Variable Interest Entities (Tables) - Consolidated investment entities

12 Months Ended

Dec. 31, 2021

Fair Values of Assets and Liabilities

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

	December 31, 2021
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Common stocks	$	—	$	3	$	—	$	3
Syndicated loans	—		2,117		64		2,181
Total investments	—		2,120		64		2,184
Receivables	—		17		—		17
Other assets	—		—		3		3
Total assets at fair value	$	—	$	2,137	$	67	$	2,204
Liabilities
Debt (1)	$	—	$	2,164	$	—	$	2,164
Other liabilities	—		137		—		137
Total liabilities at fair value	$	—	$	2,301	$	—	$	2,301

	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 December 31, 2021 and 2020, respectively.

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

	Syndicated Loans			Other Assets
	(in millions)
Balance, January 1, 2021	$	92		$	2
Total gains (losses) included in:
Net income	2		(1)	1		(1)
Purchases	106			—
Sales	(38)			—
Settlements	(49)			—
Transfers into Level 3	119			2
Transfers out of Level 3	(150)			(2)
Deconsolidation of consolidated investment entities	(18)			—
Balance, December 31, 2021	$	64		$	3
Changes in unrealized gains (losses) included in net income relating to assets held at December 31, 2021	$	—		$	1	(1)

	Syndicated Loans			Other Assets
	(in millions)
Balance, January 1, 2020	$	143		$	—
Total gains (losses) included in:
Net income	(16)		(1)	—
Purchases	111			2
Sales	(29)			—
Settlements	(33)			—
Transfers into Level 3	438			—
Transfers out of Level 3	(522)			—
Balance, December 31, 2020	$	92		$	2
Changes in unrealized gains (losses) included in net income relating to assets held at December 31, 2020	$	(2)	(1)	$	—

	Syndicated Loans
	(in millions)
Balance, January 1, 2019	$	226
Total gains (losses) included in:
Net income	(2)		(1)
Purchases	91
Sales	(11)
Settlements	(68)
Transfers into Level 3	272
Transfers out of Level 3	(365)
Balance, December 31, 2019	$	143
Changes in unrealized gains (losses) included in net income relating to assets held at December 31, 2019	$	(3)	(1)

(1) Included in Net investment income.

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

	December 31,
	2021		2020
	(in millions)
Syndicated loans
Unpaid principal balance	$	2,233	$	1,990
Excess unpaid principal over fair value	(52)		(81)
Fair value	$	2,181	$	1,909
Fair value of loans more than 90 days past due	$	—	$	5
Fair value of loans in nonaccrual status	13		19
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both	10		24
Debt
Unpaid principal balance	$	2,296	$	2,069
Excess unpaid principal over fair value	(132)		(156)
Carrying value (1)	$	2,164	$	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 December 31, 2021 and 2020, respectively.

Schedule of debt and stated interest rates

	Carrying Value				Weighted Average Interest Rate
	December 31,				December 31,
	2021		2020		2021		2020
	(in millions)
Debt of consolidated CLOs due 2028-2034	$	2,164	$	1,913	1.7	%	2.1	%