Variable Interest Entities (Tables) - Consolidated investment entities

3 Months Ended

Mar. 31, 2022

Assets and liabilities measured at fair value

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

The following tables present the balances of assets and liabilities held by consolidated investment entities measured at fair value on a recurring basis:

	March 31, 2022
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Common stocks	$	—	$	3	$	—	$	3
Syndicated loans	—		2,077		97		2,174
Total investments	—		2,080		97		2,177
Receivables	—		22		—		22
Other assets	—		2		—		2
Total assets at fair value	$	—	$	2,104	$	97	$	2,201
Liabilities
Debt (1)	$	—	$	2,156	$	—	$	2,156
Other liabilities	—		146		—		146
Total liabilities at fair value	$	—	$	2,302	$	—	$	2,302

	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

(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 $2.1 billion and $2.2 billion as of March 31, 2022 and December 31, 2021, respectively.

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

The following tables provide a summary of changes in Level 3 assets held by consolidated investment entities measured at fair value on a recurring basis:

	Syndicated Loans			Other Assets
	(in millions)
Balance, January 1, 2022	$	64		$	3
Total gains (losses) included in:
Net income	(1)		(1)	—
Purchases	15			—
Sales	(1)			—
Transfers into Level 3	62			—
Transfers out of Level 3	(42)			(3)
Balance, March 31, 2022	$	97		$	—
Changes in unrealized gains (losses) included in income relating to assets held at March 31, 2022	$	(1)	(1)	$	—

	Syndicated Loans			Other Assets
	(in millions)
Balance, January 1, 2021	$	92		$	2
Total gains (losses) included in:
Net income	2		(1)	—
Purchases	59			—
Sales	(10)			—
Settlements	(20)			—
Transfers into Level 3	57			—
Transfers out of Level 3	(25)			(2)
Balance, March 31, 2021	$	155		$	—
Changes in unrealized gains (losses) included in income relating to assets held at March 31, 2021	$	1	(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

The following table presents the fair value and unpaid principal balance of loans and debt for which the fair value option has been elected:

	March 31, 2022		December 31, 2021
	(in millions)
Syndicated loans
Unpaid principal balance	$	2,242	$	2,233
Excess unpaid principal over fair value	(68)		(52)
Fair value	$	2,174	$	2,181
Fair value of loans more than 90 days past due	$	—	$	—
Fair value of loans in nonaccrual status	11		13
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both	5		10
Debt
Unpaid principal balance	$	2,295	$	2,296
Excess unpaid principal over fair value	(139)		(132)
Carrying value (1)	$	2,156	$	2,164

(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 $2.1 billion and $2.2 billion as of March 31, 2022 and December 31, 2021, respectively.

Schedule of debt and stated interest rates

Debt of the consolidated investment entities and the stated interest rates were as follows:

	Carrying Value				Weighted Average Interest Rate
	March 31, 2022		December 31, 2021		March 31, 2022		December 31, 2021
	(in millions)
Debt of consolidated CLOs due 2028-2034	$	2,156	$	2,164	1.9	%	1.7	%