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FAIR VALUE MEASUREMENTS
3 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS FAIR VALUE MEASUREMENTS
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, 2022
 Level ILevel IILevel IIITotal
Asset Management
Private Equity$1,906,139 $275,759 $23,999,016 $26,180,914 
Credit— 1,506,877 5,314,853 6,821,730 
Investments of Consolidated CFEs— 22,014,866 — 22,014,866 
Real Assets— 1,496,708 13,292,123 14,788,831 
Equity Method - Other492,913 29,985 984,904 1,507,802 
Other Investments898,329 9,087 3,134,926 4,042,342 
Total Investments3,297,381 25,333,282 46,725,822 75,356,485 
Foreign Exchange Contracts and Options— 367,079 — 367,079 
Other Derivatives547 4,042 705 
(1)
5,294 
Total Assets at Fair Value - Asset Management$3,297,928 $25,704,403 $46,726,527 $75,728,858 
Insurance
AFS fixed maturity securities:
U.S. government and agencies$301,899 $189,275 $— $491,174 
U.S. state, municipal and political subdivisions— 4,786,996 — 4,786,996 
Corporate— 28,975,437 7,970,195 36,945,632 
Structured securities— 20,637,356 1,382,539 22,019,895 
Total AFS fixed maturity securities301,899 54,589,064 9,352,734 64,243,697 
Trading fixed maturity securities:
U.S. government and agencies233,754 158,440 — 392,194 
U.S. state, municipal and political subdivisions— 857,021 — 857,021 
Corporate— 7,582,756 705,685 8,288,441 
Structured securities— 2,893,125 630,579 3,523,704 
Total trading fixed maturity securities233,754 11,491,342 1,336,264 13,061,360 
Equity securities5,854 — 32,937 38,791 
Mortgage and other loan receivables(2)
— — 1,007,906 1,007,906 
Other investments(3)
— — 3,620,186 3,620,186 
Funds withheld receivable at interest— — 8,196 8,196 
Reinsurance recoverable— — 1,231,957 1,231,957 
Derivative assets:
Equity market contracts57,568 873,453 — 931,021 
Interest rate contracts38,903 258,455 — 297,358 
Foreign currency contracts— 47,866 — 47,866 
Impact of netting(4)
(38,609)(213,047)— (251,656)
Total derivative assets57,862 966,727 — 1,024,589 
Separate account assets5,069,742 — — 5,069,742 
Total Assets at Fair Value - Insurance$5,669,111 $67,047,133 $16,590,180 $89,306,424 
Total Assets at Fair Value$8,967,039 $92,751,536 $63,316,707 $165,035,282 
 December 31, 2021
 Level ILevel IILevel IIITotal
Asset Management
Private Equity$2,044,380 $318,736 $23,322,634 $25,685,750 
Credit— 2,122,912 5,826,661 7,949,573 
Investments of Consolidated CFEs— 22,076,809 — 22,076,809 
Real Assets— 1,111,219 11,389,530 12,500,749 
Equity Method - Other482,061 105,647 1,013,807 1,601,515 
Other Investments759,002 146,081 3,240,013 4,145,096 
Total Investments3,285,443 25,881,404 44,792,645 73,959,492 
Foreign Exchange Contracts and Options— 590,637 — 590,637 
Other Derivatives— 12 479 
(1)
491 
Total Assets at Fair Value - Asset Management$3,285,443 $26,472,053 $44,793,124 $74,550,620 
Insurance
AFS fixed maturity securities:
U.S. government and agencies$500,325 $284,222 $— $784,547 
U.S. state, municipal and political subdivisions— 5,109,697 — 5,109,697 
Corporate— 33,281,727 7,650,660 40,932,387 
Structured securities— 21,215,854 828,401 22,044,255 
Total AFS fixed maturity securities500,325 59,891,500 8,479,061 68,870,886 
Trading fixed maturity securities:
U.S. government and agencies371,366 252,266 — 623,632 
U.S. state, municipal and political subdivisions— 879,463 — 879,463 
Corporate— 8,486,922 565,025 9,051,947 
Structured securities— 2,779,757 418,774 3,198,531 
Total trading fixed maturity securities371,366 12,398,408 983,799 13,753,573 
Equity securities256,196 — 32,937 289,133 
Mortgage and other loan receivables(2)
— — 832,674 832,674 
Other investments(3)
— — 1,603,345 1,603,345 
Funds withheld receivable at interest— — 31,740 31,740 
Reinsurance recoverable— — 1,293,791 1,293,791 
Derivative assets:
Equity market contracts66,510 1,150,333 — 1,216,843 
Interest rate contracts44,472 154,186 — 198,658 
Foreign currency contracts— 32,464 — 32,464 
Impact of netting(4)
(25,588)(126,427)— (152,015)
Total derivative assets85,394 1,210,556 — 1,295,950 
Separate account assets5,586,428 — — 5,586,428 
Total Assets at Fair Value - Insurance$6,799,709 $73,500,464 $13,257,347 $93,557,520 
Total Assets at Fair Value$10,085,152 $99,972,517 $58,050,471 $168,108,140 
(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 $28.2 million and $27.3 million in Level III for mortgage and other loan receivables as of March 31, 2022 and December 31, 2021, respectively.
(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, 2022 and December 31, 2021, the fair value of these investments was $135.9 million and $108.7 million, respectively.
(4)Represents netting of derivative exposures covered by qualifying master netting agreements.

Liabilities, at fair value:
 March 31, 2022
 Level ILevel IILevel IIITotal
Asset Management
Securities Sold Short$136,128 $— $— $136,128 
Foreign Exchange Contracts and Options— 239,875 — 239,875 
Unfunded Revolver Commitments— — 64,556 
(1)
64,556 
Other Derivatives — 28,077 — 28,077 
Debt Obligations of Consolidated CFEs— 21,213,206 — 21,213,206 
Total Liabilities at Fair Value - Asset Management$136,128 $21,481,158 $64,556 $21,681,842 
Insurance
Policy liabilities$— $— $466,408 $466,408 
Closed block policy liabilities— — 1,269,991 1,269,991 
Funds withheld payable at interest— — (1,219,491)(1,219,491)
Derivative instruments payable:
Equity market contracts63,886 117,808 — 181,694 
Interest rate contracts72,352 437,464 — 509,816 
Foreign currency contracts— 20,988 — 20,988 
Credit contracts— 1,360 — 1,360 
Impact of netting(2)
(38,609)(213,047)— (251,656)
Total derivative instruments payable97,629 364,573 — 462,202 
Embedded derivative – indexed universal life products— — 512,015 512,015 
Embedded derivative – annuity products— — 1,777,832 1,777,832 
Total Liabilities at Fair Value - Insurance$97,629 $364,573 $2,806,755 $3,268,957 
Total Liabilities at Fair Value$233,757 $21,845,731 $2,871,311 $24,950,799 
 December 31, 2021
 Level ILevel IILevel IIITotal
Asset Management
Securities Sold Short$249,383 $— $— $249,383 
Foreign Exchange Contracts and Options— 319,511 — 319,511 
Unfunded Revolver Commitments— — 64,276 
(1)
64,276 
Other Derivatives — 45,003 — 45,003 
Debt Obligations of Consolidated CFEs— 21,271,084 — 21,271,084 
Total Liabilities at Fair Value - Asset Management$249,383 $21,635,598 $64,276 $21,949,257 
Insurance
Policy liabilities$— $— $519,454 $519,454 
Closed block policy liabilities— — 1,350,224 1,350,224 
Funds withheld payable at interest— — (49,491)(49,491)
Derivative instruments payable:
Equity market contracts33,933 152,821 — 186,754 
Interest rate contracts14,009 87,236 — 101,245 
Foreign currency contracts— 7,639 — 7,639 
Credit contracts— 1,540 — 1,540 
Impact of netting(2)
(25,588)(126,427)— (152,015)
Total derivative instruments payable22,354 122,809 — 145,163 
Embedded derivative – indexed universal life products— — 557,276 557,276 
Embedded derivative – annuity products— — 1,983,949 1,983,949 
Total Liabilities at Fair Value - Insurance$22,354 $122,809 $4,361,412 $4,506,575 
Total Liabilities at Fair Value$271,737 $21,758,407 $4,425,688 $26,455,832 
(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.
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, 2022 and 2021, respectively. For certain insurance disclosures, the beginning of the period represents balances as of the GA Acquisition Date.

Three Months Ended March 31, 2022
Balance, Beg. of PeriodTransfers In / (Out) - Changes in ConsolidationTransfers
In
Transfers OutNet Purchases/Issuances/Sales/SettlementsNet Unrealized and Realized Gains (Losses)Change in OCIBalance, End of PeriodChanges in Net Unrealized Gains (Losses) Included in Earnings related to Level III Assets and Liabilities still held as of the Reporting DateChanges 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$23,322,634 $— $— $(138,220)$680,792 $133,810 $— $23,999,016 $18,304 $— 
Credit5,826,661 — — — (383,841)(126,598)(1,369)5,314,853 (58,683)(1,369)
Real Assets11,389,530 — — — 1,008,641 893,952 — 13,292,123 864,586 — 
Equity Method - Other1,013,807 — — — 40,182 (69,085)— 984,904 (71,310)— 
Other Investments3,240,013 — — — (86,258)(18,829)— 3,134,926 (14,995)— 
Other Derivatives479 — — — 11,284 (11,058)— 705 (11,058)— 
Total Assets - Asset Management44,793,124 — — (138,220)1,270,800 802,192 (1,369)46,726,527 726,844 (1,369)
Insurance
AFS fixed maturity securities:
Corporate fixed maturity securities7,650,660 — — — 391,605 1,275 (73,345)7,970,195 — (46,123)
Structured securities828,401 — 343,338 — 228,734 (3,409)(14,525)1,382,539 — (20,703)
Total AFS fixed maturity securities8,479,061 — 343,338 — 620,339 (2,134)(87,870)9,352,734 — (66,826)
Trading fixed maturity securities:
Corporate fixed maturity securities565,025 — — (31,407)182,432 (10,365)— 705,685 (11,116)— 
Structured securities418,774 — 98,307 (21,745)144,203 (8,960)— 630,579 (10,412)— 
Total trading fixed maturity securities983,799 — 98,307 (53,152)326,635 (19,325)— 1,336,264 (21,528)— 
Equity securities32,937 — — — — — — 32,937 20,292 — 
Mortgage and other loan receivables832,674 — — — 203,197 (27,965)— 1,007,906 (9,559)— 
Other investments1,603,345 — — — 1,920,480 96,361 — 3,620,186 108,587 — 
Funds withheld receivable at interest31,740 — — — 10,435 (33,979)— 8,196 — — 
Reinsurance recoverable1,293,791 — — — (14,375)(47,459)— 1,231,957 — — 
Total Assets - Insurance13,257,347 — 441,645 (53,152)3,066,711 (34,501)(87,870)16,590,180 97,792 (66,826)
Total$58,050,471 $— $441,645 $(191,372)$4,337,511 $767,691 $(89,239)$63,316,707 $824,636 $(68,195)
Three Months Ended March 31, 2021
Balance, Beg. of PeriodTransfers In / (Out) - Changes in ConsolidationTransfers InTransfers OutNet Purchases/Issuances/Sales/SettlementsNet Unrealized and Realized Gains (Losses)Change in OCIBalance, End of PeriodChanges in Net Unrealized Gains (Losses) Included in Net Gains (Losses) from Investment Activities 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 $— 
Credit9,172,848 (1,021)86,135 — 92,140 33,640 2,139 9,385,881 61,774 2,139 
Real Assets5,924,575 — — — 696,345 258,297 — 6,879,217 231,898 — 
Equity Method - Other1,014,378 — — — (153,840)181,242 — 1,041,780 180,258 — 
Other Investments2,341,981 (2,879)— (105,644)63,054 176,853 — 2,473,365 214,879 — 
Other Derivatives6,668 — — — 3,574 (6,841)— 3,401 (6,841)— 
Total Assets - Asset Management33,695,354 (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 securities3,519,368 — — — 244,578 — (24,416)3,739,530 — (22,210)
Structured securities197,983 — — — (1,692)— (3,185)193,106 — 474 
Total AFS fixed maturity securities3,717,351 — — — 242,886 — (27,601)3,932,636 — (21,736)
Trading fixed maturity securities:
Corporate fixed maturity securities674,380 — — — 55,699 (4,001)— 726,078 (3,600)— 
Structured securities14,661 — — — 8,055 (183)— 22,533 (222)— 
Total trading fixed maturity securities689,041 — — — 63,754 (4,184)— 748,611 (3,822)— 
Equity securities66,660 — — — — 3,325 — 69,985 3,325 — 
Mortgage and other loan receivables929,855 — — — 247,719 5,500 — 1,183,074 6,322 — 
Other investments443,824 — — — — 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 - Insurance5,846,731 — — — 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, 2022
PurchasesIssuancesSalesSettlementsNet Purchases/ Issuances/ Sales/ Settlements
Assets
Asset Management
Private Equity$904,261 $— $(223,469)$— $680,792 
Credit 519,351 — (885,330)(17,862)(383,841)
Real Assets1,510,787 — (502,146)— 1,008,641 
Equity Method - Other41,819 — (1,637)— 40,182 
Other Investments161,876 — (248,134)— (86,258)
Other Derivatives11,284 — — — 11,284 
  Total Assets - Asset Management3,149,378 — (1,860,716)(17,862)1,270,800 
Insurance
AFS fixed maturity securities:
Corporate fixed maturity securities924,672 — (58,392)(474,675)391,605 
Structured securities231,916 — — (3,182)228,734 
Total AFS fixed maturity securities1,156,588 — (58,392)(477,857)620,339 
Trading fixed maturity securities:
Corporate fixed maturity securities189,017 — — (6,585)182,432 
Structured securities155,253 — — (11,050)144,203 
Total trading fixed maturity securities344,270 — — (17,635)326,635 
Mortgage and other loan receivables220,225 — — (17,028)203,197 
Other investments1,920,480 — — — 1,920,480 
Funds withheld receivable at interest— 10,435 — — 10,435 
Reinsurance recoverable— — — (14,375)(14,375)
Total Assets - Insurance3,641,563 10,435 (58,392)(526,895)3,066,711 
Total$6,790,941 $10,435 $(1,919,108)$(544,757)$4,337,511 

Three Months Ended March 31, 2021
PurchasesIssuancesSalesSettlementsNet Purchases/ Issuances/ Sales/ Settlements
Assets
Asset Management
Private Equity$221,344 $— $(91,035)$— $130,309 
Credit 1,120,791 — (1,028,651)— 92,140 
Real Assets924,320 — (227,975)— 696,345 
Equity Method - Other144 — (153,984)— (153,840)
Other Investments89,502 — (26,448)— 63,054 
Other Derivatives3,574 — — — 3,574 
  Total Assets - Asset Management2,359,675 — (1,528,093)— 831,582 
Insurance
AFS fixed maturity securities:
Corporate fixed maturity securities287,638 — (3,299)(39,761)244,578 
Structured securities10 — — (1,702)(1,692)
Total AFS fixed maturity securities287,648 — (3,299)(41,463)242,886 
Trading fixed maturity securities:
Corporate fixed maturity securities57,451 — — (1,752)55,699 
Structured securities8,110 — — (55)8,055 
Total trading fixed maturity securities65,561 — — (1,807)63,754 
Mortgage and other loan receivables254,995 — (5,076)(2,200)247,719 
Funds withheld receivable at interest— 334 — — 334 
Total Assets - Insurance608,204 334 (8,375)(45,470)554,693 
Total$2,967,879 $334 $(1,536,468)$(45,470)$1,386,275 
Three Months Ended March 31, 2022
Balance, Beg. of PeriodTransfers In / (Out) - Changes in ConsolidationTransfers InTransfers OutNet Purchases/Sales/Settlements/IssuancesNet Unrealized and Realized Gains (Losses)Change in OCIBalance, End of PeriodChanges 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$64,276 $— $— $— $— $280 $— $64,556 $280 
Total Liabilities - Asset Management64,276 — — — — 280 — 64,556 280 
Insurance
Policy liabilities519,454 — — — — (53,046)— 466,408 — 
Closed block policy liabilities1,350,224 — — — (81,101)(2,992)3,860 1,269,991 — 
Funds withheld payable at interest(49,491)— — — 10,435 (1,180,435)— (1,219,491)— 
Embedded derivative – indexed universal life products557,276 — — — 3,302 (48,563)— 512,015 — 
Embedded derivative – annuity products1,983,949 — — — 107,302 (313,419)— 1,777,832 — 
Total Liabilities - Insurance4,361,412 — — — 39,938 (1,598,455)3,860 2,806,755 — 
Total$4,425,688 $— $— $— $39,938 $(1,598,175)$3,860 $2,871,311 $280 
Three Months Ended March 31, 2021
Balance, Beg. of PeriodTransfers In / (Out) - Changes in ConsolidationTransfers InTransfers OutNet Purchases/Sales/Settlements/IssuancesNet Unrealized and Realized Gains (Losses)Change in OCIBalance, End of PeriodChanges 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 $(11,870)
Insurance
Policy liabilities637,800 — — — — (72,158)— 565,642 — 
Closed block policy liabilities1,395,746 — — — — (25,982)(2,885)1,366,879 — 
Funds withheld payable at interest59,230 — — — — (372,460)— (313,230)— 
Embedded derivative – indexed universal life products386,746 — — — (931)48,427 — 434,242 — 
Embedded derivative – annuity products1,024,601 — — — 44,809 (84,500)— 984,910 — 
Total Liabilities - Insurance3,504,123 — — — 43,878 (506,673)(2,885)3,038,443 — 
Total3,550,463 — — — 45,045 (518,543)(2,885)3,074,080 (11,870)
Three Months Ended March 31, 2022
IssuancesSettlementsNet Purchases/Issuances/Sales/Settlements
Liabilities
Asset Management
Unfunded Revolver Commitments$— $— $— 
Total Liabilities - Asset Management— — — 
Insurance
Closed block policy liabilities— (81,101)(81,101)
Funds withheld payable at interest10,435 — 10,435 
Embedded derivative – indexed universal life products8,985 (5,683)3,302 
Embedded derivative – annuity products107,302 — 107,302 
Total Liabilities - Insurance126,722 (86,784)39,938 
Total$126,722 $(86,784)$39,938 
Three Months Ended March 31, 2021
IssuancesSettlementsNet Issuances/Settlements
Liabilities
Asset Management
Unfunded Revolver Commitments$1,167 $— $1,167 
Total Liabilities - Asset Management1,167 — 1,167 
Insurance
Embedded derivative – indexed universal life products5,607 (6,538)(931)
Embedded derivative – annuity products44,809 — 44,809 
Total Liabilities - Insurance50,416 (6,538)43,878 
Total$51,583 $(6,538)$45,045 
Total realized and unrealized gains and losses recorded for Asset Management - Level III assets and liabilities are reported in Net Gains (Losses) from Investment Activities in the accompanying consolidated statements of operations while Insurance - Level III assets and liabilities are reported in Net Investment Gains and Policy Benefits and Claims in the accompanying consolidated statements of operations.

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, 2022. 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 III assets and liabilities:
Level III AssetsFair Value March 31, 2022Valuation
Methodologies
Unobservable Input(s) (1)
Weighted
Average (2)
Range
Impact to
 Valuation
from an
Increase in
Input (3)
ASSET MANAGEMENT      
Private Equity$23,999,016 
Private Equity$21,320,867 Inputs to market comparables, discounted cash flow and transaction price Illiquidity Discount6.7%
5.0% - 15.0%
 Decrease
  Weight Ascribed to Market Comparables29.1%
0.0% - 100.0%
 (4)
  Weight Ascribed to Discounted Cash Flow65.4%
0.0% - 100.0%
 (5)
  Weight Ascribed to Transaction Price5.5%
0.0% - 100.0%
 (6)
  Market comparablesEnterprise Value/LTM EBITDA Multiple17.3x
8.2x - 31.2x
 Increase
Enterprise Value/Forward EBITDA Multiple15.1x
6.4x - 23.8x
 Increase
  Discounted cash flowWeighted Average Cost of Capital9.2%
4.6% - 14.6%
 Decrease
  Enterprise Value/LTM EBITDA Exit Multiple14.3x
6.0x - 20.0x
 Increase
Growth Equity$2,678,149 Inputs to market comparables, discounted cash flow and milestones Illiquidity Discount8.6%
5.0% - 20.0%
Decrease
Weight Ascribed to Market Comparables37.6%
0.0% - 100.0%
(4)
Weight Ascribed to Discounted Cash Flow2.1%
0.0% - 50.0%
(5)
Weight Ascribed to Milestones 60.3%
0.0% - 100.0%
(6)
Scenario WeightingBase76.1%
70.0% - 80.0%
Increase
Downside4.9%
0.0% - 10.0%
Decrease
Upside19.0%
10.0% - 25.0%
Increase
Credit $5,314,853 Yield AnalysisYield8.8%
5.0% - 40.6%
 Decrease
Net Leverage6.1x
0.3x - 33.6x
Decrease
EBITDA Multiple13.8x
0.7x - 33.0x
Increase
Real Assets$13,292,123       
Energy$1,434,690 Inputs to market comparables and discounted cash flow Weight Ascribed to Market Comparables29.0%
0.0% - 50.0%
(4)
Weight Ascribed to Discounted Cash Flow71.0%
50.0% - 100.0%
(5)
Market comparablesEnterprise Value/LTM EBITDA Multiple5.7x
5.7x - 5.7x
Increase
Enterprise Value/Forward EBITDA Multiple5.9x
4.5x - 8.8x
Increase
Discounted cash flowWeighted Average Cost of Capital12.8%
10.1% - 15.4%
 Decrease
Average Price Per BOE (8)$48.63
$44.38 - $58.31
Increase
Level III AssetsFair Value March 31, 2022Valuation
Methodologies
Unobservable Input(s) (1)
Weighted
Average (2)
Range
Impact to
 Valuation
from an
Increase in
Input (3)
Infrastructure
$3,880,965 Inputs to market comparables, discounted cash flow and transaction priceIlliquidity Discount5.0%
5.0% - 5.0%
 Decrease
Weight Ascribed to Market Comparables1.7%
0.0% - 25.0%
(4)
Weight Ascribed to Discounted Cash Flow69.7%
0.0% - 100.0%
 (5)
Weight Ascribed to Transaction Price28.6%
0.0% - 100.0%
 (6)
Market comparablesEnterprise Value/Forward EBITDA Multiple11.4x
11.4x - 11.4x
Increase
Discounted cash flowWeighted Average Cost of Capital6.7%
4.7% - 8.5%
Decrease
Enterprise Value/LTM EBITDA Exit Multiple12.1x
10.0x - 13.0x
Increase
Real Estate$7,976,468 Inputs to direct income capitalization, discounted cash flow and transaction priceWeight Ascribed to Direct Income Capitalization18.4%
0.0% - 100.0%
 (7)
  Weight Ascribed to Discounted Cash Flow72.4%
0.0% - 100.0%
 (5)
Weight Ascribed to Transaction Price9.2%
0.0% - 100.0%
(6)
  Direct income capitalizationCurrent Capitalization Rate5.1%
3.6% - 7.4%
 Decrease
  Discounted cash flowUnlevered Discount Rate6.2%
3.8% - 18.0%
 Decrease
Equity Method - Other$984,904 Inputs to market comparables, discounted cash flow and transaction priceIlliquidity Discount7.5%
5.0% - 10.0%
 Decrease
Weight Ascribed to Market Comparables38.8%
0.0% - 100.0%
 (4)
  Weight Ascribed to Discounted Cash Flow26.7%
0.0% - 100.0%
 (5)
  Weight Ascribed to Transaction Price34.6%
0.0% - 100.0%
 (6)
  Market comparablesEnterprise Value/LTM EBITDA Multiple11.9x
5.7x - 18.1x
 Increase
Enterprise Value/Forward EBITDA Multiple12.0x
4.5x - 18.5x
 Increase
  Discounted cash flowWeighted Average Cost of Capital10.2%
6.0% - 17.0%
 Decrease
  Enterprise Value/LTM EBITDA Exit Multiple9.9x
6.0x - 15.0x
 Increase
Other Investments$3,134,926 (9)Inputs to market comparables, discounted cash flow and transaction priceIlliquidity Discount11.1%
10.0% - 20.0%
 Decrease
Weight Ascribed to Market Comparables22.9%
0.0% - 100.0%
 (4)
Weight Ascribed to Discounted Cash Flow58.5%
0.0% - 100.0%
 (5)
Weight Ascribed to Transaction Price18.6%
0.0% - 100.0%
 (6)
Market comparablesEnterprise Value/LTM EBITDA Multiple12.0x
0.8x - 25.0x
 Increase
Enterprise Value/Forward EBITDA Multiple11.2x
0.7x - 22.9x
 Increase
Discounted cash flowWeighted Average Cost of Capital14.4%
6.5% - 100.0%
 Decrease
Enterprise Value/LTM EBITDA Exit Multiple10.4x
5.5x - 23.1x
 Increase
INSURANCE
Corporate fixed maturity securities$1,620,204 Discounted cash flowDiscount Spread2.01%
—% - 4.91%
Decrease
Structured securities$134,475 Discounted cash flowDiscount Spread3.00%
2.50% - 5.75%
Decrease
Constant Prepayment Rate7.31%
5.00% - 15.00%
Increase/Decrease
Constant Default Rate1.17%
1.00% - 2.50%
Decrease
Loss Severity
100%
Decrease
Other investments$1,445,961 Direct capitalizationCurrent Capitalization Rate5.36%
5.11% - 5.61%
Decrease
Vacancy rate
5.00%
Decrease
Discounted cash flowYield8.00%Decrease
Rate5.12%
5.00% - 5.25%
Decrease
Terminal capitalization rate3.97%
3.70% - 4.25%
Decrease
Level III AssetsFair Value March 31, 2022Valuation
Methodologies
Unobservable Input(s) (1)
Weighted
Average (2)
Range
Impact to
 Valuation
from an
Increase in
Input (3)
Funds withheld receivable at interest$8,196 Discounted cash flowDuration/Weighted Average Life9.56 years
0.0 years - 22.6 years
Increase
Contractholder Persistency6.39%
3.50% - 17.20%
Increase
Nonperformance Risk
0.51% - 1.56%
Decrease
Reinsurance recoverable$1,231,957 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 $5.26 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% - 13.85%
Increase
Discounted cash flowMortality Rate
5.46%
Increase
Surrender Rate
2.01%
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. KKR 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 87% liquids and 13% 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 LiabilitiesFair Value March 31, 2022Valuation
Methodologies
Unobservable Input(s) (1)
Weighted
Average (2)
Range
Impact to
 Valuation
from an
Increase in
Input (3)
ASSET MANAGEMENT
Unfunded Revolver Commitments$64,556 Yield AnalysisYield5.8%
3.7% - 7.4%
Decrease
INSURANCE
Policy liabilities$466,408 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 variability of the cash flows.Risk Margin Rate
0.51% - 1.82%
Decrease
Policyholder behavior is also a significant unobservable input, including surrender and mortality.Surrender Rate
3.61% - 6.45%
Increase
Mortality Rate
3.65% - 8.59%
Increase
Closed block policy liabilities$1,269,991 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 $5.26 and $78.00 per policy, increased by inflation.
Increase
Nonperformance Risk
0.51% - 1.56%
Decrease
Unobservable inputs are a market participant’s view of the expenses, a risk margin on the uncertainty of the level of expenses and a cost of capital on the capital held in support of the liabilities.Expense Risk Margin
9.42%
Decrease
Cost of Capital
3.69% - 13.85%
Increase
Discounted cash flowMortality Rate
5.46%
Increase
Surrender Rate
2.01%
Increase
Funds withheld payable at interest$(1,219,491)Discounted cash flowDuration/Weighted Average Life9.6 years
0.0 years - 18.9 years
Decrease
Contractholder Persistency 6.39%
3.50% - 17.20%
Decrease
Nonperformance Risk
0.51% - 1.56%
Decrease
Embedded derivative – indexed universal life products$512,015 Policy persistency is a significant unobservable input.Lapse Rate
3.86%
Decrease
Mortality Rate
0.71%
Decrease
Future costs for options used to hedge the contract obligationsOption Budge Assumption
3.58%
Increase
Nonperformance Risk
0.51% - 1.56%
Decrease
Level III LiabilitiesFair Value March 31, 2022Valuation
Methodologies
Unobservable Input(s) (1)
Weighted
Average (2)
Range
Impact to
 Valuation
from an
Increase in
Input (3)
Embedded derivative – annuity products$1,777,832 Policyholder behavior is a significant unobservable input, including utilization and lapse.Utilization:
Fixed-indexed annuity3.87%Decrease
Variable annuity4.21%
2.32% - 35.02%
Decrease
Surrender Rate:
Fixed-indexed annuity10.67%Decrease
Variable annuity
4.09% - 39.60%
Decrease
Mortality Rate:
Fixed-indexed annuity1.99%Decrease
Variable annuity
1.36% - 7.38%
Decrease
Future costs for options used to hedge the contract obligationsOption Budge Assumption:
Retail RIA1.60%Increase
Fixed-indexed annuity2.01%Increase
Variable annuityn/a
Nonperformance Risk
0.51% - 1.56%
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. KKR 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.


In the table above, certain private equity investments may be valued at cost for a period of time after an acquisition as the best indicator of fair value. In addition, certain valuations of private equity investments may be entirely or partially derived by reference to observable valuation measures for a pending or consummated transaction.
The various unobservable inputs used to determine the Level III valuations may have similar or diverging impacts on valuation. Significant increases and decreases in these inputs in isolation and interrelationships between those inputs could result in significantly higher or lower fair value measurements as noted in the table above.
Financial Instruments Not Carried At Fair Value
Asset management financial instruments are primarily measured at fair value on a recurring basis, except as disclosed in Note 17 "Debt Obligations."
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, 2022 and December 31, 2021:

Fair Value Hierarchy
As of March 31, 2022Carrying ValueLevel ILevel IILevel IIIFair Value
($ in thousands)
Financial assets:
Insurance
Mortgage and other loan receivables$30,568,779 $— $— $30,759,101 $30,759,101 
Policy loans762,460 — — 759,299 759,299 
FHLB common stock and other investments185,013 — — 185,013 185,013 
Funds withheld receivables at interest2,958,607 — 2,958,607 — 2,958,607 
Cash and cash equivalents4,590,032 4,590,032 — — 4,590,032 
Restricted cash and cash equivalents523,503 523,503 — — 523,503 
Total financial assets$39,588,394 $5,113,535 $2,958,607 $31,703,413 $39,775,555 
Financial liabilities:
Insurance
Other contractholder deposit funds$34,823,758 $— $32,804,568 $— $32,804,568 
Supplementary contracts without life contingencies
11,765 — — 11,959 11,959 
Funding agreements2,562,684 — — 2,515,380 2,515,380 
Funds withheld payables at interest23,001,222 — 23,001,222 — 23,001,222 
Debt obligations2,029,769 — — 1,923,154 1,923,154 
Securities sold under agreements to repurchase810,535 — 810,535 — 810,535 
Total financial liabilities$63,239,733 $— $56,616,325 $4,450,493 $61,066,818 
Fair Value Hierarchy
As of December 31, 2021Carrying ValueLevel ILevel IILevel IIIFair Value
($ in thousands)
Financial assets:
Insurance
Mortgage and other loan receivables$28,044,085 $— $— $28,645,675 $28,645,675 
Policy loans765,310 — — 754,530 754,530 
FHLB common stock and other investments171,842 — — 171,842 171,842 
Funds withheld receivables at interest2,967,708 — 2,967,708 — 2,967,708 
Cash and cash equivalents3,391,934 3,391,934 — — 3,391,934 
Restricted cash and cash equivalents300,404 300,404 — — 300,404 
Total financial assets$35,641,283 $3,692,338 $2,967,708 $29,572,047 $36,232,093 
Financial liabilities:
Insurance
Other contractholder deposit funds$30,295,965 $— $28,419,520 $— $28,419,520 
Supplementary contracts without life contingencies
31,118 — — 31,311 31,311 
Funding agreements2,566,410 — — 2,549,494 2,549,494 
Funds withheld payables at interest23,509,744 — 23,509,744 — 23,509,744 
Debt obligations1,908,006 — — 1,953,631 1,953,631 
Securities sold under agreements to repurchase300,446 — 300,446 — 300,446 
Total financial liabilities$58,611,689 $— $52,229,710 $4,534,436 $56,764,146