Variable Interest Entities (Tables) - Consolidated investment entities

9 Months Ended

Sep. 30, 2021

Assets and liabilities measured at fair value

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

	September 30, 2021
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Common stocks	$	—	$	2	$	—	$	2
Syndicated loans	—		2,123		45		2,168
Total investments	—		2,125		45		2,170
Receivables	—		18		—		18
Other assets	—		2		—		2
Total assets at fair value	$	—	$	2,145	$	45	$	2,190
Liabilities
Debt (1)	$	—	$	2,163	$	—	$	2,163
Other liabilities	—		71		—		71
Total liabilities at fair value	$	—	$	2,234	$	—	$	2,234

	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 $2.2 billion and $2.0 billion as of September 30, 2021 and December 31, 2020, respectively.

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

	Syndicated Loans
	(in millions)
Balance, July 1, 2021	$	112
Purchases	7
Sales	(4)
Settlements	(10)
Transfers into Level 3	5
Transfers out of Level 3	(47)
Deconsolidation of consolidated investment entities	(18)
Balance, September 30, 2021	$	45

	Syndicated Loans
	(in millions)
Balance, July 1, 2020	$	211
Total gains (losses) included in:
Net income	2		(1)
Purchases	35
Sales	(12)
Settlements	(6)
Transfers into Level 3	29
Transfers out of Level 3	(141)
Balance, September 30, 2020	$	118
Changes in unrealized gains (losses) included in income relating to assets held at September 30, 2020	$	1	(1)

	Syndicated Loans			Other Assets
	(in millions)
Balance, January 1, 2021	$	92		$	2
Total gains (losses) included in:
Net income	2		(1)	—
Purchases	88			—
Sales	(38)			—
Settlements	(49)			—
Transfers into Level 3	90			—
Transfers out of Level 3	(122)			(2)
Deconsolidation of consolidated investment entities	(18)			—
Balance, September 30, 2021	$	45		$	—

	Syndicated Loans
	(in millions)
Balance, January 1, 2020	$	143
Total gains (losses) included in:
Net income	(19)		(1)
Purchases	80
Sales	(27)
Settlements	(32)
Transfers into Level 3	379
Transfers out of Level 3	(406)
Balance, September 30, 2020	$	118
Changes in unrealized gains (losses) included in income relating to assets held at September 30, 2020	$	(2)	(1)

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

Schedule of fair value and unpaid principal balance of loans and debt for which fair value option has been elected

	September 30, 2021		December 31, 2020
	(in millions)
Syndicated loans
Unpaid principal balance	$	2,223	$	1,990
Excess unpaid principal over fair value	(55)		(81)
Fair value	$	2,168	$	1,909
Fair value of loans more than 90 days past due	$	2	$	5
Fair value of loans in nonaccrual status	5		19
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both	5		24
Debt
Unpaid principal balance	$	2,298	$	2,069
Excess unpaid principal over fair value	(135)		(156)
Carrying value (1)	$	2,163	$	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 $2.2 billion and $2.0 billion as of September 30, 2021 and December 31, 2020, respectively.

Schedule of debt and stated interest rates

	Carrying Value				Weighted Average Interest Rate
	September 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
	(in millions)
Debt of consolidated CLOs due 2025-2034	$	2,163	$	1,913	1.7	%	2.1	%