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Investments

6 Months Ended

Jun. 30, 2023

Schedule of Investments [Abstract]

Investments

4. 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:

			June 30, 2023
(In millions)			Amortized Cost						Allowance for Credit Losses						Gross Unrealized Gains						Gross Unrealized Losses						Fair Value
AFS securities
US government and agencies			$	5,564					$	—					$	3					$	(746)					$	4,821
US state, municipal and political subdivisions			1,301						—						—						(247)						1,054
Foreign governments			1,285						(27)						9						(259)						1,008
Corporate			80,329						(73)						130						(12,976)						67,410
CLO			19,320						(3)						174						(970)						18,521
ABS			12,169						(35)						17						(801)						11,350
CMBS			5,064						(6)						11						(569)						4,500
RMBS			7,210						(377)						185						(530)						6,488
Total AFS securities			132,242						(521)						529						(17,098)						115,152
AFS securities – related parties
Corporate			1,401						—						—						(58)						1,343
CLO			3,980						—						21						(195)						3,806
ABS			8,588						(1)						17						(346)						8,258
Total AFS securities – related parties			13,969						(1)						38						(599)						13,407
Total AFS securities including related parties			$	146,211					$	(522)					$	567					$	(17,697)					$	128,559

			December 31, 2022
(In millions)			Amortized Cost						Allowance for Credit Losses						Gross Unrealized Gains						Gross Unrealized Losses						Fair Value
AFS securities
US government and agencies			$	3,333					$	—					$	—					$	(756)					$	2,577
US state, municipal and political subdivisions			1,218						—						—						(291)						927
Foreign governments			1,207						(27)						3						(276)						907
Corporate			74,644						(61)						92						(13,774)						60,901
CLO			17,722						(7)						115						(1,337)						16,493
ABS			11,447						(29)						15						(906)						10,527
CMBS			4,636						(5)						6						(479)						4,158
RMBS			6,775						(329)						64						(596)						5,914
Total AFS securities			120,982						(458)						295						(18,415)						102,404
AFS securities – related parties
Corporate			1,028						—						1						(47)						982
CLO			3,346						(1)						10						(276)						3,079
ABS			6,066						—						3						(309)						5,760
Total AFS securities – related parties			10,440						(1)						14						(632)						9,821
Total AFS securities including related parties			$	131,422					$	(459)					$	309					$	(19,047)					$	112,225

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

			June 30, 2023
(In millions)			Amortized Cost						Fair Value
AFS securities
Due in one year or less			$	1,701					$	1,662
Due after one year through five years			15,322						14,243
Due after five years through ten years			22,000						18,953
Due after ten years			49,456						39,435
CLO, ABS, CMBS and RMBS			43,763						40,859
Total AFS securities			132,242						115,152
AFS securities – related parties
Due after one year through five years			889						864
Due after five years through ten years			131						128
Due after ten years			381						351
CLO and ABS			12,568						12,064
Total AFS securities – related parties			13,969						13,407
Total AFS securities including related parties			$	146,211					$	128,559

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 parties, 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:

			June 30, 2023
			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			$	2,092					$	(51)					$	2,365					$	(695)					$	4,457					$	(746)
US state, municipal and political subdivisions			116						(4)						898						(243)						1,014						(247)
Foreign governments			137						(2)						829						(256)						966						(258)
Corporate			14,711						(729)						47,967						(12,225)						62,678						(12,954)
CLO			1,150						(18)						12,364						(910)						13,514						(928)
ABS			4,147						(131)						4,363						(573)						8,510						(704)
CMBS			819						(24)						1,670						(443)						2,489						(467)
RMBS			754						(22)						1,798						(263)						2,552						(285)
Total AFS securities			23,926						(981)						72,254						(15,608)						96,180						(16,589)
AFS securities – related parties
Corporate			732						(25)						361						(32)						1,093						(57)
CLO			479						(27)						2,310						(167)						2,789						(194)
ABS			3,840						(159)						2,059						(176)						5,899						(335)
Total AFS securities – related parties			5,051						(211)						4,730						(375)						9,781						(586)
Total AFS securities including related parties			$	28,977					$	(1,192)					$	76,984					$	(15,983)					$	105,961					$	(17,175)

			December 31, 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			$	2,539					$	(756)					$	—					$	—					$	2,539					$	(756)
US state, municipal and political subdivisions			911						(291)						—						—						911						(291)
Foreign governments			891						(275)						—						—						891						(275)
Corporate			58,256						(13,773)						—						—						58,256						(13,773)
CLO			13,486						(1,277)						—						—						13,486						(1,277)
ABS			8,119						(801)						—						—						8,119						(801)
CMBS			2,650						(427)						—						—						2,650						(427)
RMBS			2,621						(365)						—						—						2,621						(365)
Total AFS securities			89,473						(17,965)						—						—						89,473						(17,965)
AFS securities – related parties
Corporate			619						(47)						—						—						619						(47)
CLO			2,752						(273)						—						—						2,752						(273)
ABS			5,487						(308)						—						—						5,487						(308)
Total AFS securities – related parties			8,858						(628)						—						—						8,858						(628)
Total AFS securities including related parties			$	98,331					$	(18,593)					$	—					$	—					$	98,331					$	(18,593)

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

			June 30, 2023
			Unrealized loss position						Unrealized loss position 12 months or more
AFS securities			9,345						7,580
AFS securities – related parties			190						113

The unrealized losses on AFS securities can primarily be attributed to changes in market interest rates since the application of pushdown accounting or acquisition. We did not recognize the unrealized losses in income, unless as required for hedge accounting, 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 including purchased credit deteriorated (PCD) securities by asset type:

			Three months ended June 30, 2023
									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			$	27					$	—					$	—					$	—																													$	—					$	27
Corporate			79						—						—						—																														(6)						73
CLO			4						—						—						—																														(1)						3
ABS			31						1						—						—																														3						35
CMBS			5						2						—						—																														(1)						6
RMBS			356						8						11						(4)																														6						377
Total AFS securities			502						11						11						(4)																														1						521
AFS securities – related parties
CLO			1						—						—						—																														(1)						—
ABS			—						1						—						—																														—						1
Total AFS securities – related parties			1						1						—						—																														(1)						1
Total AFS securities including related parties			$	503					$	12					$	11					$	(4)																													$	—					$	522

			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 parties			$	488					$	43					$	1					$	(9)																													$	106					$	629

			Six months ended June 30, 2023
									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			$	27					$	—					$	—					$	—																													$	—					$	27
Corporate			61						21						—						(6)																														(3)						73
CLO			7						1						—						—																														(5)						3
ABS			29						1						—						—																														5						35
CMBS			5						3						—						—																														(2)						6
RMBS			329						11						39						(8)																														6						377
Total AFS securities			458						37						39						(14)																														1						521
AFS securities – related parties
CLO			1						—						—						—																														(1)						—
ABS			—						1						—						—																														—						1
Total AFS securities – related parties			1						1						—						—																														(1)						1
Total AFS securities including related parties			$	459					$	38					$	39					$	(14)																													$	—					$	522

			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 parties
CLO			—						3						—						—																														16						19
ABS			—						18						—						—																														(17)						1
Total AFS securities – related party			—						21						—						—																														(1)						20
Total AFS securities including related parties			$	311					$	222					$	1					$	(17)																													$	112					$	629

Net Investment Income—Net investment income by asset class consists of the following:

			Three months ended June 30,												Six months ended June 30,
(In millions)			2023						2022						2023						2022
AFS securities			$	1,649					$	932					$	3,118					$	1,808
Trading securities			44						49						86						112
Equity securities			25						9						40						24
Mortgage loans			543						297						990						534
Investment funds			29						104						72						408
Funds withheld at interest			453						476						882						813
Other			219						48						409						90
Investment revenue			2,962						1,915						5,597						3,789
Investment expenses			(245)						(189)						(473)						(380)
Net investment income			$	2,717					$	1,726					$	5,124					$	3,409

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

			Three months ended June 30,												Six months ended June 30,
(In millions)			2023						2022						2023						2022
AFS securities1
Gross realized gains on investment activity			$	141					$	217					$	324					$	320
Gross realized losses on investment activity			(112)						(832)						(216)						(1,242)
Net realized investment gains (losses) on AFS securities			29						(615)						108						(922)
Net recognized investment gains (losses) on trading securities			(32)						(161)						32						(368)
Net recognized investment losses on equity securities			(13)						(271)						(31)						(248)
Net recognized investment gains (losses) on mortgage loans			(204)						(1,099)						73						(1,895)
Derivative gains (losses)			421						(3,932)						1,414						(6,973)
Provision for credit losses			(111)						(172)						(177)						(364)
Other gains			276						499						12						807
Investment related gains (losses)			$	366					$	(5,751)					$	1,431					$	(9,963)
1 Includes the effects of recognized gains or losses on AFS securities associated with designated hedges.

Proceeds from sales of AFS securities were $2,054 million and $1,614 million for the three months ended June 30, 2023 and 2022, respectively, and $3,194 million and $5,785 million for the six months ended June 30, 2023 and 2022, respectively.

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

			Three months ended June 30,												Six months ended June 30,
(In millions)			2023						2022						2023						2022
Trading securities			$	(23)					$	(160)					$	40					$	(349)
Trading securities – related parties			(4)						(3)						(1)						(7)
Equity securities			(7)						(255)						3						(238)
Equity securities – related parties			4						(8)						(7)						(13)

Repurchase Agreements—The following table summarizes the remaining contractual maturities of our repurchase agreements, which are included in payables for collateral on derivatives and securities to repurchase on the condensed consolidated balance sheets:

(In millions)			June 30, 2023						December 31, 2022
Less than 30 days			$	2,071					$	608
30-90 days			1,324						1,268
Greater than 1 year			2,866						2,867
Payables for repurchase agreements			$	6,261					$	4,743

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

			June 30, 2023												December 31, 2022
(In millions)			Amortized Cost						Fair Value						Amortized Cost						Fair Value
AFS securities
US government and agencies			$	2,307					$	1,792					$	2,559					$	1,941
Foreign governments			141						103						146						107
Corporate			3,923						3,197						1,940						1,605
CLO			267						260						273						261
ABS			1,216						1,076						1,243						1,082
Total securities pledged under repurchase agreements			$	7,854					$	6,428					$	6,161					$	4,996

Reverse Repurchase Agreements—As of June 30, 2023 and December 31, 2022, amounts loaned under reverse repurchase agreements were $891 million and $1,640 million, respectively, and the fair value of the collateral, comprised primarily of commercial and residential mortgage loans, was $1,375 million and $1,753 million, respectively.

Mortgage Loans, including related parties and consolidated 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 7 – 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:

(In millions)			June 30, 2023						December 31, 2022
Commercial mortgage loans			$	23,891					$	21,061
Commercial mortgage loans under development			966						790
Total commercial mortgage loans			24,857						21,851
Mark to fair value			(1,986)						(1,743)
Commercial mortgage loans			22,871						20,108
Residential mortgage loans			16,265						11,802
Mark to fair value			(1,059)						(1,099)
Residential mortgage loans			15,206						10,703
Mortgage loans			$	38,077					$	30,811

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:

			June 30, 2023												December 31, 2022
(In millions, except for percentages)			Fair Value						Percentage of Total						Fair Value						Percentage of Total
Property type
Office building			$	4,426					19.4		%				$	4,651					23.1		%
Retail			1,666						7.3		%				1,454						7.2		%
Apartment			8,217						35.9		%				6,692						33.3		%
Hotels			2,138						9.3		%				1,855						9.2		%
Industrial			2,609						11.4		%				2,047						10.2		%
Other commercial			3,815						16.7		%				3,409						17.0		%
Total commercial mortgage loans			$	22,871					100.0		%				$	20,108					100.0		%
US region
East North Central			$	1,471					6.4		%				$	1,437					7.1		%
East South Central			429						1.9		%				413						2.1		%
Middle Atlantic			5,960						26.1		%				5,183						25.8		%
Mountain			987						4.3		%				898						4.5		%
New England			1,123						4.9		%				1,076						5.4		%
Pacific			4,231						18.5		%				3,781						18.8		%
South Atlantic			3,802						16.6		%				2,756						13.7		%
West North Central			203						0.9		%				231						1.1		%
West South Central			1,034						4.5		%				1,085						5.4		%
Total US region			19,240						84.1		%				16,860						83.9		%
International region
United Kingdom			2,167						9.5		%				1,898						9.4		%
Other international1			1,464						6.4		%				1,350						6.7		%
Total international region			3,631						15.9		%				3,248						16.1		%
Total commercial mortgage loans			$	22,871					100.0		%				$	20,108					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:

			June 30, 2023						December 31, 2022
US States
California			28.6		%				28.9		%
Florida			10.7		%				9.7		%
New York			6.4		%				5.6		%
New Jersey			5.3		%				5.3		%
Texas			5.1		%				4.3		%
Arizona			4.5		%				5.1		%
Other1			28.8		%				27.4		%
Total US residential mortgage loan percentage			89.4		%				86.3		%
International
United Kingdom			4.4		%				5.4		%
Other2			6.2		%				8.3		%
Total international residential mortgage loan percentage			10.6		%				13.7		%
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 6 – 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 parties and consolidated VIEs:

			June 30, 2023												December 31, 2022
(In millions, except for percentages)			Carrying value						Percent of total						Carrying value						Percent of total
Investment funds
Equity			$	89					72.4		%				$	46					58.2		%
Hybrid			24						19.5		%				32						40.5		%
Other			10						8.1		%				1						1.3		%
Total investment funds			123						100.0		%				79						100.0		%
Investment funds – related parties
Strategic origination platforms			43						2.6		%				34						2.2		%
Strategic insurance platforms			1,315						80.4		%				1,259						80.2		%
Apollo and other fund investments
Equity			252						15.4		%				246						15.7		%
Yield			6						0.4		%				5						0.3		%
Other			20						1.2		%				25						1.6		%
Total investment funds – related parties			1,636						100.0		%				1,569						100.0		%
Investment funds – consolidated VIEs
Strategic origination platforms			5,094						36.1		%				4,829						38.7		%
Strategic insurance platforms			513						3.6		%				529						4.2		%
Apollo and other fund investments
Equity			2,887						20.5		%				2,640						21.2		%
Hybrid			3,582						25.4		%				3,112						24.9		%
Yield			1,374						9.7		%				1,044						8.4		%
Other			659						4.7		%				326						2.6		%
Total investment funds – consolidated VIEs			14,109						100.0		%				12,480						100.0		%
Total investment funds including related parties and funds owned by consolidated VIEs			$	15,868											$	14,128

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 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 trust 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 US GAAP, with the related parties, 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 sheet 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 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:

			June 30, 2023												December 31, 2022
(In millions)			Carrying Value						Maximum Loss Exposure						Carrying Value						Maximum Loss Exposure
Investment funds			$	123					$	562					$	79					$	340
Investment in related parties – investment funds			1,636						2,374						1,569						2,253
Assets of consolidated VIEs – investment funds			14,109						20,804						12,480						20,278
Investment in fixed maturity securities			41,220						44,604						37,454						40,992
Investment in related parties – fixed maturity securities			12,931						16,136						9,717						10,290
Investment in related parties – equity securities			313						313						279						279
Total non-consolidated investments			$	70,332					$	84,793					$	61,578					$	74,432

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

(In millions)			June 30, 2023
AT&T Inc.			$	1,509
PK AirFinance1			1,445
Wheels Donlen1			1,437
MFI Investments			1,362
Athora1			1,308
Atlas1			1,004
AP Tundra			877
(In millions)			December 31, 2022
Wheels Donlen1			$	1,288
Athora1			1,232
PK AirFinance1			999
AP Tundra			896
MFI Investments			878
SoftBank Vision Fund II			789
MidCap1			788
Cayman Universe			756
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 13 – Related Parties.

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The entire disclosure for investment.

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Topic 320
-Name Accounting Standards Codification
-Publisher FASB
-URI https://asc.fasb.org//320/tableOfContent

Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef
-Name Accounting Standards Codification
-Topic 321
-Publisher FASB
-URI https://asc.fasb.org//321/tableOfContent

Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef
-Name Accounting Standards Codification
-Topic 325
-Publisher FASB
-URI https://asc.fasb.org//325/tableOfContent

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