KKR Credit

KKR Mezzanine Partners I L.P. Update

November 2016

Prepared at the Request of Imperial County Employees’

Retirement System (“ICERS”)

CONFIDENTIAL AND PROPRIETARY

For One-on-One Use by
Investment Professionals Only
Important Information
This presentation is furnished on a confidential basis exclusively to the named recipient to this presentation (the “Recipient”) and is not for redistribution or public use. The data and information
presented are for informational purposes only. The information contained herein should be treated in a confidential manner and may not be transmitted, reproduced or used in whole or in part
for any other purpose, nor may it be disclosed without the prior written consent of KKR Credit. KKR Credit conducts its business through KKR Credit Advisors (US) LLC, an SEC-registered
investment adviser, KKR Credit Advisors (Ireland) Unlimited Company, authorized and regulated by the Central Bank of Ireland, and KKR Credit Advisors (UK) LLP which is authorized and
regulated by the Financial Conduct Authority in the United Kingdom. By accepting this material, the Recipient agrees not to distribute or provide this information to any other person.

The information in this presentation is only as current as the date indicated, and may be superseded by subsequent market events or for other reasons. The information in this presentation has
been developed internally and/or obtained from sources believed to be reliable; however, KKR Credit does not guarantee the accuracy, adequacy or completeness of such information. Nothing
contained herein constitutes investment, legal, tax or other advice nor is it to be relied on in making an investment or other decision. This presentation should not be viewed as a current or
past recommendation or a solicitation of an offer to buy or sell any securities or to adopt any investment strategy.

The information in this presentation may contain projections or other forward-looking statements regarding future events, targets or expectations regarding the strategies described herein, and
is only current as of the date indicated. There is no assurance that such events or targets will be achieved, and may be significantly different from that shown here. The information in this
presentation, including statements concerning financial market trends, is based on current market conditions, which will fluctuate and may be superseded by subsequent market events or for
other reasons. KKR Credit assumes no duty to, and does not undertake to update forward looking statements.

Past performance is no guarantee of future results. References in this presentation to “Gross IRR” and references to “Gross MOIC” or “gross multiple” are to the internal rate of return or
multiple of invested capital, respectively, calculated at investment level, and thus do not take into consideration the payment of applicable management fees, carried interest, transaction costs,
and other expenses borne by the relevant KKR product, which will have a material impact on returns. In the case of unrealized investments, the gross returns are based on internal valuations
by KKR Credit of unrealized investments as of the applicable date. The actual realized returns on such unrealized investments will depend on, among other factors, future operating results, the
value of the assets, and market conditions at the time of disposition, any related transaction costs, and the timing and manner of sale, all of which may differ from the assumptions on which
the valuations used in the prior performance data contained herein are based. Accordingly, the actual realized return of these unrealized investments may differ materially from the returns
indicated herein.

References to “Net IRR” are to the internal rate of return calculated at fund level, after payment of applicable management fees and carried interest and other applicable expenses; however,
where net IRRs are shown at the investment level, they are before management fees, as management fees are applied only at the fund level. In addition, references to “Net MOIC” or “net
multiple” are to the multiple of invested capital calculated after payment of applicable carried interest and other applicable expenses, but before management fees are taken into account.
Internal rates of return are computed on a “dollar-weighted” basis, which takes into account the timing of cash flows, the amounts invested at any given time, and unrealized values as of the
relevant valuation date. Multiples of invested capital referred to in this presentation have been calculated based on figures for the cost and total value of KKR fund investments that have been
rounded to the nearest $100,000.

Any indices referred to in this presentation are used for purposes of comparison to the performance of certain capital markets. The market index returns assume that on the day a portfolio
investment is made, a hypothetical investment in a matching amount is made in the given index. For each date on which either a portion or all of the portfolio investment is sold, a hypothetical
index multiple (factor) is calculated by comparing the change in index value between the two dates. The cost of the investment sold (or portion of cost sold) is multiplied by this factor,
resulting in a hypothetical index value. The return is calculated using these dates of investment and hypothetical value(s) generated. The return figures for each index do not reflect the
deduction of any taxes, expenses, transaction costs or advisory fees. Broad-based securities indices are unmanaged and are not subject to fees and expenses typically associated with the
Fund. It is not possible to invest directly in an unmanaged index. The performance of the indices represents unmanaged, passive buy-and-hold strategies, investment characteristics and
risk/return profiles that differ materially from the Fund, and an investment in the Fund is not comparable to an investment in such index or in the securities that comprise the index. Further,
the indices referred to herein are not used or selected by KKR as an appropriate benchmark to compare relative to the performance of the Fund, but rather they are included herein solely
because they are well-known and widely-recognized indices that embody investments with materially less risk than an investment in the Fund.

The statistical data regarding the indices has been obtained from sources believed to be reliable. The market index returns assume that on the day a portfolio investment is made, a
hypothetical investment in a matching amount is made in the index. For each date on which either a portion or all of the portfolio investment is sold, a hypothetical index multiple (factor) is
calculated by comparing the change in index value between the two dates. The cost of the investment sold (or portion of cost sold) is multiplied by this factor, resulting in a hypothetical index
value. The return is calculated using these dates of investment and hypothetical value(s) generated. Index returns assume reinvestment of dividends and do not reflect any fees or expenses
associated with a private fund. The indices are presented for comparison purposes only and should not be relied upon. All index performance is dated as of the date indicated herein. The index
is presented for comparison purposes only and should not be relied upon. All index performance is dated as of the date indicated herein.

• BoA Merrill Lynch High Yield Master II Index tracks the performance of below investment grade dollar dominated debt in the US (based on an average of Moody’s, S&P and Fitch).

• BoA Merrill Lynch Global High Yield Master II Index tracks the performance of below investment grade dollar dominated debt globally (based on an average of Moody’s, S&P and Fitch).

2
Important Information
• The S&P/LSTA Leveraged Loan Index is a daily tradable index for the U.S. loan market that seeks to mirror the market-weighted performance of the largest institutional loans that meet the
inclusion criteria and that have marks from the LSTA/LPC mark-to-market service. The inclusion criteria consist of the following: i) syndicated term loan instruments consisting of term
loans (both amortizing and institutional), acquisition loans (after they are drawn down) and bridge loans; ii) secured; iii) U.S. dollar denominated; iv) minimum term of one year at
inception; and v) minimum initial spread of LIBOR plus 1.25%.

• The Barclays Aggregate Bond Index is a broad-based benchmark that measures the investment grade, fixed-rate bond market, such as Treasuries, government-related and corporate
securities, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS.

References to “assets under management” or “AUM” represent the assets managed by KKR or its strategic partners as to which KKR is entitled to receive a fee or carried interest (either
currently or upon deployment of capital) and general partner capital.  KKR calculates the amount of AUM as of any date as the sum of: (i) the fair value of the investments of
KKR's investment funds; (ii) uncalled capital commitments from these funds, including uncalled capital commitments from which KKR is currently not earning management fees or carried
interest; (iii) the fair value of investments in KKR's co-investment vehicles; (iv) the par value of outstanding CLOs (excluding CLOs wholly-owned by KKR); (v) KKR's pro-rata portion of the
AUM managed by strategic partnerships in which KKR holds a minority ownership interest and (vi) the fair value of other assets managed by KKR.  The pro-rata portion of the AUM
managed by strategic partnerships is calculated based on KKR’s percentage ownership interest in such entities multiplied by such entity’s respective AUM.  KKR’s calculation of AUM may
differ from the calculations of other asset managers and, as a result, KKR’s measurements of its AUM may not be comparable to similar measures presented by other asset managers. KKR's
definition of AUM is not based on the definitions of AUM that may be set forth in agreements governing the investment funds, vehicles or accounts that it manages and is not calculated
pursuant to any regulatory definitions.

References to “KKR Capstone” or “Capstone” are to all or any of KKR Capstone Americas LLC, KKR Capstone EMEA LLP, KKR Capstone EMEA (International) LLP, KKR Capstone Asia Limited,
and their affiliates, which are owned and controlled by their senior management. KKR Capstone is not a subsidiary or affiliate of KKR. KKR Capstone operates under several consulting
agreements with KKR and uses the “KKR” name under license from KKR. References to operating executives, operating experts, or operating consultants are to employees of KKR Capstone
and not to employees of KKR. In this presentation, the impact of initiatives in which KKR Capstone has been involved is based on KKR Capstone’s internal analysis and information provided by
the applicable portfolio company. Impacts of such initiatives are estimates that have not been verified by a third party and are not based on any established standards or protocols. They may
also reflect the influence of external factors, such as macroeconomic or industry trends, that are unrelated to the initiative presented.

General discussions contained within this presentation regarding the market or market conditions represent the view of either the source cited or KKR. Nothing contained herein is intended to
predict the performance of any investment. There can be no assurance that actual outcomes will match the assumptions or that actual returns will match any expected returns. The information
contained herein is as of March 31, 2016, unless otherwise indicated, is subject to change, and KKR assumes no obligation to update the information herein.

Participation of KKR Private Equity, KKR Capital Markets, and KKR Capstone personnel in the public investment process is subject to applicable law and inside information barrier policies and
procedures, which may limit the involvement of KKR Private Equity, KKR Capital Markets, and KKR Capstone personnel in certain circumstances and KKR Credit’s ability to leverage such
integration with KKR. Discussions with Senior Advisors and employees of KKR’s managed portfolio companies are also subject to the inside information barrier policies and procedures, which
may restrict or limit discussions and/or collaborations with KKR Credit.

Employees of KKR Credit, Prisma Capital Partners LP and KKR Capital Markets LLC located in the United States are dual employees of Kohlberg Kravis Roberts & Co. L.P.

3
Table of Contents

I. KKR Credit Overview

II. Private Credit Investment Process & Team

III. Credit Market Review

IV. Portfolio Update: KKR Mezzanine Partners I L.P.

V. Appendix

– Private Opportunistic Credit

– Direct Lending

– Opportunistic Credit

4
I. KKR Credit Overview
KKR Business Platform

Private Markets Public Markets

Capital Markets
($75.2bn AUM) ($55.9bn AUM)

• Americas • Private Equity • Over 40 capital markets professionals

KKR Credit KKR Prisma
• EMEA • Infrastructure ($34.9bn AUM) ($10.6bn AUM) that oversee capital market activities
and financing solutions
• Asia • Energy
• Serves as an expert resource to KKR
• Real Estate Strategic India Debt/NBFC
Partnerships Funds
investment teams, portfolio companies
($10.0bn AUM) ($0.5bn AUM) and other third party clients

Stakeholder Global Macro and KKR KKR Client and Partner

Management Asset Allocation Global Institute Capstone Group (“CPG”)
• Team of over 10, led by • Team of 6, led by Henry • Team of 3, led by • Team of over 50 senior • Team of ~85
Ken Mehlman McVey retired General David operations professionals focused
• Integrated in investment • Provides market Petraeus professionals on building, maintaining
and transaction commentary and • Leverages KKR’s focus • Work side-by-side with and expanding
processes outlooks on the on stakeholder portfolio company client relationships
• Share best practices changing dynamics in engagement and senior managers on
across KKR’s portfolios the global economy geopolitical factors to operational
enhance the firm's improvements
investment process

Note: AUM and headcount as of September 30, 2016. Please refer to “Important Information” for additional detail on the calculation of AUM and for further information on KKR’s inside information 6
barrier policies and procedures, which may limit the involvement of personnel in certain investment processes and discussions.
Evolution of KKR Credit
KKR launched KKR Credit as its credit investing business in 2004. Focused on leveraging the intellectual
capital of KKR’s private markets business, KKR Credit currently manages $34.9 billion in assets with ~220
dedicated employees, including ~95 dedicated credit investment professionals

2004
• KKR Credit founded to
leverage intellectual
capital of KKR platform
• Team brought on from
Wells Fargo
2014-2015
2008 - 2009
• Acquisition of Avoca Capital, a European
2010-2011
• First U.S. Public Pension mandate (SMA with liquid credit manager
flexible approach across high yield bonds and • Formalize GIPS-compliant • Launch of second global direct lending
leveraged loans based on best relative value) bank loan, high yield and fund
• Formalize GIPS-compliant bank loan plus high yield conservative liquid credit • Launch of first European direct lending
and opportunistic credit composites composites fund
• Launch of second special situations fund

2004-2008 2009-2010 2011-2012

• Managing credit assets of a publicly
listed entity - KFN
• Relative value across the capital
structure
• Underwriting credit with focus on
principal protection
• Industry-focused research aligned
with PE industry teams
2015-Today
• Launch of first mezzanine fund • Launch of first global direct
lending fund • Launch of second dedicated
• Formation of special situations
business • Launch of first special mezzanine fund
situations fund • Launch of third global direct lending
• Creation of a dedicated private
credit team focused on sourcing and fund
execution for direct lending and • Customized solutions, SMA’s and
mezzanine commingled strategies across credit
spectrum

2004 2005 2008 2009 2010 2011 2012 2013 2014 2015-Today

Note: Please refer to “Important Information” for additional detail on the calculation of AUM and for further information on KKR’s inside information barrier policies and 7
procedures, which may limit the involvement of personnel in certain investment processes and discussions.
 KKR Credit Investment Strategies
KKR Credit has a number of active investment strategies across Leveraged Credit, Private Credit
and Special Situations that represent a range of risk/return and liquidity profiles

Target Net Estimated Strategy AUM

Return Current Yield(1) ($mm)(2)

Special Situations focuses on distressed, event-driven

Special Situations and other opportunistic investments across the capital Mid to High Teens 3-9% ~$7,850
structure
Multi-Year

Private Opportunistic Credit focuses on private debt

instruments in the subordinated part of a company’s 12-15% (Unlevered) 8-12%
capital structure
Private Credit ~$8,640
Relative Liquidity

Direct Lending focuses on private debt instruments in 6-8% (Unlevered)

7-10%
the senior part of a company’s capital structure 11-14% (Levered)

- Opportunistic
- Opportunistic
A bottom-up, fundamental approach to investing in a Credit: 6-9%
Credit: 8-11%
Monthly/Quarterly

portfolio of US and European Leveraged Credit - High Yield:

- High Yield: 5-7%
inclusive of the following: 6-7%
Leveraged - Bank Loans plus
- Bank Loans - Bank Loans ~$18,420
Credit High Yield:
- High Yield plus High Yield:
(depends on
(depends on
- Bank Loans plus High Yield allocation)
allocation)
- Opportunistic Credit - Bank Loans:
- Bank Loans:
4-6%
4-6%

(1) Estimated current yields represent the views of KKR Credit regarding the likely current yields of investments in the indicated asset classes over a market cycle. The estimates represent the views
of KKR Credit as of the date hereof and are subject to change. Please see “Important Information” at the beginning of this presentation for additional disclosure regarding target returns.
(2) As of September 30, 2016. Please see Endnotes for important information regarding the calculation of AUM.
Note: Unless indicated, the above reflects the current market views, opinions and expectations of KKR based on its historic experience. Historic market trends are not 8
reliable indicators of actual future market behavior or future performance of any particular investment or any KKR fund, vehicle or account which, may differ materially, and
are not to be relied upon as such. There can be no assurance that investors in any KKR fund, vehicle or account will receive a return of capital.
II. Private Credit Investment Process & Team
Investment Process:
Sourcing, Underwriting / Structuring & Risk Management
PCOP II will seek to differentiate itself in the private credit market by its ability to source,
underwrite and monitor large, complex and often proprietary transactions

• Our team has established and maintained long-term relationships with important deal sources such as
financial sponsors, financial intermediaries, corporations and financing institutions
• KKR Credit’s investment team structure and investment process are designed with a view to maximize the
effectiveness of the “One-Firm” approach and ultimately capture the best ideas and deploy the optimal
sourcing, due diligence, execution and operational resources of KKR
• The foundations of what we believe to be our competitive advantages in the investment process are based
on one or more of the following:

Key Competitive Advantages

Industry Intelligence from Private Equity

Proprietary Sourcing
Portfolio Companies

Differentiated Local Access and

Access to Robust Senior Advisor Network
Expertise

Strong Due Diligence Capabilities Through Company or Sector Knowledge

Note: The above is for illustrative and for discussion purposes only, and may be subject to change. Please refer to” Important Information” at the beginning of this
presentation for further information on barrier policies and procedures, which may limit the involvement of personnel in certain investment processes and discussion. The
10
Fund may use any one or none of the diligence processes described above.
Private Credit Investment Team
Today, there are over 35 dedicated members of the Private Credit Investment Team in New York, San
Francisco, London and Dublin
Global Private Credit Investment Committee

Nat Zilkha Erik Falk Chris Sheldon Marc Ciancimino Dev Gopalan
Dan Pietrzak
Member Member Member Member Director
Managing Director
• Goldman Sachs • Deutsche Bank • Wells Fargo • GSC Group • Canada Pension
• Deutsche Bank
Investment Board

Private Credit Investment Team

North America

Peter Glaser Mayo Shattuck Zachary Jarvis Mark Basile Doug Tapley Scott Cullerton George Mueller
Member Director Director Director Director Director Director
• Barclays Capital • Goldman Sachs • Peloton Partners • Barclays Capital • GE Capital • Morgan Stanley • Barclays Capital

Rony Ma Matt Kretzman Henock Teklu Gene Kolodin

7 Associates &
Principal Principal Principal Principal
Analysts
• Deutsche Bank • Credit Suisse • Goldman Sachs • High Road Capital

Europe

Varun Khanna Mark Craig Stephen Tang Cristobal Cuart Valeria Rubella
Director Director Director Director Director
• Deutsche Bank • Evercore • Avoca Capital • Apollo • Goldman Sachs

Ian Anderson Matteo Bozzo

Principal Principal 5 Associates
• Lazard • KKR Private Equity

Other Key Resources

Trading Team Credit Strategies Team Other KKR Credit Professionals

Lynette ~30 Global ~30 Special Portfolio Managers

John Reed James Newman Mike Russell Christina Fang Kelly Doheny
Vanderwarker Leveraged Situations Across Leveraged
Member Director Principal Director Associate
Managing Director Credit Industry Investment Credit and Special
• Bear Stearns • JP Morgan • Credit Suisse • Morgan Stanley • Barclays Capital Analyst Professionals Situations
• BlackRock

Represents portfolio managers for our private opportunistic credit strategy.

Note: Please refer to "Important Information” at the beginning of this presentation for further information on KKR’s inside information barrier policies and procedures, 11
which may limit the involvement of personnel in certain investment processes and discussions.
Sourcing: Who Do We Work With?
The Private Credit Investment Team has developed strong relationships with a broad network of
sponsors

• KKR Credit’s Private Credit Investment Team has relationships with over 150 sponsors globally
• We work closely with sponsors to source private credit investment opportunities. Upon the completion of
investments, we work with sponsors to monitor company performance and evaluate add-on transactions
• We have worked with over 70 distinct financial sponsors in our commingled direct lending and mezzanine
vehicles. Below are the financial sponsors we worked with on deals in our commingled direct lending and
mezzanine funds:

Sponsors We Worked with in Our Commingled Direct Lending and Mezzanine Funds

Note: Please refer to “Important Information” at the beginning of this presentation for further information on KKR’s inside information barrier policies and procedures, which may limit the involvement
of personnel in certain investment processes and discussions. The Fund many use any one or none of the diligence processes described above.
12
Sourcing: Who Do We Work With? (Continued)
The Private Credit Investment Team has also developed strong relationships with a broad
network of financial intermediaries

• Investment opportunities may be sourced from KKR Credit’s direct relationships with financial intermediaries
including investment and commercial banks
• As a significant client of a number of financial institutions, we often get the “first calls” on interesting
transactions, in both the secondary and primary markets
• Below are financial intermediaries that KKR Credit works with to source new private credit opportunities:

Key Financial Intermediary Relationships

Note: Please refer to “Important Information” at the beginning of this presentation for further information on KKR’s inside information barrier policies and procedures, which 13
may limit the involvement of personnel in certain investment processes and discussions. The Fund many use any one or none of the diligence processes described above.
Underwriting / Structuring
Once an investment opportunity is sourced, the Private Credit Investment Team is responsible
for underwriting and structuring the credit

• PCOP II incorporates KKR Credit’s fundamental credit investment philosophy which is based on deep credit
underwriting and rigorous financial analysis
• The Private Credit Investment Team will leverage the expertise of KKR Credit’s global leveraged credit industry
analysts to better understand sector and company-specific trends that inform their private credit investment decisions
- We believe our underwriting process is differentiated by our access to channel checks, management teams,
industry information and the experience of KKR’s Private Equity investment professionals
• Credits undergo a deep analysis and the Global Private Credit Investment Committee (“IC”) determines whether we
have a competitive advantage
• In conjunction with and following the underwriting and IC approval process, the Private Credit Investment Team will
work with legal, compliance, tax and any other relevant parties to appropriately structure private credit investments

Valuation Drivers: Company Specific Valuation Drivers: Broader Market

• Strengths and weaknesses in a company’s cost

structure • Assess what the company does, including what
products and services it provides and to whom
• Cost structure relative to competitors
• Substitute goods or services and the threats they may
• Quality of suppliers represent for pricing or cost structure
• Quality of cash flows of the underlying investment, • Drivers of market growth or decline, including changes
including requirements for growth, degrees of in industry structure, technology or demographics
flexibility to reduce costs and requirements for debt
amortization

Note: Please refer to “Important Information” at the beginning of this presentation for further information on KKR’s inside information barrier policies and procedures, which 14
may limit the involvement of personnel in certain investment processes and discussions. The Fund many use any one or none of the diligence processes described above.
 Global Private Credit Investment Committee
The Global Private Credit Investment Committee serves as the decision-making group for private
credit investments, including input on the direction of due diligence

Global Private Credit

Rigorous Screening Process Years at KKR Years Industry Experience
Investment Committee

• Weekly team review of early-stage Nat Zilkha

9 17
opportunities Member
• Peer review ensures transmission of
learning and application of diverse
perspectives
Erik Falk
8 24
Member

Robust Committee Process

Chris Sheldon
12 18
• Iterative, interactive, and open Member
dialogue focused on key issues

Marc Ciancimino
8 19
Highly Experienced Member
Investment Committee

• Public and private investment Daniel Pietrzak

<1 19
experience drives robust dialogue Managing Director
• Deep experience in valuation,
structuring, deal tactics and execution
• Benefits from KKR’s experience
investing across markets over the Dev Gopalan
6 13
Firm’s 40 year history Director

Note: Please refer to “Important Information” at the beginning of this presentation for further information on KKR’s inside information barrier policies and procedures, which 15
may limit the involvement of personnel in certain investment processes and discussions. The Fund many use any one or none of the diligence processes described above.
III. Credit Market Review
 No Obvious Beta Opportunity Present…

• HY Spreads are neither cheap nor expensive when compared to…

….History …..Risk
HY Corporate Spreads Over HY Corporate Spreads Over Risk Free Rate
Risk Free Rate versus Long Term Loss Rate

16 16

14 14

12 12

10 10
Spread %

Spread %
8 8

6 6

4 4

2 2

0 0

13

16
03

06

08

11
12
86

88

91

93

96

98

01
02

07
87

92

97

15
05

10
90

95

00
12

15
02

05

07

10
11

16
87

90

92

95

97

00
01

06
86

91

96

14
04

09
89

94

99

Sep

Jun
Jun
Sep

Jun
Sep

Jun

Dec
Jun
Sep

Jun
Sep

Jun
Sep

Dec

Dec
Dec

Dec

Dec

Mar
Mar

Mar
Mar

Mar

Mar
Sep

Jun
Sep
Jun
Sep

Jun
Sep

Jun
Sep

Jun
Sep

Jun
Sep

Dec
Dec

Dec
Dec

Dec

Dec

Mar
Mar

Mar
Mar

Mar

Mar

HY Spread over AAA HY Spread over AAA

HY (ex Energy) Spread over AAA HY (ex Energy) Spread over AAA
HY Spread Average Long Term Avg. Spec-Grade Loss Rate (1982-2010)

Source: KKR Credit Analysis, St. Louis Fed, Moody's, Credit Suisse, as of September 30, 2016. 17
…But Plenty of Beta-Seeking Flows at a Time of Low Liquidity

High-Yield Monthly Mutual Fund Flows Primary Dealer Securities Inventories

10 $300bn
Oct-2007
8
285

6 $250bn

4
Monthly fund flows ($bn)

2 $200bn
A decline
0 of 90%

-2 $150bn

-4

-6 $100bn

-8

-10 $50bn

-12 June-2016
30
-14 $0bn
Dec-12

Sep-13

Dec-13

Sep-14

Dec-14

Sep-15

Dec-15

Sep-16

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016
Mar-13

Jun-13

Mar-14

Jun-14

Mar-15

Jun-15

Mar-16

Jun-16

Source: LCD as of September 30, 2016. Source: Haver Economics, June 30, 2016.

18
Lack of Liquidity and Flow Volatility Creating Spread Dispersion
Trailing 90 Day Volatility CCC over BB Yields
9.0% 15.5%
High Yield Leveraged Loan
Annualised Standard Deviation

8.0%
13.5%
7.0%
11.5%
6.0%

5.0% 9.5%

4.0% 7.5%
3.0%
5.5%
2.0%
3.5%
1.0%

0.0% 1.5%

Sep 13

Sep 14

Sep 15

Sep 16
Jan 13

Jan 14

Jan 15

Jan 16
May 13

May 14

May 15

May 16
Sep 10

Sep 11

Sep 12

Sep 13

Sep 14

Sep 15

Sep 16
Dec 09
Mar 10

Dec 10
Mar 11

Dec 11
Mar 12

Dec 12
Mar 13

Dec 13
Mar 14

Dec 14
Mar 15

Dec 15
Mar 16
Jun 10

Jun 11

Jun 12

Jun 13

Jun 14

Jun 15

Jun 16
Source: Credit Suisse, September 30, 2016. Source: KKR Credit Analysis, Credit Suisse as of September 30, 2016.

HY Index Split by STW (ex Energy) % of Index with STW Over 750bps

100.0% 35.0%
90.0% 750 b.p. and Over
30.0%
80.0%

70.0% 25.0%

60.0%
20.0%
50.0%
15.0%
40.0%

30.0% 10.0%
20.0%
5.0%
10.0%

0.0% 0.0% Sep-13

Sep-14

Sep-15

Sep-16
Mar-13

Mar-14

Mar-15

Mar-16
Jan-13

Jul-13

Jan-14

Jul-14

Jan-15

Jul-15

Jan-16

Jul-16
Nov-13

Nov-14

Nov-15
May-13

May-14

May-15

May-16
2013 2014 2015 Sep-16

<500bps 500-750bps 750-900bps 900-1,200bps >1,200bps

Source: KKR Credit Analysis, Credit Suisse, as of September 30, 2016. Source: Credit Suisse, as of September 30, 2016.

19
Global Opportunity for Private Lending
In the wake of the changes in the regulatory environment, we have observed a shift towards
relationship lending where asset managers can leverage global relationships with sponsors and
companies to be global solutions providers across the entire capital structure

North America

• New lending guidelines may lead to non-

traditional debt structures that fit the return
profile for private credit
• Potential refinancing opportunity for
transactions that do not comply with new
regulation
• Volatility in the traded markets has created
secondary opportunities and more risk
aversion amongst the banks
• Opportunities to originate and/or service
platforms are driving deal flow

Europe
Asia Pacific
• Ongoing European debt crisis and related structural
change continues to create opportunities • Less competitive market for private credit
• Companies are seeking capital structure solutions capital
outside of regular banks and traditional capital • Select opportunities in developed markets
markets channels
• Ability to leverage KKR Credit’s 9 special
• Retraction of traditional sources of credit expected situations professionals, KKR Capital Markets’
to be conducive for alternative asset managers 12 professionals and KKR Private Equity’s 55
• Opportunities to directly finance assets or invest in professionals on the ground in Asia Pacific for
origination, investment and/or servicing platforms idea generation and sourcing

Note: Unless indicated, the above reflects the current market views, opinions and expectations of KKR Credit based on its historic experience. Historic market trends are not reliable indicators of
actual future market behavior or future performance of any particular investment or any KKR Credit fund, vehicle or account which may differ materially and are not to be relied upon as such. 20
There can be no assurance that investors in any KKR Credit fund, vehicle or account will receive a return of capital. Please refer to “Important Information” at the beginning of this presentation for
further information on KKR’s inside information barrier policies and procedures, which may limit the involvement of personnel in certain processes and discussions.
 As a Result of the Shift in Capital Providers, The Use of Private
Credit Continues to Increase…
Banks Continue to Reduce Risk Companies and Sponsors Continue to Need Capital

Cumulative Change in Total Assets Since 2008, €bn Private Equity Dry Powder: Per Preqin as of September 30, 2016,
€ 1,200 there is ~$535.0 billion of un-invested private equity capital
UBS RBS Deutsche Bank Credit Suisse commitments seeking transactions

€ 800
Estimated Maturity Profile of High Yield and Leveraged Loans, $bn
$500
€ 400 Leveraged Loans
$400
High Yield
€0 $300

$200
(€ 400)
$100

(€ 800) $0
2008 2009 2010 2011 2012 2013 2014 3Q15 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026

Source: Bloomberg, UBS, RBS, Deutsche Bank, Credit Suisse as of September 30, 2015. Source: S&P LCD High Yield Interactive Report as of June 30, 2016.

Regulatory Environment is Difficult As a Result, the Private Credit Marketplace Continues to Grow

Leveraged Lending Guidelines: % of Non-Pass Loans, $bn Aggregate Capital Raised Globally, $bn
$900 $40
Non-Pass Direct Lending
$800 $34
$35 $33
Pass Mezzanine
$700
$30
$255 33.2%
$600
Non Pass $25 $22
$500 $20
$20 $17
$400 $15
$15 $13
$300
$512 $9 $9
$200 $10 $7 $7
$4
$100 $5

$0 $0
2014 2010 2011 2012 2013 2014 2015
Source: Shared National Credits Program, 2014 Review & Shared National Credits Program,
2014 Leveraged Loan Supplement as of November 2014. Source: Preqin Private Debt Report 2016.

Note: Unless indicated, the above reflects the current market views, opinions and expectations of KKR Credit based on its historic experience. Historic market trends are not reliable indicators of
actual future market behavior or future performance of any particular investment or any KKR Credit fund, vehicle or account which, may differ materially, and are not to be relied upon as such.
21
There can be no assurance that investors in any KKR Credit fund, vehicle or account will receive a return of capital.
 The Illiquidity Premium Remains Attractive
KKR Lending Partners L.P. & KKR Lending Partners II L.P. Weighted Average Unlevered Cash Coupon vs. LSTA All Loans Index Yields

KKRLP Weighted Average Cash Coupon LSTA All Loans Index Yields KKRLP II Weighted Average Cash Coupon
10.0% 9.2%
8.8% 8.8% 8.6% 8.6% 8.7% 8.6%
8.4% 8.5% 8.5% 8.5% 8.4% 8.4% 8.4% 8.4% 8.4% 8.5% 8.5% 8.5% 8.4%
8.0%
6.7% 6.6% 6.5%
6.1% 6.2%
5.7% 5.6% 5.8% 6.0%
6.0% 5.4% 5.5%
5.1% 5.2% 5.1% 5.0% 5.2% 5.2%
4.9% 4.8% 4.7%

4.0%

2.0%

0.0%
4Q2011 1Q2012 2Q2012 3Q2012 4Q2012 1Q2013 2Q2013 3Q2013 4Q2013 1Q2014 2Q2014 3Q2014 4Q2014 1Q2015 2Q2015 3Q2015 4Q2015 1Q2016 2Q2016 3Q2016

KKR Mezzanine Partners I L.P. Weighted Average Unlevered All-In Coupon vs. BAML Global HY Index Yields

KKRMP Weighted Average Unlevered All-In Coupon (Cash + PIK) BAML Global HY (HW00) Index Yields

14.0% 13.3% 13.3% 13.2% 13.2% 13.2% 13.1% 13.1%

13.0% 13.0% 13.0% 13.0% 13.0%
12.4% 12.6% 12.6% 12.6% 12.5% 12.6%
12.0% 12.1% 12.1% 12.1% 12.1% 12.1% 12.1%
12.0%

9.9%
10.0% 9.4%
8.7% 8.5%
8.0% 8.4% 8.2% 8.1%
7.8% 8.0%
7.6% 7.5%
8.0%
7.0% 6.8% 6.9% 7.2%
6.6% 6.7% 6.8%
6.4% 6.3% 6.1% 6.4% 6.3%
5.7%
6.0%

4.0%

2.0%

0.0%
3Q2010 4Q2010 1Q2011 2Q2011 3Q2011 4Q2011 1Q2012 2Q2012 3Q2012 4Q2012 1Q2013 2Q2013 3Q2013 4Q2013 1Q2014 2Q2014 3Q2014 4Q2014 1Q2015 2Q2015 3Q2015 4Q2015 1Q2016 2Q2016 3Q2016

Source: Cumulative weighted average all-in cash yield for all transactions completed in KKR Lending Partners L.P. (“KKRLP”), KKR Lending Partners II L.P. (“KKRLP II”) and KKR Mezzanine Partners I L.P. (“KKRMP”) as of
September 30, 2016. S&P LSTA, All Loans Index Yields and BAML Global HY Index Yields from Bloomberg as of September 30, 2016.

Note: Weighted Average All In Coupon represents the weighted average of the yields of all loans included in the respective portfolios. Weighted Average All In Coupon does not represent realized or
unrealized performance of KKRLP, KKRLP II or KKRMP, and is not an indication of how KKRLP, KKRLP II or KKRMP would have performed in the past or will perform in the future. It is presented to 22
demonstrate the illiquidity premiums available on originated financings and is not meant to predict or project performance of any investment strategy or fund. Yield information does not reflect the
deduction of management fees, carried interest, custody charges, withholding taxes, and other indirect expenses which would reduce performance.
IV. Portfolio Update: KKR Mezzanine Partners I L.P.
KKR Mezzanine Partners I L.P. – Portfolio Construction
• As of September 30, 2016, the weighted average all-in yield in KKR Mezzanine Partners I L.P. (“KKRMP”)
is ~13.0%, well above the levels observed in the broadly traded syndicated high yield market
• From a portfolio construction standpoint, KKRMP is diversified geographically, with over 60% of the
portfolio being invested in Europe

KKRMP Portfolio Statistics KKRMP Geographic Diversification

Based on Invested Amount as of September 30, 2016 Based on Invested Amount as of September 30, 2016

Key Metric KKRMP Asia Pacific

3.9%

Fund Vintage 2010

Total Number of Positions 26

North
Average Position $42.3 million
America
34.6%
Weighted Average Leverage through
5.3x
Mezzanine (at Time of Transaction)(1)
Europe
61.5%
Weighted Average Cash Interest 6.6%

Weighted Average PIK Interest 6.4%

Weighted Average Upfront Fees & OID

0.4%
(Amortized through Loan Maturity)

(1) Leverage calculated as total debt of the issuer through the mezzanine tranche divided by the issuer’s EBITDA at the time of each mezzanine transaction. 24
Note: There can be no assurance that investors in any KKR Credit fund, vehicle or account will receive a return of capital. Past performance does not guarantee future results.
KKR Mezzanine Partners I L.P. – Portfolio Construction
Sector Diversification(1) Use of Proceeds(1)
Materials Business Services
5.2% 2.4%

Consumer
Staples Information
Health Care 10.6% Technology
5.3% 21.5% Refinancing
36.1%

Acquisition
Industrials Financing
17.4% 63.9%
Consumer
Discretionary
31.8%

Telecom
5.7%

Sponsor vs. Non-Sponsor(1) Payment in Kind Exposure(1)(2)

Non-Sponsored
6.2%

No PIK
All PIK 22.8%
30.1%

Part PIK
Sponsored 47.1%
93.8%

(1) Note: Based on Invested Amount as of September 30, 2016. 25

(2) “Part PIK” represents the % of investments in KKRMP that pay both PIK and cash interest.
V. Appendix
Private Opportunistic Credit
Introduction to KKR Private Credit Opportunities Partners II L.P.
• We believe private credit offers attractive risk-adjusted absolute and relative value today, and we
expect the opportunity set to broaden in the medium term
• Why is there an opportunity?
- US corporate lending guidelines
- Capital markets volatility
- Changing landscape in financing financial and hard assets
• To take advantage of the opportunity, KKR Credit has established KKR Private Credit Opportunities
Partners II L.P. (“PCOP II” or the “Fund”)
- The Fund will pursue originated subordinated debt opportunities, targeting an aggregate portfolio level
unleveraged gross return of approximately 13 to 17%(1)
• We believe KKR Credit is well positioned to capitalize on the opportunity that exists in private credit
as a result of:
- Depth of Team: Today, there are over 35 dedicated members of the Private Credit Investment Team in
New York, San Francisco, London and Dublin that are responsible for sourcing, underwriting and
managing investments for our private credit pools of capital, including PCOP II
- “One-Firm” Approach: The Fund will leverage available KKR resources to source, diligence and execute
on investment opportunities
• PCOP II began investing in December 2015 and, as of September 30, 2016, has made eight
investments across the US and Europe in both corporate mezzanine and asset-based opportunities.
Assuming all eight investments are fully funded, PCOP II has invested approximately $350.0 million

(1) Target performance is not necessarily indicative of future results, and there can be no assurance that the targeted performance presented above will be achieved or that the Fund will be able to implement its strategy or
achieve its investment objectives. Please refer to “Important Information” at the beginning of this presentation for more information regarding the methodology used to calculate, and the assumptions that underlie, the target
presented above.

Note: Please see “Important Information” at the beginning of this presentation for additional disclosures regarding KKR’s inside information barrier policies and procedures, which may limit the
involvement of personnel in certain investment processes and discussions and for additional disclosures regarding the limitations of target returns.
28
Evolution of Private Lending
Financial regulation continues to reshape the global capital markets, limiting the ability of banks to
provide capital and we believe paving the way for alternative asset managers to fill the void for
lending

The Evolution of Private Lending In the Wake of Heighted Financial Regulation

Primary providers of debt capital As a result of heightened We expect the demand for
globally were banks, specialty regulation, banks started to private lending will continue to
finance companies, and meaningfully constrain be met by non-traditional
proprietary trading desks, resources and capital needed to providers of capital, including
among others make loans globally alternative asset managers

Pre Financial Crisis Post Financial Crisis PCOP II Investment Period

• We continue to observe a significant premium in originated financings as a result of the supply/demand imbalance
- Private Equity Dry Powder: As of September 30, 2016, there is ~$535.0 billion of un-invested private equity
capital commitments seeking transactions(1)
- High Yield Maturity Profile: Between 2016 and 2019, ~$230.0 billion of high yield bonds are expected to
mature, requiring refinancing or other similar action(2)
- Leveraged Lending Guidelines: Of the $767.0 billion of loans reviewed in 2014 for compliance with the
leveraged lending guidelines, 33.2% or $254.7 billion of the loans were deemed “Non-Pass”(3)
- Finance Companies Retracting: Large finance companies are leaving the lending the market. As an example,
GE Capital is disposing of approximately $200.0 billion of assets across its real estate segment, commercial
lending and leasing segment and consumer platforms(4)
(1) Source: Preqin as of September 30, 2016. (2) Source: S&P LCD High Yield Interactive Report as of June 30, 2016. (3) Source: Shared National Credits Program, 2014 Review & Shared
National Credits Program, 2014 Leverage Loan Supplement as of November 2014. (4) Source: GE Reports, “GE To Sell Most GE Capital Assets, Embrace It’s Industrial Core” as of April 10, 2015.
Note: Unless indicated, the above reflects the current market views, opinions and expectations of KKR Credit based on its historic experience. Historic market trends are not reliable indicators of
actual future market behavior or future performance of any particular investment or any KKR Credit fund, vehicle or account which, may differ materially, and are not to be relied upon as such. 29
There can be no assurance that investors in any KKR Credit fund, vehicle or account will receive a return of capital.
Secular Shifts Providing Opportunity for Private Lending:
Financing Financial and Hard Assets
Given the significant reduction in capital provided by traditional bank lenders, we are seeing
attractive opportunities globally to either directly-finance financial and hard assets or invest
in origination and servicing platforms

• We believe that asset-based opportunities offer structural downside protection (collateral) and equity-
like upside that can be achieved through appreciation at the asset-level or, in the case of platforms,
through growth of the enterprise value

• Asset-based opportunities may take the form of providing capital to finance a start-up business,
providing growth capital to finance a new business or providing secured financing. In most cases,
these asset-based opportunities involve partnering with management teams to own or operate assets
• Our key sectors of focus currently include aircraft, consumer finance, energy/infrastructure, real
estate, renewables and shipping. We believe these sectors offer differentiated opportunities to deploy
capital with mezzanine-like returns with upside skew

Key Sectors of Focus

In the wake of changing regulatory requirements, banks are selling assets or reducing lending in an effort to
delever. We believe the sectors below have been and will continue to be areas of focus for private capital

Consumer Energy/
Aircraft Real Estate Renewables Shipping
Finance Infrastructure

Note: Unless indicated, the above reflects the current market views, opinions and expectations of KKR Credit based on its historic experience. Historic market trends are not reliable indicators of
actual future market behavior or future performance of any particular investment or any KKR Credit fund, vehicle or account which, may differ materially, and are not to be relied upon as such.
30
There can be no assurance that investors in any KKR Credit fund, vehicle or account will receive a return of capital.
Investment Strategy
Our private opportunistic credit strategy seeks to take advantage of the attractive fundamentals
that KKR Credit sees in the market for privately-negotiated transactions

• Privately-negotiated subordinated debt securities, commonly known as mezzanine securities, typically

represent the instruments located in the middle of a company’s capital structure, senior to common
equity, but subordinate to senior secured bank debt
• Our private opportunistic credit strategy also seeks asset-based opportunities across the financial and
hard asset space

Investment Focus Description Security Type

• Traditional corporate mezzanine investments • Subordinated debt

• Typically part of leveraged buyouts, other private • Second lien loans
Traditional Corporate equity sponsored transactions, recapitalizations,
• Unitranche securities
Mezzanine refinancings and/or growth financings
• Convertible securities
• Secondary purchases of similar types of traditional
corporate mezzanine investments • Preferred equity

• Direct financing of hard assets • Structured notes or loans

• Direct investments in origination and / or servicing • Private, preferred or
Asset-Based platforms and their related assets common equity
Opportunities
• Focus areas: aircraft, consumer finance, • Senior or subordinated
energy/infrastructure, real estate, renewables, asset-backed
shipping facilities/securities

Note: The above is for illustrative and for discussion purposes only, and may be subject to change. 31
Components of Return
Our private opportunistic credit strategy is seeking investments in the middle of the capital
structure with aggregate, portfolio level unleveraged gross returns of 13 to 17%(1) with coupons
from current and/or payment-in-kind interest and structural protections

• Sources of return are expected to come from:

How Do We Think About the Components of Return?
- Arrangement fees

- Original issue discount 16.0%

Potential for
- Contractual return (cash and PIK) 14.0% Equity Upside

- Equity or equity-like securities

12.0%

• We believe that the relative stability of the debt

component of a private credit investment, when 10.0%

combined with the potential gains from the equity Arrangement Fee

component of the investment, offers the 8.0%

Contractual
Return
Current Interest
opportunity to earn attractive, risk-adjusted
returns 6.0%
PIK Interest
• Additionally, by focusing on companies in resilient 4.0%
industries with strong credit fundamentals and
capital structures, we believe we are able to 2.0%
further achieve downside protection(2)
0.0%
1
(1) Target performance is not necessarily indicative of future results, and there can be no assurance that the targeted performance presented above will be achieved or that the Fund will be able to implement its strategy or
achieve its investment objectives. Please refer to “Important Information” at the beginning of this presentation for more information regarding the methodology used to calculate, and the assumptions that underlie, the target
presented above.
(2) All investments are subject to risk of loss. There is no guarantee that a Fund investor will realize a profit or a return of the capital invested.

Note: The above is for illustrative and for discussion purposes only, and may be subject to change. The information above is hypothetical in nature and is not a guarantee of future performance.
There is no guarantee that the Fund will hold investments with characteristics similar to those shown above. Contractual return is subject to the risk of default by the issuer.
32
KKR Private Credit Opportunities Partners II L.P. –
Portfolio Construction
PCOP II began investing in December 2015 and, as of September 30, 2016, has made eight
investments across the US and Europe in both corporate mezzanine and asset-based opportunities

• Assuming all deals have been fully funded, PCOP II has deployed approximately $350.0 million across eight
investments

PCOP II Portfolio Statistics Asset Breakdown in PCOP II

Based on Capital Committed as of September 30, 2016(1) Based on Capital Committed as of September 30, 2016(2)

Fund Vintage 2015

Total Dollars Deployed $350.0 million

Aviation Leasing
15.0%

Unitranche
Total Number of Positions 8 30.3%

Weighted Average Leverage through

4.5x
Investment Specialty
Finance
26.7%

Weighted Average Cash Interest 8.0%

Unsecured
8.8%

Weighted Average PIK Interest 4.3% Second Lien

Structured Secured
Credit 8.0%
Equity Co-Invest / 9.1%
Weighted Average Upfront Fees & OID
2.1% Warrants
Amortized through Expected Take-Out Date 2.1%

Note: Past performance is no guarantee of future results. All portfolio statistics based on invested amount as of September 30, 2016, unless otherwise noted. 33
(1) Weighted average statistics are calculated assuming all 8 deals have fully funded. Weighted Average Leverage metric is only relevant for the corporate lending
investments. (2) Calculated as a percentage capital commitments as of September 30, 2016. Assumes all 8 deals have fully funded.
Direct Lending
Evolution of Middle Market Lending Capital Providers
While middle market issuers continue to need debt capital, the number of traditional financing
options available to them has been greatly reduced following the global financial crisis

Pre Crisis Today

Bank Balance
Direct Lending Funds
Sheets
1st Lien Bank Business Development Corporations
Underwriting Proprietary 1st Lien Separately Managed Accounts
Trading Desks
Some Opportunistic Private Debt Funds
Hedge Funds
2nd Lien
Middle Market Collateralized
Mezzanine Funds Loan Obligations

Bank Balance 2nd Lien / Middle Market Mezzanine Funds

Sheets Mezzanine
Mezzanine Business Development Corporations
Proprietary
Trading Desks

• Bank participation was high

• Bank hold is extremely limited
• Banks underwrote, syndicated and held risk
• Bank willingness/ability to underwrite/syndicate is
• Banks had dedicated coverage for middle market inconsistent
sponsors and corporates
• Fewer providers who can commit to large deals
• Banks warehoused middle market loans for
• Banks not willing to finance pools of loans
collateralized loan obligations

Note: The above reflects the current market views of KKR Credit based on its historic experience. Historic market trends are not reliable indicators of actual future market behavior or future
performance of any particular investment or any KKR Credit fund, vehicle or account which may differ materially and are not to be relied upon as such. There can be no assurance that investors in
35
any KKR Credit fund, vehicle or account will receive a return of capital.
 As a Result of the Shift in Capital Providers, The Use of Private
Credit Continues to Increase…
Banks Continue to Reduce Risk Companies and Sponsors Continue to Need Capital

Cumulative Change in Total Assets Since 2008, €bn Private Equity Dry Powder: Per Preqin as of September 30, 2016,
€ 1,200 there is ~$535.0 billion of un-invested private equity capital
UBS RBS Deutsche Bank Credit Suisse commitments seeking transactions

€ 800
Estimated Maturity Profile of High Yield and Leveraged Loans, $bn
$500
€ 400 Leveraged Loans
$400
High Yield
€0 $300

$200
(€ 400)
$100

(€ 800) $0
2008 2009 2010 2011 2012 2013 2014 3Q15 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026

Source: Bloomberg, UBS, RBS, Deutsche Bank, Credit Suisse as of September 30, 2015. Source: S&P LCD High Yield Interactive Report as of June 30, 2016.

Regulatory Environment is Difficult As a Result, the Private Credit Marketplace Continues to Grow

Leveraged Lending Guidelines: % of Non-Pass Loans, $bn Aggregate Capital Raised Globally, $bn
$900 $40
Non-Pass Direct Lending
$800 $34
$35 $33
Pass Mezzanine
$700
$30
$255 33.2%
$600
Non Pass $25 $22
$500 $20
$20 $17
$400 $15
$15 $13
$300
$512 $9 $9
$200 $10 $7 $7
$4
$100 $5

$0 $0
2014 2010 2011 2012 2013 2014 2015
Source: Shared National Credits Program, 2014 Review & Shared National Credits Program,
2014 Leveraged Loan Supplement as of November 2014. Source: Preqin Private Debt Report 2016.

Note: Unless indicated, the above reflects the current market views, opinions and expectations of KKR Credit based on its historic experience. Historic market trends are not reliable indicators of
actual future market behavior or future performance of any particular investment or any KKR Credit fund, vehicle or account which, may differ materially, and are not to be relied upon as such.
36
There can be no assurance that investors in any KKR Credit fund, vehicle or account will receive a return of capital.
 …and We Believe the Illiquidity Premium Remains Attractive
We continue to see what we believe is an attractive “illiquidity premium” for direct lending in
the form of wider spreads and higher yields than other traditional fixed-income investments

• We believe we have been able to maintain higher cash coupons relative to the traded senior bank loan market as a
result of changes in the lending environment as well as our differentiated sourcing capabilities
• Furthermore, we believe we have been able to secure stronger covenant protections and documentation that
would otherwise not be available by tapping the syndicated loan market

KKRLP I or KKRLP II Weighted Average Cash Coupon(1) v. LSTA All Loans Index Yields

KKRLP I Investment Period KKRLP II Investment Period

10.0% KKRLP Weighted Average Cash Coupon LSTA All Loans Index Yields KKRLP II Weighted Average Cash Coupon
9.2%
8.8% 8.8% 8.6% 8.7%
9.0% 8.4% 8.5% 8.6% 8.5% 8.5% 8.4% 8.4% 8.4% 8.6% 8.5% 8.5% 8.5%
8.4% 8.4% 8.4%

8.0%

7.0% 6.7% 6.6%

6.5%
6.1% 6.2%
5.7% 5.8% 6.0%
6.0% 5.6% 5.4% 5.5%
5.1% 5.2% 5.1% 5.2% 5.2%
4.9% 5.0%
4.8% 4.7%
5.0%

4.0%

3.0%

2.0%

1.0%

0.0%
4Q2011 1Q2012 2Q2012 3Q2012 4Q2012 1Q2013 2Q2013 3Q2013 4Q2013 1Q2014 2Q2014 3Q2014 4Q2014 1Q2015 2Q2015 3Q2015 4Q2015 1Q2016 2Q2016 3Q2016

Note: Past performance is no guarantee of future results. (1) Does not include upfront fees, discount accretion or PIK coupon.
Source: Cumulative weighted average cash coupon for all transactions completed in KKRLP I and KKRLP II as of September 30, 2016. S&P LSTA US Leveraged Loan Index Quarterly Yields as of September 30, 2016.
Note: Weighted Average Cash Coupon represents the weighted average of the sum of coupon and LIBOR floor of all loans included in KKRLP I and KKRLP II. Weighted Average Cash Coupon does not
represent realized or unrealized performance of KKRLP I or KKRLP II, and is not an indication of how KKRLP I or KKRLP II would have performed in the past or will perform in the future. It is presented
to demonstrate the illiquidity premium available on originated financings and is not meant to predict or project performance of any investment strategy or fund. This information does not reflect the 37
deduction of management fees, carried interest, custody charges, withholding taxes, and other indirect expenses which would reduce performance.
Note: Please refer to “Important Information” for more information on the market indices used, as well as the related performance included herein.
How We Define Direct Lending
Our direct lending strategy seeks to take advantage of the attractive fundamentals that KKR
Credit sees for middle market direct lending investments

Key Attributes of Direct Lending

• Direct Lending refers to originated financings to companies. KKR Credit focuses on

companies with $25mm+ of EBITDA in developed markets
What is Direct
• Some deals may also involve a bank with a small group of sophisticated private investors
Lending?
• KKR Credit may pursue opportunities directly or indirectly through investments in
origination, investment or servicing platforms

Anticipated Loan Characteristics Anticipated Use of Proceeds Investor Benefits Sought

• Secured by first or second liens on • Private equity, sponsor-driven

a company’s assets buyouts
• High yields and levels of recurring
• Refinancings income
• 5-7 year maturity
• Capital expenditures • Low correlation to traditional asset
• Non-callable for 2-3 years classes
• Mergers and acquisitions
• Yields are generally higher than • Natural source of inflation hedging
broadly syndicated loan market • General corporate purposes
• Dividend recapitalizations • Lender friendly structures
• Terms are negotiated and highly (covenants, transaction fees)
customized • Platform build-out

Note: For illustrative purposes only. There is no guarantee that the Fund will exhibit any of the above described anticipated investment characteristics, use of proceeds or investor benefits. Please 38
refer to “Important Information” for further information on the risks of investing in credit strategies.
KKR Lending Partners II L.P. – Portfolio Construction
• Similar to our first commingled direct lending fund, we seek to lend to high-quality businesses across a
number of sectors in KKR Lending Partners II L.P. (“KKRLP II”)
• We continue to target the larger end of the middle market, lending to established companies with EBITDA
of over $25 million

KKRLP II Portfolio Statistics Range of LTM EBITDA of Portfolio Companies

Based on Invested Amount as of September 30, 2016 (At Time of Transaction)(3)

Key Metric KKRLP II

Fund Vintage 2014

$0-25MM
7.8%
Total Number of Positions 40

$100-250MM
Average Position Hold $52.7 million 27.5%

Weighted Average Floor(1) 0.94%

Weighted Average Spread(1) 7.44%

$25-100MM
64.7%
Weighted Average Cash Coupon(1) 8.40%(2)

Weighted Average Purchase Discount /

2.38%
Upfront Fees(1)

Weighted Average Leverage Through

4.2x
Investment(1)

Note: Past performance is no guarantee of future results. Characteristics and other information regarding KKRLP I and KKRLP II are not characteristics of the Fund and are not an indication of how the
Fund would have performed in the past or will perform in the future. See Important Information at the beginning of this presentation for additional disclosures regarding related performance.
(1) The weightings applied in the calculation of the weighted average statistics are based on the “Invested Amount” (as described in the notes on pages 42-43) in KKRLP II as of September 30, 2016.
A weighted average is an average in which each quantity to be average is assigned a weight. 39
(2) Inclusive of 0.2% of weighted average PIK interest from one investment in KKRLP II.
(3) Calculated as a percentage of the total number of investments completed in KKRLP II as of September 30, 2016.
KKR Lending Partners II L.P. – Portfolio Construction
Geographic Diversification(1) Fixed vs. Floating Rate(1)
Australia Canada
2.1% 2.5%

Europe
19.0%

Floating
100.0%
US
76.4%

Sponsor vs. Non-Sponsor(1) First vs. Second Lien(1)

Second Lien
6.9%

No Sponsor
18.0%

Sponsor
82.0% First Lien
93.1%

Note: Past performance is no guarantee of future results.

(1) Based on “Invested Amount” (as described in the notes on pages 42-43) in KKRLP II as of September 30, 2016. 40
KKR Lending Partners II L.P. – Portfolio Construction

Industry Diversification(1) Use of Proceeds(1)

Transportation
Restaurants Project Financing Dividend
Services
2.2% 1.3% Recapitalization
1.3%
Aerospace & 5.1%
Defense Advertising
6.1% 4.0% Mgmt Buyout of
Founders' Share
Midstream 3.6%
1.3%
Autos
Financial Retail
7.2%
Services 8.2%
3.1%
Chemicals
1.2%
Business Refinancing
Services 41.2%
4.9% Industrials
15.0%

Mortgage Acquisition
Finance Financing
7.8% 46.3%

Food & Food Retail

Beverage 1.1%
Consumer
1.8% Healthcare 14.3%
6.8%

Oilfield
Services
7.4%
Apparel
Waste
Sourcing General Corporate
Alternative Management
3.6% Purposes
Energy Information 1.1%
2.5%
0.9% Technology
0.6%

Note: Past performance is no guarantee of future results.

(1) Based on “Invested Amount” (as described in the notes on pages 42-43) in KKRLP II as of September 30, 2016.
41
KKR Lending Partners II L.P. – Performance Notes
Please refer to the notes below for additional important information regarding the investments included in the KKR Lending Partners II L.P. performance.

1. Unless otherwise specified, the “Invested Amount” with respect to each investment represents the amount of the original investment together with any related follow-on
investments made thereafter (including all recycled capital that has been reinvested). Invested Amount does not take into account capital called for fund expenses (including
management fees and organizational expenses), other than capital called for capitalized transaction costs, if any. Cash flows on which Gross Multiple and IRR calculations are based
include all investments listed in the table as of the date the investment was made. The Invested Amount also include investment transactions which have closed but have not
settled as of September 30, 2016 (the “Reporting Date”), and the cash flows on which Gross Multiple and IRR calculations for such investments are based treat such investments as
having been made on the Reporting Date.

2. “Realized Value” with respect to each investment consists of principal and cash interest payments (including accrued but unpaid cash interest), dividends and proceeds from
dispositions of that investment, as well as realized proceeds (or losses) from foreign exchange derivative contracts that were specifically designated for that investment, if
applicable, without deduction for management fees, carried interest, organizational expenses, taxes and other expenses to be borne by investors. Payment-in-kind interest is
treated as unrealized until the realization of the principal amount. The value of any fees paid to KKR Lending Partners II L.P. (“KKRLP II”) with respect to any investment (e.g.,
origination fees, amendment fees, consent fees, etc.) is included in the Realized Value of the applicable investment.

3. “Unrealized Value” with respect to each investment is the estimated current value of such investment as of the Reporting Date, taking into account the unrealized value of foreign
exchange derivative contracts that were specifically designated for that investment, if applicable, without deduction for management fees, carried interest, organizational expenses,
taxes or transaction costs that would be incurred in connection with the disposition of unrealized investments if realized and other expenses to be borne by investors. Unrealized
Value includes all write-downs. Valuations are determined in accordance with the valuation policy of KKR Credit Advisors (US), which generally provides that: (i) quoted market
prices in active markets are the best evidence of the fair value of a financial instrument; and (ii) if quoted market prices in active markets are not available, fair value may be
estimated using a variety of methods depending on the nature of the instrument and the manner in which it is traded. KKR Credit Advisors (US)’s estimates of fair value are
undertaken in good faith and based on the consistent application of a variety of factors, with the objective of determining the value that would be received upon the sale of the
instrument or paid to transfer the instrument in an orderly transaction between market participants at the relevant measurement date. The actual realized returns on unrealized
investments will depend on, among other factors, actual default rates, future operating results and cash flows, the ability to make coupon payments when due by the portfolio
companies, the value of the issuer’s assets and/or the assets securing the investment, legal and contractual restrictions on transfer that may limit liquidity, any related transaction
costs, the performance of any equity securities received in connection with such investments, the actual amount, cost and other terms of leverage and the timing, market conditions
at the time of disposition and manner of disposition of investments, all of which may differ from the assumptions on which the valuations used in the performance data contained
herein are based. Accordingly, the actual realized returns of unrealized investments may differ materially from the returns indicated herein.

4. “Total Value” with respect to each investment is computed as the sum of (i) Realized Value of that investment plus (ii) Unrealized Value of that investment.

5. “Gross Multiple” is a ratio of the gross return on an investment relative to the cost basis of the investment. Gross Multiple for each investment equals the quotient of (i) the Total
Values of an investment divided by (ii) the Invested Amounts of such investment. Gross Multiple does not reflect management fees, carried interest, transaction costs (except where
included in Invested Amount and Realized Value), organizational expenses, taxes and other expenses to be borne by investors, which will reduce returns and in the aggregate are
expected to be substantial.

6. The “Total Investments” row represents the performance metrics at the aggregate investment level. The “Total Investment” row contains the sum of the Investment Amounts,
Realized Values, Unrealized Values and Total Values for all of KKRLP II’s investments, including the amounts listed in the Global Hedges row. The Gross Multiple show in the “Total
Investment” row equals the quotient of (i) the Total Value in the “Total Investments” row divided by (ii) the Invested Amount in the “Total Investments” row. The “Total
Investments” row does not reflect miscellaneous KKRLP II expenses, interest expenses and upfront credit facility fees and the associated effect of leverage (if applicable), and other
working capital requirements including restricted cash. Unrealized Value does not reflect transaction costs that would be incurred in connection with the disposition of unrealized
investments if realized or taxes

7. “Gross Asset IRR” means the aggregate, annual, compound, gross internal rate of return on investments computed on a dollar-weighted basis at the investment level. Gross
Asset IRR is determined using (i) the actual chronological outflows by KKRLP II to make an investment (e.g., Invested Amount) and (ii) the actual chronological inflows to KKRLP II
from such investment (e.g., Realized Value) plus any Unrealized Value of such investment as of the relevant Reporting Date. Gross Asset IRR takes into account all foreign exchange
derivative contracts. Gross Asset IRR does not reflect management fees, carried interest, transaction costs (except where included in Invested Amount and Realized Value),
organizational expenses, taxes and other expenses to be borne by investors, which will reduce returns and in the aggregate are expected to be substantial.

2 42
KKR Lending Partners II L.P. – Performance Notes
8. “Gross IRR” means the aggregate, annual, compound, gross internal rate of return on investments computed on a dollar-weighted basis at the fund level, gross of management
fees, carried interest, organizational expenses and taxes. Gross IRR is determined using (i) the actual chronological contributions by limited partners to KKRLP II and (ii) the sum of
(a) actual chronological distributions from KKRLP II to the limited partners, plus (b) the current value of the limited partners’ capital accounts as of the Reporting Date, in each case,
without reduction for management fees, carried interest, organizational expenses and taxes. Gross IRR takes into account all foreign exchange derivative contracts, miscellaneous
fund expenses and other working capital requirements including restricted cash. It should be noted that KKRLP II utilizes financial leverage for purposes of long-term financing of
investments. The impact of such borrowings (net of associated costs) results in a different Gross IRR than would otherwise be the case had KKRLP II called capital from investors to
fund such investments.

9. “Net IRR” is consistent with the definition of Gross IRR, but also reflects the effects of management fees, organizational expenses and carried interest by those investors in KKRLP
II that bear management fees, carried interest and organizational expenses. Net IRR reflects any offset of management fees by transaction and certain other fees received by KKR
Credit or its subsidiaries from portfolio investments as described in KKRLP II’s governing documents. Net IRR is calculated assuming the standard rate of management fee payable
by the most representative category of KKRLP II’s investors.

10. “Net Multiple” is a ratio of the net return on investments relative to the aggregate amount contributed by limited partners. Net Multiple equals the quotient of (i) the sum of (a)
all non-recallable investment proceeds distributed by KKRLP II to its limited partners plus (b) the current value of the limited partners’ capital accounts as of the Reporting Date,
divided by (ii) the sum of all capital contributions made by the limited partners for investments less returns of unused capital and recallable investment proceed distributions to
limited partners. Net Multiple reflects management fees, carried interest, organizational expenses, transaction costs and all other expenses borne by KKRLP II. Net Multiple reflects
any offset of management fees by transaction and certain other fees received by KKR Credit or its subsidiaries from portfolio investments as described in KKRLP II’s governing
documents. Net Multiple is calculated assuming the standard rate of management fee payable by the most representative category of KKRLP II investors.

Note: Foreign exchange conversions are embedded within the calculations. Non-U.S. dollar investment information is presented using foreign exchange spot rates on the date of
settlement of the relevant transaction or, for interest payments and other cash receipts, date of receipt. For investments that have closed but not settled as of the Reporting Date,
foreign exchange spot rates on the related trade date are used. For cash interest that is accrued but unpaid, foreign exchange spot rates on the Reporting Date are used.
Unrealized Values shown for non-U.S. dollar investments are derived using foreign and U.S. currency spot rates as of the Reporting Date.

43
Opportunistic Credit
Strategy Overview: Opportunistic Credit

$745mm
KKR’s Flagship Strategy in Traded Credit
• Opportunistic Credit Strategy (“OCS” or the “Strategy”): A conviction-based
strategy investing in a diversified portfolio of fixed income securities and
financial instruments Strategy Size
• Strategy incepted in May 2008 and is ~$745mm in size as of September 30,

2008
2016
• Top quartile performance amongst peers over the last 5 years(2)

Inception Date
Experienced Team

1st
• The same PM team has managed the Strategy since its inception
• Idea generation comes from across the KKR platform

Supportive Market Conditions

Quartile
• Macroeconomic and political uncertainty has contributed to market
Performance(2)
dislocations around the globe
• Dislocations will likely continue, resulting in heightened volatility and
incremental buying opportunities
• We believe that being nimble, having conviction and dynamically allocating
across asset classes by identifying the strongest relative value opportunities
can generate alpha in periods of heightened volatility

Past performance is no guarantee of future results. Please see Important Information for a discussion of the limitations of related performance.

1. Index is BAML HY Master II.

2. Source: eVestment Alliance - performance reflects performance vs. peers over the last 60 months ending June 30, 2016. Collection and analysis of comparison data is based on the universe of 45
“High Yield” managers as self-defined by each manager.
Representative Account:
Opportunistic Credit Strategy – Portfolio Construction
Geographic Diversification Asset Class Allocation

ABS
Luxembourg 2.4%
0.6% Cayman Islands
3.6%
United Kingdom
0.5%
Other
0.6%
Loan
49.7% Bond
47.5%

United States
94.7%

Equity
0.4%

Capital Structure Hierarchy Ratings Diversification

BB NR CC
Mezzanine D
2.4% 0.4% 0.5%
Subordinated 0.9% 4.0%
2.9%

Senior B
Unsecured Senior
34.1%
38.4% Secured
57.8%
CCC
58.5%

(1) All data is based on the assets held in the opportunistic credit composite representative account as of September 30, 2016.
Note: The account presented was selected by the firm as a representative account that was deemed to best represent this management style. Each client account is
individually managed; actual holdings will vary for each client and there is not guarantee that a particular client’s account or the Fund will have the same characteristics as
46
described above.
 Composite Detail and Performance Footnotes
Opportunistic Credit Composite
Benchmark % of Non Fee
Time Gross Total Net Total Benchmark Gross Total Total Paying Mkt. Value Composite as a %
Period No. of Acts Return Return Total Return 3 Yr St Dev 3 Yr St Dev Accounts (USD million) of Firm Assets
5/1/08 - 12/31/08 Fewer than 5 -26.7% -27.4% -27.1% n/a n/a 100% $399.3 3.0%
2009 Fewer than 5 80.5% 77.9% 57.5% n/a n/a 100% $686.3 4.5%
2010 Fewer than 5 22.7% 20.9% 15.2% n/a n/a 100% $824.3 6.3%
2011 Fewer than 5 5.1% 3.5% 4.4% 13.1% 11.2% 100% $866.4 6.9%
2012 Fewer than 5 19.5% 15.2% 15.6% 8.4% 7.1% 100% $1,035.6 7.7%
2013 Fewer than 5 17.3% 14.2% 7.4% 6.2% 6.5% 100% $1,033.3 15.8%
2014 Fewer than 5 1.5% 0.6% 2.5% 4.4% 4.5% 79% $1,308.0 10.4%
1. KKR Credit conducts its business through KKR Credit Advisors (US) LLC, an SEC-registered investment adviser, KKR Credit Advisors (Ireland), which is authorized and regulated by the
Central Bank of Ireland, and KKR Credit Advisors (UK) LLP, which is authorized and regulated by the Financial Conduct Authority (FCA). KKR Credit provides investment management and
advisory services to separate accounts and pooled investment vehicles. KKR Credit is divided into two divisions: the Marketable Securities Division and the Alternative Investments Division.
The Marketable Securities Division provides investment management services that follow a fixed-income and/or equity strategy generally investing in instruments with a readily determinable
market value. The Alternative Investments Division provides investment management services that generally invest in instruments with a not readily determinable market value or vehicles
that may sell securities or other assets short or enter into similar transactions (other than for the purpose of hedging). For compliance with the Global Investment Performance Standards
(GIPS®) the Firm is defined and held out to the public as the Marketable Securities Division of KKR Credit. The Alternative Investments Division does not claim GIPS compliance. In January
2014, the Firm was redefined to exclude blended portfolios that hold over 30% of their assets in investments managed by the Alternative Investments Division, as it was determined that
such portfolios are not representative of the Marketable Securities Division’s investment management process. In 2014, Avoca Capital Holdings was acquired by KKR and became a part of
KKR Credit.
2. The Marketable Securities Division of KKR Credit (the “Firm”) claims compliance with Global Investment Performance Standards (GIPS) and has prepared and presented this report in
compliance with the GIPS standards. The Firm (formerly referred to as the Marketable Securities Division of KKR Asset Management LLC) has been independently verified for the periods
beginning August 2004 through December 2013 by Deloitte & Touche LLP. The verification reports are available upon request. Verification assesses whether (1) the Firm has complied with all
the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the Firm’s policies and procedures are designed to calculate and present performance in
compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation.
3. The Opportunistic Credit Composite (“Composite”) consists of all discretionary portfolios which primarily invest in high yield securities and corporate loans with no preset allocation and have
the flexibility to use leverage to enhance investment returns. Portfolios may invest in thinly-traded and/or relatively illiquid securities. Beginning January 2015, the composite was redefined
to require accounts to allocate less than 10% of portfolio assets to alternative and/or illiquid investment strategies. Prior to July 2010, the composite was named the Flexible Credit
Composite. Prior to October 2009, the Composite was named the KKR SMA # 2 Composite.
4. Leverage and derivatives are used in the management of this Composite. Derivative investments may be used, but not limited to, as a financing strategy, including total rate of return swaps,
or for indirect hedging purposes, including foreign exchange forward contracts. Certain accounts in the Composite utilize leverage; the use and extent of use are both dictated by client
specific objectives.
5. The Composite may invest in below investment grade or unrated debt instruments, which are generally subject to more credit risk and a greater risk of loss of principal and interest than
higher rated debt instruments.
6. This Composite contains investments valued using subjective unobservable inputs. At times, the fair value of such investments has exceeded 20% of the total Composite value.
7. The benchmark is the Bank of America/Merrill Lynch (“BofA ML”) U.S. High Yield Master II Index. The BofA ML HY Master II Index is a market-value weighted index of below investment grade
U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market. “Yankee” bonds (debt of foreign issuers issued in the U.S. domestic market) are included in the BofA ML
HY Master II Index provided that the issuer is domiciled in a country having investment grade foreign currency long-term debt rating. Qualifying bonds must have maturities of one year or
more, a fixed coupon schedule and minimum outstanding of US$100 million. In addition, issues having a credit rating lower than BBB3, but not in default are also included.
8. There are differences, some significant, between the Composite and the benchmark. For instance, securities included in the Composite may have a greater degree of risk and volatility than
those securities contained in the benchmark.
9. Internal dispersion is not presented as it is not statistically meaningful for years in which five or fewer portfolios were included in the Composite for the full year.
10. All returns are expressed in U.S. dollars.
11. Gross performance results are net of trading expenses, but before management fees, custody charges, and withholding taxes. Net performance results are net of model management fees
and are net of performance fees, if any, but before custody charges, and withholding taxes. All returns include the reinvestment of income and dividends. Net returns reflect the deduction of
the highest applicable management fee based on the fee schedule appropriate for this mandate, without the benefit of breakpoints (“Model Net Fee”). The Model Net Fee has been adjusted
over time to reflect changes in the product fee schedule; the highest applicable management fee applied to calculate net performance for historical years is based on the fee schedule that
was in effect at that time. This Model Net Fee is inclusive of incentives fee for 2012 and beyond. The Composite may include other investment products subject to management fees in excess
of the Model Net Fee. Actual investment advisory fees incurred by clients may vary.
12. The current U.S. institutional fee schedule is 0.85% management fee with a 12.5% performance based fee over a hard hurdle rate of 5%.
13. Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.
14. A complete list of composite descriptions is available upon request.
15. Past performance is no guarantee of future results. High short-term returns for any period may be and likely were attributable to favorable market conditions during that period, which may
not be repeated.

47