Athene Holding Ltd. · NYSE:ATH/PA
Athene — Investor Presentation (March 2020)
29 slides from Athene's investor presentation, Mar 25, 2020
Slide 1: Athene Investor Update: Considerations in the Current Market Environment
Athene Investor Update: ‘ Considerations in the Current ! h i } A 4 Market Environment fi 7, v * 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 in
Slide 3: Athene is Prepared For Dislocation
Athene is Prepared For Dislocation We have proactively strengthened our excess capital and liquidity over the past year As Market Spreads Widen... ...Athene is Well Prepared 10% 100% 9% 90% uAN : : A" Rated $2bn+ 8% 80% Across the Excess Equity Board! Capital? 7h 70% ; * $12.0bn $7bn+ 6% 60% Statuto
Slide 4: Athene's Playbook in the Current Environment
Athene’s Playbook in the Current Environment The foundation to future offensive maneuvers is a sound defense NATHENE @) Protect our people 6 Serve as source of strength for policyholders and partners ® Go long liquidity (4) Consistently analyze our investment portfolio 6 Prepare for offense VATHENE
Slide 5: Our People Are Our Most Valuable Asset
Our People Are Our Most Valuable Asset Athene is focused on protecting our employees and their families and friends in the communities in which we live and work v] Athene’s team of 1,336 employees remains resilient and focused on executing Converted to having most employees working from home without
Slide 6: Athene Remains a Source of Strength For the Industry
Athene Remains a Source of Strength For the Industry + Athene continues to serve our approximately 1 million policyholders and pension participants at a high service standard: Focused on — Ongoing new policy issuance Servicing Our Clients — Fully operational call centers and customer service capabil
Slide 7: Athene Has Substantial Liquidity at Hand
Athene Has Substantial Liquidity at Hand Current Liquidity’ Available Liquidity? Liquid Public Bond Portfolio? Today $3.5bn $6.5bn $35bn Target $5bn $1 Obn $35bn 1 Cash on hand ex-short term financing. 2 Includes cash on hand and various financing facilities. 3 As of December 31, 2019. Includes $2.3
Slide 8: Reminder of Athene's Investment Portfolio
Reminder of Athene’s Investment Portfolio Target superior long-term returns without assuming incremental credit risk Overview Investment Portfolio Composition + ~50% of portfolio in corporate and government bonds Cash & * $35+ billion of assets with a high degree of CMBS Equiavonts Other? liquidity’
Slide 9: Reminder: Focus is on Principal Protection
Reminder: Focus is on Principal Protection Athene’s Balance Sheet Paradigm 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 (~40% real-time a
Slide 10: Key Spotlight: Residential Mortgage Portfolio
Key Spotlight: Residential Mortgage Portfolio Key Portfolio Facts $12.9 billion of net invested assets 96% 15-25% 99% 61% of RMBS RMBS Purchase of RMLs Average LTV Rated Discount “in good Across NAIC 1/2 to Par standing” Portfolio RMBS Portfolio By NAIC Rating NAIC 3 NAIC 4 — NAICS 4% 1% 0.1% ‘ve J
Slide 11: Residential Mortgage: What Stresses Do We Look At?
Residential Mortgage: What Stresses Do We Look At? Rigorous Approach to Stress Testing Summary of Stress Scenario Assumptions Moderate Deep We regularly stress the Recession recession portfolio under historical Home Pic os om recession events Peak Unemployment oh i 9 Rate 5.5% in two years 8.5% in t
Slide 12: Key Spotlight: CLO Portfolio
Key Spotlight: CLO Portfolio Ratings Profile on Athene’s CLO Portfolio Has Improved With Proactive Repositioning 2015 2019 CCC and Lower BB 19% AAAIAAIA 33% 80% BBB Investment Investment 47% Grad Key Portfolio Stats’ Credit Enhancement: Athene CLOs vs. Market Average’ Athene Par Wtd Avg Driven by en
Slide 13: CLO Portfolio Construction
CLO Portfolio Construction Athene’s CLO Portfolio Benefits from Post-Financial Crisis Market Enhancements First Lien Senior ° ro) ° Secured 80-85% 90-97.5% 98.6% Collateral CLO BBB Average wera 10.0% 12.6% 14.3% Enhancement 1 As of December 31, 2019. VATHENE 13
Slide 14: 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 11% 11% 2 High Tech 9% 19% 3 Services: Business 8% 28% 4 Banking, Finance, Insurance & Real Estate 7% 35% 5 Telecommunications 4
Slide 15: Athene's CLO Portfolio Not Expected to See Loss of Principal
We Believe Athene’s CLO Portfolio is Not Expected to See Loss of Principal Even in a Lehman-Like Scenario * The portfolio is almost exclusively comprised of investment grade bonds that benefit from significant credit enhancement and portfolio diversification - We believe it would take a scenario mor
Slide 16: CLO Portfolio: What Stresses Do We Look At?
CLO Portfolio: What Stresses Do We Look At? Peak Default Rate Minimum Recovery Rate Estimated OTTI Baseline Recession 14% 50% < 70bps es 18% Recession fo fo) (Similar to (38% cumulative default) 45% < 90bps 2008/09) Note: As of March 16, 2020. VATHENE 16
Slide 17: Key Spotlight: Commercial Mortgage Loan Portfolio
Key Spotlight: Commercial Mortgage Loan Portfolio Key Portfolio Stats $14.0 billion net invested assets 75% 97% 56% First Mortgage Rated CM1-3' Weighted Avg LTV? Underlying Property Type Self Storage Mixed Use 4% 4% Other Industrial 13% Note: As of December 31, 2019. 1 Capital charge equivalent to N
Slide 18: Commercial Mortgage Loans: Hotel Assets
Commercial Mortgage Loans: Hotel Assets Investment Philosophy Case Study: New York & Miami Hotels * High-quality assets located in core markets as collateral: ¥ Owned by institutional sponsorship v_— Run by experienced national hotel brands/managers * Defensive basis: v¥ Low LTV positions often supp
Slide 19: Commercial Mortgage Loans: Retail Assets
Commercial Mortgage Loans: Retail Assets 1 Investment Philosophy Stopped lending against regional malls: v_ Athene stopped making loans secured by regional malls reflecting retail headwinds evident for the past few years Reducing non-high street retail exposure: Vv Started in early-2018 through repa
Slide 20: CML Portfolio: What Stresses Do We Look At?
CML Portfolio: What Stresses Do We Look At? v¥__ Predominately senior positions in the capital stack - ~75% of the CML portfolio consists of senior positions at a conservative average LTV of ~55% v¥ Subordinate debt consists of senior mezzanine positions - Generally at same LTV as first mortgages -
Slide 21: Risk Management is Embedded in Everything We Do
Risk Management is Embedded in Everything We Do The goal of risk management is to manage Athene’s risks such that it can grow profitably across various markets Robust risk management framework and procedures Risk appetite is to avoid ratings downgrades in a typical recession scenario, and maintain i
Slide 22: Stress Assumptions Are Within the Range of Past Market Experience
Stress Assumptions Are Within the Range of Past Market Experience Current Athene Assumptions Sample Historical Recession Data Peak to Trough for Calendar Year Market Environment’ Baseline Deep Year to Recession Recession 1990 2001 2008 Euro 2016 - m Date Scenario Scenario 10 Yr US 9 9 9 9 9 42 9 7 D
Slide 23: Stress Scenario Results are Manageable
Stress Scenario Results are Manageable Baseline recession scenario losses more than covered by one year's earnings even without intervening management actions Athene’s Earnings Mute Impacts of Stress (in billions) Baseline Recession Deep Recession YE19 Asset Class Scenario OTT! Scenario OTTI Portfol
Slide 24: Differentiated Model to Emerge Even Stronger
We Believe Our Differentiated Model Should Enable Us to Emerge From the Current Environment Even Stronger Built to Drive Shareholder Value Well Positioned for the “Fat Pitch” NWATHENE $90bn+ Disciplined Soe leet underwriting driving $1 25b ~$7bn+ capapiites in low cost of funds n — partnership with
Slide 25: Appendix I: Energy and Aircraft Portfolio
Appendix |: Energy and Aircraft Portfolio VATHENE riven to do more:
Slide 26: Key Spotlight: Energy Portfolio
Key Spotlight: Energy Portfolio Overview Composition of Energy Assets! » 1 . Equities Preferred + ~6% of Athene’s gross invested assets Alternatives 1% Stock * 92% rated NAIC 1 or 2 emerans } 1% li * Well-diversified portfolio C - Top-20 energy exposures < 3% of AUM Comorates 23% * — Top two individ
Slide 27: Key Spotlight: Aircraft Portfolio
Key Spotlight: Aircraft Portfolio + Aircraft ABS assets of $2.6bn! accounts for ~2% of Athene’s gross invested assets + — Alternative aircraft assets of ~$600mn with around half from PK AirFinance transaction which closed December 2019 PK AirFinance (~50% of total aircraft assets) Non-PK Aircraft AB
Slide 28: Appendix II: Non-GAAP Reconciliations
Appendix II: Non-GAAP Reconciliations VATHENE riven to do more:
Slide 29: Non-GAAP Measure Reconciliations
Non-GAAP Measure Reconciliations (In millions) December 31, 2019 Total investments including related parties $ 129,845 Derivative assets (2,888) Cash and cash equivalents (including restricted cash) 4,639 Accrued investment income 807 Payables for collateral on derivatives (2,743) Reinsurance funds