Company: APO
Filing Date: 2025-02-24
Form Type: 10-K
Source: 0001858681-25-000034
Chunk: 105

Company: Apollo Global Management, Inc.
Filing Date: 2025-02-24
Form: 10-K
Item: Item 7A
Chunk 105
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 hedging activities to eliminate or mitigate inflation mismatch risk. Athene attempts to hedge the majority of inflation risk arising from the pension group annuity business that it reinsures.

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Scenario Analysis— Athene evaluates exposure to credit risk by analyzing its portfolio’s performance during simulated periods of economic stress. Athene manages business, capital and liquidity needs to withstand stress scenarios and target capital it believes will maintain its current ratings in a moderate recession scenario and maintain investment grade ratings under a deep recession scenario, a substantially severe financial crisis akin to the Lehman scenario in 2008. In the recession scenario, Athene calibrates recessionary shocks to several key risk factors (including but not limited to default rates, recoveries, credit spreads and U.S. Treasury yields) using data from the 1991, 2001 and 2008 recessions, and estimates impacts to the various sectors in its portfolio. In the deep recession scenario, Athene uses default probabilities from the 2008-2009 period, along with recovery and ratings migration rates, to estimate impairment impacts, and uses credit spread and interest rate movements from the 2008–2009 period to estimate mark to market changes. Management reviews the impacts of its stress test analyses on a quarterly basis.

Sensitivities

Asset Management

Interest Rate Risk

We are primarily subject to interest rate risk through the investments of the funds we manage. For funds that pay management fees based on NAV or other bases that are sensitive to market value fluctuations, we anticipate our management fees would change consistent with the increase or decrease experienced by the underlying funds’ portfolios. In the event that interest rates were to increase by one percentage point, we estimate that management fees earned that were dependent upon estimated fair value would decrease by approximately $21 million and $21 million during the years ended December 31, 2024 and 2023, respectively.

Credit Risk

Similar to interest rate risk, we are also subject to credit risk through the investments of the funds we manage. In the event that credit spreads were to increase by one percentage point, we estimate that management fees earned that were dependent upon estimated fair value would decrease by approximately $21 million and $22 million during the years ended December 31, 2024 and 2023, respectively.

Foreign Exchange Risk

We estimate for the years ended December 31, 2024 and 2023, a 10% decline in the rate of exchange of all foreign currencies against the U.S. dollar would result in the following declines in management fees