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Investments (excluding Consolidated Investment Entities)

6 Months Ended

Jun. 30, 2019

Investments, Debt and Equity Securities [Abstract]

Investments (excluding Consolidated Investment Entities)

Fixed Maturities

Available-for-sale and fair value option ("FVO") fixed maturities were as follows as of June 30, 2019:



	Amortized Cost		Gross Unrealized Capital Gains		Gross Unrealized Capital Losses		Embedded Derivatives⁽²⁾		Fair Value		OTTI⁽³⁾⁽⁴⁾
Fixed maturities:
U.S. Treasuries	$	1,666	$	500	$	—	$	—	$	2,166	$	—
U.S. Government agencies and authorities	197		52		—		—		249		—
State, municipalities and political subdivisions	1,642		114		2		—		1,754		—
U.S. corporate public securities	18,170		2,307		67		—		20,410		—
U.S. corporate private securities	6,292		444		38		—		6,698		—
Foreign corporate public securities and foreign governments⁽¹⁾	5,320		521		31		—		5,810		—
Foreign corporate private securities⁽¹⁾	5,027		250		15		—		5,262		—
Residential mortgage-backed securities	5,282		285		20		29		5,576		10
Commercial mortgage-backed securities	3,892		203		5		—		4,090		—
Other asset-backed securities	2,415		46		23		—		2,438		2
Total fixed maturities, including securities pledged	49,903		4,722		201		29		54,453		12
Less: Securities pledged	1,739		219		13		—		1,945		—
Total fixed maturities	$	48,164	$	4,503	$	188	$	29	$	52,508	$	12

⁽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 Other-than-Temporary-Impairments ("OTTI") reported as a component of Other comprehensive income (loss).

⁽⁴⁾ Amount excludes $411 of net unrealized gains on impaired available-for-sale securities.

Available-for-sale and FVO fixed maturities were as follows as of December 31, 2018:



	Amortized Cost		Gross Unrealized Capital Gains		Gross Unrealized Capital Losses		Embedded Derivatives⁽²⁾		Fair Value		OTTI⁽³⁾⁽⁴⁾
Fixed maturities:
U.S. Treasuries	$	1,937	$	360	$	2	$	—	$	2,295	$	—
U.S. Government agencies and authorities	204		38		—		—		242		—
State, municipalities and political subdivisions	1,652		29		22		—		1,659		—
U.S. corporate public securities	19,210		1,053		415		—		19,848		—
U.S. corporate private securities	6,264		138		170		—		6,232		—
Foreign corporate public securities and foreign governments⁽¹⁾	5,429		193		167		—		5,455		—
Foreign corporate private securities⁽¹⁾	5,176		70		152		—		5,094		—
Residential mortgage-backed securities	4,616		214		53		26		4,803		11
Commercial mortgage-backed securities	3,438		33		55		—		3,416		—
Other asset-backed securities	2,095		30		48		—		2,077		2
Total fixed maturities, including securities pledged	50,021		2,158		1,084		26		51,121		13
Less: Securities pledged	1,824		107		64		—		1,867		—
Total fixed maturities	$	48,197	$	2,051	$	1,020	$	26	$	49,254	$	13

⁽¹⁾ Primarily U.S. dollar denominated.

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

⁽⁴⁾ Amount excludes $300 of net unrealized gains on impaired available-for-sale securities.

The amortized cost and fair value of fixed maturities, including securities pledged, as of June 30, 2019, 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	$	1,265	$	1,277
After one year through five years	6,452		6,697
After five years through ten years	9,227		9,800
After ten years	21,370		24,575
Mortgage-backed securities	9,174		9,666
Other asset-backed securities	2,415		2,438
Fixed maturities, including securities pledged	$	49,903	$	54,453

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 June 30, 2019 and December 31, 2018, 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
June 30, 2019
Communications	$	2,456	$	368	$	1	$	2,823
Financial	5,184		614		6		5,792
Industrial and other companies	14,889		1,312		57		16,144
Energy	3,764		457		52		4,169
Utilities	6,270		575		23		6,822
Transportation	1,394		133		4		1,523
Total	$	33,957	$	3,459	$	143	$	37,273

December 31, 2018
Communications	$	2,554	$	162	$	35	$	2,681
Financial	5,200		293		90		5,403
Industrial and other companies	15,591		487		422		15,656
Energy	4,034		194		143		4,085
Utilities	6,560		253		158		6,655
Transportation	1,281		47		32		1,296
Total	$	35,220	$	1,436	$	880	$	35,776

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 June 30, 2019 and December 31, 2018, approximately 40.3% and 41.6%, 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 June 30, 2019 and December 31, 2018, the Company did not have any securities pledged in dollar rolls or reverse repurchase agreements. As of June 30, 2019, the carrying value of securities pledged and obligation to repay loans related to repurchase agreement transaction was $67, respectively, and included in Securities pledged and Payables under securities loan and repurchase agreements, including collateral held, respectively, on the Condensed Consolidated Balance Sheets. As of December 31, 2018, the carrying value of securities pledged and obligation to repay loans related to repurchase agreement transaction was $45 and $46, respectively. 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 June 30, 2019 and December 31, 2018, the fair value of loaned securities was $1,707 and $1,635, 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 June 30, 2019 and December 31, 2018, cash collateral retained by the lending agent and invested in short-term liquid assets on the Company's behalf was $1,525 and $1,581, respectively, and is recorded in Short-term investments under securities loan agreements, including collateral delivered on the Condensed Consolidated Balance Sheets. As of June 30, 2019 and December 31, 2018, liabilities to return collateral of $1,525 and $1,581, 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 June 30, 2019 and December 31, 2018, the fair value of securities retained as collateral by the lending agent on the Company’s behalf was $238 and $111, respectively.

The following table presents borrowings under securities lending transactions by asset class pledged as of the dates indicated:



	June 30, 2019 ⁽¹⁾⁽²⁾		December 31, 2018 ⁽¹⁾⁽²⁾
U.S. Treasuries	$	403	$	337
U.S. Government agencies and authorities	43		7
U.S. corporate public securities	860		992
Equity Securities	—		1
Short-term investments	61		—
Foreign corporate public securities and foreign governments	396		355
Payables under securities loan agreements	$	1,763	$	1,692

⁽¹⁾As of June 30, 2019 and December 31, 2018, borrowings under securities lending transactions include cash collateral of $1,525 and $1,581, respectively.

⁽²⁾As of June 30, 2019 and December 31, 2018, borrowings under securities lending transactions include non-cash collateral of $238 and $111, 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.

Unrealized Capital Losses

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 June 30, 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	$	—	$	—		$	54	$	—	*	$	54	$	—	*
State, municipalities and political subdivisions	7		—		*	49		2			56		2
U.S. corporate public securities	320		5			926		62			1,246		67
U.S. corporate private securities	273		5			496		33			769		38
Foreign corporate public securities and foreign governments	96		2			348		29			444		31
Foreign corporate private securities	86		1			491		14			577		15
Residential mortgage-backed	644		11			372		9			1,016		20
Commercial mortgage-backed	192		1			122		4			314		5
Other asset-backed	712		10			524		13			1,236		23
Total	$	2,330	$	35		$	3,382	$	166		$	5,712	$	201
Total number of securities in an unrealized loss position	342					542					884

*Less than $1.



	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	$	24	$	—	*	$	94	$	2	$	118	$	2
State, municipalities and political subdivisions	523		10			241		12		764		22
U.S. corporate public securities	6,544		305			972		110		7,516		415
U.S. corporate private securities	2,348		68			888		102		3,236		170
Foreign corporate public securities and foreign governments	2,379		119			314		48		2,693		167
Foreign corporate private securities	2,130		113			403		39		2,533		152
Residential mortgage-backed	897		18			602		35		1,499		53
Commercial mortgage-backed	1,555		33			550		22		2,105		55
Other asset-backed	1,436		46			98		2		1,534		48
Total	$	17,836	$	712		$	4,162	$	372	$	21,998	$	1,084
Total number of securities in an unrealized loss position	2,338					751				3,089

*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 other-than-temporarily impaired as of June 30, 2019. 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.

On a quarterly basis, the Company evaluates its available-for-sale investment portfolio to determine whether there has been an other-than-temporary decline in fair value below the amortized cost basis. All available-for-sale securities with fair values less than amortized cost are included in the Company’s evaluation. Generally, for non-structured securities, management considers the estimated fair value as the recovery value when available information does not indicate that another value is more appropriate. When information is identified that indicates a recovery value other than estimated fair value, management considers in the determination of recovery value the same consideration utilized in its overall impairment evaluation process, which incorporates available information and the company’s best estimate of scenario based outcomes regarding the specific security and issuer. The Company also considers quality and amount of any credit enhancement; the security's position within the capital structure of the issuer; fundamentals of the industry and geographic area in which the security issuer operates; and the overall macroeconomic conditions. For structured securities, such as non-agency RMBS, CMBS, and ABS, the Company evaluates other-than-temporary impairments based on actual and projected cash flows, after considering the quality and updated loan-to-value ratios, reflecting current home prices of the underlying collateral, forecasted loss severity, the payment priority in the tranche and any credit enhancement within the structure. In assessing credit impairment, the Company performs discounted cash flow analysis comparing the current amortized cost of a security to the present value of the expected future cash flows, including estimated defaults, and prepayments. The discount rate is generally the effective interest rate of the fixed maturity prior to the impairment.

See the Business, Basis of Presentation and Significant Accounting Policies Note to our Consolidated Financial Statements in Part II, Item 8. in our Annual Report on Form 10-K for the policy used to evaluate whether the investments are other-than-temporarily impaired.

Gross unrealized capital losses on fixed maturities, including securities pledged, decreased $883 from $1,084 to $201 for the six months ended June 30, 2019. The decrease in gross unrealized capital losses was primarily due to declining interest rates.

At June 30, 2019, $39 of the total $201 of gross unrealized losses were from 13 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 Other-Than-Temporary 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 other-than-temporarily 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 June 30,
	2019				2018
	Impairment			No. of Securities	Impairment		No. of Securities
Foreign corporate public securities and foreign governments⁽¹⁾	$	3		1	$	—	—
Foreign corporate private securities⁽¹⁾	—			—	—		—
Residential mortgage-backed	—		*	13	1		18
Other asset-backed	—		*	1	—		—
Total	$	3		15	$	1	18
Credit Impairments	$	—			$	1
Intent Impairments	$	3			$	—
⁽¹⁾ Primarily U.S. dollar denominated.
*Less than $1
	Six Months Ended June 30,
	2019				2018
	Impairment			No. of Securities	Impairment		No. of Securities
Foreign corporate public securities and foreign governments⁽¹⁾	$	3		1	$	—	—
Foreign corporate private securities⁽¹⁾	30			3	14		1
Residential mortgage-backed	—		*	24	1		25
Other asset-backed	1			3	—		—
Total	$	34		31	$	15	26
Credit Impairments	$	31			$	15
Intent Impairments	$	3			$	—
⁽¹⁾Primarily U.S. dollar denominated.
*Less than $1

The Company may sell securities during the period in which fair value has declined below amortized cost for fixed maturities. In certain situations, new factors, including changes in the business environment, can change the Company’s previous intent to continue holding a security. Accordingly, these factors may lead the Company to record additional intent related capital losses.

The following table presents the amount of credit impairments on fixed maturities for which a portion of the OTTI loss was recognized in Other comprehensive income (loss) and the corresponding changes in such amounts for the periods indicated:



	Three Months Ended June 30,
	2019		2018
Balance at April 1	$	19	$	24
Additional credit impairments:
On securities previously impaired	—		—
Reductions:
Increase in cash flows	—		—
Securities sold, matured, prepaid or paid down	—		2
Balance at June 30	$	19	$	22

	Six Months Ended June 30,
	2019		2018
Balance at January 1	$	22	$	40
Additional credit impairments:
On securities previously impaired	—		—
Reductions:
Increase in cash flows	1		—
Securities sold, matured, prepaid or paid down	2		18
Balance at June 30	$	19	$	22

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 valuation allowance recorded in connection with the troubled debt restructuring. A valuation 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 specific valuation allowance) before and after modification through a troubled debt restructuring may not change significantly, or may increase if the expected recovery is higher than the pre-modification recovery assessment. For the three and six months ended June 30, 2019, the Company did not have any new commercial mortgage loan troubled debt restructuring. For the three months ended June 30, 2019, the Company did not have any new private placement troubled debt restructuring. For the six months ended June 30, 2019, the Company had one new private placement troubled debt restructuring with a pre-modification cost basis of $124 and post-modification carrying value of $93. For the three and six months ended June 30, 2018, the Company did not have any new commercial mortgage loan or private placement troubled debt restructuring.

For the three and six months ended June 30, 2019 and June 30, 2018, respectively, 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 credit quality, 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.

The following table summarizes the Company's investment in mortgage loans as of the dates indicated:



	June 30, 2019								December 31, 2018
	Impaired		Non Impaired			Total			Impaired		Non Impaired			Total
Commercial mortgage loans	$	4	$	8,415		$	8,419		$	4	$	8,674		$	8,678
Collective valuation allowance for losses	N/A		(1		)	(1		)	N/A		(2		)	(2		)
Total net commercial mortgage loans	$	4	$	8,414		$	8,418		$	4	$	8,672		$	8,676

N/A - Not Applicable

There were no impairments on the mortgage loan portfolio for the three months ended June 30, 2019. There was one impairment of $2 on the mortgage loan portfolio for the six months ended June 30, 2019. There were no impairments on the mortgage loan portfolio for the three and six months ended June 30, 2018.

The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated:



	June 30, 2019			December 31, 2018
Collective valuation allowance for losses, balance at January 1	$	2		$	3
Addition to (reduction of) allowance for losses	(1		)	(1		)
Collective valuation allowance for losses, end of period	$	1		$	2

The carrying values and unpaid principal balances of impaired mortgage loans were as follows as of the dates indicated:



	June 30, 2019		December 31, 2018
Impaired loans, gross	$	4	$	4
Less: Allowances for losses on impaired loans	—		—
Impaired loans, net	$	4	$	4
Unpaid principal balance of impaired loans	$	5	$	5

As of June 30, 2019 and December 31, 2018, the Company did not have any impaired loans with allowances for losses.

Commercial 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 June 30, 2019 and December 31, 2018, the Company had no loans greater than 60 days in arrears and there were no mortgage loans in the Company's portfolio in process of foreclosure. The Company foreclosed on one loan during the six months ended June 30, 2019 with a carrying value of $5.

The following table presents information on the average investment during the period in impaired loans and interest income recognized on impaired and troubled debt restructured loans for the periods indicated:



	Three Months Ended June 30,
	2019		2018
Impaired loans, average investment during the period (amortized cost) ⁽¹⁾	$	6	$	4
Interest income recognized on impaired loans, on an accrual basis ⁽¹⁾	—		—
Interest income recognized on impaired loans, on a cash basis ⁽¹⁾	—		—
Interest income recognized on troubled debt restructured loans, on an accrual basis	—		—
⁽¹⁾ Includes amounts for Troubled debt restructured loans.

	Six Months Ended June 30,
	2019		2018
Impaired loans, average investment during the period (amortized cost) ⁽¹⁾	$	8	$	4
Interest income recognized on impaired loans, on an accrual basis ⁽¹⁾	—		—
Interest income recognized on impaired loans, on a cash basis ⁽¹⁾	—		—
Interest income recognized on troubled debt restructured loans, on an accrual basis	—		—

⁽¹⁾ Includes amounts for Troubled debt restructured loans.

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 table presents the LTV and DSC ratios as of the dates indicated:



				Recorded Investment
				Debt Service Coverage Ratios
				> 1.5x		>1.25x - 1.5x		>1.0x - 1.25x		< 1.0x		Commercial mortgage loans secured by land or construction loans		Total		% of Total
June 30, 2019⁽¹⁾
Loan-to-Value Ratios:
	0%	-	50%	$	714	$	42	$	11	$	2	$	—	$	769	9.1	%
>	50%	-	60%	1,830		63		74		4		—		1,971		23.4	%
>	60%	-	70%	3,581		459		601		179		49		4,869		57.8	%
>	70%	-	80%	320		249		87		70		12		738		8.8	%
>	80%	and above		15		48		1		8		—		72		0.9	%
Total				$	6,460	$	861	$	774	$	263	$	61	$	8,419	100.0	%

				Recorded Investment
				Debt Service Coverage Ratios
				> 1.5x		>1.25x - 1.5x		>1.0x - 1.25x		< 1.0x		Commercial mortgage loans secured by land or construction loans		Total		% of Total
December 31, 2018⁽¹⁾
Loan-to-Value Ratios:
	0%	-	50%	$	724	$	53	$	25	$	2	$	—	$	804	9.3	%
>	50%	-	60%	1,889		61		51		6		—		2,007		23.1	%
>	60%	-	70%	3,767		520		716		63		39		5,105		58.8	%
>	70%	-	80%	402		160		102		24		6		694		8.0	%
>	80%	and above		18		7		11		8		24		68		0.8	%
Total				$	6,800	$	801	$	905	$	103	$	69	$	8,678	100.0	%

⁽¹⁾Balances do not include collective valuation allowance for losses.

Properties collateralizing mortgage loans are geographically dispersed throughout the United States, as well as diversified by property type, as reflected in the following tables as of the dates indicated:



	June 30, 2019				December 31, 2018
	Gross Carrying Value		% of Total		Gross Carrying Value		% of Total
Commercial Mortgage Loans by U.S. Region:
Pacific	$	2,127	25.3	%	$	2,078	23.8	%
South Atlantic	1,698		20.1	%	1,771		20.4	%
Middle Atlantic	1,508		17.9	%	1,525		17.6	%
West South Central	914		10.9	%	952		11.0	%
Mountain	869		10.3	%	892		10.3	%
East North Central	721		8.6	%	833		9.6	%
New England	163		1.9	%	154		1.8	%
West North Central	342		4.1	%	390		4.5	%
East South Central	77		0.9	%	83		1.0	%
Total Commercial mortgage loans	$	8,419	100.0	%	$	8,678	100.0	%



	June 30, 2019				December 31, 2018
	Gross Carrying Value		% of Total		Gross Carrying Value		% of Total
Commercial Mortgage Loans by Property Type:
Retail	$	2,426	28.8	%	$	2,482	28.6	%
Industrial	2,001		23.8	%	2,074		23.9	%
Apartments	2,073		24.6	%	2,110		24.3	%
Office	1,197		14.2	%	1,316		15.2	%
Hotel/Motel	244		2.9	%	210		2.4	%
Other	404		4.8	%	411		4.7	%
Mixed Use	74		0.9	%	75		0.9	%
Total Commercial mortgage loans	$	8,419	100.0	%	$	8,678	100.0	%

Net Investment Income

The following table summarizes Net investment income for the periods indicated:



	Three Months Ended June 30,				Six Months Ended June 30,
	2019		2018		2019		2018
Fixed maturities	$	690	$	685	$	1,375	$	1,348
Equity securities	3		3		7		6
Mortgage loans on real estate	98		99		194		196
Policy loans	24		26		47		51
Short-term investments and cash equivalents	3		5		7		9
Other	84		11		108		60
Gross investment income	902		829		1,738		1,670
Less: investment expenses	22		16		43		34
Net investment income	$	880	$	813	$	1,695	$	1,636

As of June 30, 2019 and December 31, 2018, the Company had $2 and $5, 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 other-than-temporary 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 June 30,
	2019			2018
Fixed maturities, available-for-sale, including securities pledged	$	11		$	—
Fixed maturities, at fair value option	121			(143		)
Equity securities	8			1
Derivatives	(67		)	15
Embedded derivatives - fixed maturities	2			(5		)
Guaranteed benefit derivatives	(26		)	15
Other investments	1			(3		)
Net realized capital gains (losses)	$	50		$	(120	)

	Six Months Ended June 30,
	2019			2018
Fixed maturities, available-for-sale, including securities pledged	$	(6	)	$	(40	)
Fixed maturities, at fair value option	206			(333		)
Equity securities	15			(2		)
Derivatives	(66		)	32
Embedded derivatives - fixed maturities	3			(12		)
Guaranteed benefit derivatives	(84		)	43
Other investments	(1		)	11
Net realized capital gains (losses)	$	67		$	(301	)

For the three and six months ended June 30, 2019, the change in the fair value of equity securities still held as of June 30, 2019 was $8 and $15, respectively. For the three and six months ended June 30, 2018, the change in the fair value of equity securities still held as of June 30, 2018 was $1 and $(2), 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 June 30,				Six Months Ended June 30,
	2019		2018		2019		2018
Proceeds on sales	$	1,342	$	2,222	$	3,198	$	3,802
Gross gains	25		21		60		32
Gross losses	8		31		38		57