Variable Interest Entities (Tables) - Consolidated investment entities

9 Months Ended

Sep. 30, 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:

	September 30, 2022
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	28	$	—	$	28
Common stocks	—		3		—		3
Syndicated loans	—		2,182		165		2,347
Total investments	—		2,213		165		2,378
Receivables	—		38		—		38
Other assets	—		2		—		2
Total assets at fair value	$	—	$	2,253	$	165	$	2,418
Liabilities
Debt (1)	$	—	$	2,401	$	—	$	2,401
Other liabilities	—		161		—		161
Total liabilities at fair value	$	—	$	2,562	$	—	$	2,562

	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 $2.4 billion and $2.2 billion as of September 30, 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:

	Common Stocks		Syndicated Loans
	(in millions)
Balance at July 1, 2022	$	2	$	95
Total gains (losses) included in:
Net income	—		(4)		(1)
Purchases	—		42
Sales	—		(3)
Settlements	—		(1)
Transfers into Level 3	—		61
Transfers out of Level 3	(2)		(25)
Balance at September 30, 2022	$	—	$	165
Changes in unrealized gains (losses) included in net income relating to assets held at September 30, 2022	$	—	$	(5)	(1)

	Syndicated Loans
	(in millions)
Balance at 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 at September 30, 2021	$	45
Changes in unrealized gains (losses) included in net income relating to assets held at September 30, 2021	$	—

	Common Stocks		Syndicated Loans			Other Assets
	(in millions)
Balance at January 1, 2022	$	—	$	64		$	3
Total gains (losses) included in:
Net income	—		(7)		(1)	—
Purchases	—		64			—
Sales	—		(4)			—
Settlements	—		(8)			—
Transfers into Level 3	2		173			—
Transfers out of Level 3	(2)		(117)			(3)
Balance at September 30, 2022	$	—	$	165		$	—
Changes in unrealized gains (losses) included in net income relating to assets held at September 30, 2022	$	—	$	(5)	(1)	$	—

	Syndicated Loans			Other Assets
	(in millions)
Balance at 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 at September 30, 2021	$	45		$	—
Changes in unrealized gains (losses) included in net income relating to assets held at September 30, 2021	$	—	(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:

	September 30, 2022		December 31, 2021
	(in millions)
Syndicated loans
Unpaid principal balance	$	2,513	$	2,233
Excess unpaid principal over fair value	(166)		(52)
Fair value	$	2,347	$	2,181
Fair value of loans more than 90 days past due	$	—	$	—
Fair value of loans in nonaccrual status	17		13
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both	22		10
Debt
Unpaid principal balance	$	2,638	$	2,296
Excess unpaid principal over fair value	(237)		(132)
Carrying value (1)	$	2,401	$	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 $2.4 billion and $2.2 billion as of September 30, 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
	September 30, 2022		December 31, 2021		September 30, 2022		December 31, 2021
	(in millions)
Debt of consolidated CLOs due 2028-2034	$	2,401	$	2,164	4.1	%	1.7	%