Fair value of loans more than 90 days past due

  
Determination of Fair ValueAssetsInvestmentsThe 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 15 for a description of the Company’s determination of the fair value of corporate debt securities, common stocks and other investments.ReceivablesFor 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.LiabilitiesDebtThe 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 LiabilitiesOther liabilities consist primarily of securities purchased but not yet settled held 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 OptionThe 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:

|  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  |  |  |  |  |  |  |
|   | December 31, |
| 2021 |  | 2020 |
| (in millions) |
| Syndicated loans |   |  |   |
| Unpaid principal balance | $ | 2,233  |  |  | $ | 1,990  |  |
| Excess unpaid principal over fair value | (52) |  |  | (81) |  |
| Fair value | $ | 2,181  |  |  | $ | 1,909  |  |
|  |  |  |  |
| Fair value of loans more than 90 days past due | $ | —  |  |  | $ | 5  |  |
| Fair value of loans in nonaccrual status | 13  |  |  | 19  |  |
| Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both | 10  |  |  | 24  |  |
|  |  |  |  |
| Debt |   |  |   |
| Unpaid principal balance | $ | 2,296  |  |  | $ | 2,069  |  |
| Excess unpaid principal over fair value | (132) |  |  | (156) |  |
| Carrying value (1) | $ | 2,164  |  |  | $ | 1,913  |  |

(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 $2.0 billion as of December 31, 2021 and 2020, respectively.During the first quarter of 2021, the Company launched two new CLOs and issued debt of $817 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 the years ended December 31, 2021, 2020 and 2019.        96
