Apollo Global Management Investor Day Presentation Deck
Athene's CLO Portfolio Has Significant Credit Enhancement to
Withstand Default Rates Far in Excess of Historical Events
HISTORICAL INDUSTRY NON-INVESTMENT GRADE LOAN DEFAULT AND LOSS RATES
25%
20%
15%
10%
5%
0%
1999
2000
2002
2003
2005
2006
INDUSTRY NON-IG LOAN LOSS RATE @ 65% RECOVERY
1. Based on internal estimates. 2. Source: LCD, Intex, S&P, Moody's, Wells Fargo Securities.
APOLLO RETIREMENT SERVICES BUSINESS UPDATE 2022
2008
2009
Athene regularly stresses its asset portfolio and would expect
no principal impairments on its CLO debt portfolio in a "Recession"
scenario which utilizes more punitive stress assumptions for CLOS
than experienced during Lehman / Great Financial Crisis¹
~23% Athene Current Weighted Average Credit Enhancement
Industry Non-IG Loan Losses during Lehman / Great Financial Crisis
2011
2012
2014
INDUSTRY NON-IG LOAN DEFAULT RATE
2015
2017
2018
2020
ATH CURRENT PAR WTD AVERAGE
In an even more severe "Deep Recession"
scenario, Athene would expect <$14 million,
or 12 basis points, of principal impairments
on its CLO debt portfolio
92View entire presentation