Apollo Global Management Investor Day Presentation Deck slide image

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 ● ● ● ● 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 93
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