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Origo Profile picture
Origo
@origoinvest
MF/HF background | Actionable ideas across equities, credit and crypto with an opportunistic lens on complex & mispriced situations
Apr 26 • 9 tweets • 6 min read
$APO Is Athene's balance sheet really a time bomb?

Its primary US insurer AAIA provides line-by-line CUSIP level data on its individual positions in a ~9k page statutory filing so I went ahead and reconstructed its $282B asset portfolio from the bottom-up

1/ Portfolio stratifications & high level observations

Athene's assets are primarily segregated into a $158B bond book and a $87B mortgage book (directly-originated whole-loans)

1) 97% of its $158B bond book is IG-rated
2) Resi NPLs comprise <1% of its mortgage book
3) <0.5% of its CRE loans are rated >CM4

Outside of this Athene holds $9B in cash, $3B in stocks (of which half is its FHLB membership)

A further 6.2% of the book is in Schedule BA investments (Apollo-managed funds) and finally 2.4% in derivatives (mainly hedges on its index-linked annuities)

2/Image