March 31, 2022

(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⁾

March 31,

2022

Assets:

Investments

Debt securities:

Held-to-maturity investments

$

—

$

—

$

—

$

—

$

460

$

460

Trading securities

—

1,124

8

—

—

1,132

Total debt securities

—

1,124

8

—

460

1,592

Equity securities at FVTNI:

Equity securities/mutual funds

1,769

—

—

—

—

1,769

Equity method:

Equity and fixed income mutual funds

261

—

—

—

—

261

Hedge funds/funds of hedge funds

—

—

—

433

—

433

Private equity funds

—

—

—

847

—

847

Real assets funds

—

—

—

256

—

256

Total equity method

261

—

—

1,536

—

1,797

Bank loans

—

28

264

—

—

292

Federal Reserve Bank Stock

—

—

—

—

96

96

Carried interest

—

—

—

—

1,778

1,778

Other investments⁽³⁾

—

12

4

95

180

291

Total investments

2,030

1,164

276

1,631

2,514

7,615

Other assets⁽⁴⁾

181

19

—

—

—

200

Separate account assets

48,288

26,271

—

—

794

75,353

Separate account collateral held under

   securities lending agreements:

Equity securities

2,903

—

—

—

—

2,903

Debt securities

—

4,180

—

—

—

4,180

Total separate account collateral held under

   securities lending agreements

2,903

4,180

—

—

—

7,083

Total

$

53,402

$

31,634

$

276

$

1,631

$

3,308

$

90,251

Liabilities:

Separate account collateral liabilities under

   securities lending agreements

$

2,903

$

4,180

$

—

$

—

$

—

$

7,083

Other liabilities⁽⁵⁾

—

35

312

—

—

347

Total

$

2,903

$

4,215

$

312

$

—

$

—

$

7,430

⁽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 15, Commitments and Contingencies, for more information).

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 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 15, Commitments and Contingencies, for more information).

March 31, 2022

December 31, 2021

(in millions)

Carrying

Amount

Estimated

Fair Value

Carrying

Amount

Estimated

Fair Value

Fair Value

Hierarchy

Financial Assets⁽¹⁾:

Cash and cash equivalents

$

7,262

$

7,262

$

9,323

$

9,323

Level 1

^{(2) (3)}

Other assets

$

29

$

29

$

22

$

22

Level 1

^{(2) (4)}

Financial Liabilities:

Long-term borrowings

$

7,430

$

7,253

$

7,446

$

7,735

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 March 31, 2022 and December 31, 2021, approximately $1.7 billion and $2.4 billion, respectively, of money market funds were recorded within cash and cash equivalents on the condensed 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 and the EUR/USD foreign exchange rate at the end of March 2022 and December 2021, respectively. See Note 14, Borrowings, for the fair value of each of the Company’s long-term borrowings.

March 31,

December 31,

(in millions)

2022

2021

CLO Bank loans:

Aggregate principal amounts outstanding

$

291

$

281

Fair value

292

284

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

$

(1

)

$

(3

)

CLO Borrowings:

Aggregate principal amounts outstanding

$

275

$

275

Fair value

$

277

$

278