ap alternative assets, l.p. q4 & full year 2011 results...

AP Alternative Assets, L.P. Q4 & Full Year 2011 Results Presentation – February 10, 2012

It should not be assumed that investments made in the future will be profitable or will equal the performance of investments in this document.

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1. Overview of AP Alternative Assets

2. Strategic Objectives

3. Actions

4. Portfolio Overview

5. Private Equity Portfolio Update

6. Capital Markets Portfolio Update

7. Overview of Valuation Process

8. Summary of Q4 & Full Year 2011 Financial Results

9. Appendix: I. Capital Structure UpdateII. Athene: Adjusted Net Income DisclosuresIII. Athene: Asset Performance Disclosures

Agenda

2

AP Alternative Assets, L.P.

AP Alternative Assets, L.P. (“AAA”) is a publicly listed vehicle traded on NYSE Euronext Amsterdam which provides investors access to Apollo’s value-oriented, contrarian investment strategy through its globally integrated private equity, credit oriented capital markets and real estate investment platform.

3

What is AP Alternative Assets?

Experienced Investment Manager

An investor in alternative assets focused on capital markets, private equity and opportunistic investing …

AAA’s investment manager is a subsidiary of Apollo Global Management, LLC (together with its subsidiaries, “Apollo”)

Apollo is a global leader in private equity, capital markets and real estate investing

More than $75 billion of assets under management

201 experienced investment professionals

Allocation decisions among asset classes directed by founding partners

Positioning in the Current

Environment

Shareholder Structure

8.7% owned by Apollo and its employees

25% of net carry reinvested in AAA units

No layering of fund fees; No fees on cash

Publicly traded on NYSE Euronext Amsterdam

Capital Markets

Capital Markets: Vehicles with a range of investment objectives (distressed, mezzanine, leveraged loans)

Investments in four Apollo capital markets funds: − Apollo Strategic Value Fund− AP Investment Europe− Apollo Asia Opportunity Fund− Apollo European Principal Finance Fund

Private Equity

Private Equity (50% over time): Traditional, distressed and corporate partner buyouts

Co-invested alongside Apollo Investment Fund VI and Fund VII 17 portfolio companies and 6 debt investment vehicles

Opportunistic

Athene Holding Ltd. (fixed annuity reinsurance) GSS (UK real estate asset)

Note: All figures shown are as of December 31, 2011, unless otherwise noted.

Long-term investment horizon

Our manager is proactively working with the private equity portfolio companies to steer businesses through the current environment

Managing capital market portfolios to minimize risk and maximize liquidity

Building new businesses to take advantage of unique opportunities in the present environment

With a diversified investment portfolio…

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May 2010• On-market

buyback program commences –135,167 units purchased

May 2010• On-market

buyback program commences –135,167 units purchased

AAA Timeline

Q2 2006 Today

June 2006• AAA operations

commence• Begins making

private equity and capital markets investments

June 2006• AAA operations

commence• Begins making

private equity and capital markets investments

August 2006• AAA IPO

August 2006• AAA IPO

June 2007• $900M Revolving

Credit Facility closes

June 2007• $900M Revolving

Credit Facility closes

January 2008• IPO proceeds fully

“invested”; begin using credit facility

January 2008• IPO proceeds fully

“invested”; begin using credit facility

March 2008• Debt investment

strategy begins

March 2008• Debt investment

strategy begins

December 2009• Private equity co-

investment agreement amended. Stopped investing in private equity investments – except for follow-on opportunities with existing investments

December 2009• Private equity co-

investment agreement amended. Stopped investing in private equity investments – except for follow-on opportunities with existing investments

July 2009• Begin investing in

Athene

July 2009• Begin investing in

Athene

August 2010• Tender offer

completed for 6,777,308 units

August 2010• Tender offer

completed for 6,777,308 units

November 2011• Board approves

$50M buyback program

November 2011• Board approves

$50M buyback program

October 2011• Received

Investment grade Credit rating from S&P

October 2011• Received

Investment grade Credit rating from S&P

December 2011• Credit facility

amended to $402.5 term facility

December 2011• Credit facility

amended to $402.5 term facility

2007 2008 2009 2010 2011

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Opportunistic1%

Capital Markets45%

Private Equity54%

Portfolio Summary (As of December 31, 2011)(1)

(1) Capital markets includes direct investments in capital markets funds and indirect investments via Athene.(2) Prospectus is publicly available on AAA’s website at: http://www.apolloalternativeassets.com/PDF/prospectus.pdf

Private Equity Opportunistic

Athene(Capital Markets

Indirect)Capital Markets

(Direct)

December 31, 2011 54% 1% 25% 20%

Private Equity54%

Hedge Fund10%

Mezzanine Funds

6%

Non-Performing

Loans4%

Athene25%

Opportunistic Investment

(Real Estate)1%

Overview of AAA Today(2)

Capital Markets45%

Cap. Markets Detail (As of December 31, 2011)(1)

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Unit Price and NAV per Unit Over Time

0.00

2.50

5.00

7.50

10.00

12.50

15.00

17.50

20.00

22.50

25.00

$27.50

8-Aug-06 14-Sep-07 20-Oct-08 26-Nov-09 2-Jan-11 9-Feb-12

Share Price (LHS) NAVPS (LHS)

$16.41

$9.75

AAA currently(1) trades at $9.75 or 0.59x P / NAV

Average DiscountCurrent 6-Month 1-Year 3-Year Life

AAA 41% 47% 43% 52% 42%

While AAA has traded at a discount to NAV since mid-2007, its unit price movements generally track NAV

We believe that NAV growth should continue to drive AAA unit price higher

(1) As of February 9, 2012. Past performance is not indicative of future results. (2) Graph reflects daily market price while NAV is only determined on a monthly basis.

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Significant Gap between Book Value and Market Value($ in millions, except per share data) As of

December 31, 2011Enterprise Value at Market PriceShares Outstanding (millions) 90.18(×) Market Price per Unit (Feb. 9, 2012) $9.75(=) Market Cap. $879(+) Debt 403(=) Enterprise Value (Market Cap. + Debt) $1,282

Fundamental Value(A) Cash $230

(+) Charter (559k shares at $58.79 + warrants, as of Feb. 9, 2012) 34(+) Lyondell (1.5m shares at $44.58, as of Feb. 9, 2012) 67(B) Subtotal: Saleable Public Securities $101

(A+B = C) Liquid Value $331

Athene $431(+) Private Equity (excluding Charter and Lyondell) 820(+) Capital Markets 332(+) Other Investments 12(= D) Investment Value $1,595

Total Fundamental Value (C + D) $1,926

Net Gap in Market ValueTotal Fundamental Value $1,926(-) Enterprise Value (1,282)Net Gap in Market Value $644Net Gap in Market Value per Unit $7.14

There is approximately $640 million of enterprise

value (or $7.14 per unit)

that the current market price is not

reflecting

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3. Actions







Agenda

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Strategic Goals

1. Long-Term NAV per Unit Growth

2. Narrowing the Discount between NAV per unit and trading price per unit

3. Managing Liquidity and the Capital Structure

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Balancing Key Objectives

There are trade-offs to consider between achieving long-term NAV per unit growth and taking certain actions to narrow the trading discount

Considerations include:

1. Capital structure / liquidity implications

2. Long-term returns implications

3. Strategic implications

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Using AAA’s Cash for Buybacks in Effort to Narrow Discount

Narrow Trading Discount

through opportunistic buybacks

Pros

• At any discount to NAV, buybacks are accretive to NAV per unit

• At certain trading discounts AND in certain circumstances, long-term returns associated with buybacks outweigh long-term returns of other alternatives

• Buybacks send a message to the market about AAA’s view of value (“putting money where our mouth is”)

Cons

• Buybacks reduce AAA’s cash / balance sheet liquidity

• Buybacks reduce the borrowing base under AAA’s credit facility

• Buybacks reduce public float and may reduce trading liquidity

• No certainty buybacks will sustainably reduce discount

Illustrative Example: Buyback versus Other Investment

The table below illustrates the five-year impact on NAV of a $100 million buyback at various discounts to NAV versus a $100 million investment at various IRRs

($ in millions, except per share data) Illustrative NAV per Share

Today Year 1 Year 2 Year 3 Year 4 Year 5

$100m buyback(1):

20% Discount to NAV $20.00 $20.27 $20.27 $20.27 $20.27 $20.2740% Discount to NAV 20.00 20.73 20.73 20.73 20.73 20.73

$100m investment at various returns(1):

15% IRR $20.00 $20.12 $20.26 $20.42 $20.60 $20.8125% IRR 20.00 20.20 20.45 20.76 21.15 21.6435% IRR 20.00 20.28 20.66 21.17 21.86 22.79

(1) For illustrative purposes, assumes remaining NAV is uninvested and value remains constant.

Assumptions:Initial NAV $2,000 NAV / Unit (Initial) $20.00Units 100 % Discount to NAV 20.0%

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3. Actions







Agenda

Announcement of Tender Offer

TODAY, based on the current trading discount, we believe that investing in AAA’s own units will generate the best long term return to shareholders versus alternative opportunities and we believe it is the best use of our available cash

On this basis, AAA is today announcing a tender offer for up to $25 million of AAA’s units (which AAA may increase up to $50 million at its discretion)

The tender will be conducted as a modified “Dutch Auction” with investors able to tender their units at prices ranging from $9.20 to $10.70 per unit

Additional details are available in today's press release as well as on AAA’s website(1)

(1) Please refer to http://www.apolloalternativeassets.com/ 14

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Actions Completed since September 30, 2011

$50 million tender / unit buyback

program (pending)

$33 million available for future buybacks,

investments, and other uses

Cash# Action Timing Impact ($mm) Comment

LIQUIDITY ACTIONS

1 Sale of 75% of CHTR Q4 2011 $91

2 Liquidation of interest in Senior Loan Fund Q4 2011 $26

3 Partial liquidation of interest in SVF Q4 2011 $10

4 Partial liquidation of interest in AOF Q4 2011 $9

5 Partial liquidation of interest in AIE Q4 2011 $4

Subtotal $140

INVESTMENTS

1 Athene Q4 2011 ($57) Outstanding commitment of $43 million

Subtotal ($57)

Announced Actions: Net Liquidity Impact $83

Memo: cash balance (as of February 8, 2012) $228

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Future Planned Actions

There is no assurance these actions will be achieved or will be achieved in the timeframe indicated.

Estimated Cash# Action Timing Impact ($mm) Comment

LIQUIDITY ACTIONS

1 Sale of EPF commitment Q1 2012E $35 Final stages of discussions with several parties2 Liquidation and redeployment of AOF 2012E $48 Expected pro-forma commitment of $50 million3 Liquidation of remaining interest in AIE 2012E $21 Expected to occur in 2012

Subtotal $104

INVESTMENTS

1 Athene 2012E ($43) AAA remaining commitmentSubtotal ($43)

Future Planned Actions: Net Liquidity Impact $61

Memo: Liquidation of remaining SVF positions 2012+ $165 Positions to be liquidated over near- to medium-term

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Clear Message

WE ARE COMMITTED TO NARROWING THE DISCOUNT

1. Announced a significant tender offer

2. Modified the carry reinvestment policy

– Apollo will reinvest its carry by purchasing existing AAA units in the open market

3. Enhanced investor relations activities

– Improved disclosure, investor roadshows, and other initiatives

– Appointment of Gernot Lohr as Strategic Development Officer of AAA

4. Intend to appoint JPMorgan as AAA’s corporate broker

5. Considering suspension of tax distributions and using cash for unit buybacks instead

6. We intend to buy back units on an on-going basis:

i. When we have sufficient liquidity

ii. When market conditions allow

iii. When window periods allow

iv. When we believe purchasing units represents the best long term return to shareholders versus alternative opportunities

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3. Actions







Agenda

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Portfolio Overview

(1) Represents GP interest in AAA Investments and other assets / liabilities.

AAA: Investments schedule

($ in millions) As of December 31, 2011

Cash $230

Private Equity (incl. Lyondell and Charter) 904

Capital Markets 332

Athene 431

Other (1) (14)

Asset Value $1,883

Less: Debt (403)

Net Asset Value ("NAV") $1,480Market Cap. (February 9, 2012) $879Discount to NAV (41%)

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Portfolio Overview: Private Equity

(1) Although an S-1 registration statement has been filed with the SEC, no assurance can be given as to whether or when the company’s shares will be publicly traded.* Measured on a fair-value basis.

($ in millions)

Fair ValuePortfolio Company Company Description (Headquarters) Publicly Traded (Dec. 31, 2011) *

1 Caesars Entertainment Diversified casino entertainment provider (USA) Yes

2 Charter Communications Fourth-largest cable operator in the United States (USA) Yes

3 LyondellBasell Industries Third-largest independent chemical company in the world (Netherlands) Yes $333

4 Noranda Aluminum Integrated producer of value-added primary aluminum products (USA) Yes

5 Verso Paper Supplier of coated papers to catalog and magazine publishers (USA) Yes

6 Quoted Debt Yes

7 Aleris International Manufacturer of aluminum and other metal alloy products (USA) No, but S-1 filed

8 Momentive Specialty chemicals and materials manufacturer (USA) No, but S-1 filed $295

9 NCL Corporation Contemporary cruise line operator (USA) No, but S-1 filed

10 Rexnord Diversified, multi-platform industrial company (USA) No, but S-1 filed

11 Berry Plastics Manufacturer of plastic packaging, adhesives and coated products (USA) No

12 CEVA Logistics Provider of various logistics services (Netherlands) No

13 Claire's Stores Specialty accessories and jewelry retailer (USA) No

14 Countrywide plc Residential real estate agency and property services provider (UK) No

15 Jacuzzi Brands Provider of branded home water comfort and therapy products (USA) No $276

16 Prestige Cruise Holdings Upscale cruise line operator (USA) No

17 Realogy Corporation Residential real estate and relocation services provider (USA) No

18 Smart & Final Operator of warehouse and wholesale cash-and-carry stores (USA) No

19 Skylink Provider of government and other air charter services (Canada) No

20 Sprouts Specialty food retailer (USA) No

TOTAL PRIVATE EQUITY $904

Skylink

1

1

1

1

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Portfolio Overview: Capital Markets

($ in millions)

Date Fair ValueFund of Inception Fund Family Fund Strategy (Dec. 31, 2011)

1 Apollo Strategic Value Fund June 2006 Event-Driven & Distressed

Value investments in securities of leveraged companies in North America and Europe

$165

2 Apollo Asia Opportunity Fund February 2007 Event-Driven & Distressed

Invests in public and private securities of Asian (excluding Japan) companies across the capital structure, focusing on China, India, Southeast Asia and Australia

$86

3 Apollo European Principal Finance Fund

July 2007 Non-Performing Loans European non-performing loans (loans held by financial institutions that are in default of principal or interest payments for 90 days or more)

$60

4 AP Investment Europe Limited July 2006 Mezzanine Secured and unsecured loans, bonds and equity, primarily in Europe

$21

TOTAL CAPITAL MARKETS $332

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Athene Holding Ltd. (“Athene” or the Company) is a Bermuda holding company founded in July 2009 to capitalize on favorable market conditions in the dislocated life insurance sector

Athene’s business model is effectively a spread lending business: its subsidiaries earn the difference between the investment return of assets and the credited rate on annuity liabilities

Athene’s return on equity benefits from embedded leverage: Athene holdsroughly 7%-10% capital to reserves at its subsidiaries, which is consistentwith highly rated insurance companies (Athene Holding is not rated)

Since its founding in 2009, Athene’s net assets(4) have grown to approximately $8.5 billion, supported by $7.8 billion of reserves and $0.7 billion of capital and surplus as of 12/31/2011

Athene is led by Jim Belardi (former President of SunAmerica Life Insurance Company and EVP and CIO of AIG Retirement Services, Inc)

Description of Athene Investment Overview

Financial Summary Valuation Summary

Portfolio Overview: Athene

Target IRR(1) = 25%

Target MOIC(1) = 3.0x

Expected hold period: 5 to 7 years from initial investment (2009)(2)

Expected exit form: initial public offering (“IPO”) or strategic sale(3)

AAA ownership: 59%

(1) The target IRR and target MOIC are presented gross and do not reflect the effect of management fees, incentive compensation, certain expensesor taxes. The target IRR and target MOIC were calculated using certain assumptions, which include recent performance data, current marketconditions and an exit at the end of 2015. Apollo gives no assurance that targeted returns will be achieved or as to the adequacy of the methodologyused to estimate such returns. Actual returns may vary significantly.

(2) Liquidity could come sooner subject to market conditions and other factors. However, there can be no assurance as to whether or when liquidity canbe achieved.

(3) Subject to market conditions and other factors. There can be no assurance these liquidity events can be achieved.(4) Assets shown are net of assets which are fully hedged pursuant to a total return swap. Capital and surplus shown is net of minority equity.

($ in millions)

Cost

Allocated Capital

(12/31/2011)(5)Fair Value

(12/31/2011)(6)Fair Value /

Book Value(6)

Apollo Life Re Ltd. $358 $374 $431 1.15 x

(5) Cost plus accrued earnings and additional statutory reserve capital held against liabilities.(6) Valuation based on discounted cash flow model; valuation multiple (i.e. price to book) is consistent with that of publicly traded

insurance companies with similar ROEs.(7) Please refer to important disclosures regarding the reconciliation of net income (loss) set forth on Athene Appendix A.

($ in millions)Dec. 31, 2009 Dec. 31, 2010 Dec. 31, 2011E

(unaudited)Net Assets(4) $856 $1,918 $8,456

Reserves $748 $1,573 $7,795Capital 108 345 621Surplus Note 0 0 40

Total liabilities and equity $856 $1,918 $8,456

Capital & Surplus/Reserves 14.4% 21.9% 8.5%

Adj. Net Income(7) $17 $40 $102Return on Avg. Equity n/a 18% 21%

(not prepared in accordance with U.S. GAAP)

23

Athene: Performance at a Glance

Net Admitted Assets Net Admitted Asset Portfolio BreakdownAsset Performance History

CAG

R = 21

4% Athene has grown net admitted assets to

approximately $8.5 billion as of year-end 2011 consistent with prior page

Historical growth driven by: (i) organic growth, and (ii) strategic transactions and acquisitions in 2011, including:

Athene Annuity & Life Assurance Company (formerly Liberty Life Insurance Company)

Investor Insurance Corporation

Athene also has a robust pipeline of strategic opportunities to drive further growth in the future

Since inception, Athene’s asset portfolio has had strong performance since inception relative to the leading fixed income index

Athene’s asset management team has a flexible mandate that allows it to take advantage of market opportunities by investing in assets that have similar credit quality to, but may provide higher returns than, assets typically found in a life insurance company asset portfolio

In addition, Athene benefits from its strategic relationship with Apollo and access to Apollo’s senior investment team

7.3%

11.7%

5.7%

11.1%

4.0%

6.6% 6.7%

7.7%7.9%

15.8%

9.9%

(1.1%)(2.0%)

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

2009 2010 2011 SinceInception

Ann

ual r

etur

n

Athene asset returns Barclays aggregate index 10 year treasury

Athene’s net admitted assets are invested in a conservative and well diversified portfolio of primarily highly liquid and highly-rated securities

Average portfolio rating of the highest designation by the SVO(2)

Average portfolio S&P rating of BBB+

Target asset allocation of 35-40% to investment grade corporate bonds, municipal bonds, commercial whole loans, and emerging markets; 50-55% to structured products (including CLOs, RMBS and CMBS); and 10% to alternatives

Portfolio book yield of 6-7%(3)

Net Admitted Assets Over Time Athene Asset Performance vs. Benchmarks(1)

Athene’s Net Admitted Assets as % of Book Value(4)

OtherReal Estate

16%CorporateCredits 26%

CLO's10%

OtherCredit

8%

Asset BackedSecurities

9%

Other3%

Cash4% RMBS

24%

(1) Please refer to important disclosures regarding asset performance set forth on Athene Appendix B.(2) Average portfolio rating for rated assets based on designations from the Securities Valuation Office of the NAIC (the National Association of Insurance Commissioners, which is the primary standard-setting and regulatory body for U.S. insurance companies)(3) Current yield on portfolio pro forma for Liberty and IIC. Past performance is not a guarantee of future results. (4) As of December 31, 2011.

$0.9

$1.9

$8.5

$0.0

$1.0

$2.0

$3.0

$4.0

$5.0

$6.0

$7.0

$8.0

$9.0

2009 2010 2011

Net

Adm

itted

Ass

ets

($ in

bill

ions

)

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3. Actions







Agenda

Consistent with Apollo’s value orientation, AAA’s private equity portfolio was created at an average multiple of 8.0x EBITDA, well below the industry average

25

Overview of Selected Private Equity Co-Investments

8.0x

11.8x

0.0x

2.0x

4.0x

6.0x

8.0x

10.0x

12.0x

Average Purchase Multiple(1)Highlights Commenced investing in 2006

$1.5 billion invested in private equity through December 31, 2011

16% currently in debt investments

Majority covenant lite

Few near term maturities

Active risk management

Apollo Average Purchase Multiple

(1) Excludes debt investments. Multiple relates to entire AAA private equity portfolio; represents the average purchase price multiple of adjusted EBITDA; market averages as tracked by Thomson Financial for deals in 2006 and 2007 with values over $500 million. Apollo information is for buyouts completed in 2006 and 2007 with values over $500 million and is estimated by management.

(2) There is no assurance realizations will be achieved.

Industry Average Purchase Multiple

We proactively monitor the markets for each of our portfolio companies with an eye toward realizations (2)

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Aggregate Debt Maturity Profile – 12/31/08

$145 $967 $337 $1,479

$16,143$12,356 $13,803

$7,426

$2,482 $2,645$376

$0$4,000$8,000

$12,000$16,000$20,000

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Aggregate Debt Maturity Profile – 12/31/11 EST

$0 $379 $1,919 $3,598

$11,936$7,210 $6,378

$12,642

$2,159

$0$4,000$8,000

$12,000$16,000$20,000

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Proactive Management of Capital Structures

(1) Combined total of liquidity for each of the Fund VI portfolio companies.

Aggregate Liquidity(1)

$4.6 billion

Aggregate Liquidity(1)

$11.0 billion

$ in millions

$ in millions

Since 12/31/08, Fund VI reduced debt maturities due in 2013-2016 by over

$25 billion

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Aggregate Performance - EBITDA

Aggregate Performance - Revenue

$28,221$24,094

$0

$10,000

$20,000

$30,000

$40,000

Q4 '10 Q4 '11E($ in 000s)

$2,940$3,142

$0$500

$1,000$1,500$2,000$2,500$3,000$3,500$4,000$4,500$5,000

Q4 '10 Q4 '11E($ in 000s)

17%

-6%

AAA Portfolio Company Performance

Note: Represents aggregate performance for AAA private equity co-investment portfolio companies. Past performance is not indicative of future results.

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AAA’s Largest Private Equity Investments

(1) AAA invests its capital through, and is the sole limited partner of, AAA Investments, L.P. (the “Investment Partnership”), which has made co-investments alongside Apollo Investment Fund VI, L.P. and its parallel investment vehicles (collectively, “Apollo Investment Fund VI”) and Apollo Investment Fund VII, L.P. and its parallel investment vehicles (collectively, “Apollo Investment Fund VII”). The table above includes details on each of the Investment Partnership’s investments that represent more than 5% of the Investment Partnership’s net asset value as of December 31, 2011. “All Others” represents the combined cost and fair value of all other private equity co-investments made by the Investment Partnership alongside Apollo Investment Funds VI and VII.

(2) Represents original cost of the investment less returns of capital, sales of holdings, permanent impairments, and capitalized interest.(3) Represents original cost of the investment less all cash payments received from the investment including returns of capital, dividend income, realized gains/losses, interest income, and capitalized interest.(4) Adjusted to facilitate comparability for purchases and returns of capital during the quarter ended December 31, 2011. The adjustments were $(47.0)mm for the debt investment vehicles, $(31.8)mm for all other

investments and $4.7 million for Momentive Performance Materials Holdings, Inc. In addition, $107.3mm was reclassified from Charter Communications to All Others in connection with a partial sale of Charter Communications.

Co-investments alongside Apollo Investment Funds VI & VII (1)

As of 12/31/11 As of 9/30/11GAAP Cost(2)

Net Invested Capital(3)

Adjusted Fair Value

AdjustedFair Value(4)

Debt Investment Vehicles $225.6 $162.7 $194.0 $125.1

Rexnord Corporation 37.5 37.5 139.1 93.3

Momentive Performance Materials Holdings Inc. 80.7 76.0 85.3 155.9

All Others 682.7 650.0 485.3 539.4

Total $1,026.5 $926.2 $903.7 $913.7

($ in millions)

29



3. Actions







Agenda

30

Apollo Strategic Value Fund

FundDate of Inception

Fund Family Fund Strategy

Fair Market Value

(as of 12/31/2011)Status of AAA’s Investment

(as of 12/31/11)

Apollo Strategic Value Fund

June 2006Event-Driven & Distressed

Value investments in securities of leveraged companies in North America and Europe

$165 million

Requested redemption of $475 million of holdings in 2008

Approximately $408 million received to date including $10 million in 2011

Currently holding $164.8 million of liquidating shares

$80.9 of investment is in BradcoSupply Corporation, a building materials and supplies company located in North America

Industry Security Type

31

Apollo Asia Opportunity Fund

Industry Geography



Fair Market Value

(as of 12/31/2011)

Status of AAA’s Investment (as of 12/31/11)

Apollo Asia Opportunity Fund

February 2007

Event-Driven & Distressed

Invests in public and private securities of Asian (excluding Japan) companies across the capital structure, focusing on China, India, Southeast Asia and Australia

$86 million

Requested redemptions of $140 million of holdings in 2009

Approximately $127.4 million received to date including $16.2 million in 2011

Currently holding $26.1 million of liquidating shares

Alternative Energy

4.7%

Commodities1.1%

Conglomerate43.2%

Financials10.0%

Index10.6%

Infrastructure1.8%

Metals and Mining

5.7%

Oil and Gas7.7%

Real Estate9.6%

Technology3.0%

Other2.6%

Asia Index10.6%

Australia49.8%

China4.7%

HK/Macau4.7%

India14.1%

Korea3.2%

Philippine2.3%

Singapore4.4%

UK2.8%

Other3.4%

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Apollo European Principal Finance Fund



Fair Market Value

(as of 12/31/2011)


Apollo European Principal Finance Fund

July 2007Non-Performing Loans

European non-performing loans (loans held by financial institutions that are in default of principal or interest payments for 90 days or more)

$60 million

Sold 66% of EPF exposure in 2010 at a 9% discount to the Euro denomination NAV

Total commitment €77 million of which €31.1 million (or approximately $40.4 million) remains outstanding

Portfolio Type Geography

Non-Performing Loans23%

Equity Investments /

Portfolio Company

1%

Consumer Credit21%

RMBS2%

Performing Loans53%

Other Europe8%

United Kingdom

57%

Netherlands10%

Germany1%

Portugal1%

Spain23%

33

AP Investment Europe Limited



Fair Market Value

(as of 12/31/2011)


AP Investment Europe Limited

July 2006 Mezzanine

Portfolio consists of investments in secured and unsecured loans and bonds, and equity primarily located in Europe

$21 million

Pursuant to shareholder-approved plan, fund is being wound down; expected to be completed by July 2012(1)

Proceeds of $145.5 million received to date, including $67.4 million in 2011

Industry Security Type

Bank Debt Term Loan

14.4%

Corporate Bond24.2%

Limited Partnership

10.7%

Preferred Stocks5.6%

Stock45.1%

Casinos and Gaming61.7%

Diversified Financials

10.7%

Food Products22.0%

Healthcare Equipment &

Supplies5.6%

(1) These plans are subject to revision if facts and circumstances present a more favorable outcome as determined by the Fund’s management.

34

Overview of AAA’s Capital Markets Portfolio

Capital Markets Investments

As of 12/31/11 As of 9/30/11

GAAP Cost(1)

Net Invested Capital(2) Adjusted Fair Value Adjusted Fair Value(3)

Apollo Strategic Value Fund $105.9 $141.4 $164.8 $151.6

Apollo Asia Opportunity Fund 88.2 90.6 86.3 90.0

Other Apollo Capital Markets Funds:

Apollo Investment Europe 194.0 193.2 20.6 22.8

European Principal Finance Fund 50.6 50.6 60.0 60.3

Total $438.7 $475.8 $331.7 $324.7

($ in millions)

(1) Represents original cost of the investment less returns of capital and capitalized interest.(2) Represents original cost paid for the investment, less all cash payments received from the investment including returns of capital, dividend income, interest income, foreign currency gains/losses, and capitalized

interest.(3) Adjusted to facilitate comparability for returns of capital and purchases during the quarter ended December 31, 2011. The adjustments were $(25.1)mm for the Apollo Credit Senior Loan fund redemption,

$(7.9)mm for Apollo Strategic Value Fund, $(8.2)mm for Apollo Asia Opportunity Fund, $(4.1)mm for Apollo Investment Europe and $(7.2)mm for the European Principal Finance Fund.

35



3. Actions







Agenda

36

Overview of Apollo’s Valuation Processes

Private Equity Valuation Committee(1), Capital Markets and Real Estate Valuation Sub-Committees

– Apollo’s Managing Partners deliberately do not participate

Processes incorporate third party review by independent valuation firms and auditors

Processes involve vetting of valuation methodologies and key value factors where applicable, notably:

– Rates of return, cost of capital, and terminal growth rates

– Market multiples (e.g. market comparables, discounts applied, offers to acquire)

– Management’s projections (e.g. supportable adjustments)

– Recent company/industry performance

Robust Valuation Processes for Investments

(1) Athene investment valuation process is reviewed by the Private Equity Valuation Committee.

37

Apollo Valuation Structure

AGM

Finance

Valuation

Team

Third Party Auditors

&Valuation

Firms

Apollo CMSub-Valuation

Committee

AGM Valuation Committee

Apollo RESub-Valuation

Committee

Portfolio Managers Deal Teams

Publiclytraded

9%

Discountedcash flows

9%

Comparable company & industry multiples

61%

Broker quotes on underlying assets of debt investment

vehicles or direct assets 29%

38

Valuation Methodology at 12/31/2010(1) Valuation Methodology at 12/31/2011(2)

Private Equity Valuation Methodology

Multiple methods used for fair value

19%

Publicly traded8%

Discountedcash flows

6%

Comparable company & industry multiples

46%

Broker quotes on underlying assets of debt investment

vehicles or direct assets 21%

At December 31, 2010 and 2011 AAA’s portfolio of private equity co-investments was valued based on the methodologies below

(1) Based on fair value as of December 31, 2010.(2) Based on fair value as of December 31, 2011.

39



3. Actions







Agenda

40

1.13

1.15 1.17

18.8619.16

19.8620.77

21.4122.62 22.06

20.7320.32

16.05

$8.77

$7.30

$10.04

$13.00$13.65

$14.81$14.64

$16.32

$18.16

$19.70 20.06

16.30 16.41

0.82

0.82

0.82

$0.82$0.75

$0.75$0.75

$0.75

$0.75

$0.75

$0.75

$0.75$0.25

$0.25$0.25

$0.00 $0.00$0.01

$0.02$0.21

$0

$2

$4

$6

$8

$10

$12

$14

$16

$18

$20

$22

$24

June Sept Dec Mar June Sept Dec Mar June Sept Dec Mar June Sept Dec Mar June Sept Dec Mar June Sept Dec

AAA’s NAV & Dividends Through 12/31/2011

2006 2007

Represents cumulative distributions per unit paid to or on behalf of unitholders

2008 2009

NAV per AAA Unit

2010 2011

$0.00 $0.00 $0.01 $0.02 $0.21 $0.25 $0.25 $0.25 $0.75 $0.75 $0.75 $0.75 $0.75 $0.75 $0.75 $0.75 $0.82 $0.82 $0.82 $0.82 $1.13 $1.15 $1.17CumulativeDividendsper Unit1:

Note: The past performance of Apollo’s funds is intended to be illustrative of Apollo’s investing experience and not indicative of future results.

41

$0

$500

$1,000

$1,500

$2,000

Assets Debt & Other Assets & Liabilities

GP Interest NAV Dec. 31, 2011($ in millions)

NAV per unit at December 31, 2011 was $16.41, up from $16.30 at September 30, 2011

Note: Past performance is not indicative of future results.

$1,909 $(406)

$(23)$1,480

Private Equity: $904

Direct Capital Markets: $332

Cash: $230 Debt: $(403)

Other: $(3)

Athene: $431

Net Asset Value as of December 31, 2011

Other Investments: $12

42

Q4 2011 NAV Performance


$14.8

$(11.4)

$1.0

$6.7 $(1.6)

$1,479.5$1,470.0

$400

$600

$800

$1,000

$1,200

$1,400

$1,600

NAV September 30, 2011

Investment income Expenses Net realized gains fromsales/dispositions

Net change in unrealizeddepreciation/appreciation

of investment in AAAInvestments

Partner CapCont./(Dist)/Purchase of

AAA Units

NAV December 31, 2011

Private Equity Co-investments $(2.3)Apollo Strategic Value Fund 2.1European Principal Finance Fund (0.4)Apollo Credit Senior Loan Fund 0.8Apollo Asia Opportunity Fund 0.8

$ in millions

43

FY 2011 NAV Performance


$1,636.7$38.1

$(36.8)

$23.0

$(150.8) $(30.7)

$1,479.5

$0

$300

$600

$900

$1,200

$1,500

$1,800

NAV Dec. 31, 2010 Investment income Expenses Net realized gains fromsales/ dispositions

Net change in unrealizeddepreciation/appreciation of

investment in AAAInvestments

Partner Cap. Cont./(Dist.)/Purchase of AAA Units

NAV Dec. 31, 2011

$ in millions

Private Equity Co-investments (net) 19.0

Apollo Strategic Value Fund 2.1

Apollo European Principal Finance Fund (0.7)

Apollo Asia Opportunity Fund 1.9

Apollo Credit Senior Loan Fund 0.8

Other (0.1)

Private Equity $(179.7)Apollo Strategic Value Fund 12.4Apollo Asia Opportunity Fund (9.3)Apollo Investment Europe 8.7Apollo Credit Senior Loan Fund (0.4)European Principal Finance Fund 3.9Athene 23.8

Other Opportunistic Investment (0.7)Other (includes GP carried interest) (9.5)

44



3. Actions






9. Appendix:I. Capital Structure UpdateII. Athene: Adjusted Net Income DisclosuresIII. Athene: Asset Performance Disclosures

Agenda

45

Appendix I: Capital Structure Update

$497mm Reduction in Debt Outstanding

Debt ($mm)

$900

$650

$403

$538

$0

$200

$400

$600

$800

$1,000

$1,200

12/31/08 12/31/09 12/31/10 12/31/11

Credit Facility Refinancing

• On October 5, 2011, AAA announced it had received a “BBB” counterparty credit rating from S&P

• On December 2, 2011, AAA successfully amended its revolving credit facility and converted it to a new $402.5 million senior secured term loan facility

• Summary Terms:• Maturity: June 30, 2015• Amortization payments of 20% of outstanding

principal per quarter beginning December 2014.• Mandatory prepayments

– For certain investment realizations, asset sales, debt incurrences and equity issuances

– Ranges from 50% to 100% of net proceeds• Interest: L+375• Maintenance covenants: Borrowing base, liquid

assets test, and asset coverage test• Restricted payments allowed, subject to meeting

applicable asset to debt tests. Tax distributions are allowed.

• New credit facility provides AAA with financial flexibility and 3.5 years of maturity runway

$497mm(or 55%)

debt reduction

46

Appendix II: Athene - Adjusted Net Income Disclosures

Adjusted Net Income Disclosures

Notes: 1

(1) Includes hedge losses related to the Liberty Life transaction, impairment losses (spread-based, not credit-based), and changes in AVR / Non Admitted Assets.

(2) Taxes relate to the purchase of Liberty Life.

(3) Other than temporary impairments on securities amounting to $16mm. Losses were driven by the recent lowering of the LIBOR curve and the resulting negative effect that this rate drop has had particularly on CLO and RMBS assets ($15mm due to downward shift). These impairments are not credit-based, but rather a function of adverse interest rate movements.

(4) Athene purchased the hedge because it wanted to lock in a majority of the approximately $330 million gain in Liberty’s portfolio, as Athene was planning on liquidating most of the portfolio post-closing and redeploying the assets. Hedge costs were underwritten / priced into deal returns.

(5) Refers to the time required to redeploy assets, backing recently acquired reserves, into higher yielding asset classes, such that long-term spread can be achieved.

($ in millions) (not prepared in accordance with U.S. GAAP)

Dec. 31, 2009 Dec. 31, 2010 Dec. 31, 2011E

(unaudited)

Net Investment Income 20$ 88$ 253$

Cost of Funds (incl. G&A) (12) (79) (204)

O perating Income 9 9 49

Other1 3 27 (71)

Taxes2 - - 1

Net Income 12$ 36$ (22)$

Memo: Adjusted Net Income

Actual Net Income 12$ 36$ (22)$

Addbacks / (Removals):

One T ime Expenses 5$ 4$ 1$

Mergers & Acquisition Expenses 14 13

Purchase Strain - IIC & LLIC 12

Interest Rate Related Impairment Losses3 1 16

Liberty Hedge Losses / (Income)4 (14) 41

LLIC & IIC Asset Redeployment Drag5 41

Adjusted Net Income 17$ 40$ 102$

47

Appendix III: Athene - Asset Performance Disclosures

Asset Performance Disclosures

The portfolio return was calculated based on best estimates using gross of fee quarterly returns provided by Athene’s investment manager. Performance history is a total return calculation based on a modified-dietz methodology. The calculation is unaudited and gross of fees and expenses. Information respecting prior performance is not necessarily indicative of actual results to be achieved for unrealized investments, the realization of which is dependent upon many factors, many of which are beyond the control of Athene. Further, there can be no assurance that the indicated valuations for unrealized investments accurately reflect the amounts for which the subject investments could be sold. No representation or warranty is made, expressed or implied, with respect to fairness, correctness, accuracy, reasonableness, or completeness of any of the information contained herein (including or not limited to information obtained from third parties unrelated to Athene), and Athene expressly disclaims any responsibility or liability. Athene calculated the return using all available information. Athene makes no representation with respect to the completeness of the information included herein. Information about the Barclays Index is an appropriate benchmark for comparison to Athene’s asset performance to date. You cannot invest directly in the Barclays Index and the Barclays Index does not take into account trading commissions and/or brokerage, custodian costs or general operating expenses. Such costs would likely lower performance. The volatility of the Barclays Index may be materially different from that of the portfolio of investments selected by Athene. In addition, any portfolio of investments or any strategy’s holdings may differ substantially from securities that comprise the Barclays Index.

Past performance is not indicative of future success.

48

For additional information, please visit our website: http://www.apolloalternativeassets.com

49

Legal DisclaimerThe attached document does not constitute an offer to sell, or the solicitation of an offer to buy, any security, product, service or fund sponsored by Apollo, for which an offer can be made only by such fund's Confidential Private Placement Memorandum. This presentation is for informational purposes only and is qualified in its entirety by the applicable Private Placement Memorandum. Unless otherwise noted, information included herein is presented as of the dates indicated and may differ from the terms and provisions respecting an investment in an individual Apollo fund which will be more fully set forth in applicable materials and corresponding (limited) partnership agreements of such fund or such other applicable constituent governing documentation. This document does not constitute a prospectus or an offer within the meaning of article 3 of the Prospectus directive (Directive 2003/71/EC as amended by Directive 2010/73/EU.

Information contained herein may include information respecting prior investment performance of one or more Apollo funds including gross and net returns. Information respecting prior performance, while a useful tool in evaluating an Apollo fund’s investment activities, is not necessarily indicative of actual results to be achieved for unrealized investments, the realization of which is dependent upon many factors, many of which are beyond the control of Apollo Management. Further, there can be no assurance that the indicated valuations for unrealized investments accurately reflect the amounts for which the subject investments could be sold. Unless otherwise noted, all such return amounts described herein are calculated as of the dates indicated. Gross returns are computed prior to management fees, carried interest and expenses; net returns give effect to management fees, carried interest and expenses. Gross and net returns are based on actual cash flows to and from the indicated Apollo fund in accordance with the applicable provisions within the governing documents of the Apollo funds. Gross returns represent the monthly trading profit and loss over the beginning monthly Gross Assets for the fund (net assets + accrued performance fees + deferred performance fee payable, if applicable) from the beginning of the period presented through the end of the period presented and is calculated using the returns that have been geometrically linked based on capital contributions and withdrawals, as applicable. Net returns represent the calculated return that is based on the fund’s month-to-month change in net assets from the beginning of the period through the end of the period and is calculated using the returns that have been geometrically linked based on capital contributions and withdrawals, as applicable.

Certain information contained herein may be “forward-looking” in nature. Due to various risks and uncertainties, actual events or results or the actual performance of an Apollo Fund may differ materially from those reflected or contemplated in such forward-looking information. As such, undue reliance should not be placed on such information. Similarly, it is noted that references to EBITDA in the attached presentation should not be construed as a substitute for income from operations, net income or cash flow from operating activities (as determined accordance with GAAP) for the purpose of analyzing operating performance, financial position and cash flows. To the extent applicable, reference is made to the subject portfolio company’s publicly available reports and filings with the Securities and Exchange Commission. We further note that nothing in the presentations herein shall be deemed to constitute an offer for sale of limited partner interests in any Apollo sponsored investment fund, whether an existing or contemplated fund; offers and sales of any such interests shall only be made by a definitive Confidential Private Placement Memorandum and in compliance with applicable law.

Neither Apollo nor any of its affiliates have made any representation or warranty, expressed or implied, with respect to fairness, correctness, accuracy, reasonableness, or completeness of any of the information contained herein (including or not limited to information obtained from third parties unrelated to Apollo), and they expressly disclaim any responsibility or liability. Neither Apollo nor any of its affiliates have any responsibility to update any of the information provided in this summary document.

Apollo, its affiliates, and third parties that provide information to Apollo, such rating agencies, do not guarantee the accuracy, completeness, timeliness or availability of any information, including ratings, and are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, or the results obtained from the use of such content. Apollo, its affiliates and third party content providers give no express or implied warranties, including, but not limited to, any warranties of merchantability or fitness for a particular purpose or use, and they expressly disclaim any responsibility or liability for direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs expenses, legal fees or losses (including lost income or profits and opportunity costs) in connection with the use of the information herein. Credit ratings are statements of opinions and not statements of facts or recommendations to purchase, hold or sell securities. They do not address the suitability of securities for investment purposes and should not be relied on as investment advice. Neither Apollo nor any of its respective affiliates have any responsibility to update any of the information provided in this summary document.

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