Investments

6 Months Ended

Jun. 30, 2022

Schedule of Investments [Abstract]

Investments

3. Investments

AFS Securities—Our AFS investment portfolio includes bonds, collateralized loan obligations (CLO), asset-backed securities (ABS), commercial mortgage-backed securities (CMBS), residential mortgage-backed securities (RMBS) and redeemable preferred stock. Our AFS investment portfolio includes related party investments that are primarily comprised of investments over which Apollo can exercise significant influence. These investments are presented as investments in related parties on the condensed consolidated balance sheets, and are separately disclosed below.

The following table represents the amortized cost, allowance for credit losses, gross unrealized gains and losses and fair value of our AFS investments by asset type:

	Successor
	June 30, 2022
(In millions)	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS securities
US government and agencies	$	3,277	$	—	$	1	$	(484)	$	2,794
US state, municipal and political subdivisions	1,209		—		—		(209)		1,000
Foreign governments	1,199		(61)		4		(246)		896
Corporate	67,584		(70)		45		(11,341)		56,218
CLO	14,783		(107)		2		(1,193)		13,485
ABS	10,095		(14)		8		(542)		9,547
CMBS	3,181		(9)		16		(284)		2,904
RMBS	5,879		(348)		3		(367)		5,167
Total AFS securities	107,207		(609)		79		(14,666)		92,011
AFS securities – related party
Corporate	1,043		—		2		(38)		1,007
CLO	2,945		(19)		1		(248)		2,679
ABS	5,441		(1)		1		(172)		5,269
Total AFS securities – related party	9,429		(20)		4		(458)		8,955
Total AFS securities including related party	$	116,636	$	(629)	$	83	$	(15,124)	$	100,966

	Predecessor
	December 31, 2021
(In millions)	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS securities
US government and agencies	$	231	$	—	$	2	$	(10)	$	223
US state, municipal and political subdivisions	1,081		—		134		(2)		1,213
Foreign governments	1,110		—		35		(17)		1,128
Corporate	62,817		—		4,060		(651)		66,226
CLO	13,793		—		44		(185)		13,652
ABS	8,890		(17)		151		(35)		8,989
CMBS	2,764		(3)		56		(59)		2,758
RMBS	5,772		(103)		326		(25)		5,970
Total AFS securities	96,458		(123)		4,808		(984)		100,159
AFS securities – related party
Corporate	842		—		19		(2)		859
CLO	2,573		—		5		(29)		2,549
ABS	6,986		—		61		(53)		6,994
Total AFS securities – related party	10,401		—		85		(84)		10,402
Total AFS securities including related party	$	106,859	$	(123)	$	4,893	$	(1,068)	$	110,561

The amortized cost and fair value of AFS securities, including related party, are shown by contractual maturity below:    

	Successor
	June 30, 2022
(In millions)	Amortized Cost		Fair Value
AFS securities
Due in one year or less	$	926	$	916
Due after one year through five years	9,672		8,931
Due after five years through ten years	19,820		17,071
Due after ten years	42,851		33,990
CLO, ABS, CMBS and RMBS	33,938		31,103
Total AFS securities	107,207		92,011
AFS securities – related party
Due in one year or less	1		1
Due after one year through five years	23		22
Due after five years through ten years	777		749
Due after ten years	242		235
CLO and ABS	8,386		7,948
Total AFS securities – related party	9,429		8,955
Total AFS securities including related party	$	116,636	$	100,966

Actual maturities can differ from contractual maturities as borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

Unrealized Losses on AFS Securities—The following summarizes the fair value and gross unrealized losses for AFS securities, including related party, for which an allowance for credit losses has not been recorded, aggregated by asset type and length of time the fair value has remained below amortized cost:

	Successor
	June 30, 2022
	Less than 12 months				12 months or more				Total
(In millions)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
AFS securities
US government and agencies	$	2,601	$	(484)	$	—	$	—	$	2,601	$	(484)
US state, municipal and political subdivisions	994		(209)		—		—		994		(209)
Foreign governments	875		(246)		—		—		875		(246)
Corporate	55,289		(11,339)		—		—		55,289		(11,339)
CLO	12,194		(1,134)		—		—		12,194		(1,134)
ABS	5,975		(478)		—		—		5,975		(478)
CMBS	2,373		(274)		—		—		2,373		(274)
RMBS	2,989		(264)		—		—		2,989		(264)
Total AFS securities	83,290		(14,428)		—		—		83,290		(14,428)
AFS securities – related party
Corporate	472		(31)		—		—		472		(31)
CLO	2,405		(233)		—		—		2,405		(233)
ABS	4,841		(160)		—		—		4,841		(160)
Total AFS securities – related party	7,718		(424)		—		—		7,718		(424)
Total AFS securities including related party	$	91,008	$	(14,852)	$	—	$	—	$	91,008	$	(14,852)

	Predecessor
	December 31, 2021
	Less than 12 months				12 months or more				Total
(In millions)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
AFS securities
US government and agencies	$	164	$	(8)	$	22	$	(2)	$	186	$	(10)
US state, municipal and political subdivisions	122		(2)		1		—		123		(2)
Foreign governments	387		(17)		1		—		388		(17)
Corporate	18,995		(523)		863		(59)		19,858		(582)
CLO	7,685		(124)		1,537		(35)		9,222		(159)
ABS	4,038		(16)		165		(12)		4,203		(28)
CMBS	880		(29)		177		(22)		1,057		(51)
RMBS	437		(9)		274		(5)		711		(14)
Total AFS securities	32,708		(728)		3,040		(135)		35,748		(863)
AFS securities – related party
Corporate	313		(2)		—		—		313		(2)
CLO	1,245		(20)		163		(3)		1,408		(23)
ABS	3,801		(52)		13		(1)		3,814		(53)
Total AFS securities – related party	5,359		(74)		176		(4)		5,535		(78)
Total AFS securities including related party	$	38,067	$	(802)	$	3,216	$	(139)	$	41,283	$	(941)

The following summarizes the number of AFS securities that were in an unrealized loss position, including related party, for which an allowance for credit losses has not been recorded:

	Successor
	June 30, 2022
	Unrealized loss position	Unrealized loss position 12 months or more
AFS securities	8,475	—
AFS securities – related party	140	—

The unrealized losses on AFS securities can primarily be attributed to changes in market interest rates since application of pushdown accounting or acquisition. We did not recognize the unrealized losses in income as we intend to hold these securities and it is not more likely than not we will be required to sell a security before the recovery of its amortized cost.

Allowance for Credit Losses—The following table summarizes the activity in the allowance for credit losses for AFS securities by asset type:

	Successor
	Three months ended June 30, 2022
			Additions				Reductions
(In millions)	Beginning Balance		Initial credit losses		Initial credit losses on PCD securities		Securities sold during the period		Additions (reductions) to previously impaired securities		Ending Balance
AFS securities
Foreign governments	$	66	$	—	$	—	$	—	$	(5)	$	61
Corporate	55		6		—		—		9		70
CLO	18		4		—		—		85		107
ABS	11		4		—		—		(1)		14
CMBS	6		8		—		—		(5)		9
RMBS	312		20		1		(9)		24		348
Total AFS securities	468		42		1		(9)		107		609
AFS securities – related party
CLO	3		—		—		—		16		19
ABS	17		1		—		—		(17)		1
Total AFS securities – related party	20		1		—		—		(1)		20
Total AFS securities including related party	$	488	$	43	$	1	$	(9)	$	106	$	629

	Predecessor
	Three months ended June 30, 2021
			Additions				Reductions
(In millions)	Beginning balance		Initial credit losses		Initial credit losses on PCD securities		Securities sold during the period		Additions (reductions) to previously impaired securities		Ending Balance
AFS securities
Corporate	$	8	$	1	$	—	$	—	$	(4)	$	5
CLO	—		3		—		—		—		3
ABS	11		—		—		—		(1)		10
CMBS	14		—		—		—		(8)		6
RMBS	78		—		4		(3)		4		83
Total AFS securities	111		4		4		(3)		(9)		107
AFS securities – related party, CLO	—		2		—		—		—		2
Total AFS securities including related party	$	111	$	6	$	4	$	(3)	$	(9)	$	109

	Successor
	Six months ended June 30, 2022
			Additions				Reductions
(In millions)	January 1, 2022		Initial credit losses		Initial credit losses on PCD securities		Securities sold during the period		Additions (reductions) to previously impaired securities		Ending Balance
AFS securities
Foreign governments	$	—	$	66	$	—	$	—	$	(5)	$	61
Corporate	—		61		—		—		9		70
CLO	—		22		—		—		85		107
ABS	5		9		—		—		—		14
CMBS	—		14		—		—		(5)		9
RMBS	306		29		1		(17)		29		348
Total AFS securities	311		201		1		(17)		113		609
AFS securities – related party
CLO	—		3		—		—		16		19
ABS	—		18		—		—		(17)		1
Total AFS securities – related party	—		21		—		—		(1)		20
Total AFS securities including related party	$	311	$	222	$	1	$	(17)	$	112	$	629

	Predecessor
	Six months ended June 30, 2021
			Additions				Reductions
(In millions)	Beginning balance		Initial credit losses		Initial credit losses on PCD securities		Securities sold during the period		Additions (reductions) to previously impaired securities		Ending Balance
AFS securities
Corporate	$	6	$	3	$	—	$	(2)	$	(2)	$	5
CLO	1		3		—		—		(1)		3
ABS	6		5		—		—		(1)		10
CMBS	10		2		—		—		(6)		6
RMBS	80		—		6		(6)		3		83
Total AFS securities	103		13		6		(8)		(7)		107
AFS securities – related party, CLO	1		2		—		(1)		—		2
Total AFS securities including related party	$	104	$	15	$	6	$	(9)	$	(7)	$	109

Net Investment Income—Net investment income by asset class, including related party, consists of the following:

	Successor		Predecessor		Successor		Predecessor
(In millions)	Three months ended June 30, 2022		Three months ended June 30, 2021		Six months ended June 30, 2022		Six months ended June 30, 2021
AFS securities	$	932	$	939	$	1,808	$	1,799
Trading securities	49		60		112		123
Equity securities	9		3		24		7
Mortgage loans	297		189		534		367
Investment funds	104		701		408		1,143
Funds withheld at interest	476		172		813		378
Other	48		95		90		159
Investment revenue	1,915		2,159		3,789		3,976
Investment expenses	(189)		(142)		(380)		(290)
Net investment income	$	1,726	$	2,017	$	3,409	$	3,686

Investment Related Gains (Losses)—Investment related gains (losses) by asset class, including related party, consists of the following:

	Successor		Predecessor		Successor		Predecessor
(In millions)	Three months ended June 30, 2022		Three months ended June 30, 2021		Six months ended June 30, 2022		Six months ended June 30, 2021
AFS securities
Gross realized gains on investment activity	$	217	$	208	$	320	$	281
Gross realized losses on investment activity	(832)		(171)		(1,242)		(314)
Net realized investment gains (losses) on AFS securities	(615)		37		(922)		(33)
Net recognized investment gains (losses) on trading securities	(161)		61		(368)		(8)
Net recognized investment gains (losses) on equity securities	(271)		8		(248)		25
Net recognized investment losses on mortgage loans	(1,099)		—		(1,895)		—
Derivative gains (losses)	(3,932)		2,484		(6,973)		2,046
Provision for credit losses	(172)		2		(364)		60
Other gains	487		—		807		80
Investment related gains (losses)	$	(5,763)	$	2,592	$	(9,963)	$	2,170

Proceeds from sales of AFS securities were $1,614 million and $2,006 million for the three months ended June 30, 2022 and 2021, respectively, and $5,785 million and $2,898 million for the six months ended June 30, 2022 and 2021, respectively.

The following table summarizes the change in unrealized gains (losses) on trading and equity securities, including related party, we held as of the respective period end:

	Successor		Predecessor		Successor		Predecessor
(In millions)	Three months ended June 30, 2022		Three months ended June 30, 2021		Six months ended June 30, 2022		Six months ended June 30, 2021
Trading securities	$	(160)	$	66	$	(349)	$	(55)
Trading securities – related party	(3)		(4)		(7)		54
Equity securities	(255)		18		(238)		27
Equity securities – related party	(8)		(5)		(13)		1

Repurchase Agreements—The following table summarizes the maturities of our repurchase agreements:

	Successor
	June 30, 2022
	Remaining Contractual Maturity
(In millions)	Overnight and continuous		Less than 30 days		30-90 days		91 days to 1 year		Greater than 1 year		Total
Payables for repurchase agreements1	$	—	$	—	$	1,680	$	200	$	2,229	$	4,109
1 Included in payables for collateral on derivatives and securities to repurchase on the condensed consolidated balance sheets.

	Predecessor
	December 31, 2021
	Remaining Contractual Maturity
(In millions)	Overnight and continuous		Less than 30 days		30-90 days		91 days to 1 year		Greater than 1 year		Total
Payables for repurchase agreements1	$	—	$	2,512	$	—	$	—	$	598	$	3,110
1 Included in payables for collateral on derivatives and securities to repurchase on the condensed consolidated balance sheets.

The following table summarizes the securities pledged as collateral for repurchase agreements:

	Successor				Predecessor
	June 30, 2022				December 31, 2021
(In millions)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
AFS securities
U.S. government and agencies	$	2,284	$	1,919	$	—	$	—
Foreign governments	140		106		—		—
Corporate	1,746		1,476		2,923		3,208
CLO	271		258		—		—
ABS	470		417		—		—
Total securities pledged under repurchase agreements	$	4,911	$	4,176	$	2,923	$	3,208

Reverse Repurchase Agreements—As of June 30, 2022, amounts loaned under reverse repurchase agreements were $26 million, and collateral received was $616 million.

Mortgage Loans, including related party and VIEs—Mortgage loans includes both commercial and residential loans. In connection with the merger, we elected the fair value option on our mortgage loan portfolio. See Note 6 – Fair Value for further fair value option information. The following represents the mortgage loan portfolio, with fair value option loans presented at unpaid principal balance:

	Successor
(In millions)	June 30, 2022
Commercial mortgage loans	$	19,898
Commercial mortgage loans under development	627
Total commercial mortgage loans	20,525
Mark to fair value	(1,186)
Commercial mortgage loans	19,339
Residential mortgage loans	9,723
Mark to fair value	(436)
Residential mortgage loans	9,287
Mortgage loans	$	28,626

The following represents the mortgage loan portfolio based on amortized cost:

	Predecessor
(In millions)	December 31, 2021
Commercial mortgage loans	$	16,565
Commercial mortgage loans under development	499
Total commercial mortgage loans	17,064
Allowance for credit losses on commercial mortgage loans	(167)
Commercial mortgage loans	16,897
Residential mortgage loans	7,321
Allowance for credit losses on residential mortgage loans	(70)
Residential mortgage loans	7,251
Mortgage loans	$	24,148

We primarily invest in commercial mortgage loans on income producing properties including office and retail buildings, apartments, hotels and industrial properties. We diversify the commercial mortgage loan portfolio by geographic region and property type to reduce concentration risk. We evaluate mortgage loans based on relevant current information to confirm if properties are performing at a consistent and acceptable level to secure the related debt.

The distribution of commercial mortgage loans, including those under development, by property type and geographic region, is as follows:

	Successor				Predecessor
	June 30, 2022				December 31, 2021
(In millions, except for percentages)	Net Carrying Value		Percentage of Total		Net Carrying Value		Percentage of Total
Property type
Office building	$	5,148	26.6	%	$	4,870	28.8	%
Retail	1,929		10.0	%	2,022		12.0	%
Apartment	6,068		31.4	%	4,626		27.4	%
Hotels	1,730		8.9	%	1,727		10.2	%
Industrial	2,459		12.7	%	2,336		13.8	%
Other commercial	2,005		10.4	%	1,316		7.8	%
Total commercial mortgage loans	$	19,339	100.0	%	$	16,897	100.0	%
US region
East North Central	$	1,658	8.6	%	$	1,697	10.0	%
East South Central	447		2.3	%	470		2.8	%
Middle Atlantic	4,118		21.3	%	3,637		21.5	%
Mountain	935		4.8	%	460		2.7	%
New England	1,118		5.8	%	453		2.7	%
Pacific	4,060		21.0	%	3,994		23.6	%
South Atlantic	2,886		14.9	%	2,817		16.7	%
West North Central	273		1.4	%	271		1.6	%
West South Central	1,203		6.2	%	997		5.9	%
Total US region	16,698		86.3	%	14,796		87.5	%
International region
United Kingdom	1,703		8.8	%	1,279		7.6	%
Other International1	938		4.9	%	822		4.9	%
Total international region	2,641		13.7	%	2,101		12.5	%
Total commercial mortgage loans	$	19,339	100.0	%	$	16,897	100.0	%
1 Represents all other countries, with each individual country comprising less than 5% of the portfolio.

Our residential mortgage loan portfolio includes first lien residential mortgage loans collateralized by properties in various geographic locations and is summarized by proportion of the portfolio in the following table:

	Successor		Predecessor
	June 30, 2022		December 31, 2021
US states
California	31.6	%	28.4	%
Florida	10.0	%	11.4	%
New Jersey	5.1	%	5.1	%
Other1	39.8	%	43.3	%
Total US residential mortgage loan percentage	86.5	%	88.2	%
International
United Kingdom	5.1	%	3.8	%
Ireland	4.1	%	6.4	%
Other2	4.3	%	1.6	%
Total international residential mortgage loan percentage	13.5	%	11.8	%
Total residential mortgage loan percentage	100.0	%	100.0	%
1 Represents all other states, with each individual state comprising less than 5% of the portfolio.
2 Represents all other countries, with each individual country comprising less than 5% of the portfolio.

Investment Funds—Our investment fund portfolio consists of funds that employ various strategies and include investments in origination platforms, insurance platforms, and equity, hybrid, yield and other funds. Investment funds can meet the definition of VIEs, which are discussed further in Note 5 – Variable Interest Entities. Our investment funds do not specify timing of distributions on the funds’ underlying assets.

The following summarizes our investment funds, including related party and consolidated VIEs:

	Successor				Predecessor
	June 30, 2022				December 31, 20211
(In millions, except for percentages)	Carrying value		Percent of total		Carrying value		Percent of total
Investment funds
Equity	$	21	15.8	%	$	410	34.8	%
Hybrid	93		69.9	%	667		56.6	%
Yield	19		14.3	%	99		8.4	%
Other	—		—	%	2		0.2	%
Total investment funds	133		100.0	%	1,178		100.0	%
Investment funds – related parties
Strategic origination platforms	267		17.4	%	1,338		18.1	%
Strategic insurance platforms	1,092		71.0	%	1,440		19.5	%
Apollo and other fund investments
Equity	148		9.6	%	1,199		16.2	%
Hybrid	8		0.5	%	952		12.9	%
Yield	1		0.1	%	305		4.1	%
Other2	22		1.4	%	2,157		29.2	%
Total investment funds – related parties	1,538		100.0	%	7,391		100.0	%
Investment funds owned by consolidated VIEs
Strategic origination platforms	2,883		30.4	%	264		20.3	%
Strategic insurance platforms	554		5.8	%	—		—	%
Apollo and other fund investments
Equity	2,575		27.1	%	229		17.7	%
Hybrid	2,154		22.7	%	56		4.3	%
Yield	1,288		13.6	%	748		57.7	%
Other	40		0.4	%	—		—	%
Total investment funds owned by consolidated VIEs	9,494		100.0	%	1,297		100.0	%
Total investment funds including related party and funds owned by consolidated VIEs	$	11,165			$	9,866
Note: During 2022, we contributed the majority of our investment funds to Apollo Aligned Alternatives, L.P. (AAA), which we consolidate as a VIE. See Note 10 – Related Parties for further information on AAA.
1 Certain reclassifications have been made to conform with current year presentation.
2 Includes our investment in Apollo held as of December 31, 2021.

Non-Consolidated Securities and Investment Funds

Fixed maturity securities – We invest in securitization entities as a debt holder or an investor in the residual interest of the securitization vehicle. These entities are deemed VIEs due to insufficient equity at risk within the structure and lack of control by the equity investors over the activities that significantly impact the economics of the entity. In general, we are a debt investor within these entities and, as such, hold a variable interest; however, due to the debt holders’ lack of ability to control the decisions within the securitization entity that significantly impact the entity, and the fact the debt holders are protected from losses due to the subordination of the equity tranche, the debt holders are not deemed the primary beneficiary. Securitization vehicles in which we hold the residual tranche are not consolidated because we do not unilaterally have substantive rights to remove the general partner, or when assessing related party interests, we are not under common control, as defined by GAAP, with the related party, nor are substantially all of the activities conducted on our behalf; therefore, we are not deemed the primary beneficiary. Debt investments and investments in the residual tranche of securitization entities are considered debt instruments and are held at fair value on the balance sheets and classified as AFS or trading.

Investment funds – Investment funds include non-fixed income, alternative investments in the form of limited partnerships or similar legal structures.

Equity securities – We invest in preferred equity securities issued by entities deemed to be VIEs due to insufficient equity at risk within the structure.

Our risk of loss associated with our non-consolidated investments depends on the investment. Investment funds, equity securities and trading securities are limited to the carrying value plus unfunded commitments. AFS securities are limited to amortized cost plus unfunded commitments.

The following summarizes the carrying value and maximum loss exposure of these non-consolidated investments:

	Successor				Predecessor
	June 30, 2022				December 31, 2021
(In millions)	Carrying Value		Maximum Loss Exposure		Carrying Value		Maximum Loss Exposure
Investment funds	$	133	$	217	$	1,178	$	1,792
Investment in related parties – investment funds	1,538		1,776		7,391		10,922
Assets of consolidated VIEs – investment funds	9,494		15,121		1,297		1,647
Investment in fixed maturity securities	31,507		35,103		31,769		31,622
Investment in related parties – fixed maturity securities	8,846		9,313		11,324		12,681
Investment in related parties – equity securities	163		163		284		284
Total non-consolidated investments	$	51,681	$	61,693	$	53,243	$	58,948

Concentrations—The following represents our investment concentrations in excess of 10% of shareholders’ equity:

	Successor		Predecessor
(In millions)	June 30, 2022		December 31, 2021
Athene Freedom1	$	1,323	$	3,119
Athora1	975		N/A
PK AirFinance1	932		N/A
AP Tundra	918		N/A
SoftBank Vision Fund II	816		N/A
Cayman Universe	794		N/A
AOP Finance	735		N/A
AA Infrastructure	627		N/A
MidCap Financial1	553		N/A
Tiger Global	531		N/A
Bank of America	530		N/A
Venerable1	502		N/A
Morgan Stanley	495		N/A
Towd Point	476		N/A
AA Warehouse	443		N/A
Apollo Rose II (B), L.P.2	437		N/A
AT&T	418		N/A
JP Morgan Chase	406		N/A
FWD Group	400		N/A
HWIRE	397		N/A
Mileage Plus	391		N/A
Comcast	386		N/A
1 Related party amounts are representative of single issuer risk and may only include a portion of the total investments associated with a related party. See further discussion of these related parties in Note 10 – Related Parties.
2 Represents a consolidated VIE investment in which an underlying investment includes a single issuer exceeding concentration threshold.
N/A – Not applicable as investment did not meet single issuer concentration threshold for the period.