Variable Interest Entities (Tables) - Consolidated investment entities

9 Months Ended

Sep. 30, 2023

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, 2023
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	39	$	—	$	39
Common stocks	—		6		—		6
Syndicated loans	—		2,067		54		2,121
Total investments	—		2,112		54		2,166
Receivables	—		29		—		29
Other assets	—		—		—		—
Total assets at fair value	$	—	$	2,141	$	54	$	2,195
Liabilities
Debt (1)	$	—	$	2,222	$	—	$	2,222
Other liabilities	—		37		—		37
Total liabilities at fair value	$	—	$	2,259	$	—	$	2,259

	December 31, 2022
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	35	$	—	$	35
Common stocks	—		3		—		3
Syndicated loans	—		2,191		125		2,316
Total investments	—		2,229		125		2,354
Receivables	—		20		—		20
Other assets	—		1		1		2
Total assets at fair value	$	—	$	2,250	$	126	$	2,376
Liabilities
Debt (1)	$	—	$	2,363	$	—	$	2,363
Other liabilities	—		119		—		119
Total liabilities at fair value	$	—	$	2,482	$	—	$	2,482

(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 $2.4 billion as of September 30, 2023 and December 31, 2022, 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
	(in millions)
Balance at July 1, 2023	$	67
Purchases	4
Settlements	(1)
Transfers into Level 3	22
Transfers out of Level 3	(38)
Balance at September 30, 2023	$	54
Changes in unrealized gains (losses) included in net income relating to assets held at September 30, 2023	$	2

	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			Other Assets
	(in millions)
Balance at January 1, 2023	$	125		$	1
Total gains (losses) included in:
Net income	(3)		(1)	—
Purchases	31			—
Sales	(10)			—
Settlements	(16)			—
Transfers into Level 3	82			—
Transfers out of Level 3	(155)			(1)
Balance at September 30, 2023	$	54		$	—
Changes in unrealized gains (losses) included in net income relating to assets held at September 30, 2023	$	2	(1)	$	—

	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)	$	—

(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, 2023		December 31, 2022
	(in millions)
Syndicated loans
Unpaid principal balance	$	2,260	$	2,525
Excess unpaid principal over fair value	(139)		(209)
Fair value	$	2,121	$	2,316
Fair value of loans more than 90 days past due	$	—	$	—
Fair value of loans in nonaccrual status	13		23
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both	47		48
Debt
Unpaid principal balance	$	2,440	$	2,636
Excess unpaid principal over fair value	(218)		(273)
Carrying value (1)	$	2,222	$	2,363

(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 $2.4 billion as of September 30, 2023 and December 31, 2022, 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, 2023		December 31, 2022		September 30, 2023		December 31, 2022
	(in millions)
Debt of consolidated CLOs due 2028-2034	$	2,222	$	2,363	6.6	%	5.3	%