December 31, 2021

(in millions)

Quoted Prices

in Active

Markets for

Identical Assets

(Level 1)

Significant Other

Observable Inputs

(Level 2)

Significant

Unobservable

Inputs

(Level 3)

Investments Measured at NAV⁽¹⁾

Other⁽²⁾

December 31,

2021

Assets:

Investments:

Debt securities:

Held-to-maturity investments

$

—

$

—

$

—

$

—

$

430

$

430

Trading securities

—

1,169

17

—

—

1,186

Total debt securities

—

1,169

17

—

430

1,616

Equity securities at FVTNI:

Equity securities/mutual funds

1,738

—

—

—

—

1,738

Equity method:

Equity and fixed income mutual funds

245

—

—

—

—

245

Hedge funds/funds of hedge funds

—

—

—

369

—

369

Private equity funds

—

—

—

846

—

846

Real assets funds

—

—

—

234

—

234

Total equity method

245

—

—

1,449

—

1,694

Bank loans

—

14

270

—

—

284

Federal Reserve Bank Stock

—

—

—

—

96

96

Carried interest

—

—

—

—

1,555

1,555

Other investments⁽³⁾

—

—

5

96

178

279

Total investments

1,983

1,183

292

1,545

2,259

7,262

Other assets⁽⁴⁾

195

39

—

—

—

234

Separate account assets

54,675

30,786

—

—

765

86,226

Separate account collateral held under securities lending

   agreements:

Equity securities

3,717

—

—

—

—

3,717

Debt securities

—

3,364

—

—

—

3,364

Total separate account collateral held under

   securities lending agreements

3,717

3,364

—

—

—

7,081

Total

$

60,570

$

35,372

$

292

$

1,545

$

3,024

$

100,803

Liabilities:

Separate account collateral liabilities under

   securities lending agreements

$

3,717

$

3,364

$

—

$

—

$

—

$

7,081

Other liabilities⁽⁵⁾

—

26

342

—

—

368

Total

$

3,717

$

3,390

$

342

$

—

$

—

$

7,449

⁽¹⁾

Amounts are comprised of certain investments measured at fair value using NAV (or its equivalent) as a practical expedient.

⁽²⁾

Amounts are comprised of investments held at amortized cost and cost, adjusted for observable price changes, carried interest and certain equity method investments, which include sponsored investment funds and other assets, which are not accounted for under a fair value measure. In accordance with GAAP, certain equity method investees do not account for both their financial assets and liabilities under fair value measures; therefore, the Company’s investment in such equity method investees may not represent fair value.

⁽³⁾

Level 3 amounts primarily include direct investments in private equity companies held by consolidated private equity funds.

⁽⁴⁾

Level 1 amount includes a minority investment in a publicly traded company.  

⁽⁵⁾ 

Level 2 amount primarily includes fair value of derivatives (See Note 9, Derivatives and Hedging, for more information). Level 3 amounts primarily include borrowings of a consolidated CLO classified based on the significance of unobservable inputs used for calculating the fair value of consolidated CLO assets, and contingent liabilities related to certain acquisitions (see Note 16, Commitments and Contingencies, for more information).

December 31, 2020

(in millions)

Quoted Prices

in Active

Markets for

Identical Assets

(Level 1)

Significant Other

Observable Inputs

(Level 2)

Significant

Unobservable

Inputs

(Level 3)

Investments Measured at NAV⁽¹⁾

Other⁽²⁾

December 31,

2020

Assets:

Investments:

Debt securities:

Held-to-maturity investments

$

—

$

—

$

—

$

—

$

310

$

310

Trading securities

—

1,953

11

—

—

1,964

Total debt securities

—

1,953

11

—

310

2,274

Equity securities at FVTNI:

Equity securities/mutual funds

2,317

—

—

—

—

2,317

Equity method:

Equity and fixed income mutual funds

235

—

—

—

—

235

Hedge funds/funds of hedge funds

—

—

—

313

—

313

Private equity funds

—

—

—

315

—

315

Real assets funds

—

—

—

218

—

218

Total equity method

235

—

—

846

—

1,081

Bank loans

—

16

232

—

—

248

Federal Reserve Bank Stock

—

—

—

—

94

94

Carried interest

—

—

—

—

627

627

Other investments⁽³⁾

—

—

9

94

175

278

Total investments

2,552

1,969

252

940

1,206

6,919

Other assets⁽⁴⁾

205

13

—

—

—

218

Separate account assets

71,392

32,404

—

—

867

104,663

Separate account collateral held under securities lending

   agreements:

Equity securities

13,126

—

—

—

—

13,126

Debt securities

—

3,381

—

—

—

3,381

Total separate account collateral held under

   securities lending agreements

13,126

3,381

—

—

—

16,507

Total

$

87,275

$

37,767

$

252

$

940

$

2,073

$

128,307

Liabilities:

Separate account collateral liabilities under

   securities lending agreements

$

13,126

$

3,381

$

—

$

—

$

—

$

16,507

Other liabilities⁽⁵⁾

—

68

272

—

—

340

Total

$

13,126

$

3,449

$

272

$

—

$

—

$

16,847

⁽¹⁾

Amounts are comprised of certain investments measured at fair value using NAV (or its equivalent) as a practical expedient.

⁽²⁾

Amounts are comprised of investments held at amortized cost and cost, adjusted for observable price changes, carried interest and certain equity method investments, which include sponsored investment funds and other assets, which are not accounted for under a fair value measure. In accordance with GAAP, certain equity method investees do not account for both their financial assets and liabilities under fair value measures; therefore, the Company’s investment in such equity method investees may not represent fair value.

⁽³⁾

Level 3 amounts include direct investments in private equity companies held by consolidated private equity funds.

⁽⁴⁾

Level 1 amount includes a minority investment in a publicly traded company.

⁽⁵⁾

Level 3 amount primarily includes contingent liabilities related to certain acquisitions (see Note 16, Commitments and Contingencies, for more information) and borrowings of a consolidated CLO classified based on the significance of unobservable inputs used for calculating the fair value of consolidated CLO assets.

December 31, 2021

December 31, 2020

(in millions)

Carrying

Amount

Estimated

Fair Value

Carrying

Amount

Estimated

Fair Value

Fair Value

Hierarchy

Financial Assets⁽¹⁾:

Cash and cash equivalents

$

9,323

$

9,323

$

8,664

$

8,664

Level 1

^{(2) (3)}

Other assets

22

22

69

69

Level 1

^{(2) (4)}

Financial Liabilities:

Long-term borrowings

7,446

7,735

7,264

7,883

Level 2

⁽⁵⁾

(1)

See Note 5, Investments, for further information on investments not held at fair value.

(2)

Cash and cash equivalents are carried at either cost or amortized cost, which approximates fair value due to their short-term maturities.

(3)

At December 31, 2021 and 2020, approximately $2,409 million and $1,249 million, respectively, of money market funds were recorded within cash and cash equivalents on the consolidated statements of financial condition. Money market funds are valued based on quoted market prices, or $1.00 per share, which generally is the NAV of the fund.

(4)

Other assets include restricted cash and cash collateral deposited with certain derivative counterparties.

(5)

Long-term borrowings are recorded at amortized cost, net of debt issuance costs. The fair value of the long-term borrowings, including the current portion of long-term borrowings, is determined using market prices at the end of December 2021 and 2020, respectively. See Note 15, Borrowings, for the fair value of each of the Company’s long-term borrowings.

December 31,

December 31,

(in millions)

2021

2020

CLO Bank loans:

Aggregate principal amounts outstanding

$

281

$

250

Fair value

284

248

Aggregate unpaid principal balance in excess of (less than) fair value

$

(3

)

$

2

CLO Borrowings:

Aggregate principal amounts outstanding

$

275

$

244

Fair value

$

278

$

246