Company: APO
Filing Date: 2025-02-24
Form Type: 10-K
Source: 0001858681-25-000034
Chunk: 103

Company: Apollo Global Management, Inc.
Filing Date: 2025-02-24
Form: 10-K
Item: Item 7A
Chunk 103
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 engages.

Depending upon the materiality of the risk and Athene’s assessment of how it would perform across a spectrum of interest rate environments, Athene may seek to mitigate interest rate risk using on-balance-sheet strategies (portfolio management) or off-balance-sheet strategies (derivative hedges such as interest rate swaps and futures). Athene monitors ALM metrics (such as key-rate durations and convexity) and employs quarterly cash flow testing requirements across all of its insurance companies to 

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assure the asset and liability portfolios are managed to maintain net interest rate exposures at levels that are consistent with its risk appetite. Athene has established a set of exposure and stress limits to communicate its risk tolerance and to ensure adherence to those risk tolerance levels. Risk management personnel and the RC and/or IALC (together, “AHL management committees”) are notified in the event that risk tolerance levels are exceeded. Depending on the specific risk threshold that is exceeded, the appropriate AHL management committee then makes a decision as to what actions, if any, should be undertaken.

Active portfolio management is performed by our asset management business, with direction from the AHL management committees. ALM risk is also managed by the AHL management committees. The performance of Athene’s investment portfolio is reviewed periodically by the AHL management committees and board of directors. The AHL management committees strive to improve returns to stockholders and protect policyholders, while dynamically managing the risk within Athene’s expectations.

Equity Risk—Athene’s FIAs require it to make payments to policyholders that are dependent on the performance of equity market indices. Athene seeks to minimize the equity risk from its liabilities by economically defeasing this equity exposure with granular, policy-level-based hedging. In addition, Athene’s investment portfolio can be invested in strategies involving public and private equity positions, though in general, it has limited appetite for passive, public equity investments.

The equity index hedging framework implemented is one of static and dynamic replication. Unique policy-level liability options are matched with static OTC options and residual risk arising from (1) policyholder behavior and other trading constraints (for example minimum trade size) and (2) the decision by the organization to enhance the value of the product offerings by dynamically managing a small portion of the exposure on custom indices, are managed dynamically by decomposing the risk of the portfolio (asset and liability positions) into market risk measures which are managed to pre-established risk limits. The portfolio risks are measured overnight and rebalanced daily to ensure that the risk profile remains within