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FAIR VALUE MEASUREMENTS (Tables)
 9 Months Ended
Sep. 30, 2020
Fair Value Disclosures [Abstract]  
Schedule of assets and liabilities at fair value
The following tables summarize the valuation of assets and liabilities measured and reported at fair value by the fair value hierarchy. Investments classified as Equity Method - Other, for which the fair value option has not been elected, and Equity Method - Capital Allocation-Based Income have been excluded from the tables below.
Assets, at fair value:
 
September 30, 2020
 
Level I
 
Level II
 
Level III
 
Total
Private Equity
$
1,397,686

 
$
1,724,968

 
$
12,626,979

 
$
15,749,633

Credit
—

 
2,434,080

 
8,723,978

 
11,158,058

Investments of Consolidated CFEs
—

 
16,647,431

 
—

 
16,647,431

Real Assets
—

 
161,669

 
4,440,105

 
4,601,774

Equity Method - Other
368,563

 
45,295

 
1,932,859

 
2,346,717

Other Investments
463,552

 
51,407

 
1,894,329

 
2,409,288

Total Investments
2,229,801

 
21,064,850

 
29,618,250

 
52,912,901

 
 
 
 
 
 
 
 
Foreign Exchange Contracts and Options
—

 
234,358

 
—

 
234,358

Other Derivatives
27,747

 
1,363

 
12,608

(1) 
41,718

Total Assets
$
2,257,548

 
$
21,300,571

 
$
29,630,858

 
$
53,188,977

 
December 31, 2019
 
Level I
 
Level II
 
Level III
 
Total
Private Equity
$
1,393,654

 
$
1,658,264

 
$
9,871,682

 
$
12,923,600

Credit
—

 
1,320,380

 
9,217,759

 
10,538,139

Investments of Consolidated CFEs
—

 
14,948,237

 
—

 
14,948,237

Real Assets
—

 
—

 
3,567,944

 
3,567,944

Equity Method - Other
228,999

 
49,511

 
1,656,045

 
1,934,555

Other Investments
431,084

 
196,192

 
2,154,755

 
2,782,031

Total Investments
2,053,737

 
18,172,584

 
26,468,185

 
46,694,506

 
 
 
 
 
 
 
 
Foreign Exchange Contracts and Options
—

 
188,572

 
—

 
188,572

Other Derivatives
—

 
1,333

 
21,806

(1) 
23,139

Total Assets
$
2,053,737

 
$
18,362,489

 
$
26,489,991

 
$
46,906,217

(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, 2020
 
Level I
 
Level II
 
Level III
 
Total
Securities Sold Short
$
434,598

 
$
—

 
$
—

 
$
434,598

Foreign Exchange Contracts and Options
—

 
263,927

 
—

 
263,927

Unfunded Revolver Commitments
—

 
—

 
56,085

(1) 
56,085

Other Derivatives
58,770

 
56,451

 
—

 
115,221

Debt Obligations of Consolidated CFEs
—

 
16,279,747

 
—

 
16,279,747

Total Liabilities
$
493,368

 
$
16,600,125

 
$
56,085

 
$
17,149,578

 
December 31, 2019
 
Level I
 
Level II
 
Level III
 
Total
Securities Sold Short
$
251,223

 
$
—

 
$
—

 
$
251,223

Foreign Exchange Contracts and Options
—

 
39,364

 
—

 
39,364

Unfunded Revolver Commitments
—

 
—

 
75,842

(1) 
75,842

Other Derivatives
—

 
34,174

 
—

 
34,174

Debt Obligations of Consolidated CFEs
—

 
14,658,137

 
—

 
14,658,137

Total Liabilities
$
251,223

 
$
14,731,675

 
$
75,842

 
$
15,058,740


(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.
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 measured and 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, 2020 and 2019, respectively:

 
Three Months Ended September 30, 2020
 
 
 
Level III Investments
 
 
 
Private
Equity
 
Credit
 
Real Assets
 
Equity Method - Other
 
Other Investments
 
Total
 
 
Balance, Beg. of Period
$
10,810,113

 
$
8,721,478

 
$
3,223,540

 
$
1,622,885

 
$
1,694,797

 
$
26,072,813

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

 
231,872

 
(230,163
)
 
(20,523
)
 
—

 
(18,814
)
 
 
Transfers In
—

 
—

 
197,972

(1)
136,374

 
—

 
334,346

 
 
Transfers Out
(18,315
)
 
—

 
—

 
(58,475
)
 
(2,473
)
 
(79,263
)
 
 
Asset Purchases
1,266,063

 
272,854

 
994,130

 
79,079

 
127,365

 
2,739,491

 
 
Sales / Paydowns
(846,038
)
 
(642,056
)
 
(2,847
)
 
(2,642
)
 
(17,264
)
 
(1,510,847
)
 
 
Settlements
—

 
9,355

 
—

 
—

 
—

 
9,355

 
 
Net Realized Gains (Losses)
622,773

 
(158,211
)
 
(23,109
)
 
(26,069
)
 
1,128

 
416,512

 
 
Net Unrealized Gains (Losses)
792,383

 
267,100

 
280,582

 
202,230

 
90,776

 
1,633,071

 
 
Change in Other
Comprehensive Income
—

 
21,586

 
—

 
—

 
—

 
21,586

 
 
Balance, End of Period
$
12,626,979

 
$
8,723,978

 
$
4,440,105

 
$
1,932,859

 
$
1,894,329

 
$
29,618,250

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
$
1,180,782

 
$
127,060

 
$
280,582

 
$
175,898

 
$
90,711

 
$
1,855,033

 
 
 
(1) Includes working and royalty interests that were held directly by KKR, which have been transferred into a consolidated investment fund on August 18, 2020 as discussed in Note 2 "Summary of Significant Accounting Policies".
 
Three Months Ended September 30, 2019
 
 
 
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
$
7,397,892

 
$
7,844,862

 
$
2,088,657

 
$
3,246,055

 
$
1,669,322

 
$
2,295,334

 
$
24,542,122

 
$
1,922,303

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

 
958,000

 
(2,015,130
)
 
—

 
—

 
—

 
(1,057,130
)
 
(1,046,515
)
Transfers In
8,602

 
149,804

 
—

 
18,429

 
—

 
—

 
176,835

 
—

Transfers Out
—

 
—

 
—

 
—

 
(134,133
)
 
(36,018
)
 
(170,151
)
 
—

Asset Purchases / Debt Issuances
75,979

 
811,891

 
—

 
408,852

 
5,409

 
148,376

 
1,450,507

 
—

Sales / Paydowns
(60,080
)
 
(329,310
)
 
—

 
(139,879
)
 
(82,268
)
 
(178,916
)
 
(790,453
)
 
—

Settlements
—

 
(2,047
)
 
—

 
—

 
—

 
—

 
(2,047
)
 
—

Net Realized Gains (Losses)
33

 
(1,539
)
 
(2,759
)
 
25,760

 
1,777

 
57,056

 
80,328

 
—

Net Unrealized Gains (Losses)
198,243

 
(142,160
)
 
(70,768
)
 
(123,618
)
 
(10,137
)
 
(113,952
)
 
(262,392
)
 
(73,097
)
Change in Other
Comprehensive Income
—

 
(8,836
)
 
—

 
—

 
—

 
—

 
(8,836
)
 
—

Balance, End of Period
$
7,620,669

 
$
9,280,665

 
$
—

 
$
3,435,599

 
$
1,449,970

 
$
2,171,880

 
$
23,958,783

 
$
802,691

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
$
198,243

 
$
(141,880
)
 
$
—

 
$
(95,843
)
 
$
(12,905
)
 
$
(83,556
)
 
$
(135,941
)
 
$
831

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Nine Months Ended September 30, 2020
 
 
 
Level III Investments
 
 
 
Private
Equity
 
Credit
 
Real Assets
 
Equity Method - Other
 
Other Investments
 
Total
 
 
Balance, Beg. of Period
$
9,871,682

 
$
9,217,759

 
$
3,567,944

 
$
1,656,045

 
$
2,154,755

 
$
26,468,185

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

 
231,872

 
(230,163
)
 
(20,523
)
 
—

 
(18,814
)
 
 
Transfers In
—

 
—

 
197,972

(1)
136,374

 
—

 
334,346

 
 
Transfers Out
(18,315
)
 
—

 
(113,770
)
 
(58,475
)
 
(2,473
)
 
(193,033
)
 
 
Asset Purchases
1,950,875

 
1,792,397

 
1,502,382

 
161,147

 
309,358

 
5,716,159

 
 
Sales / Paydowns
(879,646
)
 
(1,732,825
)
 
(262,274
)
 
(2,710
)
 
(68,677
)
 
(2,946,132
)
 
 
Settlements
—

 
(22,805
)
 
—

 
—

 
—

 
(22,805
)
 
 
Net Realized Gains (Losses)
616,451

 
(193,003
)
 
34,339

 
(82,648
)
 
(255,721
)
 
119,418

 
 
Net Unrealized Gains (Losses)
1,085,932

 
(571,430
)
 
(256,325
)
 
143,649

 
(242,913
)
 
158,913

 
 
Change in Other
Comprehensive Income
—

 
2,013

 
—

 
—

 
—

 
2,013

 
 
Balance, End of Period
$
12,626,979

 
$
8,723,978

 
$
4,440,105

 
$
1,932,859

 
$
1,894,329

 
$
29,618,250

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
$
1,466,074

 
$
(733,768
)
 
$
(247,961
)
 
$
60,926

 
$
(484,905
)
 
$
60,366

 
 
 
(1) Includes working and royalty interests that were held directly by KKR, which have been transferred into a consolidated investment fund on August 18, 2020 as discussed in Note 2 "Summary of Significant Accounting Policies".


 
Nine Months Ended September 30, 2019
 
 
 
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
$
6,128,583

 
$
6,764,730

 
$
2,082,545

 
$
3,157,954

 
$
1,503,022

 
$
2,116,586

 
$
21,753,420

 
$
1,876,783

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

 
956,402

 
(2,015,130
)
 
—

 
—

 
(42,864
)
 
(1,101,592
)
 
(1,046,515
)
Transfers In
16,558

 
149,804

 
—

 
18,429

 
26,520

 
—

 
211,311

 
—

Transfers Out
(491,723
)
 
—

 
—

 
—

 
(134,133
)
 
(36,018
)
 
(661,874
)
 
—

Asset Purchases / Debt Issuances
1,404,508

 
3,467,617

 
—

 
583,138

 
189,925

 
638,416

 
6,283,604

 
—

Sales / Paydowns
(309,199
)
 
(1,893,162
)
 
(62,334
)
 
(342,704
)
 
(227,773
)
 
(339,566
)
 
(3,174,738
)
 
—

Settlements
—

 
35,294

 
—

 
—

 
—

 
—

 
35,294

 
(26,770
)
Net Realized Gains (Losses)
83,264

 
(35,312
)
 
(2,759
)
 
72,404

 
12,455

 
58,360

 
188,412

 
—

Net Unrealized Gains (Losses)
788,678

 
(151,869
)
 
(2,322
)
 
(53,622
)
 
79,954

 
(223,034
)
 
437,785

 
(807
)
Change in Other
Comprehensive Income
—

 
(12,839
)
 
—

 
—

 
—

 
—

 
(12,839
)
 
—

Balance, End of Period
$
7,620,669

 
$
9,280,665

 
$
—

 
$
3,435,599

 
$
1,449,970

 
$
2,171,880

 
$
23,958,783

 
$
802,691

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
$
850,839

 
$
(159,040
)
 
$
—

 
$
(25,133
)
 
$
87,578

 
$
(204,408
)
 
$
549,836

 
$
2,345

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 that are measured and reported at fair value and categorized within Level III as of September 30, 2020:


 
Fair Value September 30, 2020
 
Valuation
Methodologies
 
Unobservable Input(s) (1)
 
Weighted
Average (2)
 
Range
 
Impact to
 Valuation
from an
Increase in
Input (3)
 
 
 
 
 
 
 
 
 
 
 
 
Private Equity
$
12,626,979

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Private Equity
$
10,510,089

 
Inputs to market comparables, discounted cash flow and transaction price
 
Illiquidity Discount
 
7.1%
 
5.0% - 15.0%
 
Decrease
 
 

 
 
Weight Ascribed to Market Comparables
 
27.1%
 
0.0% - 100.0%
 
(4)
 
 

 
 
Weight Ascribed to Discounted Cash Flow
 
59.9%
 
0.0% - 100.0%
 
(5)
 
 

 
 
Weight Ascribed to Transaction Price
 
13.0%
 
0.0% - 100.0%
 
(6)
 
 

 
Market comparables
 
Enterprise Value/LTM EBITDA Multiple
 
16.0x
 
8.2x - 24.6x
 
Increase
 
 
 
 
Enterprise Value/Forward EBITDA Multiple
 
15.4x
 
6.5x - 20.6x
 
Increase
 
 

 
Discounted cash flow
 
Weighted Average Cost of Capital
 
9.6%
 
6.4% - 18.2%
 
Decrease
 
 

 
 
Enterprise Value/LTM EBITDA Exit Multiple
 
13.1x
 
6.0x - 17.5x
 
Increase
 
 
 
 
 
 
 
 
 
 
 
 
Growth Equity
$
2,116,890

 
Inputs to market comparables, discounted cash flow and milestones
 
Illiquidity Discount
 
11.3%
 
10.0% - 20.0%
 
Decrease
 
 
 
 
Weight Ascribed to Market Comparables
 
41.3%
 
0.0% - 100.0%
 
(4)
 
 
 
 
Weight Ascribed to Discounted Cash Flow
 
10.7%
 
0.0% - 50.0%
 
(5)
 
 
 
 
Weight Ascribed to Milestones
 
48.0%
 
0.0% - 100.0%
 
(6)
 
 
 
Scenario Weighting
 
Base
 
59.8%
 
25.0% - 70.0%
 
Increase
 
 
 
 
Downside
 
12.9%
 
5.0% - 75.0%
 
Decrease
 
 
 
 
Upside
 
27.3%
 
0.0% - 45.0%
 
Increase
 
 
 
 
 
 
 
 
 
 
 
 
Credit
$
8,723,978

 
Yield Analysis
 
Yield
 
8.3%
 
5.2% - 37.5%
 
Decrease
 
 
 
 
Net Leverage
 
5.1x
 
0.3x - 19.3x
 
Decrease
 
 
 
 
EBITDA Multiple
 
9.6x
 
1.0x - 28.6x
 
Increase
 
 
 
 
 
 
 
 
 
 
 
 
Real Assets
$
4,440,105

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Energy
$
1,728,637

 
Discounted cash flow
 
Weighted Average Cost of Capital
 
10.6%
 
9.1% - 14.5%
 
Decrease
 
 
 
 
 
Average Price Per BOE (8)
 
$32.09
 
$25.21 - $34.88
 
Increase
 
 
 
 
 
 
 
 
 
 
 
 
Infrastructure

$
743,212

(10)
Inputs to market comparables, discounted cash flow and transaction price
 
Weight Ascribed to Market Comparables
 
6.5%
 
0.0% - 25.0%
 
(4)
 
 
 
 
Weight Ascribed to Discounted Cash Flow
 
19.6%
 
0.0% - 75.0%
 
(5)
 
 
 
 
Weight Ascribed to Transaction Price
 
73.9%
 
0.0% - 100.0%
 
(6)
 
 
 
 
 
 
 
 
 
 
 
 
Real Estate
$
1,968,256

 
Inputs to direct income capitalization and discounted cash flow
 
Weight Ascribed to Direct Income Capitalization
 
23.3%
 
0.0% - 100.0%
 
(7)
 
 

 
 
Weight Ascribed to Discounted Cash Flow
 
76.7%
 
0.0% - 100.0%
 
(5)
 
 

 
Direct income capitalization
 
Current Capitalization Rate
 
5.8%
 
4.3% - 7.8%
 
Decrease
 
 

 
Discounted cash flow
 
Unlevered Discount Rate
 
7.1%
 
4.9% - 18.0%
 
Decrease
 
 
 
 
 
 
 
 
 
 
 
 
Equity Method - Other
$
1,932,859

 
Inputs to market comparables, discounted cash flow and transaction price
 
Illiquidity Discount
 
9.3%
 
5.0% - 15.0%
 
Decrease
 
 
 
Weight Ascribed to Market Comparables
 
42.6%
 
0.0% - 100.0%
 
(4)
 
 

 
 
Weight Ascribed to Discounted Cash Flow
 
46.5%
 
0.0% - 100.0%
 
(5)
 
 

 
 
Weight Ascribed to Transaction Price
 
10.9%
 
0.0% - 100.0%
 
(6)
 
 

 
Market comparables
 
Enterprise Value/LTM EBITDA Multiple
 
13.7x
 
9.4x - 28.1x
 
Increase
 
 
 
 
Enterprise Value/Forward EBITDA Multiple
 
14.4x
 
7.2x - 22.4x
 
Increase
 
 

 
Discounted cash flow
 
Weighted Average Cost of Capital
 
8.4%
 
5.5% - 17.5%
 
Decrease
 
 

 
 
Enterprise Value/LTM EBITDA Exit Multiple
 
11.0x
 
6.0x - 18.0x
 
Increase
 
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value September 30, 2020
 
Valuation
Methodologies
 
Unobservable Input(s) (1)
 
Weighted
Average (2)
 
Range
 
Impact to
 Valuation
from an
Increase in
Input (3)
 
 
 
 
 
 
 
 
 
 
 
 
Other Investments
$
1,894,329

(9)
Inputs to market comparables, discounted cash flow and transaction price
 
Illiquidity Discount
 
8.5%
 
5.0% - 20.0%
 
Decrease
 
 
 
Weight Ascribed to Market Comparables
 
35.0%
 
0.0% - 100.0%
 
(4)
 
 
 
 
Weight Ascribed to Discounted Cash Flow
 
40.6%
 
0.0% - 100.0%
 
(5)
 
 
 
 
Weight Ascribed to Transaction Price
 
24.4%
 
0.0% - 100.0%
 
(6)
 
 
 
Market comparables
 
Enterprise Value/LTM EBITDA Multiple
 
14.2x
 
1.4x - 28.5x
 
Increase
 
 
 
 
Enterprise Value/Forward EBITDA Multiple
 
14.0x
 
1.3x - 26.5x
 
Increase
 
 
 
Discounted cash flow
 
Weighted Average Cost of Capital
 
14.7%
 
8.3% - 25.0%
 
Decrease
 
 
 
 
Enterprise Value/LTM EBITDA Exit Multiple
 
9.2x
 
6.9x - 11.0x
 
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 83% liquids and 17% 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.
(10)
Consists of two infrastructure investments. One infrastructure investment was purchased during the quarter and valued at the acquisition price since this was the best indicator of fair value. Other investment was valued using a market comparables and discounted cash flow analysis. The significant inputs used in the market comparables approach included the Forward EBITDA multiple 10.9x. The significant inputs used in the discounted cash flow approach included the weighted average cost of capital 8.4% and the enterprise value/LTM EBITDA exit multiple 10.0x.