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Variable Interest Entities | 9 Months Ended
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Sep. 30, 2024
Variable Interest Entities [Abstract] |
Variable Interest Entities | Variable Interest Entities The Company provides asset management services to investment entities which are considered to be VIEs, such as CLOs, hedge funds and other private funds, property funds and certain non-U.S. series funds (such as OEICs and SICAVs) (collectively, “investment entities”), which are sponsored by the Company. In addition, the Company invests in structured investments other than CLOs and certain affordable housing partnerships which are considered VIEs. The Company consolidates certain investment entities (collectively, “consolidated investment entities”) if the Company is deemed to be the primary beneficiary. The Company has no obligation to provide financial or other support to the non-consolidated VIEs beyond its initial investment and existing future funding commitments, and the Company has not provided any additional support to these entities. The Company has unfunded commitments related to consolidated CLOs of $8 million and $24 million as of September 30, 2024 and December 31, 2023, respectively. Structured Investments The Company invests in structured investments which are considered VIEs for which it is not the sponsor. These structured investments typically invest in fixed income instruments and are managed by third parties and include asset backed securities and commercial and residential mortgage backed securities. The Company classifies these investments as Available-for-Sale securities. The Company has determined that it is not the primary beneficiary of these structures due to the size of the Company’s investment in the entities and position in the capital structure of these entities. Additionally, the Company invests in CLOs for which it is the sponsor. CLOs are asset backed financing entities collateralized by a pool of assets, primarily syndicated loans and, to a lesser extent, high-yield bonds. Multiple tranches of debt securities are issued by a CLO, offering investors various maturity and credit risk characteristics. The debt securities issued by the CLOs are non-recourse to the Company. The CLO’s debt holders have recourse only to the assets of the CLO. The assets of the CLOs cannot be used by the Company. Scheduled debt payments are based on the performance of the CLO’s collateral pool. The Company earns management fees from the CLOs based on the value of the CLO’s collateral pool and, in certain instances, may also receive incentive fees. The fee arrangement is at market and commensurate with the level of effort required to provide those services. The Company has invested in a portion of the unrated, junior subordinated notes and highly rated senior notes of certain CLOs. The Company consolidates certain CLOs where it is the primary beneficiary. The Company’s maximum exposure to loss with respect to structured investments and non-consolidated CLOs is limited to its amortized cost. The Company classifies these investments as Available-for-Sale securities. See Note 5 for additional information on these investments. Other Non-Consolidated VIEs The Company’s investments in other non-consolidated VIEs are recorded in other investments. The Company’s maximum exposure to loss with respect to its investments in these non-consolidated VIEs is limited to its carrying value. The carrying value of other non-consolidated VIEs was $243 million and $168 million as of September 30, 2024 and December 31, 2023, respectively. The Company’s liability related to original purchase commitments not yet remitted to the VIEs was not material as of both September 30, 2024 and December 31, 2023, respectively. The Company has not provided any additional support to the VIEs beyond the funding commitments. Property Funds, Non-U.S. Series Funds, Hedge Funds and other Private Funds The Company provides investment advice and other related services to property funds, non-U.S. series funds, hedge funds and other private funds, some of which are considered VIEs. For investment management services, the Company generally earns management fees based on the market value of assets under management, and in certain instances may also receive performance-based fees. The fee arrangements are at market and commensurate with the level of effort required to provide those services. The Company does not have a significant economic interest and is not required to consolidate any of these funds. Affordable Housing Partnerships and Other Real Estate Partnerships The Company is a limited partner in affordable housing partnerships that qualify for government-sponsored low income housing tax credit programs and partnerships that invest in multi-family residential properties that were originally developed with an affordable housing component. The Company has determined it is not the primary beneficiary and therefore does not consolidate these partnerships. A majority of the limited partnerships are VIEs. Fair Value of Assets and Liabilities The Company categorizes its fair value measurements according to a three-level hierarchy. See Note 12 for the definition of the three levels of the fair value hierarchy. 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, 2024
Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions)
Assets |  |  |  |  |  |  |
Investments: |  |  |  |  |  |  |
Corporate debt securities | $ | — |  |  | $ | 50 |  |  | $ | — |  |  | $ | 50 |
Common stocks | — |  |  | 5 |  |  | — |  |  | 5 |
Syndicated loans | — |  |  | 2,112 |  |  | 76 |  |  | 2,188 |
Total investments | — |  |  | 2,167 |  |  | 76 |  |  | 2,243 |
Receivables | — |  |  | 18 |  |  | — |  |  | 18 |
Other assets | — |  |  | 1 |  |  | — |  |  | 1 |
Total assets at fair value | $ | — |  |  | $ | 2,186 |  |  | $ | 76 |  |  | $ | 2,262 |
Liabilities |  |  |  |  |  |  |
Debt (1) | $ | — |  |  | $ | 2,271 |  |  | $ | — |  |  | $ | 2,271 |
Other liabilities | — |  |  | 83 |  |  | — |  |  | 83 |
Total liabilities at fair value | $ | — |  |  | $ | 2,354 |  |  | $ | — |  |  | $ | 2,354 |
| 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 $2.2 billion and $2.1 billion as of September 30, 2024 and December 31, 2023, respectively. 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, 2024 | $ | 2 |  |  | $ | 86 |  |  |
Total gains (losses) included in: |  |  |  |  |
Net income | (1) |  |  | 1 |  | (1) |
Purchases | — |  |  | 27 |  |  |
Sales | (1) |  |  | — |  |  |
Settlements | — |  |  | (2) |  |  |
Transfers into Level 3 | — |  |  | 27 |  |  |
Transfers out of Level 3 | — |  |  | (63) |  |  |
Balance at September 30, 2024 | $ | — |  |  | $ | 76 |  |  |
|  |  | 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 |  | (1) |
| Common Stocks |  | Syndicated Loans |  |
(in millions)
Balance at January 1, 2024 | $ | — |  |  | $ | 63 |  |  |
Total gains (losses) included in: |  |  |  |  |
Net income | (1) |  |  | (6) |  | (1) |
Purchases | — |  |  | 111 |  |  |
Sales | (1) |  |  | — |  |  |
Settlements | — |  |  | (2) |  |  |
Transfers into Level 3 | 3 |  |  | 67 |  |  |
Transfers out of Level 3 | (1) |  |  | (157) |  |  |
Balance at September 30, 2024 | $ | — |  |  | $ | 76 |  |  |
|  |  | 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) | $ | — |  |
(1) Included in Net investment income. Securities and loans transferred from Level 3 primarily represent assets with fair values that are now obtained from a third-party pricing service with observable inputs or priced in active markets. Securities and loans transferred to Level 3 represent assets with fair values that are now based on a single non-binding broker quote. All Level 3 measurements as of September 30, 2024 and December 31, 2023 were obtained from non-binding broker quotes where unobservable inputs utilized in the fair value calculation are not reasonably available to the Company. Determination of Fair Value Assets Investments The fair value of syndicated loans obtained from third-party pricing services using a market approach with observable inputs is classified as Level 2. The fair value of syndicated loans obtained from third-party pricing services with a single non-binding broker quote as the underlying valuation source is classified as Level 3. The underlying inputs used in non-binding broker quotes are not readily available to the Company. See Note 12 for a description of the Company’s determination of the fair value of corporate debt securities, common stocks and other investments. Receivables For receivables of the consolidated CLOs, the carrying value approximates fair value as the nature of these assets has historically been short-term and the receivables have been collectible. The fair value of these receivables is classified as Level 2. Liabilities Debt The fair value of the CLOs’ assets, typically syndicated bank loans, is more observable than the fair value of the CLOs’ debt tranches for which market activity is limited and less transparent. As a result, the fair value of the CLOs’ debt is set equal to the fair value of the CLOs’ assets and is classified as Level 2. Other Liabilities Other liabilities consist primarily of securities purchased but not yet settled by consolidated CLOs. The carrying value approximates fair value as the nature of these liabilities has historically been short-term. The fair value of these liabilities is classified as Level 2. Other liabilities also include accrued interest on CLO debt. Fair Value Option The Company has elected the fair value option for the financial assets and liabilities of the consolidated CLOs. Management believes that the use of the fair value option better matches the changes in fair value of assets and liabilities related to the CLOs. 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, 2024 |  | December 31, 2023
(in millions)
Syndicated loans |  |  |
Unpaid principal balance | $ | 2,285 |  |  | $ | 2,190 |
Excess unpaid principal over fair value | (97) |  |  | (136) |
Fair value | $ | 2,188 |  |  | $ | 2,054 |
Fair value of loans in nonaccrual status | 3 |  |  | 13 |
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both | 13 |  |  | 40 |
Debt |  |  |
Unpaid principal balance | $ | 2,469 |  |  | $ | 2,362 |
Excess unpaid principal over fair value | (198) |  |  | (207) |
Carrying value (1) | $ | 2,271 |  |  | $ | 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 $2.2 billion and $2.1 billion as of September 30, 2024 and December 31, 2023, respectively. During the second quarter of 2024, the Company launched one new CLO. The new CLO issued debt of $407 million. Interest income from syndicated loans, bonds and structured investments is recorded based on contractual rates in Net investment income. Gains and losses related to changes in the fair value of investments and gains and losses on sales of investments are also recorded in Net investment income. Interest expense on debt is recorded in Interest and debt expense with gains and losses related to changes in the fair value of debt recorded in Net investment income. Total net gains (losses) recognized in Net investment income related to the changes in fair value of investments the Company owns in the consolidated CLOs where it has elected the fair value option and collateralized financing entity accounting were immaterial for both the three and nine months ended September 30, 2024 and 2023. Debt of the consolidated investment entities and the stated interest rates were as follows:
| Carrying Value |  | Weighted Average Interest Rate
September 30, 2024 |  | December 31, 2023 | September 30, 2024 |  | December 31, 2023
(in millions) |
Debt of consolidated CLOs due 2030 -2037 | $ | 2,271 |  |  | $ | 2,155 |  |  | 6.6 | % |  | 6.6 | %
The debt of the consolidated CLOs has both fixed and floating interest rates, which range from nil to 14.8%. The interest rates on the debt of CLOs are weighted average rates based on the outstanding principal and contractual interest rates.

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- Definition Complete disclosure related to the Company's Variable Interest Entities (VIEs) including Consolidated Investment Entities (CIEs) [Abstract] + References No definition available. + Details
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- Definition The entire disclosure for a variable interest entity (VIE), including but not limited to, judgments and assumptions in determining whether to consolidate and in identifying the primary beneficiary, gain (loss) recognized on the initial consolidation of the VIE, terms of arrangements, amounts and classification of the VIE's assets and liabilities, and the entity's maximum exposure to loss. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 810 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/810/tableOfContent + Details
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