    
Total
  
Property type:
   
     
     
     
     
     
 
Retail
  $
68
     $
141
     $
596
     $
1,148
     $
637
     $
 
 
2,590
  
Industrial
   
24
      
51
      
221
      
658
      
716
      
1,670
  
Office
   
44
      
89
      
277
      
751
      
471
      
1,632
  
Apartments
   
16
      
32
      
129
      
175
      
189
      
541
  
Mixed use
   
4
      
16
      
37
      
107
      
117
      
281
  
Other
   
34
      
147
      
20
      
31
      
34
      
266
  
                                                 
Total recorded investment
  $
190
     $
476
     $
1,280
     $
2,870
     $
2,164
     $
6,980
  
                                                 
% of total
   
3
 %    
7
 %    
18
 %    
41
 %    
31
 %    
100
 %
                                                 
Weighted-average
debt-to-value
   
59
 %    
61
 %    
63
 %    
58
 %    
41
 %    
54
 %
                                                 
 
The following tables set forth commercial mortgage loans by year of origination and credit quality indicator as of March 31, 2020:
(Amounts in millions)
 
2020
 
  
2019
 
  
2018
 
  
2017
 
  
2016
 
  
2015 and
prior
 
  
Total
 
Debt-to-value:
   
     
     
     
     
     
     
 
0% - 50%
  $
4
     $
11
     $
33
     $
104
     $
118
     $
2,401
     $
2,671
  
51% - 60%
   
12
      
29
      
170
      
280
      
149
      
872
      
1,512
  
61% - 75%
   
91
      
763
      
800
      
351
      
240
      
516
      
2,761
  
76% - 100%
   
—
      
—
      
—
      
—
      
—
      
—
      
—
  
Greater than 100%
   
—
      
—
      
—
      
—
      
—
      
—
      
—
  
                                                         
Total amortized cost
  $
 
107
     $
 
803
     $
 
1,003
     $
 
735
     $
 
507
     $
3,789
     $
 
6,944
  
                                                         
                                                         
Debt service coverage ratio:
   
     
     
     
     
     
     
 
Less than 1.00
  $
—
     $
—
     $
34
     $
3
     $
—
     $
146
     $
183
  
1.00 - 1.25
   
24
      
12
      
107
      
74
      
13
      
266
      
496
  
1.26 - 1.50
   
16
      
360
      
261
      
97
      
88
      
455
      
1,277
  
1.51 - 2.00
   
53
      
358
      
507
      
324
      
275
      
1,331
      
2,848
  
Greater than 2.00
   
14
      
73
      
94
      
237
      
131
      
1,591
      
2,140
  
                                                         
Total amortized cost
  $
107
     $
803
     $
1,003
     $
735
     $
507
     $
3,789
     $
6,944
  
                                                         
                                                         
Write-offs, gross
  $
—
     $
—
     $
—
     $
—
     $
—
     $
—
     $
—
  
Recoveries
   
—
      
—
      
—
      
—
      
—
      
—
      
—
  
                                                         
Write-offs, net
  $
—
     $
—
     $
—
     $
—
     $
—
     $
—
     $
—
  
                                                         
(f) Limited Partnerships or Similar Entities
Limited partnerships are accounted for at fair value when our partnership interest is considered minor (generally less than 3% ownership in the limited partnerships) and we exercise no influence over operating and financial policies. If our ownership percentage exceeds that threshold, limited partnerships are accounted for using the equity method of accounting. In applying either method, we use financial information provided by the investee generally on a
one-to-three
month lag. However, we consider whether an adjustment to the estimated fair value is necessary when the measurement date is not aligned with our reporting date.
Investments in limited partnerships or similar entities are generally considered VIEs when the equity group lacks sufficient financial control. Generally, these investments are limited partner or
non-managing
member equity investments in a widely held fund that is sponsored and managed by a reputable asset manager. We are not the primary beneficiary of any VIE investment in a limited partnership or similar entity. As of March 31, 2020 and December 31, 2019, the total carrying value of these investments was $654 million and $616 million, respectively. Our maximum exposure to loss is equal to the outstanding carrying value and future funding commitments. We have not contributed, and do not plan to contribute, any additional financial or other support outside of what is contractually obligated.