Athene Holding Ltd. · NYSE:ATH/PA
Athene — Investor Presentation (August 2020)
27 slides from Athene's investor presentation, Aug 5, 2020
Slide 1: Overview of Athene's CLO Portfolio
Overview of Athene’s CLO Portfolio August 2020 VATHENE
Slide 2: Disclaimer
Disclaimer This presentation does not constitute an offer to sell, or the solicitation of an offer to buy, any security of Athene Holding Ltd. (“Athene”). Certain information contained herein and certain oral statements made in reference thereto may be “forward-looking” in nature. These statements i
Slide 3: • • • • • • • Note: As of June 30, 2020. At
• • • • • • • Note: As of June 30, 2020. 1 At Athene’s target Risk-Based Capital of 370%, Athene would need to hold an additional ~$535mm of capital. 2 Excess capital is presented net of future expected deployment to fund Jackson transaction announced in June 2020. Untapped debt capacity assumes cap
Slide 4: Insurance Solutions Group
Insurance Solutions Group Note: As of June 30, 2020.
Slide 5: Apollo stake in Athene includes voting proxies granted to Apollo by two senior management
1 Apollo stake in Athene includes voting proxies granted to Apollo by two senior management employees of Athene and certain of its employees. 2 Reflects Athene’s gross invested assets as of June 30, 2020 as a percentage of Apollo’s credit assets under management (AUM) as of June 30, 2020.
Slide 6: • • – – • – – – – – Note: Net invested assets
• • – – • – – – – – Note: Net invested assets includes Athene's proportionate share of ACRA investments, based on Athene's economic ownership, but does not include the proportionate share of investments associated with the noncontrolling interest. 1 As of June 30, 2020. 2 As of June 30, 2020, includ
Slide 7: Reminder: Athene is Focused on Principal Protection
Reminder: Athene is Focused on Principal Protection Athene’s Balance Sheet Paradigm “VATHENE High Quality Credit Assets Persistent Liabilities Strong Capital Position v Balance sheet subject to a “book value” versus “market value” framework - One exception is Alternatives, which are marked-to-market
Slide 8: As of June 30, 2020. Relates to Athene’s primary insurance subsidiaries; represents ratings from
1 As of June 30, 2020. 2 Relates to Athene’s primary insurance subsidiaries; represents ratings from AM Best, S&P, and Fitch. 3 Excess capital is presented net of future expected deployment to fund Jackson transaction announced in June 2020. 4 Includes pro forma excess equity capital of ~$3.0bn, unt
Slide 9: Note: Peer GAAP assets and ratings as of March 31, 2020. There is no
Note: Peer GAAP assets and ratings as of March 31, 2020. There is no guarantee that our target will be achieved in the future. 1 Ratings for primary insurance subsidiaries. 9
Slide 10: What is a Collateralized Loan Obligation "CLO"?
What is a Collateralized Loan Obligation “CLO”? ACLO is a securitization backed by a pool of non-investment grade senior-secured bank loans — The underlying loans are typically first lien, senior secured, and rated BB or B — The loans are securitized into CLOs, which issue different tranches of debt
Slide 11: • ‒ • • Source: CLO Trustee Reports aggregated by Kanerai. 2 Source: S&P
• ‒ • • 1 Source: CLO Trustee Reports aggregated by Kanerai. 2 Source: S&P / LCD. Allocation to CLOs in 2000 represents data from 2002 as CLOs were not broken out separately in 2000. 3 Other includes Loan Mutual Funds, Insurance Companies, and other investment funds.
Slide 12: • • Note: Attachment levels based on Athene’s weighted average portfolio. Spreads represent recent
• • Note: Attachment levels based on Athene’s weighted average portfolio. Spreads represent recent primary market CLO issuance.
Slide 13: • • ‒ • • ‒ “Loss Rates” refer to default rate net of
• • ‒ • • ‒ 1 “Loss Rates” refer to default rate net of recoveries. Source: Moody’s The Performance of Moody’s structured finance ratings – Q2 2020 (July 2020). 2 Source: Moody’s Impairment and loss rates of structured finance securities: 2009-19 (May 2020). 3 Net of fees, based on market spreads to
Slide 14: • • • • As of June 30, 2020. Credit Enhancement herein refers to
• • • • 1 As of June 30, 2020. 2 Credit Enhancement herein refers to par subordination or the amount of loss that can absorbed by the structure before impacting the owned tranche.
Slide 15: Credit Enhancement herein refers to par subordination or the amount of loss that can
1 Credit Enhancement herein refers to par subordination or the amount of loss that can absorbed by the structure before impacting the owned tranche.
Slide 16: CLO Portfolio Benefits from Post-2008 Market Enhancements
CLO Portfolio Benefits from Post-2008 Market Enhancements + Athene prioritizes CLOs that have higher credit enhancement, higher concentrations of first lien senior secured collateral, tighter documentation, shorter duration, and shorter reinvestment periods + Athene’s portfolio also prioritizes CLOs
Slide 17: CLO Portfolio: Well Diversified Underlying Assets
CLO Portfolio: Well Diversified Underlying Assets Top Industry Exposures Underlying Athene’s CLO Portfolio No. Industry Portfolio Cumulative 1 Healthcare & Pharmaceuticals 13% 13% 2 High Tech 10% 23% 3 Services: Business 8% 30% 4 Banking, Finance, Insurance & Real Estate 8% 38% 5: Hotels, Gaming & L
Slide 18: • • Source: JP Morgan CLO Index
• • Source: JP Morgan CLO Index
Slide 19: • • Based on internal estimates. Source: LCD, Intex, S&P, Moody’s, Wells Fargo Securities.
• • 1 Based on internal estimates. 2 Source: LCD, Intex, S&P, Moody’s, Wells Fargo Securities.
Slide 20: • • • Source: Historical default data from Moody’s. Historical recovery data from Moody’s
• • • Source: Historical default data from Moody’s. Historical recovery data from Moody’s for 2001 and 2008, and from S&P / LCD for 2020 YTD. Historical prepayment rates and reinvestment prices from S&P / LCD. Note: NAIC Special Report published June 18th, 2020 available here: https://www.naic.org/c
Slide 21: • • Note: NAIC Special Report published June 18th, 2020 available here: https://www.naic.org/capital_markets_archive/…
• • Note: NAIC Special Report published June 18th, 2020 available here: https://www.naic.org/capital_markets_archive/special_report_200618.pdf 1 Stress tests for the industry broadly-syndicated bank loan CLOs as reported in NAIC paper. 2 Stress test results on Athene’s portfolio represent illustrati
Slide 22: • • Excess capital is presented net of future expected deployment to fund Jackson
• • 1 Excess capital is presented net of future expected deployment to fund Jackson transaction announced in June 2020. Untapped debt capacity assumes capacity of 25% debt to capitalization and is subject to general availability and market conditions. 2 At Athene’s target Risk-Based Capital ratio of
Slide 23: Credit Quality of CLOs
~\ Credit Quality of CLOs MATHENE Driven to do more:
Slide 24: Credit Quality of CLOs by NAIC and NRSRO Designation
December 31, 2019 June 30, 2020 Invested Asset Value1 % of Total Invested Asset Value1 % of Total CREDIT QUALITY OF CLOs – NAIC DESIGNATION 1 $ 5,796 56.7 % $ 7,312 61.0 % 2 4,257 41.6 % 4,548 38.0 % Non-rated2 — — % — — % Total investment grade 10,053 98.3 % 11,860 99.0 % 3 141 1.4 % 115 0.9 % 4 22
Slide 25: Appendix II: Non-GAAP Reconciliations
Appendix Il: Non-GAAP Reconciliations MATHENE Driven to do more:
Slide 26: Non-GAAP Measure Reconciliations
Non-GAAP Measure Reconciliations June 30, 2020 RECONCILIATION OF TOTAL INVESTMENTS INCLUDING RELATED PARTIES TO NET INVESTED ASSETS Total investments, including related parties $ 163,039 Derivative assets (2,379) Cash and cash equivalents (including restricted cash) 7,521 Accrued investment income 8
Slide 27: Slide 27