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Variable Interest Entities (Tables) - Consolidated investment entities

6 Months Ended

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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Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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