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INVESTMENTS

12 Months Ended

Dec. 31, 2021

Investments consist of the following:


	December 31, 2021		December 31, 2020
Asset Management
Private Equity	$	25,685,750	$	20,470,123
Credit	7,949,573		11,203,905
Investments of Consolidated CFEs	22,076,809		17,706,976
Real Assets	12,500,749		6,096,618
Equity Method - Other	4,877,592		4,471,441
Equity Method - Capital Allocation-Based Income	11,539,945		6,460,430
Other Investments	4,145,096		2,865,222
Investments - Asset Management	$	88,775,514	$	69,274,715

Insurance
Fixed maturity securities, available-for-sale, at fair value(1)	$	68,870,886	$	—
Mortgage and other loan receivables	28,876,759		—
Fixed maturity securities, trading, at fair value(2)	13,753,573		—
Other investments	8,208,566		—
Funds withheld receivable at interest	2,999,448		—
Policy loans	765,310		—
Equity securities at fair value	289,133		—
Investments - Insurance	$	123,763,675	$	—

Total Investments	$	212,539,189	$	69,274,715

(1) Amortized cost of $71.2 billion, net of credit loss allowances of $88.1 million.

(2) Amortized cost of $13.9 billion.

As of December 31, 2021 and 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.

Equity Method

KKR evaluates its equity method investments for which KKR has not elected the fair value option for impairment whenever events or changes in circumstances indicate that the carrying amounts of such investments may not be recoverable. During the year ended December 31, 2021, there was no impairment charge related to equity method investments. During the year ended December 31, 2020, KKR recognized an $88.3 million impairment charge in Net Gains (Losses) from Investment Activities to reduce the carrying value of one of its equity method investments that is accounted for under the equity method of accounting to its fair value. KKR determined that the growth expectations of the investment had declined significantly and the estimated fair value of the investment had declined meaningfully. Therefore, KKR performed a valuation to determine whether the fair value of the investment had declined below its carrying value using a discounted cash flow analysis, a Level III fair value methodology. Based on the discounted cash flow analysis, KKR concluded that the fair value of its investment had declined below is carrying value and that the decline was other than temporary.

Summarized Financial Information

KKR evaluates each of its equity method investments to determine if any are significant as defined in the regulations

promulgated by the U.S. Securities and Exchange Commission (the "SEC"). As of and for the years ended December 31, 2021,

2020, and 2019, no individual equity method investment held by KKR met the significance criteria. As such, KKR is not

required to present separate financial statements for any of its equity method investments.

The following table shows summarized financial information relating to the statements of financial condition for all of

KKR's equity method investments assuming 100% ownership as of December 31, 2021 and 2020:




	December 31, 2021		December 31, 2020
Asset Management
Total Assets	$	154,165,237	$	127,447,298
Total Liabilities	$	20,176,773	$	25,934,871
Total Equity	$	133,988,464	$	101,512,427

Insurance
Total Assets	$	14,031,374	$	—
Total Liabilities	$	3,360,701	$	—
Total Equity	$	—	$	—

The following table shows summarized financial information relating to the statements of operations for all of KKR's

equity method investments assuming 100% ownership for the years ended December 31, 2021, 2020 and 2019:




	For the Years Ended December 31,
	2021		2020		2019
Asset Management
Investment Related Revenues	$	5,812,879	$	3,957,091	$	2,552,266
Other Revenues	3,919,200		3,526,681		5,132,796
Investment Related Expenses	2,504,491		2,347,521		1,385,870
Other Expenses	2,949,799		2,534,041		4,066,713
Net Realized and Unrealized Gain/(Loss) from Investments	31,380,451		8,007,682		10,532,988
	$	35,658,240	$	10,609,892	$	12,765,467

Insurance
Revenues	$	1,225,099	$	—	$	—
Expenses	588,724		—		—
	$	636,375	$	—	$	—

Net Income (Loss)	$	36,294,615	$	10,609,892	$	12,765,467

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)(3)		Gross unrealized				Fair value
As of December 31, 2021					gains		losses
AFS fixed maturity securities portfolio by type:
U.S. government and agencies	$	785,144	$	—	$	4,171	$	(4,768)	$	784,547
U.S. state, municipal and political subdivisions	5,122,651		—		42,286		(55,240)		5,109,697
Corporate	41,433,757		(3,238)		190,516		(688,648)		40,932,387
RMBS	7,703,030		(50,975)		126,662		(113,359)		7,665,358
CMBS	5,952,656		(282)		16,332		(56,523)		5,912,183
CBOs	3,111,620		(22,160)		6,862		(27,466)		3,068,856
CLOs	2,985,098		(639)		6,554		(5,776)		2,985,237
All other structured securities(1)	2,425,540		(10,839)		19,990		(22,070)		2,412,621
Total AFS fixed maturity securities	$	69,519,496	$	(88,133)	$	413,373	$	(973,850)	$	68,870,886

(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.

(3) Includes credit loss allowances on purchase-credit deteriorated fixed-maturity securities of $(46.4) million.

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 December 31, 2021	Cost or amortized cost (net of allowance)		Fair value
Due in one year or less	$	871,340	$	869,287
Due after one year through five years	9,256,449		9,171,707
Due after five years through ten years	11,460,032		11,350,091
Due after ten years	25,750,493		25,435,546
Subtotal	47,338,314		46,826,631
RMBS	7,652,055		7,665,358
CMBS	5,952,374		5,912,183
CBOs	3,089,460		3,068,856
CLOs	2,984,459		2,985,237
All other structured securities	2,414,701		2,412,621
Total AFS fixed maturity securities	$	69,431,363	$	68,870,886

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:


	December 31, 2021
Purchase price of PCD securities acquired during the current period	$	1,734,352
Allowance for credit losses at acquisition	128,967
Discount (premium) attributable to other factors	311,729
Par value	$	2,175,048

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 months				12 months or more				Total
As of December 31, 2021	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
AFS fixed maturity securities portfolio by type:
U.S. government and agencies	$	311,096	$	(4,768)	$	—	$	—	$	311,096	$	(4,768)
U.S. state, municipal and political subdivisions	2,802,309		(55,240)		—		—		2,802,309		(55,240)
Corporate	30,385,514		(688,648)		—		—		30,385,514		(688,648)
RMBS	3,196,876		(113,359)		—		—		3,196,876		(113,359)
CBOs	2,152,790		(27,466)		—		—		2,152,790		(27,466)
CMBS	3,405,774		(56,523)		—		—		3,405,774		(56,523)
CLOs	1,172,330		(5,776)		—		—		1,172,330		(5,776)
All other structured securities	1,348,356		(22,070)		—		—		1,348,356		(22,070)
Total AFS fixed maturity securities in a continuous loss position	$	44,775,045	$	(973,850)	$	—	$	—	$	44,775,045	$	(973,850)

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 $77.0 million as of December 31, 2021. The single largest unrealized loss on AFS fixed maturity securities was $7.3 million as of December 31, 2021. Global Atlantic had 4,370 securities in an unrealized loss position as of December 31, 2021.

Mortgage and other loan receivables

Mortgage and other loan receivables consist of the following:


	As of
	December 31, 2021
Commercial mortgage loans(1)	$	13,824,772
Residential mortgage loans(1)	8,724,904
Consumer loans	5,617,925
Other loan receivables(1)(2)(3)	1,083,235
Total mortgage and other loan receivables	29,250,836
Allowance for credit losses(4)	(374,077)
Total mortgage and other loan receivables, net of allowance for loan losses	$	28,876,759

(1) Includes $805.4 million of loans carried at fair value using the fair value option as of December 31, 2021. The fair value option was elected for these loans for asset-liability matching purposes. These loans had unpaid principal balances of $794.1 million as of December 31, 2021.

(2) As of December 31, 2021, other loan receivables consisted primarily of loans collateralized by aircraft of $850.1 million.

(3) Includes $27.3 million of related party loans carried at fair value using the fair value option as of December 31, 2021. These loans had unpaid principal balances of $27.3 million as of December 31, 2021.

(4) Includes credit loss allowances on purchase-credit deteriorated mortgage and other loan receivables of $(77.9) million.

The maturity distribution for residential and commercial mortgage loans was as follows as of December 31, 2021:


Years	Residential		Commercial		Total mortgage loans

2022	$	502,584	$	1,166,088	$	1,668,672
2023	37,144		1,103,246		1,140,390
2024	603,698		1,811,096		2,414,794
2025	17,401		1,191,208		1,208,609
2026	703,484		2,933,629		3,637,113
2027 and thereafter	6,860,593		5,619,505		12,480,098
Total	$	8,724,904	$	13,824,772	$	22,549,676

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.

Global Atlantic diversifies its mortgage loan portfolio 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 region	December 31, 2021
Pacific	$	6,675,064
West South Central	2,675,890
South Atlantic	4,996,043
Middle Atlantic	3,142,973
East North Central	590,911
Mountain	1,957,099
New England	1,099,157
East South Central	1,035,764
West North Central	350,546
Other regions	26,229
Total by geographic region	$	22,549,676


Mortgage loans - carrying value by property type	December 31, 2021
Residential	$	8,724,904
Office building	4,185,146
Apartment	6,194,819
Industrial	1,981,713
Retail	780,071
Other property types	483,560
Warehouse	199,463
Total by property type	$	22,549,676

As of December 31, 2021, Global Atlantic had $202.7 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 December 31, 2021, there were $202.7 million of mortgage loans that were non-income producing.

As of December 31, 2021, 1% of residential mortgage 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 year ended December 31, 2021. Interest continues to accrue on loans in temporary forbearance.

As of December 31, 2021, Global Atlantic had $5.1 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:


	December 31, 2021
Purchase price of PCD loans acquired during the current period	$	4,231,426
Allowance for credit losses at acquisition	121,895
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:


	December 31,
Performance status	2021		2020		2019		2018		2017		Prior		Total
Commercial mortgage loans
Current	$	6,831,655	$	976,369	$	1,883,908	$	1,373,865	$	817,954	$	1,941,021	$	13,824,772
30 to 59 days past due	—		—		—		—		—		—		—
60 to 89 days past due	—		—		—		—		—		—		—
Over 90 days past due	—		—		—		—		—		—		—
Total commercial mortgage loans	$	6,831,655	$	976,369	$	1,883,908	$	1,373,865	$	817,954	$	1,941,021	$	13,824,772
Residential mortgage loans
Current	$	4,505,537	$	1,576,342	$	393,153	$	123,995	$	65,070	$	1,711,156	$	8,375,253
30 to 59 days past due	24,955		6,028		5,818		1,155		739		75,104		113,799
60 to 89 days past due	4,247		1,243		607		—		—		27,028		33,125
Over 90 days past due	5,305		14,272		21,985		2,686		—		158,479		202,727
Total residential mortgage loans	$	4,540,044	$	1,597,885	$	421,563	$	127,836	$	65,809	$	1,971,767	$	8,724,904






Total mortgage loans	$	11,371,699	$	2,574,254	$	2,305,471	$	1,501,701	$	883,763	$	3,912,788	$	22,549,676

The following table represents the portfolio of consumer loan receivables by performance status:


Performance status	December 31, 2021
Consumer loans
Current	$	5,556,923
30 to 59 days past due	34,048
60 to 89 days past due	16,817
Over 90 days past due	10,137
Total consumer loans	$	5,617,925

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 December 31, 2021:


Loan-to-value as of December 31, 2021, by year of origination	Carrying value loan-to-value 70% and less		Carrying value loan-to-value 71% - 90%		Carrying value loan-to-value over 90%		Total carrying value
2021	$	4,910,170	$	1,921,485	$	—	$	6,831,655
2020	819,406		121,997		34,966		976,369
2019	1,747,656		136,252		—		1,883,908
2018	1,324,807		49,058		—		1,373,865
2017	772,989		44,965		—		817,954
2016	425,926		2,440		—		428,366
Prior	1,497,503		15,152		—		1,512,655
Total commercial mortgage loans	$	11,498,457	$	2,291,349	$	34,966	$	13,824,772

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 68% as of December 31, 2021.

Other investments

Other investments consist of the following:


	December 31, 2021
Investments in renewable energy (1)	$	3,573,811
Investments in transportation and other leased assets (2)	2,663,759
Other investment partnerships	234,301
Investments in real estate	1,564,853
FHLB common stock and other investments	171,842
Total other investments	$	8,208,566

(1) Net of accumulated depreciation attributed to consolidated renewable energy assets of $156.8 million as of December 31, 2021.

(2) Net of accumulated depreciation of $105.1 million as of December 31, 2021.

The total amount of other investments accounted for using the equity method of accounting was $1.2 billion as of December 31, 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 $22.4 million as of December 31, 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 $147.8 million as of December 31, 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 December 31, 2021 is as follows:


As of December 31, 2021	Investment in common stock		Funding agreements issued to FHLB member banks		Collateral
FHLB Indianapolis	$	80,640	$	1,619,765	$	2,577,698
FHLB Des Moines	34,600		620,006		1,004,530
FHLB Boston	22,520		326,639		553,384
Total	$	137,760	$	2,566,410	$	4,135,612

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 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 December 31, 2021, Global Atlantic had $3.5 billion of such funding agreements outstanding, with $6.5 billion of remaining capacity under the program. Subsequent to year-end, in January 2022, Global Atlantic issued an additional $1.1 billion of funding agreements in connection with the program.

Repurchase agreement transactions

As of December 31, 2021, Global Atlantic participated in third-party repurchase agreements with a notional value of $300.4 million. As collateral for these transactions, as of December 31, 2021, Global Atlantic posted fixed maturity securities with a fair value and amortized cost of $313.0 million and $317.0 million, respectively, which are included in Insurance - Investments in the consolidated statements of financial condition.

The fair value of securities pledged for repurchase agreements by class of collateral and remaining contractual maturity as of December 31, 2021 is presented in the following table:


As of December 31, 2021	Overnight		<30 Days		30 - 90 Days		> 90 Days		Total
Corporate Securities	$	—	$	—	$	—	$	312,965	$	312,965
Total borrowing	$	—	$	—	$	—	$	312,965	$	312,965

Other

As of December 31, 2021, the cost or amortized cost and fair value of the assets on deposit with various state and governmental authorities was $182.6 million and $180.8 million, respectively.