Apollo Global Management Investor Day Presentation Deck
We Run Our Business Aligned with Our Risk Appetite
and in Consideration of Historical Events
10 Yr US
Treasury Yield
Absolute Spreads
(BBB / B)
Equity Markets4
Fixed Income Defaults
(BBB / B)
Housing Price
(Peak to Trough)
Est. Net Impact on Excess Capital5
ATHENE ASSUMPTIONS
Baseline
Recession
Scenario
Down 60%
(e.g. ~70bps)
279bps /
802bps³
(34%)
0.7% /
12.9%
(3%)
$0.0
Deep
Recession
Scenario
Down 83%
(e.g. ~120bps)
636bps /
1,789bps³
(49%)
1.4% /
13.7%
(27%)
($0.6)
1990
Up 4%
240bps /
ΝΑ
(20%)
0.3% /
13.7%
(3%)
SAMPLE HISTORICAL RECESSION DATA
2001
Down 21%
318bps /
1,083bps
(30%)
1.0% /
9.2%
No Decline
2008
Down 43%
642bps /
1,913bps
(49%)
0.9% /
7.1%
(33%)
Euro
2016
Down 84%²
317bps/
876bps
(12%)
0.0% /
2.4%
No Decline
Net impact represents the total estimated stress impact in a
recession, offset by 2020 STAT earnings and mgmt. actions
COVID
2020¹
Down 68%
474bps /
1139bps
(34%)
0.1% / 6.2%
No Decline
Source: Spread -JPMorgan US Liquid Index (JULI) BBB Spread (Libor) for BBB and JPMorgan Domestic HY Spread to Worst for B, except for 1990 and Euro 2016. For 1990: Federal Reserve Bank of St. Louis, Moody's Seasoned Baa Corporate Bond Yield Relative to Yield on 10-Year Treasury Constant Maturity
BAA10Y as JP Morgan indices were not available. For Euro 2016: JPMorgan US Liquid Index(JULI) BBB Spread (Treasury) on Feb 10th 2016 for BBB and JPMorgan Developed Market Single B HY Spread to Worst on Feb 9th, 2016 for B. FI Default - For COVID 2020: Moody's Monthly Default Report from Moody's
Investor Services. For historical experiences: Moody's Annual Default Study, Corporate Default and Recovery Rates. There is no guarantee that Athene will be able to replicate actual historical recession experience under current market conditions or during future recessions. Footnote explanations may be found
in presentation endnotes.
APOLLO INVESTOR DAY 2021
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