Investments

9 Months Ended

Sep. 30, 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 September 30, 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	$	542	$	207	$	—	$	—	$	749	$	—
U.S. Government agencies and authorities	18		2		—		—		20		—
State, municipalities and political subdivisions	700		118		—		—		818		—
U.S. corporate public securities	7,348		1,317		32		—		8,633		—
U.S. corporate private securities	3,719		519		31		—		4,207		—
Foreign corporate public securities and foreign governments(1)	2,521		348		9		—		2,860		—
Foreign corporate private securities(1)	3,089		300		31		—		3,358		—
Residential mortgage-backed securities	4,134		185		29		13		4,301		2
Commercial mortgage-backed securities	2,825		192		57		—		2,959		1
Other asset-backed securities	1,499		25		18		—		1,503		3
Total fixed maturities, including securities pledged	26,395		3,213		207		13		29,408		6
Less: Securities pledged	396		83		3		—		476		—
Total fixed maturities	$	25,999	$	3,130	$	204	$	13	$	28,932	$	6

(1) Primarily U.S. dollar denominated.

(2) Embedded derivatives within fixed maturity securities are reported with the host investment. The changes in fair value of embedded derivatives are reported in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.

Available-for-sale and FVO fixed maturities were as follows as of December 31, 2019:

	Amortized 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 September 30, 2020, are shown below by contractual maturity. Actual maturities may differ from contractual maturities as securities may be restructured, called or prepaid. Mortgage-backed securities ("MBS") and Other asset-backed securities ("ABS") are shown separately because they are not due at a single maturity date.

	Amortized Cost		Fair Value
Due to mature:
One year or less	$	858	$	868
After one year through five years	3,341		3,561
After five years through ten years	5,359		6,010
After ten years	8,379		10,206
Mortgage-backed securities	6,959		7,260
Other asset-backed securities	1,499		1,503
Fixed maturities, including securities pledged	$	26,395	$	29,408

The investment portfolio is monitored to maintain a diversified portfolio on an ongoing basis. Credit risk is mitigated by monitoring concentrations by issuer, sector and geographic stratification and limiting exposure to any one issuer. 

As of September 30, 2020 and December 31, 2019, the Company did not have any investments in a single issuer, other than obligations of the U.S. Government and government agencies, with a carrying value in excess of 10% of the Company's Total shareholder's equity.

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

	Amortized Cost		Gross Unrealized Capital Gains		Gross Unrealized Capital Losses		Fair Value
September 30, 2020
Communications	$	981	$	214	$	1	$	1,194
Financial	2,751		412		9		3,154
Industrial and other companies	7,088		1,024		26		8,086
Energy	1,600		193		38		1,755
Utilities	3,005		494		1		3,498
Transportation	923		101		25		999
Total	$	16,348	$	2,438	$	100	$	18,686
December 31, 2019
Communications	$	1,002	$	156	$	—	$	1,158
Financial	2,650		302		—		2,952
Industrial and other companies	7,053		667		11		7,709
Energy	1,675		185		18		1,842
Utilities	2,913		294		1		3,206
Transportation	856		78		2		932
Total	$	16,149	$	1,682	$	32	$	17,799

The Company has elected the FVO for certain of its fixed maturities to better match the measurement of assets and liabilities in the Condensed Consolidated Statements of Operations. Certain collateralized mortgage obligations ("CMOs"), primarily interest-only and principal-only strips, are accounted for as hybrid instruments and reported at fair value with changes in the fair value recorded in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.

The Company invests in various categories of CMOs, including CMOs that are not agency-backed, that are subject to different degrees of risk from changes in interest rates and defaults. The principal risks inherent in holding CMOs are prepayment and extension risks related to significant decreases and increases in interest rates resulting in the prepayment of principal from the underlying mortgages, either earlier or later than originally anticipated. As of September 30, 2020 and December 31, 2019, approximately 49.0% and 48.4%, respectively, of the Company’s CMO holdings, were invested in the above mentioned types of CMOs such as interest-only or principal-only strips, that are subject to more prepayment and extension risk than traditional CMOs.

Public corporate fixed maturity securities are distinguished from private corporate fixed maturity securities based upon the manner in which they are transacted. Public corporate fixed maturity securities are issued initially through market intermediaries on a registered basis or pursuant to Rule 144A under the Securities Act of 1933 (the "Securities Act") and are traded on the secondary market through brokers acting as principal. Private corporate fixed maturity securities are originally issued by borrowers directly to investors pursuant to Section 4(a)(2) of the Securities Act, and are traded in the secondary market directly with counterparties, either without the participation of a broker or in agency transactions.

Repurchase Agreements

As of September 30, 2020 and December 31, 2019, the Company did not have any securities pledged in dollar rolls, repurchase agreement transactions or reverse repurchase agreements.

Securities Lending

The Company engages in securities lending whereby the initial collateral is required at a rate of 102% of the market value of the loaned securities.  The lending agent retains the collateral and invests it in high quality liquid assets on behalf of the Company. The market value of the loaned securities is monitored on a daily basis with additional collateral obtained or refunded as the market value of the loaned securities fluctuates. The lending agent indemnifies the Company against losses resulting from the failure of a counterparty to return securities pledged where collateral is insufficient to cover the loss. As of September 30, 2020 and December 31, 2019, the fair value of loaned securities was $380 and $715, respectively, and is included in Securities pledged on the Condensed Consolidated Balance Sheets.

If cash is received as collateral, the lending agent retains the cash collateral and invests it in short-term liquid assets on behalf of the Company. As of September 30, 2020 and December 31, 2019, cash collateral retained by the lending agent and invested in short-term liquid assets on the Company's behalf was $183 and $650, respectively, and is recorded in Short-term investments under securities loan agreements, including collateral delivered on the Condensed Consolidated Balance Sheets. As of September 30, 2020 and December 31, 2019, liabilities to return collateral of $183 and $650, respectively, are included in Payables under securities loan agreements, including collateral held, on the Condensed Consolidated Balance Sheets.

The Company accepts non-cash collateral in the form of securities. The securities retained as collateral by the lending agent may not be sold or re-pledged, except in the event of default, and are not reflected on the Company’s Condensed Consolidated Balance Sheets. This collateral generally consists of U.S. Treasury, U.S. Government agency securities and MBS pools. As of September 30, 2020 and December 31, 2019, the fair value of securities retained as collateral by the lending agent on the Company’s behalf was $207 and $91, respectively.

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

	September 30, 2020 (1)(2)		December 31, 2019 (1)(2)
U.S. Treasuries	$	103	$	109
U.S. corporate public securities	121		447
Foreign corporate public securities and foreign governments	61		185
Equity Securities	105		—
Payables under securities loan agreements	$	390	$	741

(1) As of September 30, 2020 and December 31, 2019, borrowings under securities lending transactions include cash collateral of $183 and $650, respectively.

(2) As of September 30, 2020 and December 31, 2019, borrowings under securities lending transactions include non-cash collateral of $207 and $91, respectively.

The Company's securities lending activities are conducted on an overnight basis, and all securities loaned can be recalled at any time. The Company does not offset assets and liabilities associated with its securities lending program.

Variable Interest Entities ("VIEs")

The Company holds certain VIEs for investment purposes. VIEs may be in the form of private placement securities, structured securities, securitization transactions or limited partnerships. The Company has reviewed each of its holdings and determined that consolidation of these investments in the Company’s financial statements is not required, as the Company is not the primary beneficiary, because the Company does not have both the power to direct the activities that most significantly impact the entity’s economic performance and the obligation or right to potentially significant losses or benefits, for any of its investments in VIEs. The Company did not provide any non-contractual financial support and its carrying value represents the Company’s exposure to loss. The carrying value of the investments in VIEs was $757 and $738 as of September 30, 2020 and December 31, 2019, respectively; these investments are included in Limited partnerships/corporations on the Condensed Consolidated Balance Sheets. Income and losses recognized on these investments are reported in Net investment income in the Condensed Consolidated Statements of Operations.

Securitizations

The Company invests in various tranches of securitization entities, including Residential mortgage-backed securities ("RMBS"), Commercial mortgage-backed securities ("CMBS") and ABS. Through its investments, the Company is not obligated to provide any financial or other support to these entities. Each of the RMBS, CMBS and ABS entities are thinly capitalized by design and considered VIEs. The Company's involvement with these entities is limited to that of a passive investor. The Company has no unilateral right to appoint or remove the servicer, special servicer or investment manager, which are generally viewed to have the power to direct the activities that most significantly impact the securitization entities' economic performance, in any of these entities, nor does the Company function in any of these roles. The Company, through its investments or other arrangements, does not have the obligation to absorb losses or the right to receive benefits from the entity that could potentially be significant to the entity. Therefore, the Company is not the primary beneficiary and does not consolidate any of the RMBS, CMBS and ABS entities in which it holds investments. These investments are accounted for as investments available-for-sale as described in the Fair Value Measurements Note to these Condensed Consolidated Financial Statements and unrealized capital gains (losses) on these securities are recorded directly in AOCI, except for certain RMBS that are accounted for under the FVO, for which changes in fair value are reflected in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. The Company’s maximum exposure to loss on these structured investments is limited to the amount of its investment.

Allowance for credit losses

The following table presents a rollforward of the allowance for credit losses on available-for-sale fixed maturity securities for the period presented:

	Nine Months Ended September 30, 2020
	Residential mortgage-backed securities		Commercial mortgage-backed securities		Other asset-backed securities		Total
Balance as of January 1, 2020	$	—	$	—	$	—	$	—
Credit losses on securities for which credit losses were not previously recorded	2		1		3		6
Initial allowance for credit losses recognized on financial assets accounted for as PCD	—		—		—		—
Reductions for securities sold during the period	—		—		—		—
Reductions for intent to sell or more likely than not will be required to sell securities prior to recovery of amortized cost	—		—		—		—
Increase (decrease) on securities with allowance recorded in previous period	—		—		—		—
Write-offs	—		—		—		—
Recoveries of amounts previously written off	—		—		—		—
Balance at September 30, 2020	$	2	$	1	$	3	$	6

Unrealized Capital Losses

The following table presents available-for-sale fixed maturities, including securities pledged, for which an allowance for credit losses has not been recorded by market sector and duration as of the date indicated:

	Twelve Months or Less Below Amortized Cost					More Than Twelve Months Below Amortized Cost					Total
September 30, 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	$	9	$	—	3	$	—	$	—	—	$	9	$	—	3
State, municipalities and political subdivisions	11		—		5	—		—		—	11		—		5
U.S. corporate public securities	673		25		326	38		7		10	711		32		336
U.S. corporate private securities	251		10		31	68		21		8	319		31		39
Foreign corporate public securities and foreign governments	134		7		62	10		2		4	144		9		66
Foreign corporate private securities	246		31		30	3		—		1	249		31		31
Residential mortgage-backed	579		24		121	139		5		62	718		29		183
Commercial mortgage-backed	917		56		170	13		1		3	930		57		173
Other asset-backed	544		7		132	296		11		103	840		18		235
Total	$	3,364	$	160	880	$	567	$	47	191	$	3,931	$	207	1,071

The Company concluded that an allowance for credit losses was unnecessary for these securities because the unrealized losses are not credit related.

Unrealized capital losses (including noncredit impairments), along with the fair value of fixed maturity securities, including securities pledged, by market sector and duration were as follows as of December 31, 2019:

	Twelve Months or Less Below Amortized Cost				More Than Twelve 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 September 30, 2020. The Company does not intend to sell the investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases. See the Business, Basis of Presentation and Significant Accounting Policies Note to these Consolidated Financial Statements for the policy used to evaluate whether the investments are impaired.

Gross unrealized capital losses on fixed maturities, including securities pledged, increased $144 from $63 to $207 for the nine months ended September 30, 2020. The increase in gross unrealized capital losses was primarily due to non-credit related market factors.

At September 30, 2020, $6 of the total $207 of gross unrealized losses were from 3 available-for-sale fixed maturity securities with an unrealized loss position of 20% or more of amortized cost for 12 months or greater.

Evaluating Securities for Impairments

The Company performs a regular evaluation, on a security-by-security basis, of its available-for-sale securities holdings, including fixed maturity securities in accordance with its impairment policy in order to evaluate whether such investments are impaired.

The following tables identify the Company's impairments included in the Condensed Consolidated Statements of Operations, excluding impairments included in Other comprehensive income (loss) by type for the periods indicated:

	Three Months Ended September 30,
	2020			2019
	Impairment		No. of Securities	Impairment			No. of Securities
State, municipalities, and political subdivisions	$	—	1	$	—		—
U.S. corporate public securities	1		9	—			—
U.S. corporate private securities	—		1	—			—
Foreign corporate public securities and foreign governments(1)	—		5	1			2
Foreign corporate private securities(1)	—		—	—			1
Residential mortgage-backed	1		18	2			11
Commercial mortgage-backed	3		12	—			—
Other asset-backed	—		1	—		*	1
Total	$	5	47	$	3		15
Credit Impairments	$	—		$	1
Intent Impairments	$	5		$	2
(1) Primarily U.S. dollar denominated.
*Less than $1.
	Nine Months Ended September 30,
	2020			2019
	Impairment		No. of Securities	Impairment			No. of Securities
State, municipalities, and political subdivisions	$	—	6	$	—		—
U.S. corporate public securities	12		43	—			—
U.S. corporate private securities	—		2	—			—
Foreign corporate public securities and foreign governments(1)	1		22	2			3
Foreign corporate private securities(1)	—		7	18			4
Residential mortgage-backed	2		40	2			21
Commercial mortgage-backed	20		102	—			—
Other asset-backed	1		60	—		*	4
Total	$	36	282	$	22		32
Credit Impairments	$	—		$	19
Intent Impairments	$	36		$	3
(1) Primarily U.S. dollar denominated.
*Less than $1.

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

For the three and nine months ended September 30, 2020 intent impairments in the amount of $1 and $25 were recorded on assets designated to be included in the reinsurance agreement associated with the Individual Life Transaction.

Troubled Debt Restructuring

The Company invests in high quality, well performing portfolios of commercial mortgage loans and private placements. Under certain circumstances, modifications are granted to these contracts. Each modification is evaluated as to whether a troubled debt restructuring has occurred. A modification is a troubled debt restructuring when the borrower is in financial difficulty and the creditor makes concessions. Generally, the types of concessions may include reducing the face amount or maturity amount of the debt as originally stated, reducing the contractual interest rate, extending the maturity date at an interest rate lower than current market interest rates and/or reducing accrued interest. The Company considers the amount, timing and extent of the concession granted in determining any impairment or changes in the specific credit allowance recorded in connection with the troubled debt restructuring. A credit allowance may have been recorded prior to the quarter when the loan is modified in a troubled debt restructuring. Accordingly, the carrying value (net of the allowance) before and after modification through a troubled debt restructuring may not change significantly, or may increase if the expected recovery is higher than the pre-modification recovery assessment. For the three and nine months ended September 30, 2020, the Company did have one new commercial mortgage loan troubled debt restructuring with a pre and post modification carrying value of $3. For the three and nine months ended September 30, 2020 the company did not have any new private placement troubled debt restructuring. For the three and nine months ended September 30, 2019, the Company did have one new commercial mortgage loan and had one new private placement troubled debt restructuring with a pre-modification cost basis of $74 and post-modification carrying value of $57.

For the three and nine months ended September 30, 2020 and September 30, 2019, the Company did not have any commercial mortgage loans or private placements modified in a troubled debt restructuring with a subsequent payment default.

Mortgage Loans on Real Estate

The Company diversifies its commercial mortgage loan portfolio by geographic region and property type to reduce concentration risk. The Company manages risk when originating commercial mortgage loans by generally lending only up to 75% of the estimated fair value of the underlying real estate. Subsequently, the Company continuously evaluates mortgage loans based on relevant current information including a review of loan-specific performance, property characteristics and market trends. Loan performance is monitored on a loan specific basis through the review of submitted appraisals, operating statements, rent revenues and annual inspection reports, among other items. This review ensures properties are performing at a consistent and acceptable level to secure the debt. The components to evaluate debt service coverage are received and reviewed at least annually to determine the level of risk.

Loan-to-value ("LTV") and debt service coverage ("DSC") ratios are measures commonly used to assess the risk and quality of mortgage loans. The LTV ratio, calculated at time of origination, is expressed as a percentage of the amount of the loan relative to the value of the underlying property. A LTV ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. The DSC ratio, based upon the most recently received financial statements, is expressed as a percentage of the amount of a property’s net income to its debt service payments. A DSC ratio of less than 1.0 indicates that a property’s operations do not generate sufficient income to cover debt payments. These ratios are utilized as part of the review process described above.

The following tables present commercial mortgage loans by year of origination and LTV ratio as of the dates indicated.

	As of September 30, 2020
	Loan-to-Value Ratios
Year of Origination	0% - 50%		>50% - 60%		>60% - 70%		>70% - 80%		>80% and above		Total
2020	$	98	$	156	$	28	$	—	$	—	$	282
2019	218		178		85		15		—		496
2018	114		102		74		—		—		290
2017	505		359		17		—		—		881
2016	394		284		6		—		—		684
2015	406		73		—		—		—		479
2014 and prior	1,250		284		24		—		—		1,558
Total	$	2,985	$	1,436	$	234	$	15	$	—	$	4,670

	As of December 31, 2019
	Loan-to-Value Ratios
Year of Origination	0% - 50%		>50% - 60%		>60% - 70%		>70% - 80%		>80% and above		Total
2020	$	—	$	—	$	—	$	—	$	—	$	—
2019	85		96		145		170		26		522
2018	4		88		110		133		14		349
2017	101		244		566		13		10		934
2016	46		150		470		31		—		697
2015	10		343		168		8		—		529
2014 and prior	134		252		1,093		154		—		1,633
Total	$	380	$	1,173	$	2,552	$	509	$	50	$	4,664

The following tables present commercial mortgage loans by year of origination and DSC ratio as of the dates indicated.

	As of September 30, 2020
	Debt Service Coverage Ratios
Year of Origination	>1.5x		>1.25x - 1.5x		>1.0x - 1.25x		<1.0x		Commercial mortgage loans secured by land or construction loans		Total
2020	$	218	$	54	$	10	$	—	$	—	$	282
2019	328		77		36		55		—		496
2018	129		49		65		47		—		290
2017	496		219		105		61		—		881
2016	598		55		31		—		—		684
2015	455		23		1		—		—		479
2014 and prior	1,279		158		57		64		—		1,558
Total	$	3,503	$	635	$	305	$	227	$	—	$	4,670

	As of December 31, 2019
	Debt Service Coverage Ratios
Year of Origination	>1.5x		>1.25x - 1.5x		>1.0x - 1.25x		<1.0x		Commercial mortgage loans secured by land or construction loans		Total
2020	$	—	$	—	$	—	$	—	$	—	$	—
2019	353		127		42		—		—		522
2018	236		3		60		50		—		349
2017	481		238		133		82		—		934
2016	615		59		23		—		—		697
2015	492		32		—		5		—		529
2014 and prior	1,358		128		88		59		—		1,633
Total	$	3,535	$	587	$	346	$	196	$	—	$	4,664

The following tables present the commercial mortgage loans by year of origination and U.S. region as of the dates indicated.

	As of September 30, 2020
	U.S. Region
Year of Origination	Pacific		South Atlantic		Middle Atlantic		West South Central		Mountain		East North Central		New England		West North Central		East South Central		Total
2020	$	62	$	124	$	20	$	28	$	15	$	13	$	—	$	—	$	20	$	282
2019	64		125		11		149		54		38		17		11		27		496
2018	49		99		57		35		26		11		—		13		—		290
2017	100		98		357		149		75		60		5		37		—		881
2016	156		130		180		32		73		77		9		21		6		684
2015	110		134		101		31		42		48		9		4		—		479
2014 and prior	426		300		236		114		164		136		40		113		29		1,558
Total	$	967	$	1,010	$	962	$	538	$	449	$	383	$	80	$	199	$	82	$	4,670

	As of December 31, 2019
	U.S. Region
Year of Origination	Pacific		South Atlantic		Middle Atlantic		West South Central		Mountain		East North Central		New England		West North Central		East South Central		Total
2020	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2019	63		127		26		155		53		43		18		11		26		522
2018	50		132		60		43		26		11		—		12		15		349
2017	103		99		396		151		77		60		5		43		—		934
2016	158		132		187		32		75		77		9		21		6		697
2015	125		160		103		34		43		50		10		4		—		529
2014 and prior	445		316		247		122		168		142		42		121		30		1,633
Total	$	944	$	966	$	1,019	$	537	$	442	$	383	$	84	$	212	$	77	$	4,664

The following tables present the commercial mortgage loans by year of origination and property type as of the dates indicated.

	As of September 30, 2020
	Property Type
Year of Origination	Retail		Industrial		Apartments		Office		Hotel/Motel		Other		Mixed Use		Total
2020	$	44	$	23	$	103	$	112	$	—	$	—	$	—	$	282
2019	33		73		293		76		21		—		—		496
2018	50		79		123		17		3		18		—		290
2017	102		421		216		138		4		—		—		881
2016	129		246		146		145		8		7		3		684
2015	122		181		66		51		18		41		—		479
2014 and prior	694		131		284		220		63		126		40		1,558
Total	$	1,174	$	1,154	$	1,231	$	759	$	117	$	192	$	43	$	4,670

	As of December 31, 2019
	Property Type
Year of Origination	Retail		Industrial		Apartments		Office		Hotel/Motel		Other		Mixed Use		Total
2020	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2019	33		90		299		81		19		—		—		522
2018	52		91		152		32		4		18		—		349
2017	104		461		218		147		4		—		—		934
2016	131		254		147		146		8		7		4		697
2015	148		185		69		62		23		42		—		529
2014 and prior	730		135		300		229		69		130		40		1,633
Total	$	1,198	$	1,216	$	1,185	$	697	$	127	$	197	$	44	$	4,664

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

	September 30, 2020
Allowance for credit losses, balance at January 1	$	12
Credit losses on mortgage loans for which credit losses were not previously recorded	1
Initial allowance for credit losses recognized on financial assets accounted for as PCD	—
Increase (decrease) on mortgage loans with allowance recorded in previous period	28
Provision for expected credit losses	41
Writeoffs	(2)
Recoveries of amounts previously written off	—
Allowance for credit losses, end of period	$	39

While still heavily impacted by COVID-19, the Commercial Mortgage Loan portfolio allowance decreased during the quarter as certain sectors of the economy resumed operations, albeit at lower than pre-pandemic levels. We continue to observe distress in the hotel sector.

To provide temporary financial assistance to our commercial mortgage loans borrowers adversely effected by COVID-19 related stress, the Company has provided payment forbearance to approximately 7% of the outstanding principal amount of our commercial mortgage loans. Deferred payment amounts are expected to be repaid across the 12 months following the end of the agreed upon forbearance period. No modifications to any commercial mortgage loans have been made as of the issuance date of this filing.

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

	September 30, 2020		December 31, 2019
Delinquency:
Current	$	4,665	$	4,664
30-59 days past due	2		—
60-89 days past due	—		—
Greater than 90 days past due	3		—
Total	$	4,670	$	4,664

Commercial mortgage loans are placed on non-accrual status when 90 days in arrears if the Company has concerns regarding the collectability of future payments, or if a loan has matured without being paid off or extended. As of September 30, 2020, the Company had one commercial mortgage loans in non-accrual status. As of December 31, 2019, the Company had no commercial mortgage loans in non-accrual status. There was no interest income recognized on loans in non-accrual status for the nine months ended September 30, 2020 and at December 31, 2019.

As of September 30, 2020 and December 31, 2019, the Company had no commercial mortgage loans that were over 90 days or more past due but are not on non-accrual status. The Company had no commercial mortgage loans on non-accrual status for which there is no related allowance for credit losses as of September 30, 2020.

Net Investment Income

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

	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Fixed maturities	$	415	$	352	$	1,186	$	1,058
Equity securities	2		2		6		5
Mortgage loans on real estate	50		54		150		163
Policy loans	3		—		9		4
Short-term investments and cash equivalents	—		1		1		3
Other	54		22		33		55
Gross investment income	524		431		1,385		1,288
Less: Investment expenses	19		18		56		53
Net investment income	$	505	$	413	$	1,329	$	1,235

As of September 30, 2020 and December 31, 2019, the Company had $1 and $0, respectively, of investments in fixed maturities that did not produce net investment income. Fixed maturities are moved to a non-accrual status when the investment defaults.

Interest income on fixed maturities is recorded when earned using an effective yield method, giving effect to amortization of premiums and accretion of discounts. Such interest income is recorded in Net investment income in the Condensed Consolidated Statements of Operations.

Net Realized Capital Gains (Losses)

Net realized capital gains (losses) comprise the difference between the amortized cost of investments and proceeds from sale and redemption, as well as losses incurred due to the credit-related and intent-related impairment of investments. Realized investment gains and losses are also primarily generated from changes in fair value of embedded derivatives within products and fixed maturities, changes in fair value of fixed maturities recorded at FVO and changes in fair value including accruals on derivative instruments, except for effective cash flow hedges. Net realized capital gains (losses) also include changes in fair value of equity securities. The cost of the investments on disposal is generally determined based on first-in-first-out ("FIFO") methodology.

Net realized capital gains (losses) were as follows for the periods indicated:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Fixed maturities, available-for-sale, including securities pledged	$	(5)	$	44	$	(26)	$	31
Fixed maturities, at fair value option	(125)		(18)		(109)		59
Equity securities	4		—		5		4
Derivatives	5		13		57		(69)
Embedded derivatives - fixed maturities	(2)		2		2		4
Guaranteed benefit derivatives	31		(36)		(99)		(49)
Other investments	14		(1)		(29)		(2)
Net realized capital gains (losses)	$	(78)	$	4	$	(199)	$	(22)

For the three and nine months ended September 30, 2020, the change in fair value of equity securities still held as of September 30, 2020 was $4 and $5, respectively. For the three and nine months ended September 30, 2019, the change in fair value of equity securities still held as of September 30, 2019 was $0 and $4, respectively.

Proceeds from the sale of fixed maturities, available-for-sale, and equity securities and the related gross realized gains and losses, before tax, were as follows for the periods indicated:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Proceeds on sales	$	234	$	340	$	1,094	$	1,915
Gross gains	3		6		64		25
Gross losses	3		4		55		18