KFN Kkr Financial Holdings Llc

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM 8-K

CURRENT REPORT

Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Date of Report (Date of earliest event reported): December 15, 2008

KKR Financial Holdings LLC

(Exact name of registrant as specified in its charter)

415-315-3620

(Registrant’s telephone number, including area code)

N/A

(Former name or former address, if changed since last report.)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below):

o Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

o Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

o Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

o Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

On December 15, 2008, KKR Financial Holdings LLC (the “Company”) issued a press release announcing that the Company’s Board of Directors has appointed William C. Sonneborn as the Company’s new Chief Executive Officer and a member of the Board of Directors, effective on such date. Mr. Sonneborn will succeed Saturnino S. Fanlo, who resigned from his positions as Chief Executive Officer and a member of the Board of Directors effective on such date.  Also effective on such date, David A. Netjes resigned from his position as Chief Operating Officer of the Company, with Michael McFerran assuming the position of interim Chief Operating Officer.

Mr. Sonneborn, who has been affiliated with Kohlberg Kravis Roberts & Co. (“KKR”) since September 2008, will head KKR Asset Management, a division that includes the Company’s manager, KKR Financial Advisors LLC.  Prior to joining KKR, Mr. Sonneborn was President and Chief Operating Officer of The TCW Group, Inc., a leading investment management firm with over $130 billion in assets.

Mr. McFerran has been affiliated with the Company’s manager, KKR Financial Advisors LLC, since 2005.  Prior thereto, Mr. McFerran held positions as Vice President of Securitizations at American Express, Vice President of Technical Accounting at XL Capital Ltd. and Senior Manager at Ernst & Young LLP.

A copy of the press release is attached to this Current Report as Exhibit 99.1 and is incorporated herein by reference in its entirety.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.

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EXHIBIT INDEX

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