FAIR VALUE MEASUREMENTS (Tables)
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3 Months Ended |
Mar. 31, 2021 |
Fair Value Disclosures [Abstract] |
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Schedule of assets and liabilities at fair value |
The following tables summarize the valuation of assets and liabilities measured and reported at fair value by the fair value hierarchy. Investments classified as Equity Method - Other, for which the fair value option has not been elected, and Equity Method - Capital Allocation-Based Income have been excluded from the tables below. Assets, at fair value: | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2021 | | Level I | | Level II | | Level III | | Total | Asset Management | | | | | | | | Private Equity | $ | 2,224,510 | | | $ | 2,045,965 | | | $ | 17,063,809 | | | $ | 21,334,284 | | Credit | — | | | 2,306,865 | | | 9,385,881 | | | 11,692,746 | | Investments of Consolidated CFEs | — | | | 19,163,155 | | | — | | | 19,163,155 | | Real Assets | — | | | 228,073 | | | 6,879,217 | | | 7,107,290 | | Equity Method - Other | 534,811 | | | 40,612 | | | 1,041,780 | | | 1,617,203 | | Other Investments | 440,791 | | | 117,993 | | | 2,473,365 | | | 3,032,149 | | Total Investments | 3,200,112 | | | 23,902,663 | | | 36,844,052 | | | 63,946,827 | | | | | | | | | | Foreign Exchange Contracts and Options | — | | | 244,809 | | | — | | | 244,809 | | Other Derivatives | — | | | — | | | 3,401 | | (1) | 3,401 | | Total Assets at Fair Value - Asset Management | $ | 3,200,112 | | | $ | 24,147,472 | | | $ | 36,847,453 | | | $ | 64,195,037 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Insurance | | | | | | | | AFS fixed maturity securities: | | | | | | | | U.S. government and agencies | $ | 1,251,930 | | | $ | 75,761 | | | $ | — | | | $ | 1,327,691 | | U.S. state, municipal and political subdivisions | — | | | 4,588,645 | | | — | | | 4,588,645 | | Corporate | — | | | 30,215,165 | | | 3,739,530 | | | 33,954,695 | | Structured securities | — | | | 20,198,978 | | | 193,106 | | | 20,392,084 | | Total AFS fixed maturity securities | 1,251,930 | | | 55,078,549 | | | 3,932,636 | | | 60,263,115 | | Trading fixed maturity securities: | | | | | | | | U.S. government and agencies | 159,557 | | | 78,237 | | | — | | | 237,794 | | U..S. state, municipal and political subdivisions | — | | | 694,926 | | | — | | | 694,926 | | Corporate | — | | | 7,475,680 | | | 726,078 | | | 8,201,758 | | Structured securities | — | | | 1,470,744 | | | 22,533 | | | 1,493,277 | | Total trading fixed maturity securities | 159,557 | | | 9,719,587 | | | 748,611 | | | 10,627,755 | | Equity securities | 45,592 | | | — | | | 69,985 | | | 115,577 | | Mortgage and other loan receivables(2) | — | | | — | | | 1,183,074 | | | 1,183,074 | | Other investments(3) | — | | | — | | | 444,882 | | | 444,882 | | Funds withheld receivable at interest | — | | | — | | | 55,883 | | | 55,883 | | Reinsurance recoverable | — | | | — | | | 1,317,962 | | | 1,317,962 | | Derivative assets: | | | | | | | | Equity market contracts | 65,730 | | | 951,863 | | | — | | | 1,017,593 | | Interest rate contracts | 14,772 | | | 72,897 | | | — | | | 87,669 | | | | | | | | | | Foreign currency contracts | — | | | 6,801 | | | — | | | 6,801 | | Impact of netting(4) | (31,433) | | | (137,498) | | | — | | | (168,931) | | Total derivative assets | 49,069 | | | 894,063 | | | — | | | 943,132 | | Separate account assets | 5,470,087 | | | — | | | — | | | 5,470,087 | | Total Assets at Fair Value - Insurance | $ | 6,976,235 | | | $ | 65,692,199 | | | $ | 7,753,033 | | | $ | 80,421,467 | | | | | | | | | | Total Assets at Fair Value | $ | 10,176,347 | | | $ | 89,839,671 | | | $ | 44,600,486 | | | $ | 144,616,504 | |
| | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2020 | | Level I | | Level II | | Level III | | Total | Asset Management | | | | | | | | Private Equity | $ | 2,758,396 | | | $ | 2,476,823 | | | $ | 15,234,904 | | | $ | 20,470,123 | | Credit | — | | | 2,031,057 | | | 9,172,848 | | | 11,203,905 | | Investments of Consolidated CFEs | — | | | 17,706,976 | | | — | | | 17,706,976 | | Real Assets | — | | | 172,043 | | | 5,924,575 | | | 6,096,618 | | Equity Method - Other | 485,988 | | | 7,254 | | | 1,014,378 | | | 1,507,620 | | Other Investments | 434,481 | | | 88,760 | | | 2,341,981 | | | 2,865,222 | | Total Investments | 3,678,865 | | | 22,482,913 | | | 33,688,686 | | | 59,850,464 | | | | | | | | | | Foreign Exchange Contracts and Options | — | | | 250,398 | | | — | | | 250,398 | | Other Derivatives | 442 | | | 729 | | | 6,668 | | (1) | 7,839 | | Total Assets at Fair Value - Asset Management | $ | 3,679,307 | | | $ | 22,734,040 | | | $ | 33,695,354 | | | $ | 60,108,701 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Assets at Fair Value | $ | 3,679,307 | | | $ | 22,734,040 | | | $ | 33,695,354 | | | $ | 60,108,701 | | | | | | | | | |
(1)Includes derivative assets that were valued using a third-party valuation firm. The approach used to estimate the fair value of these derivative assets was generally the discounted cash flow method, which includes consideration of the current portfolio, projected portfolio construction, projected portfolio realizations, portfolio volatility (based on the volatility, correlation, and size of each underlying asset class), and the discounting of future cash flows to the reporting date. (2)Includes related party balance of $575.6 million in Level 3 for mortgage and other loan receivables. (3)Other investments excluded from the fair value hierarchy include certain real estate and private equity funds for which fair value is measured at net asset value per share as a practical expedient. As of March 31, 2021, the fair value of these investments was $113.5 million. (4)Represents netting of derivative exposures covered by qualifying master netting agreements. Liabilities, at fair value: | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2021 | | Level I | | Level II | | Level III | | Total | Asset Management | | | | | | | | Securities Sold Short | $ | 243,524 | | | $ | — | | | $ | — | | | $ | 243,524 | | Foreign Exchange Contracts and Options | — | | | 529,962 | | | — | | | 529,962 | | Unfunded Revolver Commitments | — | | | — | | | 35,637 | | (1) | 35,637 | | Other Derivatives | — | | | 94,132 | | | — | | | 94,132 | | Debt Obligations of Consolidated CFEs | — | | | 18,640,854 | | | — | | | 18,640,854 | | | | | | | | | | | | | | | | | | | | | | | | | | Total Liabilities at Fair Value - Asset Management | $ | 243,524 | | | $ | 19,264,948 | | | $ | 35,637 | | | $ | 19,544,109 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Insurance | | | | | | | | Policy liabilities | $ | — | | | $ | — | | | $ | 565,642 | | | $ | 565,642 | | Closed block policy liabilities | — | | | — | | | 1,366,879 | | | 1,366,879 | | Funds withheld payable at interest | — | | | — | | | (313,230) | | | (313,230) | | Derivative instruments payable: | | | | | | | | Equity market contracts | 17,100 | | | 134,229 | | | — | | | 151,329 | | Interest rate contracts | 51,086 | | | 164,873 | | | — | | | 215,959 | | Foreign currency contracts | — | | | 2,753 | | | — | | | 2,753 | | Credit contracts | — | | | 1,669 | | | — | | | 1,669 | | Impact of netting(2) | (31,433) | | | (137,486) | | | — | | | (168,919) | | Total derivative instruments payable | 36,753 | | | 166,038 | | | — | | | 202,791 | | | | | | | | | | Embedded derivative – indexed universal life products | — | | | — | | | 434,242 | | | 434,242 | | Embedded derivative – annuity products | — | | | — | | | 984,910 | | | 984,910 | | Total Liabilities at Fair Value - Insurance | $ | 36,753 | | | $ | 166,038 | | | $ | 3,038,443 | | | $ | 3,241,234 | | | | | | | | | | Total Liabilities at Fair Value | $ | 280,277 | | | $ | 19,430,986 | | | $ | 3,074,080 | | | $ | 22,785,343 | |
| | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2020 | | Level I | | Level II | | Level III | | Total | Asset Management | | | | | | | | Securities Sold Short | $ | 281,826 | | | $ | — | | | $ | — | | | $ | 281,826 | | Foreign Exchange Contracts and Options | — | | | 551,728 | | | — | | | 551,728 | | Unfunded Revolver Commitments | — | | | — | | | 46,340 | | (1) | 46,340 | | Other Derivatives | 76,930 | | | 50,020 | | | — | | | 126,950 | | Debt Obligations of Consolidated CFEs | — | | | 17,372,740 | | | — | | | 17,372,740 | | Total Liabilities at Fair Value - Asset Management | $ | 358,756 | | | $ | 17,974,488 | | | $ | 46,340 | | | $ | 18,379,584 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Liabilities at Fair Value | $ | 358,756 | | | $ | 17,974,488 | | | $ | 46,340 | | | $ | 18,379,584 | |
(1)These unfunded revolver commitments are classified as Level III within the fair value hierarchy and valued using the same valuation methodologies as KKR's Level III credit investments. (2)Represents netting of derivative exposures covered by qualifying master netting agreement.
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Summary of changes in assets and liabilities reported at fair value for which Level III inputs have been used to determine fair value |
The following tables summarize changes in assets and liabilities measured and reported at fair value for which Level III inputs have been used to determine fair value for the three months ended March 31, 2021 and 2020, respectively except for financial instruments held by Global Atlantic and acquired by KKR on the GA Acquisition Date which represents activity for the two months beginning February 1, 2021. The format of the tables has been modified to include the insurance assets and liabilities and, as such, the prior period presentation has been modified accordingly.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2021 | | | Balance, Beg. of Period | Transfers In / (Out) - Changes in Consolidation | Transfers In | Transfers Out | Net Purchases/Issuances/Sales/Settlements | Net Unrealized and Realized Gains (Losses) | Change in OCI | Balance, End of Period | Changes in Net Unrealized Gains (Losses) Included in Earnings related to Level III Assets and Liabilities still held as of the Reporting Date | Changes in Net Unrealized Gains (Losses) Included in OCI related to Level III Assets and Liabilities still held as of the Reporting Date | Assets | | | | | | | | | | | Asset Management | | | | | | | | | | | Private Equity | $ | 15,234,904 | | $ | — | | $ | — | | $ | — | | $ | 130,309 | | $ | 1,698,596 | | $ | — | | $ | 17,063,809 | | $ | 1,622,804 | | $ | — | | Credit | 9,172,848 | | (1,021) | | 86,135 | | — | | 92,140 | | 33,640 | | 2,139 | | 9,385,881 | | 61,774 | | 2,139 | | Real Assets | 5,924,575 | | — | | — | | — | | 696,345 | | 258,297 | | — | | 6,879,217 | | 231,898 | | — | | Equity Method - Other | 1,014,378 | | — | | — | | — | | (153,840) | | 181,242 | | — | | 1,041,780 | | 180,258 | | — | | Other Investments | 2,341,981 | | (2,879) | | — | | (105,644) | | 63,054 | | 176,853 | | — | | 2,473,365 | | 214,879 | | — | | Other Derivatives | 6,668 | | — | | — | | — | | 3,574 | | (6,841) | | — | | 3,401 | | (6,841) | | — | | Total Assets - Asset Management | 33,695,354 | | (3,900) | | 86,135 | | (105,644) | | 831,582 | | 2,341,787 | | 2,139 | | 36,847,453 | | 2,304,772 | | 2,139 | | | | | | | | | | | | | Insurance | | | | | | | | | | | AFS fixed maturity securities: | | | | | | | | | | | | | | | | | | | | | | Corporate fixed maturity securities | 3,519,368 | | — | | — | | — | | 244,578 | | — | | (24,416) | | 3,739,530 | | — | | (22,210) | | Structured securities | 197,983 | | — | | — | | — | | (1,692) | | — | | (3,185) | | 193,106 | | — | | 474 | | Total AFS fixed maturity securities | 3,717,351 | | — | | — | | — | | 242,886 | | — | | (27,601) | | 3,932,636 | | — | | (21,736) | | Trading fixed maturity securities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Corporate fixed maturity securities | 674,380 | | — | | — | | — | | 55,699 | | (4,001) | | — | | 726,078 | | (3,600) | | — | | Structured securities | 14,661 | | — | | — | | — | | 8,055 | | (183) | | — | | 22,533 | | (222) | | — | | Total trading fixed maturity securities | 689,041 | | — | | — | | — | | 63,754 | | (4,184) | | — | | 748,611 | | (3,822) | | — | | Equity securities | 66,660 | | — | | — | | — | | — | | 3,325 | | — | | 69,985 | | 3,325 | | — | | Mortgage and other loan receivables | 929,855 | | — | | — | | — | | 247,719 | | 5,500 | | — | | 1,183,074 | | 6,322 | | — | | Other investments | 443,824 | | — | | — | | — | | — | | 1,058 | | — | | 444,882 | | 6,092 | | — | | Funds withheld receivable at interest | — | | — | | — | | — | | 334 | | 55,549 | | — | | 55,883 | | — | | — | | Reinsurance recoverable | — | | — | | — | | — | | — | | 1,317,962 | | — | | 1,317,962 | | — | | — | | Total Assets - Insurance | 5,846,731 | | — | | — | | — | | 554,693 | | 1,379,210 | | (27,601) | | 7,753,033 | | 11,917 | | (21,736) | | | | | | | | | | | | | Total | $ | 39,542,085 | | $ | (3,900) | | $ | 86,135 | | $ | (105,644) | | $ | 1,386,275 | | $ | 3,720,997 | | $ | (25,462) | | $ | 44,600,486 | | $ | 2,316,689 | | $ | (19,597) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2020 | | Balance, Beg. of Period | Transfers In / (Out) - Changes in Consolidation | Transfers In | Transfers Out | Net Purchases/Issuances/Sales/Settlements | Net Unrealized and Realized Gains (Losses) | Change in OCI | Balance, End of Period | Changes in Net Unrealized Gains (Losses) Included in Earnings related to Level III Assets and Liabilities still held as of the Reporting Date | Assets | | | | | | | | | | Asset Management | | | | | | | | | | Private Equity | $ | 9,871,682 | | $ | — | | $ | — | | $ | — | | $ | 114,099 | | $ | (636,333) | | $ | — | | $ | 9,349,448 | | $ | (636,333) | | Credit | 9,217,759 | | — | | — | | — | | 567,020 | | (757,783) | | (22,031) | | 9,004,965 | | (750,837) | | Real Assets | 3,567,944 | | — | | — | | — | | (42,301) | | (797,652) | | — | | 2,727,991 | | (844,905) | | Equity Method - Other | 1,656,045 | | — | | — | | — | | 2,098 | | (305,797) | | — | | 1,352,346 | | (305,797) | | Other Investments | 2,154,755 | | — | | — | | — | | 60,442 | | (537,580) | | — | | 1,677,617 | | (528,523) | | Other Derivatives | 21,806 | | — | | — | | — | | (1,360) | | 23,922 | | — | | 44,368 | | 24,438 | | Total Assets - Asset Management | $ | 26,489,991 | | $ | — | | $ | — | | $ | — | | $ | 699,998 | | $ | (3,011,223) | | $ | (22,031) | | $ | 24,156,735 | | $ | (3,041,957) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2021 | | Three Months Ended March 31, 2020 | | Purchases | Issuances | Sales | Settlements | Net Purchases/Issuances/Sales/Settlements | | Purchases | Sales | Settlements | Net Purchases/Issuances/Sales/Settlements | Assets | | | | | | | | | | | Asset Management | | | | | | | | | | | Private Equity | $ | 221,344 | | $ | — | | $ | (91,035) | | $ | — | | $ | 130,309 | | | $ | 114,099 | | $ | — | | $ | — | | $ | 114,099 | | Credit | 1,120,791 | | — | | (1,028,651) | | — | | 92,140 | | | 1,227,138 | | (620,645) | | (39,473) | | 567,020 | | Real Assets | 924,320 | | — | | (227,975) | | — | | 696,345 | | | 168,640 | | (210,941) | | — | | (42,301) | | Equity Method - Other | 144 | | — | | (153,984) | | — | | (153,840) | | | 2,098 | | — | | — | | 2,098 | | Other Investments | 89,502 | | — | | (26,448) | | — | | 63,054 | | | 87,224 | | (26,782) | | — | | 60,442 | | Other Derivatives | 3,574 | | — | | — | | — | | 3,574 | | | — | | (1,360) | | — | | (1,360) | | Total Assets - Asset Management | 2,359,675 | | — | | (1,528,093) | | — | | 831,582 | | | 1,599,199 | | (859,728) | | (39,473) | | 699,998 | | | | | | | | | | | | | Insurance | | | | | | | | | | | AFS fixed maturity securities: | | | | | | | | | | | | | | | | | | | | | | Corporate fixed maturity securities | $ | 287,638 | | — | | $ | (3,299) | | $ | (39,761) | | 244,578 | | | — | | — | | — | | — | | Structured securities | 10 | | — | | — | | (1,702) | | (1,692) | | | — | | — | | — | | — | | Total AFS fixed maturity securities | 287,648 | | — | | (3,299) | | (41,463) | | 242,886 | | | — | | — | | — | | — | | Trading fixed maturity securities: | | | | | | | | | | | Corporate fixed maturity securities | 57,451 | | — | | — | | (1,752) | | 55,699 | | | — | | — | | — | | — | | Structured securities | 8,110 | | — | | — | | (55) | | 8,055 | | | — | | — | | — | | — | | Total trading fixed maturity securities | 65,561 | | — | | — | | (1,807) | | 63,754 | | | — | | — | | — | | — | | Mortgage and other loan receivables | 254,995 | | — | | (5,076) | | (2,200) | | 247,719 | | | — | | — | | — | | — | | | | | | | | | | | | | Funds withheld receivable at interest | — | | 334 | | — | | — | | 334 | | | — | | — | | — | | — | | | | | | | | | | | | | Total Assets - Insurance | 608,204 | | 334 | | (8,375) | | (45,470) | | 554,693 | | | — | | — | | — | | — | | | | | | | | | | | | | Total | $ | 2,967,879 | | $ | 334 | | $ | (1,536,468) | | $ | (45,470) | | $ | 1,386,275 | | | $ | 1,599,199 | | $ | (859,728) | | $ | (39,473) | | $ | 699,998 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2021 | | Balance, Beg. of Period | Transfers In / (Out) - Changes in Consolidation | Transfers In | Transfers Out | Net Purchases/Sales/Settlements/Issuances | Net Unrealized and Realized Gains (Losses) | Change in OCI | Balance, End of Period | Changes in Net Unrealized Gains (Losses) Included in Earnings related to Level III Assets and Liabilities still held as of the Reporting Date | Liabilities | | | | | | | | | | Asset Management | | | | | | | | | | Unfunded Revolver Commitments | $ | 46,340 | | $ | — | | $ | — | | $ | — | | $ | 1,167 | | $ | (11,870) | | $ | — | | $ | 35,637 | | $ | (11,870) | | Total Liabilities - Asset Management | 46,340 | | — | | — | | — | | 1,167 | | (11,870) | | — | | 35,637 | | (11,870) | | | | | | | | | | | | Insurance | | | | | | | | | | Policy liabilities | $ | 637,800 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | (72,158) | | $ | — | | $ | 565,642 | | $ | — | | Closed block policy liabilities | 1,395,746 | | — | | — | | — | | — | | (25,982) | | (2,885) | | 1,366,879 | | — | | Funds withheld payable at interest | 59,230 | | — | | — | | — | | — | | (372,460) | | — | | (313,230) | | — | | | | | | | | | | | | Embedded derivative – indexed universal life products | 386,746 | | — | | — | | — | | (931) | | 48,427 | | — | | 434,242 | | — | | Embedded derivative – annuity products | 1,024,601 | | — | | — | | — | | 44,809 | | (84,500) | | — | | 984,910 | | — | | Total Liabilities - Insurance | 3,504,123 | | — | | — | | — | | 43,878 | | (506,673) | | (2,885) | | 3,038,443 | | — | | | | | | | | | | | | Total | $ | 3,550,463 | | $ | — | | $ | — | | $ | — | | $ | 45,045 | | $ | (518,543) | | $ | (2,885) | | $ | 3,074,080 | | $ | (11,870) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2020 | | Balance, Beg. of Period | Transfers In / (Out) - Changes in Consolidation | Transfers In | Transfers Out | Net Purchases/Sales/Settlements/Issuances | Net Unrealized and Realized Gains (Losses) | Change in OCI | Balance, End of Period | Changes in Net Unrealized Gains (Losses) Included in Earnings related to Level III Assets and Liabilities still held as of the Reporting Date | Liabilities | | | | | | | | | | Asset Management | | | | | | | | | | Unfunded Revolver Commitments | $ | 75,842 | | $ | — | | $ | — | | $ | — | | $ | (2,464) | | $ | (2,781) | | $ | — | | $ | 70,597 | | $ | (2,781) | | Total Liabilities - Asset Management | $ | 75,842 | | $ | — | | $ | — | | $ | — | | $ | (2,464) | | $ | (2,781) | | $ | — | | $ | 70,597 | | $ | (2,781) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2021 | | Three Months Ended March 31, 2020 | | Issuances | Settlements | Net settlements/Issuances | | Issuances | Settlements | Net settlements/Issuances | Liabilities | | | | | | | | Asset Management | | | | | | | | Unfunded Revolver Commitments | $ | 1,167 | | $ | — | | $ | 1,167 | | | $ | — | | $ | (2,464) | | $ | (2,464) | | Total Liabilities - Asset Management | 1,167 | | — | | 1,167 | | | — | | (2,464) | | (2,464) | | | | | | | | | | Insurance | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Embedded derivative – indexed universal life products | 5,607 | | (6,538) | | (931) | | | — | | — | | — | | Embedded derivative – annuity products | 44,809 | | — | | 44,809 | | | — | | — | | — | | Total Liabilities - Insurance | 50,416 | | (6,538) | | 43,878 | | | — | | — | | — | | | | | | | | | | Total | $ | 51,583 | | $ | (6,538) | | $ | 45,045 | | | $ | — | | $ | (2,464) | | $ | (2,464) | |
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Summary of valuation methodologies used for assets, measured at fair value and categorized within Level III |
The following table presents additional information about valuation methodologies and significant unobservable inputs used for financial assets and liabilities that are measured and reported at fair value and categorized within Level III as of March 31, 2021. Because input information includes only those items for which information is reasonably available, balances shown below may not equal total amounts reported for such Level 3 assets and liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level III Assets | | Fair Value March 31, 2021 | | Valuation Methodologies | | Unobservable Input(s) (1) | | Weighted Average (2) | | Range | | Impact to Valuation from an Increase in Input (3) | | | | | | | | | | | | | | ASSET MANAGEMENT | | | | | | | | | | | | | | | | | | | | | | | | Private Equity | | $ | 17,063,809 | | | | | | | | | | | | | | | | | | | | | | | | | Private Equity | | $ | 14,016,147 | | | Inputs to market comparables, discounted cash flow and transaction price | | Illiquidity Discount | | 7.3% | | 5.0% - 15.0% | | Decrease | | | | | | Weight Ascribed to Market Comparables | | 31.1% | | 0.0% - 50.0% | | (4) | | | | | | Weight Ascribed to Discounted Cash Flow | | 68.0% | | 0.0% - 100.0% | | (5) | | | | | | Weight Ascribed to Transaction Price | | 0.9% | | 0.0% - 75.0% | | (6) | | | | | Market comparables | | Enterprise Value/LTM EBITDA Multiple | | 16.4x | | 8.8x - 29.3x | | Increase | | | | | | Enterprise Value/Forward EBITDA Multiple | | 15.0x | | 8.3x - 20.1x | | Increase | | | | | Discounted cash flow | | Weighted Average Cost of Capital | | 9.2% | | 4.4% - 17.6% | | Decrease | | | | | | Enterprise Value/LTM EBITDA Exit Multiple | | 13.0x | | 6.0x - 18.0x | | Increase | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Growth Equity | | $ | 3,047,662 | | | Inputs to market comparables, discounted cash flow and milestones | | Illiquidity Discount | | 12.5% | | 10.0% - 45.0% | | Decrease | | | | | | Weight Ascribed to Market Comparables | | 20.0% | | 0.0% - 100.0% | | (4) | | | | | | Weight Ascribed to Discounted Cash Flow | | 0.2% | | 0.0% - 50.0% | | (5) | | | | | | Weight Ascribed to Milestones | | 79.8% | | 0.0% - 100.0% | | (6) | | | | | Scenario Weighting | | Base | | 70.9% | | 50.0% - 80.0% | | Increase | | | | | | Downside | | 9.6% | | 0.0% - 25.0% | | Decrease | | | | | | Upside | | 19.5% | | 0.0% - 35.0% | | Increase | | | | | | | | | | | | | | Credit | | $ | 9,385,881 | | | Yield Analysis | | Yield | | 5.6% | | 4.3% - 18.1% | | Decrease | | | | | | Net Leverage | | 5.2x | | 0.2x - 22.0x | | Decrease | | | | | | EBITDA Multiple | | 10.8x | | 0.8x - 30.0x | | Increase | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Real Assets | | $ | 6,879,217 | | | | | | | | | | | | | | | | | | | | | | | | | Energy | | $ | 2,293,765 | | | Inputs to market comparables and discounted cash flow | | Weight Ascribed to Market Comparables | | 46.6% | | 0.0% - 50.0% | | (4) | | | | | | Weight Ascribed to Discounted Cash Flow | | 53.4% | | 50.0% - 100.0% | | (5) | | | | | Market comparables | | Enterprise Value/LTM EBITDA Multiple | | 7.7x | | 7.4x - 7.8x | | Increase | | | | | | Enterprise Value/Forward EBITDA Multiple | | 6.2x | | 6.0x - 9.0x | | Increase | | | | | Discounted cash flow | | Weighted Average Cost of Capital | | 11.4% | | 10.4% - 14.3% | | Decrease | | | | | | | Average Price Per BOE (8) | | $37.05 | | $34.56 - $39.43 | | Increase | | | | | | | | | | | | | | Infrastructure
| | $ | 1,305,548 | | | Inputs to market comparables, discounted cash flow and transaction price | | Illiquidity Discount | | 6.7% | | 5.0% - 10.0% | | Decrease | | | | | | Weight Ascribed to Market Comparables | | 4.0% | | 0.0% - 25.0% | | (4) | | | | | | Weight Ascribed to Discounted Cash Flow | | 20.0% | | 0.0% - 100.0% | | (5) | | | | | | Weight Ascribed to Transaction Price | | 76.0% | | 0.0% - 100.0% | | (6) | | | | | Market comparables | | Enterprise Value/Forward EBITDA Multiple | | 10.5x | | 10.5x - 10.5x | | Increase | | | | | Discounted cash flow | | Weighted Average Cost of Capital | | 7.7% | | 6.6% - 8.3% | | Decrease | | | | | | Enterprise Value/LTM EBITDA Exit Multiple | | 10.0x | | 10.0x - 10.0x | | Increase | | | | | | | | | | | | | | Real Estate | | $ | 3,279,904 | | | Inputs to direct income capitalization and discounted cash flow | | Weight Ascribed to Direct Income Capitalization | | 15.6% | | 0.0% - 100.0% | | (7) | | | | | | Weight Ascribed to Discounted Cash Flow | | 70.4% | | 0.0% - 100.0% | | (5) | | | | | | Weight Ascribed to Transaction Price | | 14.0% | | 0.0% - 100.0% | | (6) | | | | | Direct income capitalization | | Current Capitalization Rate | | 5.6% | | 3.8% - 7.9% | | Decrease | | | | | Discounted cash flow | | Unlevered Discount Rate | | 6.6% | | 5.2% - 18.0% | | Decrease | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level III Assets | | Fair Value March 31, 2021 | | Valuation Methodologies | | Unobservable Input(s) (1) | | Weighted Average (2) | | Range | | Impact to Valuation from an Increase in Input (3) | | | | | | | | | | | | | | Equity Method - Other | | $ | 1,041,780 | | | Inputs to market comparables, discounted cash flow and transaction price | | Illiquidity Discount | | 9.5% | | 5.0% - 15.0% | | Decrease | | | | | Weight Ascribed to Market Comparables | | 35.4% | | 0.0% - 60.0% | | (4) | | | | | | Weight Ascribed to Discounted Cash Flow | | 29.2% | | 0.0% - 100.0% | | (5) | | | | | | Weight Ascribed to Transaction Price | | 35.4% | | 0.0% - 100.0% | | (6) | | | | | Market comparables | | Enterprise Value/LTM EBITDA Multiple | | 12.5x | | 7.4x - 23.7x | | Increase | | | | | | Enterprise Value/Forward EBITDA Multiple | | 12.7x | | 6.0x - 21.0x | | Increase | | | | | Discounted cash flow | | Weighted Average Cost of Capital | | 10.2% | | 6.2% - 18.1% | | Decrease | | | | | | Enterprise Value/LTM EBITDA Exit Multiple | | 10.9x | | 6.0x - 15.0x | | Increase | | | | | | | | | | | | | | Other Investments | | $ | 2,473,365 | | (9) | Inputs to market comparables, discounted cash flow and transaction price | | Illiquidity Discount | | 10.2% | | 5.0% - 20.0% | | Decrease | | | | | Weight Ascribed to Market Comparables | | 29.7% | | 0.0% - 100.0% | | (4) | | | | | | Weight Ascribed to Discounted Cash Flow | | 41.1% | | 0.0% - 100.0% | | (5) | | | | | | Weight Ascribed to Transaction Price | | 29.2% | | 0.0% - 100.0% | | (6) | | | | | Market comparables | | Enterprise Value/LTM EBITDA Multiple | | 12.4x | | 1.5x - 30.0x | | Increase | | | | | | Enterprise Value/Forward EBITDA Multiple | | 12.5x | | 1.3x - 27.0x | | Increase | | | | | Discounted cash flow | | Weighted Average Cost of Capital | | 13.6% | | 7.6% - 25.0% | | Decrease | | | | | | Enterprise Value/LTM EBITDA Exit Multiple | | 9.2x | | 5.0x - 11.0x | | Increase | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | INSURANCE | | | | | | | | | | | | | | | | | | | | | | | | | | Corporate fixed maturity securities | | $ | 1,824,106 | | | Discounted cash flow | | Discount Spread | | 2.16% | | 0.04% - 4.97% | | Decrease | | | | | | | | | | | | | | Structured securities | | $ | 175,626 | | | Discounted cash flow | | Discount Spread | | 2.63% | | 2.20% - 5.90% | | Decrease | | | | | | | Constant Prepayment Rate | | 7.43% | | 5.00% - 15.00% | | Increase/Decrease | | | | | | | Constant Default Rate | | 1.15% | | 1.00% - 2.50% | | Decrease | | | | | | | Loss Severity | | | | 100% | | Decrease | | | | | | | | | | | | | | Equity securities | | $ | 48,072 | | | Discounted cash flow | | Yield | | | | 17.50% | | Decrease | | | | | | | | | | | | | | Other investments | | $ | 423,279 | | | Direct capitalization | | Current Capitalization Rate | | 5.52% | | 5.27% - 5.77% | | Increase | | | | | | Vacancy rate | | | | 5.00% | | Decrease | | | | | | | | | | | | | | Funds withheld receivable at interest | | $ | 55,883 | | | Discounted cash flow | | Duration/Weighted Average Life | | 10.14 years | | 0.0 years - 22.3 years | | Increase | | | | | | Contractholder Persistency | | 6.38% | | 3.70% - 16.50% | | Increase | | | | | | Nonperformance Risk | | | | 0.40% - 1.14% | | Decrease | | | | | | | | | | | | | | Reinsurance recoverable | | $ | 1,317,962 | | | Present value of expenses paid from the open block plus the cost of capital held in support of the liabilities. | | Expense assumption | | | | The average expense assumption is between $10.40 and $78.00 per policy, increased by inflation. | | Increase | | | | | Unobservable inputs are a market participant’s view of the expenses, a risk margin on the uncertainty of the level of expenses and a cost of capital on the capital held in support of the liabilities. | | Expense risk margin | | | | 9.42% | | Decrease | | | | | | | Cost of capital | | | | 3.69% - 9.88% | | Increase | | | | | Discounted cash flow | | Mortality Rate | | | | 2.55% | | Increase | | | | | | Surrender Rate | | | | 5.33% | | Increase |
(1)In determining certain of these inputs, management evaluates a variety of factors including economic conditions, industry and market developments, market valuations of comparable companies and company specific developments including exit strategies and realization opportunities. Management has determined that market participants would take these inputs into account when valuing the investments and debt obligations. LTM means last twelve months and EBITDA means earnings before interest, taxes, depreciation and amortization. (2)Inputs were weighted based on the fair value of the investments included in the range. (3)Unless otherwise noted, this column represents the directional change in the fair value of the Level III investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant increases and decreases in these inputs in isolation could result in significantly higher or lower fair value measurements. (4)The directional change from an increase in the weight ascribed to the market comparables approach would increase the fair value of the Level III investments if the market comparables approach results in a higher valuation than the discounted cash flow approach and transaction price. The opposite would be true if the market comparables approach results in a lower valuation than the discounted cash flow approach and transaction price. (5)The directional change from an increase in the weight ascribed to the discounted cash flow approach would increase the fair value of the Level III investments if the discounted cash flow approach results in a higher valuation than the market comparables approach, transaction price and direct income capitalization approach. The opposite would be true if the discounted cash flow approach results in a lower valuation than the market comparables approach, transaction price and direct income capitalization approach. (6)The directional change from an increase in the weight ascribed to the transaction price or milestones would increase the fair value of the Level III investments if the transaction price or milestones results in a higher valuation than the market comparables and discounted cash flow approach. The opposite would be true if the transaction price or milestones results in a lower valuation than the market comparables approach and discounted cash flow approach. (7)The directional change from an increase in the weight ascribed to the direct income capitalization approach would increase the fair value of the Level III investments if the direct income capitalization approach results in a higher valuation than the discounted cash flow approach. The opposite would be true if the direct income capitalization approach results in a lower valuation than the discounted cash flow approach. (8)The total energy fair value amount includes multiple investments (in multiple locations throughout North America) that are held in multiple investment funds and produce varying quantities of oil, condensate, natural gas liquids, and natural gas. Commodity price may be measured using a common volumetric equivalent where one barrel of oil equivalent ("BOE"), is determined using the ratio of six thousand cubic feet of natural gas to one barrel of oil, condensate or natural gas liquids. The price per BOE is provided to show the aggregate of all price inputs for the various investments over a common volumetric equivalent although the valuations for specific investments may use price inputs specific to the asset for purposes of our valuations. The discounted cash flows include forecasted production of liquids (oil, condensate, and natural gas liquids) and natural gas with a forecasted revenue ratio of approximately 84% liquids and 16% natural gas. (9)Consists primarily of investments in common stock, preferred stock, warrants and options of companies that are not private equity, real assets, credit, equity method - other or investments of consolidated CFEs. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level III Liabilities | | Fair Value March 31, 2021 | | Valuation Methodologies | | Unobservable Input(s) (1) | | Weighted Average (2) | | Range | | Impact to Valuation from an Increase in Input (3) | | | | | | | | | | | | | | ASSET MANAGEMENT | | | | | | | | | | | | | | | | | | | | | | | | | | Unfunded Revolver Commitments | | $ | 35,637 | | | Yield Analysis | | Yield | | 6.2% | | 4.6% - 7.9% | | Decrease | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | INSURANCE | | | | | | | | | | | | | | | | | | | | | | | | | | Policy liabilities | | $ | 565,642 | | | Present value of best estimate liability cash flows. Unobservable inputs include a market participant view of the risk margin included in the discount rate which reflects the riskiness of the cash flows. | | Risk Margin Rate | | | | 0.40% - 1.34% | | Decrease | | | | Policyholder behavior is also a significant unobservable input, including surrender and mortality. | | Surrender Rate | | | | 2.75% - 12.62% | | Increase | | | | | | Mortality Rate | | | | 4.97% - 8.01% | | Increase | | | | | | | | | | | | | | Closed block policy liabilities | | $ | 1,366,879 | | | Present value of expenses paid from the open block plus the cost of capital held in support of the liabilities. | | Expense assumption | | | | The average expense assumption is between $10.40 and $78.00 per policy, increased by inflation. | | Increase | | | | Nonperformance Risk | | | | | | 0.40% - 1.14% | | Decrease | | | | Unobservable inputs are a market participant’s view of the expenses, a risk margin on the uncertainty of the level of expenses and a cost of capital on the capital held in support of the liabilities. | | Expense Risk Margin | | | | 9.42% | | Decrease | | | | | | Cost of Capital | | | | 3.69% - 9.88% | | Increase | | | | Discounted cash flow | | Mortality Rate | | | | 2.55% | | Increase | | | | | | Surrender Rate | | | | 5.33% | | Increase | | | | | | | | | | | | | | Funds withheld payable at interest | | $ | (313,230) | | | Discounted cash flow | | Duration/Weighted Average Life | | 10.31 years | | 0.0 years - 19.4 years | | Decrease | | | | | Contractholder Persistency | | 6.38% | | 3.70% - 16.50% | | Decrease | | | | | | | Nonperformance Risk | | | | 0.40% - 1.14% | | Decrease | | | | | | | | | | | | | | Embedded derivative – indexed universal life products | | $ | 434,242 | | | Policy persistency is a significant unobservable input. | | Lapse Rate | | | | 3.57% | | Decrease | | | | | | Mortality Rate | | | | 0.68% | | Decrease | | | | Future costs for options used to hedge the contract obligations | | Option Budge Assumption | | | | 3.55% | | Increase | | | | | | Nonperformance Risk | | | | 0.40% - 1.14% | | Decrease | | | | | | | | | | | | | | Embedded derivative – annuity products | | $ | 984,910 | | | Policyholder behavior is a significant unobservable input, including utilization and lapse. | | Utilization: | | | | | | | | | | | | Fixed-indexed annuity | | 3.92% | | | | Decrease | | | | | | Variable annuity | | 4.05% | | 2.19% - 31.35% | | Decrease | | | | | | Surrender Rate: | | | | | | | | | | | | Fixed-indexed annuity | | 10.21% | | | | Decrease | | | | | | Variable annuity | | | | 4.12% - 39.66% | | Decrease | | | | | | Mortality Rate | | | | | | | | | | | | Fixed-indexed annuity | | 1.82% | | | | Decrease | | | | | | Variable annuity | | | | 1.27% - 7.51% | | Decrease | | | | Future costs for options used to hedge the contract obligations | | Option Budge Assumption: | | | | | | | | | | | | Fixed-indexed annuity | | 1.74% | | | | Increase | | | | | | Variable annuity | | n/a | | | | Increase | | | | | | Nonperformance Risk | | | | 0.40% - 1.14% | | Decrease |
(1)In determining certain of these inputs, management evaluates a variety of factors including economic conditions, industry and market developments, market valuations of comparable companies and company specific developments including exit strategies and realization opportunities. Management has determined that market participants would take these inputs into account when valuing the investments and debt obligations. LTM means last twelve months and EBITDA means earnings before interest, taxes, depreciation and amortization. (2)Inputs were weighted based on the fair value of the investments included in the range. (3)Unless otherwise noted, this column represents the directional change in the fair value of the Level III investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant increases and decreases in these inputs in isolation could result in significantly higher or lower fair value measurements.
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Summary of financial instruments not carried at fair value |
The following tables present carrying amounts and fair values of Global Atlantic’s financial instruments which are not carried at fair value as of March 31, 2021. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value Hierarchy | | | As of March 31, 2021 | | Carrying Value | | Level 1 | | Level 2 | | Level 3 | | Fair Value | ($ in thousands) | | | | | | | | | | | Financial assets: | | | | | | | | | | | Insurance | | | | | | | | | | | Mortgage and other loan receivables | | $ | 15,625,153 | | | $ | — | | | $ | — | | | $ | 15,838,840 | | | $ | 15,838,840 | | Policy loans | | 831,459 | | | — | | | — | | | 822,864 | | | 822,864 | | FHLB common stock and other investments | | 137,544 | | | — | | | — | | | 137,544 | | | 137,544 | | | | | | | | | | | | | Funds withheld receivables at interest | | 3,038,954 | | | — | | | 3,038,954 | | | — | | | 3,038,954 | | Cash and cash equivalents | | 5,467,012 | | | 5,467,012 | | | — | | | — | | | 5,467,012 | | Restricted cash and cash equivalents | | 399,922 | | | 399,922 | | | — | | | — | | | 399,922 | | Total financial assets | | $ | 25,500,044 | | | $ | 5,866,934 | | | $ | 3,038,954 | | | $ | 16,799,248 | | | $ | 25,705,136 | | Financial liabilities: | | | | | | | | | | | Insurance | | | | | | | | | | | Policy liabilities | | $ | 19,680,466 | | | $ | — | | | $ | 18,017,494 | | | $ | — | | | $ | 18,017,494 | | Supplementary contracts without life contingencies | | 28,810 | | | — | | | — | | | 28,997 | | | 28,997 | | Funding agreements | | 3,171,978 | | | — | | | 658,921 | | | 2,562,203 | | | 3,221,124 | | Funds withheld payables at interest | | 13,759,393 | | | — | | | 13,759,393 | | | — | | | 13,759,393 | | Debt obligations | | 1,400,338 | | | — | | | — | | | 1,431,518 | | | 1,431,518 | | Securities sold under agreements to repurchase | | 300,729 | | | — | | | 300,729 | | | — | | | 300,729 | | Total financial liabilities | | $ | 38,341,714 | | | $ | — | | | $ | 32,736,537 | | | $ | 4,022,718 | | | $ | 36,759,255 | |
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