Apollo Global Management Investor Day Presentation Deck
CLO Anatomy Illustrates Structural Benefits
CLO ASSETS
(Diversified Portfolio of Bank
Loans from Different Companies)
ā
ā
CLO debt benefits from
diversification and
credit enhancement,
meaning the amount of
loss that can be absorbed
by the structure before
impacting the relevant
CLO tranche
~47% of the principal
value of the underlying
loans in the CLO structure
in this illustrative example
would need to be
impaired before the AAA
tranche was impaired
ILLUSTRATIVE
COMPANY STRUCTURE
Senior-Secured
Bank Loans
(Senior Debt, 40-50%)
High Yield Bonds
(Junior Debt, 10%-20%)
Equity
(30%-50%)
Note: Spreads are for illustrative purposes only and may be differ from recent primary market CLO issuance metrics.
APOLLO RETIREMENT SERVICES BUSINESS UPDATE 2022
Bank Loans
(Libor +385bps)
Bank Loans
(Libor +385bps)
Bank Loans
(Libor +385bps)
Bank Loans
(Libor +385bps)
Bank Loans
(Libor +385bps)
Bank Loans
(Libor +385bps)
Bank Loans
(Libor +385bps)
INVESTMENT GRADE
BELOW IG
ILLUSTRATIVE
CLO SECURITIZATION
AAA
Libor +165
AA
Libor +220bps
A
Libor + 270bps
BBB
Libor + 400bps
BB
Libor +750bps
Equity (~10%)
47%
30%
21%
15%
10%
LOSSES
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