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FAIR VALUE MEASUREMENTS (Tables)
 9 Months Ended
Sep. 30, 2018
Fair Value Disclosures [Abstract]  
Schedule of assets and liabilities at fair value
The following tables summarize the valuation of KKR's assets and liabilities by the fair value hierarchy. Investments classified as Equity Method - Other, for which the fair value option has not been elected, have been excluded from the tables below.
 
Assets, at fair value:
 
September 30, 2018
 
Level I
 
Level II
 
Level III
 
Total
Private Equity
$
1,284,468

 
$
309,134

 
$
5,924,228

 
$
7,517,830

Credit
—

 
2,175,830

 
6,451,741

 
8,627,571

Investments of Consolidated CFEs
—

 
12,197,431

 
1,096,074

 
13,293,505

Real Assets
—

 
—

 
3,279,482

 
3,279,482

Equity Method - Other
294,171

 
47,938

 
1,402,852

 
1,744,961

Other Investments
895,687

 
185,781

 
1,755,120

 
2,836,588

Total Investments
2,474,326

 
14,916,114

 
19,909,497

 
37,299,937

 
 
 
 
 
 
 
 
Foreign Exchange Contracts and Options
—

 
98,748

 
—

 
98,748

Other Derivatives
—

 
10,001

 
35,309

(1) 
45,310

Total Assets
$
2,474,326

 
$
15,024,863

 
$
19,944,806

 
$
37,443,995

 
December 31, 2017
 
Level I
 
Level II
 
Level III
 
Total
Private Equity
$
1,043,390

 
$
85,581

 
$
2,172,290

 
$
3,301,261

Credit
—

 
2,482,383

 
5,138,937

 
7,621,320

Investments of Consolidated CFEs
—

 
10,220,113

 
5,353,090

 
15,573,203

Real Assets
50,794

 
—

 
2,251,267

 
2,302,061

Equity Method - Other
60,282

 
247,748

 
1,076,709

 
1,384,739

Other Investments
864,872

 
134,404

 
1,760,011

 
2,759,287

Total Investments
2,019,338

 
13,170,229

 
17,752,304

 
32,941,871

 
 
 
 
 
 
 
 
Foreign Exchange Contracts and Options
—

 
96,584

 
—

 
96,584

Other Derivatives
—

 
33,125

 
51,949

(1) 
85,074

Total Assets
$
2,019,338

 
$
13,299,938

 
$
17,804,253

 
$
33,123,529


(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.
Liabilities, at fair value:
 
September 30, 2018
 
Level I
 
Level II
 
Level III
 
Total
Securities Sold Short
$
513,442

 
$
—

 
$
—

 
$
513,442

Foreign Exchange Contracts and Options
—

 
102,018

 
—

 
102,018

Unfunded Revolver Commitments
—

 
—

 
45,170

(1) 
45,170

Other Derivatives
—

 
13,038

 
27,700

(2) 
40,738

Debt Obligations of Consolidated CFEs
—

 
11,562,503

 
1,083,107

 
12,645,610

Total Liabilities
$
513,442

 
$
11,677,559

 
$
1,155,977

 
$
13,346,978


 
December 31, 2017
 
Level I
 
Level II
 
Level III
 
Total
Securities Sold Short
$
692,007

 
$
—

 
$
—

 
$
692,007

Foreign Exchange Contracts and Options
—

 
260,948

 
—

 
260,948

Unfunded Revolver Commitments
—

 
—

 
17,629

(1) 
17,629

Other Derivatives
—

 
27,581

 
41,800

(2) 
69,381

Debt Obligations of Consolidated CFEs
—

 
10,347,980

 
5,238,236

 
15,586,216

Total Liabilities
$
692,007

 
$
10,636,509

 
$
5,297,665

 
$
16,626,181



(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)
Includes options issued in connection with the acquisition of the equity interest in Marshall Wace and its affiliates in November 2015 to increase KKR's ownership interest up to 39.9% in periodic increments. The options are valued using a Monte-Carlo simulation valuation methodology. Key inputs used in this methodology that require estimates include Marshall Wace's dividend yield, assets under management volatility and equity volatility. See Note 4 "Investments."
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 investments and debt obligations reported at fair value for which Level III inputs have been used to determine fair value for the three and nine months ended September 30, 2018 and 2017, respectively: 
 
For the Three Months Ended September 30, 2018
 
 
 
Level III Investments
 
Level III 
Debt Obligations
 
Private
Equity
 
Credit
 
Investments of
Consolidated
CFEs
 
Real Assets
 
Equity Method - Other
 
Other Investments
 
Total
 
Debt 
Obligations of
Consolidated
CFEs
Balance, Beg. of Period
$
5,072,722

 
$
6,083,708

 
$
1,104,514

 
$
3,290,020

 
$
1,253,565

 
$
1,701,823

 
$
18,506,352

 
$
1,091,346

Transfers In / (Out) Due to Changes in Consolidation
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Transfers In
—

 
154,255

 
—

 
—

 
—

 
8,710

 
162,965

 
—

Transfers Out
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Asset Purchases / Debt Issuances
448,252

 
1,049,608

 
—

 
171,213

 
223,230

 
138,896

 
2,031,199

 
—

Sales / Paydowns
(11,851
)
 
(518,495
)
 
(2,706
)
 
(277,369
)
 
(80,624
)
 
(136,801
)
 
(1,027,846
)
 
—

Settlements
—

 
15,026

 
—

 
—

 
—

 
—

 
15,026

 
(2,706
)
Net Realized Gains (Losses)
5,297

 
(3,615
)
 
—

 
52,753

 
15,439

 
43,686

 
113,560

 
—

Net Unrealized Gains (Losses)
409,808

 
(272,838
)
 
(5,734
)
 
42,865

 
(8,758
)
 
(1,194
)
 
164,149

 
(5,533
)
Change in Other Comprehensive Income
—

 
(55,908
)
 
—

 
—

 
—

 
—

 
(55,908
)
 
—

Balance, End of Period
$
5,924,228

 
$
6,451,741

 
$
1,096,074

 
$
3,279,482

 
$
1,402,852

 
$
1,755,120

 
$
19,909,497

 
$
1,083,107

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Changes 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
$
410,054

 
$
(273,139
)
 
$
(5,734
)
 
$
69,555

 
$
(1,092
)
 
$
50,199

 
$
249,843

 
$
(5,533
)
 
 
For the Three Months Ended September 30, 2017
 
 
 
Level III Investments
 
Level III 
Debt Obligations
 
Private
Equity
 
Credit
 
Investments of
Consolidated
CFEs
 
Real Assets
 
Equity Method - Other
 
Other Investments
 
Total
 
Debt 
Obligations of
Consolidated
CFEs
Balance, Beg. of Period
$
2,394,498

 
$
3,865,070

 
$
5,447,250

 
$
2,423,419

 
$
571,575

 
$
1,771,627

 
$
16,473,439

 
$
5,333,203

Transfers In / (Out) Due to Changes in Consolidation
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Transfers In
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Transfers Out
—

 
(4,187
)
 
—

 
—

 
—

 
—

 
(4,187
)
 
—

Asset Purchases / Debt Issuances
98,955

 
1,112,297

 
—

 
62,453

 
4,457

 
35,700

 
1,313,862

 
—

Sales / Paydowns
(56,193
)
 
(224,135
)
 
(17,022
)
 
(361,451
)
 
(28,864
)
 
(45,887
)
 
(733,552
)
 
—

Settlements
—

 
27,528

 
—

 
—

 
—

 
—

 
27,528

 
(17,022
)
Net Realized Gains (Losses)
7,182

 
(6,896
)
 
—

 
24,479

 
6,282

 
(29,943
)
 
1,104

 
—

Net Unrealized Gains (Losses)
163,682

 
(27,876
)
 
(20,112
)
 
53,100

 
2,088

 
38,514

 
209,396

 
(20,998
)
Change in Other Comprehensive Income
—

 
(8,927
)
 
—

 
—

 
—

 
—

 
(8,927
)
 
—

Balance, End of Period
$
2,608,124

 
$
4,732,874

 
$
5,410,116

 
$
2,202,000

 
$
555,538

 
$
1,770,011

 
$
17,278,663

 
$
5,295,183

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Changes 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
$
163,682

 
$
(40,131
)
 
$
(20,112
)
 
$
68,239

 
$
5,225

 
$
38,514

 
$
215,417

 
$
(20,998
)

 
For the Nine Months Ended September 30, 2018
 
 
 
Level III Investments
 
Level III 
Debt Obligations
 
Private
Equity
 
Credit
 
Investments of
Consolidated
CFEs
 
Real Assets
 
Equity Method - Other
 
Other Investments
 
Total
 
Debt 
Obligations of
Consolidated
CFEs
Balance, Beg. of Period
$
2,172,290

 
$
5,138,937

 
$
5,353,090

 
$
2,251,267

 
$
1,076,709

 
$
1,760,011

 
$
17,752,304

 
$
5,238,236

Transfers In / (Out) Due to Changes in Consolidation
928,217

 
—

 
(4,153,641
)
 
—

 
—

 
—

 
(3,225,424
)
 
(4,045,957
)
Transfers In
—

 
154,255

 
—

 
—

 
—

 
8,710

 
162,965

 
—

Transfers Out
(52,568
)
 
—

 
—

 
—

 
—

 
—

 
(52,568
)
 
—

Asset Purchases / Debt Issuances
2,184,987

 
2,943,849

 
—

 
1,135,699

 
424,015

 
297,517

 
6,986,067

 
—

Sales / Paydowns
(142,067
)
 
(1,322,619
)
 
(28,533
)
 
(413,992
)
 
(119,733
)
 
(280,715
)
 
(2,307,659
)
 
—

Settlements
—

 
(35,474
)
 
—

 
—

 
—

 
—

 
(35,474
)
 
(17,975
)
Net Realized Gains (Losses)
41,687

 
6,550

 
13,000

 
39,116

 
(121,115
)
 
20,755

 
(7
)
 
—

Net Unrealized Gains (Losses)
791,682

 
(334,387
)
 
(87,842
)
 
267,392

 
142,976

 
(51,158
)
 
728,663

 
(91,197
)
Change in Other Comprehensive Income
—

 
(99,370
)
 
—

 
—

 
—

 
—

 
(99,370
)
 
—

Balance, End of Period
$
5,924,228

 
$
6,451,741

 
$
1,096,074

 
$
3,279,482

 
$
1,402,852

 
$
1,755,120

 
$
19,909,497

 
$
1,083,107

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Changes 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
$
811,622

 
$
(326,419
)
 
$
(87,842
)
 
$
264,630

 
$
9,277

 
$
(13,633
)
 
$
657,635

 
$
(91,197
)

 
For the Nine Months Ended September 30, 2017
 
 
 
Level III Investments
 
Level III 
Debt Obligations
 
Private
Equity
 
Credit
 
Investments of
Consolidated
CFEs
 
Real Assets
 
Equity Method - Other
 
Other Investments
 
Total
 
Debt 
Obligations of
Consolidated
CFEs
Balance, Beg. of Period
$
1,559,559

 
$
3,290,361

 
$
5,406,220

 
$
1,807,128

 
$
570,522

 
$
1,767,573

 
$
14,401,363

 
$
5,294,741

Transfers In / (Out) Due to Changes in Consolidation
—

 
(95,962
)
 
—

 
—

 
—

 
—

 
(95,962
)
 
—

Transfers In
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Transfers Out
—

 
(4,187
)
 
—

 
—

 
—

 
(1,496
)
 
(5,683
)
 
—

Asset Purchases / Debt Issuances
923,460

 
2,056,195

 
—

 
667,681

 
15,589

 
259,204

 
3,922,129

 
—

Sales / Paydowns
(228,676
)
 
(942,459
)
 
(34,957
)
 
(469,092
)
 
(49,842
)
 
(188,623
)
 
(1,913,649
)
 
—

Settlements
—

 
46,653

 
—

 
—

 
—

 
—

 
46,653

 
(34,957
)
Net Realized Gains (Losses)
7,871

 
(109,525
)
 
—

 
(34,208
)
 
6,908

 
(53,384
)
 
(182,338
)
 
—

Net Unrealized Gains (Losses)
345,910

 
476,920

 
38,853

 
230,491

 
12,361

 
(13,263
)
 
1,091,272

 
35,399

Change in Other Comprehensive Income
—

 
14,878

 
—

 
—

 
—

 
—

 
14,878

 
—

Balance, End of Period
$
2,608,124

 
$
4,732,874

 
$
5,410,116

 
$
2,202,000

 
$
555,538

 
$
1,770,011

 
$
17,278,663

 
$
5,295,183

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Changes 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
$
345,910

 
$
367,269

 
$
38,853

 
$
175,183

 
$
15,498

 
$
(13,263
)
 
$
929,450

 
$
35,399
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 investments and debt obligations that are measured at fair value and categorized within Level III as of September 30, 2018:
 
Fair Value September 30, 2018
 
Valuation
Methodologies
 
Unobservable Input(s) (1)
 
Weighted
Average (2)
 
Range
 
Impact to
 Valuation
from an
Increase in
Input (3)
 
 
 
 
 
 
 
 
 
 
 
 
Private Equity
$
5,924,228

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Private Equity
$
3,808,759

 
Inputs to market comparables and discounted cash flow and transaction price
 
Illiquidity Discount
 
5.6%
 
5.0% - 15.0%
 
Decrease
 
 

 
 
Weight Ascribed to Market Comparables
 
27.5%
 
0.0% - 50.0%
 
(4)
 
 

 
 
Weight Ascribed to Discounted Cash Flow
 
69.8%
 
5.0% - 100.0%
 
(5)
 
 

 
 
Weight Ascribed to Transaction Price
 
2.7%
 
0.0% - 90.0%
 
(6)
 
 

 
Market comparables
 
Enterprise Value/LTM EBITDA Multiple
 
14.7x
 
6.6x - 29.5x
 
Increase
 
 
 
 
Enterprise Value/Forward EBITDA Multiple
 
15.2x
 
5.8x - 20.2x
 
Increase
 
 

 
Discounted cash flow
 
Weighted Average Cost of Capital
 
10.4%
 
6.1% - 13.6%
 
Decrease
 
 

 
 
Enterprise Value/LTM EBITDA Exit Multiple
 
12.0x
 
5.2x - 14.0x
 
Increase
 
 
 
 
 
 
 
 
 
 
 
 
Growth Equity
$
2,115,469

 
Inputs to market comparables, discounted cash flow and milestones
 
Illiquidity Discount
 
11.5%
 
10.0% - 20.0%
 
Decrease
 
 
 
 
Weight Ascribed to Market Comparables
 
29.1%
 
0.0% - 100.0%
 
(4)
 
 
 
 
Weight Ascribed to Discounted Cash Flow
 
10.8%
 
0.0% - 75.0%
 
(5)
 
 
 
 
Weight Ascribed to Milestones
 
60.1%
 
0.0% - 100.0%
 
(6)
 
 
 
Scenario Weighting
 
Base
 
58.4%
 
40.0% - 80.0%
 
Increase
 
 
 
 
Downside
 
17.0%
 
5.0% - 30.0%
 
Decrease
 
 
 
 
Upside
 
24.6%
 
10.0% - 45.0%
 
Increase
 
 
 
 
 
 
 
 
 
 
 
 
Credit
$
6,451,741

 
Yield Analysis
 
Yield
 
7.0%
 
3.5% - 26.5%
 
Decrease
 
 
 
 
Net Leverage
 
1.8x
 
0.5x - 32.1x
 
Decrease
 
 
 
 
EBITDA Multiple
 
9.4x
 
0.1x - 32.3x
 
Increase
 
 
 
 
 
 
 
 
 
 
 
 
Investments of Consolidated CFEs
$
1,096,074

(9)
 
 
 
 
 
 
 
 
 
Debt Obligations of Consolidated CFEs
$
1,083,107

 
Discounted cash flow
 
Yield
 
6.4%
 
2.4% - 16.5%
 
Decrease
 
 
 
 
 
 
 
 
 
 
 
 
Real Assets
$
3,279,482

(10)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Energy
$
1,878,488

 
Discounted cash flow
 
Weighted Average Cost of Capital
 
10.4%
 
9.5% - 14.2%
 
Decrease
 
 
 
 
 
Average Price Per BOE (8)
 
$47.06
 
$43.86 - $49.98
 
Increase
 
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value September 30, 2018
 
Valuation
Methodologies
 
Unobservable Input(s) (1)
 
Weighted
Average (2)
 
Range
 
Impact to
 Valuation
from an
Increase in
Input (3)
 
 
 
 
 
 
 
 
 
 
 
 
Real Estate
$
1,182,047

 
Inputs to direct income capitalization and discounted cash flow
 
Weight Ascribed to Direct Income Capitalization
 
35.9%
 
0.0% - 100.0%
 
(7)
 
 

 
 
Weight Ascribed to Discounted Cash Flow
 
64.1%
 
0.0% - 100.0%
 
(5)
 
 

 
Direct income capitalization
 
Current Capitalization Rate
 
5.7%
 
0.6% - 12.0%
 
Decrease
 
 

 
Discounted cash flow
 
Unlevered Discount Rate
 
8.6%
 
4.5% - 18.0%
 
Decrease
 
 
 
 
 
 
 
 
 
 
 
 
Equity Method - Other
$
1,402,852

 
Inputs to market comparables, discounted cash flow and transaction price
 
Illiquidity Discount
 
9.8%
 
5.0% - 15.0%
 
Decrease
 

 
 
Weight Ascribed to Market Comparables
 
46.6%
 
0.0% - 50.0%
 
(4)
 
 

 
 
Weight Ascribed to Discounted Cash Flow
 
45.6%
 
0.0% - 50.0%
 
(5)
 
 

 
 
Weight Ascribed to Transaction Price
 
7.8%
 
0.0% - 100.0%
 
(6)
 
 

 
Market comparables
 
Enterprise Value/LTM EBITDA Multiple
 
11.7x
 
6.6x - 13.0x
 
Increase
 
 
 
 
Enterprise Value/Forward EBITDA Multiple
 
10.7x
 
5.8x - 13.5x
 
Increase
 
 

 
Discounted cash flow
 
Weighted Average Cost of Capital
 
8.2%
 
5.9% - 11.4%
 
Decrease
 
 

 
 
Enterprise Value/LTM EBITDA Exit Multiple
 
10.6x
 
6.0x - 12.5x
 
Increase
 
 
 
 
 
 
 
 
 
 
 
 
Other Investments
$
1,755,120

(11)
Inputs to market comparables, discounted cash flow and transaction price
 
Illiquidity Discount
 
10.1%
 
5.0% - 20.0%
 
Decrease
 
 
 
Weight Ascribed to Market Comparables
 
26.4%
 
0.0% - 100.0%
 
(4)
 
 
 
 
Weight Ascribed to Discounted Cash Flow
 
41.9%
 
0.0% - 100.0%
 
(5)
 
 
 
 
Weight Ascribed to Transaction Price
 
31.7%
 
0.0% - 100.0%
 
(6)
 
 
 
Market comparables
 
Enterprise Value/LTM EBITDA Multiple
 
9.9x
 
1.2x - 13.6x
 
Increase
 
 
 
 
Enterprise Value/Forward EBITDA Multiple
 
8.7x
 
0.7x - 12.0x
 
Increase
 
 
 
Discounted cash flow
 
Weighted Average Cost of Capital
 
16.1%
 
7.5% - 30.0%
 
Decrease
 
 
 
 
Enterprise Value/LTM EBITDA Exit Multiple
 
7.5x
 
6.3x - 8.5x
 
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 90% liquids and 10% natural gas.
(9)
KKR measures CMBS investments on the basis of the fair value of the financial liabilities of the CMBS vehicle. See Note 2 "Summary of Significant Accounting Policies."
(10)
Includes one Infrastructure investment for $218.9 million that was valued using a discounted cash flow analysis. The significant inputs used included the weighted average cost of capital 7.1% and the enterprise value/LTM EBITDA Exit Multiple 12.0x.
(11)
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.