Apollo Global Management Investor Day Presentation Deck
Two-Year Lookback: "What We Said" and "What Happened"
WHAT WE SAID
(in August 2020)
...Defaults would
remain low for high
quality loan borrowers
...Ratings Downgrades
would moderate
...CLO self-corrective
features would protect
our exposure
...We preferred an
up-in-credit bias
WHAT HAPPENED
• No CLO position we own has defaulted.
• Default rate for loan borrowers in our CLO portfolio is 0.3%
More ratings upgrades than downgrades (only 4.3% of
portfolio was downgraded; 4.5% has since been upgraded)
Our portfolio is of higher quality today than a year ago
(increased its credit enhancement from 22% to 23%)
We have suffered no credit losses
CLO structures continue to work as designed
• 99% of deployment in the past year has been.
investment grade
1. Linked presentation is not incorporated by reference.
APOLLO RETIREMENT SERVICES BUSINESS UPDATE 2022
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In August 2020, Athene published a
deep dive on our CLO portfolio and its
performance in stress (see here)¹
During the market volatility in 2Q'20,
CLO markets spreads rose materially.
However, Athene's long-term,
persistent liabilities support it
holding CLOs to maturity such that
Athene is not a forced seller during
market volatility
Athene's CLO portfolio has performed
extremely well; with no credit losses
and more ratings upgrades than
downgrades
Athene was able to use its position of
strength to invest in additional CLOS,
locking in long-term, attractive risk-
adjusted returns
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