Variable Interest Entities (Tables) - Consolidated investment entities

6 Months Ended

Jun. 30, 2021

Assets and liabilities measured at fair value

Schedule of assets and liabilities measured at fair value on a recurring basis

	June 30, 2021
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Common stocks	$	—	$	2	$	—	$	2
Syndicated loans	—		2,497		112		2,609
Total investments	—		2,499		112		2,611
Receivables	—		48		—		48
Other assets	—		2		—		2
Total assets at fair value	$	—	$	2,549	$	112	$	2,661
Liabilities
Debt (1)	$	—	$	2,558	$	—	$	2,558
Other liabilities	—		139		—		139
Total liabilities at fair value	$	—	$	2,697	$	—	$	2,697

	December 31, 2020
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	8	$	—	$	8
Common stocks	—		1		—		1
Syndicated loans	—		1,817		92		1,909
Total investments	—		1,826		92		1,918
Receivables	—		16		—		16
Other assets	—		—		2		2
Total assets at fair value	$	—	$	1,842	$	94	$	1,936
Liabilities
Debt (1)	$	—	$	1,913	$	—	$	1,913
Other liabilities	—		69		—		69
Total liabilities at fair value	$	—	$	1,982	$	—	$	1,982

(1) The carrying value of the CLOs’ debt is set equal to the fair value of the CLOs’ assets. The estimated fair value of the CLOs’ debt was $2.6 billion and $2.0 billion as of June 30, 2021 and December 31, 2020, respectively.

Schedule of changes in Level 3 assets measured at fair value on a recurring basis

	Syndicated Loans
	(in millions)
Balance, April 1, 2021	$	155
Purchases	22
Sales	(24)
Settlements	(19)
Transfers into Level 3	28
Transfers out of Level 3	(50)
Balance, June 30, 2021	$	112
Changes in unrealized gains (losses) included in income relating to assets held at June 30, 2021	$	(1)	(1)

	Syndicated Loans
	(in millions)
Balance, April 1, 2020	$	302
Total gains (losses) included in:
Net income	18		(1)
Purchases	2
Sales	(8)
Settlements	(16)
Transfers into Level 3	102
Transfers out of Level 3	(189)
Balance, June 30, 2020	$	211
Changes in unrealized gains (losses) included in income relating to assets held at June 30, 2020	$	17	(1)

	Syndicated Loans			Other Assets
	(in millions)
Balance, January 1, 2021	$	92		$	2
Total gains (losses) included in:
Net income	2		(1)	—
Purchases	81			—
Sales	(34)			—
Settlements	(39)			—
Transfers into Level 3	85			—
Transfers out of Level 3	(75)			(2)
Balance, June 30, 2021	$	112		$	—
Changes in unrealized gains (losses) included in income relating to assets held at June 30, 2021	$	(1)	(1)	$	—

	Syndicated Loans
	(in millions)
Balance, January 1, 2020	$	143
Total gains (losses) included in:
Net income	(21)		(1)
Purchases	45
Sales	(15)
Settlements	(26)
Transfers into Level 3	350
Transfers out of Level 3	(265)
Balance, June 30, 2020	$	211
Changes in unrealized gains (losses) included in income relating to assets held at June 30, 2020	$	3	(1)

(1) Included in net investment income in the Consolidated Statements of Operations.

Schedule of fair value and unpaid principal balance of assets and liabilities carried at fair value under the fair value option

	June 30, 2021		December 31, 2020
	(in millions)
Syndicated loans
Unpaid principal balance	$	2,666	$	1,990
Excess unpaid principal over fair value	(57)		(81)
Fair value	$	2,609	$	1,909
Fair value of loans more than 90 days past due	$	2	$	5
Fair value of loans in nonaccrual status	29		19
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both	18		24
Debt
Unpaid principal balance	$	2,696	$	2,069
Excess unpaid principal over fair value	(138)		(156)
Carrying value (1)	$	2,558	$	1,913

(1) The carrying value of the CLOs’ debt is set equal to the fair value of the CLOs’ assets. The estimated fair value of the CLOs’ debt was $2.6 billion and $2.0 billion as of June 30, 2021 and December 31, 2020, respectively.

Schedule of debt and stated interest rates

	Carrying Value				Weighted Average Interest Rate
	June 30, 2021		December 31, 2020		June 30, 2021		December 31, 2020
	(in millions)
Debt of consolidated CLOs due 2025-2034	$	2,558	$	1,913	1.8	%	2.1	%