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INVESTMENTS
9 Months Ended
Sep. 30, 2021
Investments [Abstract]  
INVESTMENTS INVESTMENTS
Investments consist of the following:
 September 30, 2021December 31, 2020
Asset Management
Private Equity$25,568,516 $20,470,123 
Credit12,448,414 11,203,905 
Investments of Consolidated CFEs20,696,676 17,706,976 
Real Assets11,684,296 6,096,618 
Equity Method - Other4,573,679 4,471,441 
Equity Method - Capital Allocation-Based Income11,091,844 6,460,430 
Other Investments3,845,145 2,865,222 
Investments - Asset Management$89,908,570 $69,274,715 
Insurance
Fixed maturity securities, available-for-sale, at fair value(1)
$67,689,846 $— 
Mortgage and other loan receivables25,367,116 — 
Fixed maturity securities, trading, at fair value(2)
16,660,328 — 
Other investments7,627,490 — 
Funds withheld receivable at interest3,066,481 — 
Policy loans765,931 — 
Equity securities at fair value37,378 — 
Investments - Insurance$121,214,570 $ 
Total Investments$211,123,140 $69,274,715 
 
(1) Amortized cost of $68.1 billion, net of credit loss allowances of $96.4 million.
(2) Amortized cost of $16.8 billion.

As of September 30, 2021 and December 31, 2020, there were no investments which represented greater than 5% of total investments.

For certain disclosures a comparison to prior period is not provided when the amounts relate to investments held by Global Atlantic, which was acquired by KKR on February 1, 2021.
Fixed maturity securities

The cost or amortized cost and fair value for AFS fixed maturity securities were as follows:
Cost or amortized cost
Allowance for Credit Losses (2)
Gross unrealizedFair value
As of September 30, 2021gainslosses
AFS fixed maturity securities portfolio by type:
U.S. government and agencies$1,030,859 $— $14 $(11,860)$1,019,013 
U.S. state, municipal and political subdivisions5,136,682 — 29,493 (61,090)5,105,085 
Corporate41,280,338 — 205,390 (689,688)40,796,040 
RMBS8,074,429 (71,565)146,277 (70,457)8,078,684 
CMBS3,981,119 — 28,830 (16,578)3,993,371 
CBOs3,171,138 (17,187)9,711 (17,132)3,146,530 
CLOs3,024,860 (665)8,845 (2,468)3,030,572 
All other structured securities(1)
2,523,746 (6,983)21,473 (17,685)2,520,551 
Total AFS fixed maturity securities$68,223,171 $(96,400)$450,033 $(886,958)$67,689,846 

(1)     Includes primarily asset-backed securities ("ABS").
(2)     Represents the cumulative amount of credit impairments that have been recognized in the consolidated statement of operations (as net investment (losses) gains) or that were recognized as a gross-up of the purchase price of PCD securities. Amount excludes unrealized losses related to non-credit impairment.
Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties, or Global Atlantic may have the right to put or sell the obligations back to the issuers.

The maturity distribution for AFS fixed maturity securities is as follows:

As of September 30, 2021Cost or
amortized cost (net of allowance)
Fair value
Due in one year or less$829,405 $824,765 
Due after one year through five years9,801,829 9,766,497 
Due after five years through ten years11,800,470 11,704,970 
Due after ten years25,016,175 24,623,906 
Subtotal47,447,879 46,920,138 
RMBS8,002,864 8,078,684 
CMBS3,981,119 3,993,371 
CBOs3,153,951 3,146,530 
CLOs3,024,195 3,030,572 
All other structured securities2,516,763 2,520,551 
Total AFS fixed maturity securities$68,126,771 $67,689,846 

Purchased credit deteriorated securities

Certain securities purchased by Global Atlantic were assessed at acquisition as having experienced a more-than-insignificant deterioration in credit quality since their origination. These securities are identified as PCD, and a reconciliation of the difference between the purchase price and the par value of these PCD securities is below:
September 30, 2021
Purchase price of PCD securities acquired during the current period$1,726,900 
Allowance for credit losses at acquisition128,099 
Discount (premium) attributable to other factors308,053 
Par value$2,163,052 

Securities in a continuous unrealized loss position

The following tables provide information about AFS fixed maturity securities that have been continuously in an unrealized loss position:

Less than 12 months12 months or moreTotal
As of September 30, 2021Fair
value
Unrealized lossesFair
value
Unrealized lossesFair
value
Unrealized losses
AFS fixed maturity securities portfolio by type:
U.S. government and agencies$982,449 $(11,860)$— $— $982,449 $(11,860)
U.S. state, municipal and political subdivisions3,212,070 (61,090)— — 3,212,070 (61,090)
Corporate31,334,306 (689,688)— — 31,334,306 (689,688)
RMBS2,612,695 (70,457)— — 2,612,695 (70,457)
CBOs1,421,081 (17,132)— — 1,421,081 (17,132)
CMBS1,912,047 (16,578)— — 1,912,047 (16,578)
CLOs680,755 (2,468)— — 680,755 (2,468)
All other structured securities1,281,447 (17,685)— — 1,281,447 (17,685)
Total AFS fixed maturity securities in a continuous loss position$43,436,850 $(886,958)$ $ $43,436,850 $(886,958)

Unrealized gains and losses can be created by changing interest rates or several other factors, including changing credit spreads. Global Atlantic had gross unrealized losses on below investment grade AFS fixed maturity securities of $5.8 million as of September 30, 2021. The single largest unrealized loss on AFS fixed maturity securities was $6.5 million as of September 30, 2021. Global Atlantic had 4,210 securities in an unrealized loss position as of September 30, 2021.

Mortgage and other loan receivables

Mortgage and other loan receivables consist of the following:
As of
September 30, 2021
Commercial mortgage loans(1)
$11,901,653 
Residential mortgage loans(1)
7,360,869 
Consumer loans5,284,524 
Other loan receivables(1)(2)(3)
1,189,494 
Total mortgage and other loan receivables25,736,540 
Allowance for credit losses(369,424)
Total mortgage and other loan receivables, net of allowance for loan losses$25,367,116 

(1)     Includes $840.4 million of loans carried at fair value using the fair value option as of September 30, 2021. The fair value option was elected for these loans for asset-liability matching purposes. These loans had unpaid principal balances of $820.6 million as of September 30, 2021.
(2)     As of September 30, 2021, other loan receivables consisted primarily of renewable energy development loans of $559.3 million.
(3)     Includes $448.1 million of related party loans carried at fair value using the fair value option as of September 30, 2021. These loans had unpaid principal balances of $448.1 million as of September 30, 2021.
The maturity distribution for residential and commercial mortgage loans was as follows as of September 30, 2021:

YearsResidentialCommercialTotal mortgage loans
Remainder of 2021$94,988 $368,629 $463,617 
2022528,800 1,052,447 1,581,247 
2023233,336 1,192,664 1,426,000 
2024500,069 1,601,678 2,101,747 
202517,776 968,337 986,113 
2026373,710 2,249,266 2,622,976 
2027 and thereafter5,612,190 4,468,632 10,080,822 
Total$7,360,869 $11,901,653 $19,262,522 

Actual maturities could differ from contractual maturities, because borrowers may have the right to prepay (with or without prepayment penalties) and loans may be refinanced.

The mortgage loan portfolio is diversified by both geographic region and property type to reduce concentration risk. The following tables present the mortgage loans by geographic region and property type:

Mortgage loans - carrying value by geographic regionSeptember 30, 2021
Pacific$5,624,981 
West South Central2,506,058 
South Atlantic4,302,812 
Middle Atlantic2,630,050 
East North Central526,895 
Mountain1,585,458 
New England795,352 
East South Central920,981 
West North Central336,134 
Other regions33,801 
Total by geographic region$19,262,522 


Mortgage loans - carrying value by property typeSeptember 30, 2021
Residential$7,360,869 
Office building3,778,950 
Apartment4,922,659 
Industrial1,825,749 
Retail837,294 
Other property types336,116 
Warehouse200,885 
Total by property type$19,262,522 

As of September 30, 2021, Global Atlantic had $197.7 million of mortgage loans that were 90 days or more past due or in the process of foreclosure. Global Atlantic ceases accrual of interest on loans that are more than 90 days past due and recognizes income as cash is received. As of September 30, 2021, there were $197.7 million of mortgage loans that were non-income producing.

As of September 30, 2021, 1% of residential mortgage loans and 1% of consumer loans have been granted forbearance due to COVID-19. This forbearance, which generally involves a 3-month period in which payments are not required (though must subsequently be made up), is not considered to result in troubled debt restructurings for the nine months ended September 30, 2021. Interest continues to accrue on loans in temporary forbearance.
As of September 30, 2021, Global Atlantic had $4.0 million of consumer loans that were delinquent by more than 120 days or in default.

Purchased credit deteriorated loans

Certain residential mortgage loans purchased by Global Atlantic were assessed at acquisition as having experienced a more-than-insignificant deterioration in credit quality since their origination. These loans are identified as PCD, and a reconciliation of the difference between the purchase price and the par value of these PCD loans is below:

September 30, 2021
Purchase price of PCD loans acquired during the current period$4,231,426 
Allowance for credit losses at acquisition121,895 
Discount (premium) attributable to other factors(136,174)
Par value$4,217,147 

Credit quality indicators

Mortgage and loan receivable performance status

The following table represents the portfolio of mortgage and loan receivables by origination year and performance status:

September 30,
Performance status20212020201920182017PriorTotal
Commercial mortgage loans
Current$4,386,351 $1,124,617 $1,938,622 $1,535,710 $914,729 $2,001,624 $11,901,653 
30 to 59 days past due— — — — — — — 
60 to 89 days past due— — — — — — — 
Over 90 days past due— — — — — — — 
Total commercial mortgage loans$4,386,351 $1,124,617 $1,938,622 $1,535,710 $914,729 $2,001,624 $11,901,653 
Residential mortgage loans
Current$2,835,053 $1,485,965 $552,473 $275,733 $68,705 $1,809,831 $7,027,760 
30 to 59 days past due17,589 3,722 8,439 118 632 76,456 106,956 
60 to 89 days past due— 96 1,025 — — 27,322 28,443 
Over 90 days past due— 8,689 10,666 1,462 — 176,893 197,710 
Total residential mortgage loans$2,852,642 $1,498,472 $572,603 $277,313 $69,337 $2,090,502 $7,360,869 
Total mortgage loans$7,238,993 $2,623,089 $2,511,225 $1,813,023 $984,066 $4,092,126 $19,262,522 

The following table represents the portfolio of consumer loan receivables by performance status:
Performance statusSeptember 30, 2021
Consumer loans
Current$5,237,492 
30 to 59 days past due25,894 
60 to 89 days past due12,683 
Over 90 days past due8,455 
Total consumer loans$5,284,524 
Loan-to-value ratio on mortgage loans

The loan-to-value ratio is expressed as a percentage of the current amount of the loan relative to the value of the underlying collateral. The following table summarizes the loan-to-value ratios for commercial mortgage loans as of September 30, 2021:

Loan-to-value as of September 30, 2021, by year of originationCarrying value loan-to-value 70% and lessCarrying value loan-to-value 71% - 90%Carrying value loan-to-value over 90%Total carrying value
2021$3,138,534 $1,247,817 $— $4,386,351 
2020959,254 130,440 34,923 1,124,617 
20191,801,925 136,697 — 1,938,622 
20181,468,119 67,591 — 1,535,710 
2017850,772 63,957 — 914,729 
2016430,192 2,552 — 432,744 
Prior1,553,614 15,266 — 1,568,880 
Total commercial mortgage loans$10,202,410 $1,664,320 $34,923 $11,901,653 

Changing economic conditions affect the valuation of commercial mortgage loans. Changing vacancies and rents are incorporated into the discounted cash flow analysis that Global Atlantic performs for monitored loans and may contribute to the establishment of (or increase or decrease in) a commercial mortgage loan valuation allowance for credit losses. In addition, Global Atlantic continuously monitors its commercial mortgage loan portfolio to identify risk. Areas of emphasis are properties that have exposure to specific geographic events, or have deteriorating credit.

The weighted average loan-to-value ratio for the residential mortgage loans was 73% as of September 30, 2021.

Other investments

Other investments consist of the following:

September 30, 2021
Investments in renewable energy (1)(2)
$3,976,960 
Investments in transportation and other leased assets (3)
2,205,946 
Other investment partnerships189,720 
Investments in real estate1,089,912 
FHLB common stock and other investments164,952 
Total other investments$7,627,490 

(1)     Net of accumulated depreciation attributed to consolidated renewable energy assets of $140.3 million as of September 30, 2021.
(2)     Includes an equity investment in a related party, Origis USA, LLC, of $335.0 million carried at fair value using the fair value option as of September 30, 2021.
(3)     Net of accumulated depreciation of $74.8 million as of September 30, 2021.

The total amount of other investments accounted for using the equity method of accounting was $1.2 billion as of September 30, 2021. Global Atlantic's maximum exposure to loss related to these equity method investments is limited to the carrying value of these investments plus unfunded commitments of $22.7 million as of September 30, 2021.

In addition, Global Atlantic has investments that would otherwise require the equity method of accounting for which the fair value option has been elected. The carrying amount of these investments was $476.8 million as of September 30, 2021.
Funding agreements

Certain Global Atlantic subsidiaries are members of regional banks in the FHLB system. These subsidiaries have also entered into funding agreements with their respective FHLB. The funding agreements are issued in exchange for cash. The funding agreements require that Global Atlantic pledge eligible assets, such as commercial mortgage loans, as collateral. With respect to certain classes of eligible assets, the FHLB holds the pledged eligible assets in custody at the respective FHLB. The liabilities for the funding agreements are included in policy liabilities in the consolidated statements of financial condition. Information related to the FHLB investment and funding agreements as of September 30, 2021 is as follows:

As of September 30, 2021Investment in common stockFunding agreements issued to FHLB member banksCollateral
FHLB Indianapolis$74,790 $1,623,147 $2,520,502 
FHLB Des Moines34,600 620,293 1,025,735 
FHLB Boston22,520 327,858 556,674 
Total$131,910 $2,571,298 $4,102,911 

In addition, in January 2021, Global Atlantic launched an inaugural funding-agreement backed note ("FABN") program, through which GA Global Funding Trust, a special purpose, unaffiliated statutory trust, was established to offer its senior secured medium-term notes. Net proceeds from each sale of the aforementioned notes are used to purchase one or more funding agreements from Forethought Life Insurance Company, an insurance subsidiary of Global Atlantic. As of September 30, 2021, Global Atlantic had $2.9 billion of such funding agreements outstanding, with $7.1 billion of remaining capacity.

Repurchase agreement transactions

As of September 30, 2021, Global Atlantic participated in third-party repurchase agreements with a notional value of $317.9 million. As collateral for these transactions, as of September 30, 2021, Global Atlantic posted fixed maturity securities with a fair value and amortized cost of $330.0 million and $331.4 million, respectively, which are included in Insurance - Investments in the consolidated statements of financial condition.

The gross obligation for repurchase agreements is reported in Other Liabilities in the consolidated statements of financial condition. The gross obligations by class of collateral pledged for repurchase agreements accounted for as secured borrowings as of September 30, 2021 is presented in the following table:

As of September 30, 2021Overnight<30 Days30 - 90 Days> 90 DaysTotal
Corporate Securities$— $— $— $329,963 $329,963 
Total borrowing$— $— $— $329,963 $329,963 

Other

As of September 30, 2021, the cost or amortized cost and fair value of the assets on deposit with various state and governmental authorities were $183.6 million and $180.5 million.