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Variable Interest Entities (Tables) - Consolidated investment entities | 6 Months Ended
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Jun. 30, 2024
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:
| June 30, 2024
Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions)
Assets |  |  |  |  |  |  |
Investments: |  |  |  |  |  |  |
Corporate debt securities | $ | — |  |  | $ | 45 |  |  | $ | — |  |  | $ | 45 |
Common stocks | — |  |  | 5 |  |  | 2 |  |  | 7 |
Syndicated loans | — |  |  | 2,137 |  |  | 86 |  |  | 2,223 |
Total investments | — |  |  | 2,187 |  |  | 88 |  |  | 2,275 |
Receivables | — |  |  | 30 |  |  | — |  |  | 30 |
Total assets at fair value | $ | — |  |  | $ | 2,217 |  |  | $ | 88 |  |  | $ | 2,305 |
Liabilities |  |  |  |  |  |  |
Debt (1) | $ | — |  |  | $ | 2,386 |  |  | $ | — |  |  | $ | 2,386 |
Other liabilities | — |  |  | 241 |  |  | — |  |  | 241 |
Total liabilities at fair value | $ | — |  |  | $ | 2,627 |  |  | $ | — |  |  | $ | 2,627 |
| December 31, 2023
Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions)
Assets |  |  |  |  |  |  |
Investments: |  |  |  |  |  |  |
Corporate debt securities | $ | — |  |  | $ | 40 |  |  | $ | — |  |  | $ | 40 |
Common stocks | — |  |  | 5 |  |  | — |  |  | 5 |
Syndicated loans | — |  |  | 1,991 |  |  | 63 |  |  | 2,054 |
Total investments | — |  |  | 2,036 |  |  | 63 |  |  | 2,099 |
Receivables | — |  |  | 28 |  |  | — |  |  | 28 |
Other assets | — |  |  | 1 |  |  | — |  |  | 1 |
Total assets at fair value | $ | — |  |  | $ | 2,065 |  |  | $ | 63 |  |  | $ | 2,128 |
Liabilities |  |  |  |  |  |  |
Debt (1) | $ | — |  |  | $ | 2,155 |  |  | $ | — |  |  | $ | 2,155 |
Other liabilities | — |  |  | 45 |  |  | — |  |  | 45 |
Total liabilities at fair value | $ | — |  |  | $ | 2,200 |  |  | $ | — |  |  | $ | 2,200 |
(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 $2.1 billion as of June 30, 2024 and December 31, 2023, 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 April 1, 2024 | $ | 1 |  |  | $ | 65 |  |  |
Total gains (losses) included in: |  |  |  |  |
Net income | — |  |  | (5) |  | (1) |
Purchases | — |  |  | 47 |  |  |
Transfers into Level 3 | 2 |  |  | 25 |  |  |
Transfers out of Level 3 | (1) |  |  | (46) |  |  |
Balance at June 30, 2024 | $ | 2 |  |  | $ | 86 |  |  |
Changes in unrealized gains (losses) included in net income relating to assets held at June 30, 2024 | $ | — |  |  | $ | (4) |  |  |
|  |  | Syndicated Loans |  |
|  | (in millions) |  |
Balance at April 1, 2023 |  |  | $ | 50 |  |  |
Total gains (losses) included in: |  |  |  |  |
Net income |  |  | (2) |  | (1) |
Purchases |  |  | 10 |  |  |
Sales |  |  | (3) |  |  |
Transfers into Level 3 |  |  | 39 |  |  |
Transfers out of Level 3 |  |  | (27) |  |  |
Balance at June 30, 2023 |  |  | $ | 67 |  |  |
Changes in unrealized gains (losses) included in net income relating to assets held at June 30, 2023 |  |  | $ | (2) |  | (1) |
| Common Stocks |  | Syndicated Loans |  |
(in millions)
Balance at January 1, 2024 | $ | — |  |  | $ | 63 |  |  |
Total gains (losses) included in: |  |  |  |  |
Net income | — |  |  | (7) |  | (1) |
Purchases | — |  |  | 84 |  |  |
Transfers into Level 3 | 3 |  |  | 40 |  |  |
Transfers out of Level 3 | (1) |  |  | (94) |  |  |
Balance at June 30, 2024 | $ | 2 |  |  | $ | 86 |  |  |
Changes in unrealized gains (losses) included in net income relating to assets held at June 30, 2024 | $ | — |  |  | $ | (6) |  | (1) |
|  |  | Syndicated Loans |  | Other Assets |
|  | (in millions) |
Balance at January 1, 2023 |  |  | $ | 125 |  |  | $ | 1 |  |
Total gains (losses) included in: |  |  |  |  |  |
Net income |  |  | (3) |  | (1) | — |  |
Purchases |  |  | 27 |  |  | — |  |
Sales |  |  | (10) |  |  | — |  |
Settlements |  |  | (15) |  |  | — |  |
Transfers into Level 3 |  |  | 60 |  |  | — |  |
Transfers out of Level 3 |  |  | (117) |  |  | (1) |  |
Balance at June 30, 2023 |  |  | $ | 67 |  |  | $ | — |  |
Changes in unrealized gains (losses) included in net income relating to assets held at June 30, 2023 |  |  | $ | (2) |  | (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:
| June 30, 2024 |  | December 31, 2023
(in millions)
Syndicated loans |  |  |
Unpaid principal balance | $ | 2,307 |  |  | $ | 2,190 |
Excess unpaid principal over fair value | (84) |  |  | (136) |
Fair value | $ | 2,223 |  |  | $ | 2,054 |
Fair value of loans in nonaccrual status | 5 |  |  | 13 |
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both | 14 |  |  | 40 |
Debt |  |  |
Unpaid principal balance | $ | 2,573 |  |  | $ | 2,362 |
Excess unpaid principal over fair value | (187) |  |  | (207) |
Carrying value (1) | $ | 2,386 |  |  | $ | 2,155 |
(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 $2.1 billion as of June 30, 2024 and December 31, 2023, 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
June 30, 2024 |  | December 31, 2023 | June 30, 2024 |  | December 31, 2023
(in millions) |
Debt of consolidated CLOs due 2030-2037 | $ | 2,386 |  |  | $ | 2,155 |  |  | 6.6 | % |  | 6.6 | %

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