Apollo Global Management Investor Day Presentation Deck
Asset Stress Testing Methodology is Conservative
Compared to Historical Experience
Athene's stress framework
utilizes internally defined,
integrated scenario
stresses (shocks to credit,
equity, rates) based on
economic scenarios
Defined scenarios based
on severe economic
stresses observed over
multi-year periods
APOLLO RETIREMENT SERVICES BUSINESS UPDATE 2022
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CORPORATES
Utilize Moody's historical recession era bond default rates and recovery rates. Deep
recession applies two-year cumulative defaults experienced during both 2008 and 2009
CLO
Based on Moody's historical recession era speculative grade default rates, while remaining
more conservative compared to history
ABS
Based on shocks to cash flows, default probabilities and collateral recoveries, among other
factors. Customized for each sub-sector and typically more conservative than GFC experience
NON-AGENCY RMBS
Full model re-generation of each security's cash flows using Housing Price
Index/unemployment values observed during historical recessions
COMMERCIAL MORTGAGE LOANS ('CML')
Simulating defaults and severities based on rent growth and cap rates observed during 2008
ALTERNATIVES
Loss estimated by shocking spreads to extremely wide levels observed during peak crises;
Strategic alternatives modeled individually from the bottom up
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