KKR Real Estate Finance Trust Inc.KREF
KKR Real Estate Finance Trust Inc. Fair Value Disclosure
Fair Value of Financial Instruments
The carrying values and fair values of KREF’s financial assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments not carried at fair value, as of December 31, 2025, were as follows:
| Fair Value | ||||||||||||||||||||||||||||||||||||||||||||
| Principal Balance | Amortized Cost | Carrying Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||||||||
| Assets | ||||||||||||||||||||||||||||||||||||||||||||
| Cash and cash equivalents | $ | 84,617 | $ | 84,617 | $ | 84,617 | $ | 84,617 | $ | — | $ | — | $ | 84,617 | ||||||||||||||||||||||||||||||
| Commercial real estate loans, held-for-investment, net | 5,361,863 | 5,347,756 | 5,145,832 | — | — | 5,146,650 | 5,146,650 | |||||||||||||||||||||||||||||||||||||
| Consolidated variable interest entity assets, CMBS trust, at fair value | 489,940 | 488,603 | 502,751 | — | — | 502,751 | 502,751 | |||||||||||||||||||||||||||||||||||||
| Total | $ | 5,936,420 | $ | 5,920,976 | $ | 5,733,200 | $ | 84,617 | $ | — | $ | 5,649,401 | $ | 5,734,018 | ||||||||||||||||||||||||||||||
| Liabilities | ||||||||||||||||||||||||||||||||||||||||||||
| Secured financing agreements, net | $ | 2,871,049 | $ | 2,862,689 | $ | 2,862,689 | $ | — | $ | — | $ | 2,862,689 | $ | 2,862,689 | ||||||||||||||||||||||||||||||
| Collateralized loan obligations, net | 1,198,378 | 1,198,332 | 1,198,332 | — | — | 1,189,911 | 1,189,911 | |||||||||||||||||||||||||||||||||||||
| Secured term loan, net | 646,750 | 632,516 | 632,516 | — | 651,601 | — | 651,601 | |||||||||||||||||||||||||||||||||||||
| Consolidated variable interest entity liabilities, CMBS trust, at fair value | 470,444 | 479,636 | 493,680 | — | — | 493,680 | 493,680 | |||||||||||||||||||||||||||||||||||||
Foreign currency forward contracts(A) | 1,265 | 1,265 | 1,265 | — | 1,265 | — | 1,265 | |||||||||||||||||||||||||||||||||||||
| Total | $ | 5,187,886 | $ | 5,174,438 | $ | 5,188,482 | $ | — | $ | 652,866 | $ | 4,546,280 | $ | 5,199,146 | ||||||||||||||||||||||||||||||
(A) Included within "Other liabilities" on the Consolidated Balance Sheets.
The carrying values and fair values of KREF’s financial assets recorded at fair value on a recurring basis, as well as other financial instruments for which fair value is disclosed, as of December 31, 2024, were as follows:
| Fair Value | ||||||||||||||||||||||||||||||||||||||||||||
| Principal Balance | Amortized Cost | Carrying Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||||||||
| Assets | ||||||||||||||||||||||||||||||||||||||||||||
| Cash and cash equivalents | $ | 104,933 | $ | 104,933 | $ | 104,933 | $ | 104,933 | $ | — | $ | — | $ | 104,933 | ||||||||||||||||||||||||||||||
| Commercial real estate loans, held-for-investment, net | 5,900,163 | 5,888,622 | 5,771,519 | — | — | 5,768,648 | 5,768,648 | |||||||||||||||||||||||||||||||||||||
| Total | $ | 6,005,096 | $ | 5,993,555 | $ | 5,876,452 | $ | 104,933 | $ | — | $ | 5,768,648 | $ | 5,873,581 | ||||||||||||||||||||||||||||||
| Liabilities | ||||||||||||||||||||||||||||||||||||||||||||
| Secured financing agreements, net | $ | 2,804,895 | $ | 2,798,674 | $ | 2,798,674 | $ | — | $ | — | $ | 2,798,674 | $ | 2,798,674 | ||||||||||||||||||||||||||||||
| Collateralized loan obligations, net | 1,766,231 | 1,766,104 | 1,766,104 | — | — | 1,745,561 | 1,745,561 | |||||||||||||||||||||||||||||||||||||
| Secured term loan, net | 339,500 | 333,853 | 333,853 | — | 341,198 | — | 341,198 | |||||||||||||||||||||||||||||||||||||
| Total | $ | 4,910,626 | $ | 4,898,631 | $ | 4,898,631 | $ | — | $ | 341,198 | $ | 4,544,235 | $ | 4,885,433 | ||||||||||||||||||||||||||||||
The following table presents the activities of Level 3 financial assets and liabilities recorded at fair value:
| Consolidated variable interest entity assets, CMBS trust, at fair value | Consolidated variable interest entity liabilities, CMBS trust, at fair value | Net | ||||||||||||||||||
Balance as of December 31, 2024 | $ | — | $ | — | $ | — | ||||||||||||||
| Purchases and repayments | ||||||||||||||||||||
| Purchases | 8,967 | — | 8,967 | |||||||||||||||||
| Consolidation of CMBS trust | 480,666 | 480,666 | — | |||||||||||||||||
| Repayments | (1,030) | (1,030) | — | |||||||||||||||||
| Gains (losses) included in net income | ||||||||||||||||||||
| 14,148 | 14,044 | 104 | ||||||||||||||||||
Other(A) | 2,479 | 2,380 | 99 | |||||||||||||||||
Balance as of December 31, 2025 | $ | 505,230 | $ | 496,060 | $ | 9,170 | ||||||||||||||
(A) Primarily consists of changes in accrued interest.
The following table contains the Level 3 inputs used to value assets and liabilities on a recurring and nonrecurring basis or where KREF discloses fair value as of December 31, 2025:
| Fair Value | Valuation Methodologies | Unobservable Inputs | Weighted Average(A) | Range | ||||||||||||||||||||||||||||
| Assets | ||||||||||||||||||||||||||||||||
| Commercial real estate loans, held-for-investment | $ | 5,146,650 | Discounted cash flow | Discount margin | 4.1% | 2.6% - 8.9% | ||||||||||||||||||||||||||
| Capitalization rate | 8.4% | 5.4% - 10.3% | ||||||||||||||||||||||||||||||
| Discount rate | 10.4% | 8.5% - 11.0% | ||||||||||||||||||||||||||||||
| Consolidated variable interest entity assets, CMBS trust, at fair value | 502,751 | Discounted cash flow | Yield | 6.0% | 4.1% - 33.3% | |||||||||||||||||||||||||||
| Duration | 6.8 | 2.2 - 7.1 | ||||||||||||||||||||||||||||||
| Liabilities | ||||||||||||||||||||||||||||||||
| Consolidated variable interest entity liabilities, CMBS trust, at fair value | $ | 493,680 | Discounted cash flow | Yield | 6.0% | 4.1% - 33.3% | ||||||||||||||||||||||||||
| Duration | 6.8 | 2.2 - 7.1 | ||||||||||||||||||||||||||||||
(A) Represents the average of the input value, weighted by the unpaid principal balance of the financial instrument.
Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis
Certain assets not measured at fair value on an ongoing basis but subject to fair value adjustments only in certain circumstances, such as when there is evidence of impairment, are measured at fair value on a nonrecurring basis. KREF measures commercial real estate loans held-for-sale at the lower of cost or fair value and may be required, from time to time, to record a nonrecurring fair value adjustment. KREF measures commercial real estate loans held-for-investment at amortized cost, but may be required, from time to time, to record a nonrecurring fair value adjustment in the form of a CECL allowance.
Assets and Liabilities for Which Fair Value is Only Disclosed
KREF does not carry its secured financing agreements at fair value as management did not elect the fair value option for these liabilities. As of December 31, 2025, the fair value of KREF's financing facilities approximated their respective carrying value.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Feb 3, 2026 | Showing above |
| 2024 | Feb 3, 2025 | |
| 2023 | Feb 6, 2024 | |
| 2022 | Feb 7, 2023 | |
| 2021 | Feb 8, 2022 | |
| 2020 | Feb 16, 2021 | |
| 2019 | Feb 19, 2020 | |
| 2018 | Feb 20, 2019 | |
| 2017 | Feb 28, 2018 | |
About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.