Variable Interest and Securitization Entities (Tables)

12 Months Ended

Dec. 31, 2017

The following table shows the assets and liabilities that were recorded for the consolidated securitization entities as of December 31:


(Amounts in millions)	2017		2016
Assets
Investments:
Restricted commercial mortgage loans	$	107	$	129
Restricted other invested assets:
Trading securities		—		312

Total restricted other invested assets		—		312

Total investments		107		441
Cash and cash equivalents		1		1
Accrued investment income		—		1
Other assets		—		1

Total assets	$	108	$	444

Liabilities
Other liabilities:
Derivative liabilities	$	—	$	1

Total other liabilities		—		1
Borrowings related to securitization entities		40		74

Total liabilities	$	40	$	75

Schedule of Income Statement Activity Related to Variable Interest Entities

The following table shows the activity presented in our consolidated statement of income related to the consolidated securitization entities for the years ended December 31:


(Amounts in millions)	2017			2016			2015
Revenues:
Net investment income:
Restricted commercial mortgage loans	$	9		$	10		$	14
Restricted other invested assets		1			3			5

Total net investment income		10			13			19

Net investment gains (losses):
Derivatives		7			8			3
Trading securities		—			(57	)		(2	)
Borrowings related to securitization entities recorded at fair value		—			(1	)		4

Total net investment gains (losses)		7			(50	)		5

Other income		—			64			—

Total revenues		17			27			24

Expenses:
Interest expense		6			7			9

Total expenses		6			7			9

Income before income taxes		11			20			15
Provision (benefit) for income taxes		(6	)		7			5

Net income	$	17		$	13		$	10

Borrowings related to securitization entities were as follows as of December 31:


	2017				2016
(Amounts in millions)	Principal amount		Carrying value		Principal amount		Carrying value
GFCM LLC, due 2035, 5.7426%	$	40	$	40	$	62	$	62
Marvel Finance 2007-4 LLC, due 2017 ^{(1), (2)}		—		—		12		12

Total	$	40	$	40	$	74	$	74

⁽¹⁾	Accrual of interest based on three-month LIBOR that resets every three months plus a fixed margin.

⁽²⁾	Carrying value represents fair value as a result of electing fair value option for these liabilities.

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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