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Variable Interest Entities (Tables)

6 Months Ended

Jun. 30, 2013

Summary of Valuation of Consolidated VIEs in Fair Value Hierarchy Levels

The following table summarizes the valuation of Apollo’s consolidated VIEs in fair value hierarchy levels as of June 30, 2013 and December 31, 2012:


	Level I				Level II				Level III				Totals
	June 30, 2013		December 31, 2012		June 30, 2013		December 31, 2012		June 30, 2013		December 31, 2012		June 30, 2013		December 31, 2012
Investments, at fair value	$	60	$	168	$	10,463,405	$	11,045,902	$	1,757,857	$	1,643,465	$	12,221,322	$	12,689,535

	Level I				Level II				Level III				Totals
	June 30, 2013		December 31, 2012		June 30, 2013		December 31, 2012		June 30, 2013		December 31, 2012		June 30, 2013		December 31, 2012
Liabilities, at fair value	$	—	$	—	$	—	$	—	$	10,835,271	$	11,834,955	$	10,835,271	$	11,834,955

Quantitative Inputs and Assumptions Used for Investments at Fair Value

The following table summarizes the quantitative inputs and assumptions used for investments, at fair value, categorized as Level III in the fair value hierarchy as of June 30, 2013. The disclosure below excludes Level III investments, at fair value, as of June 30, 2013, for which the determination of fair value is based on broker quotes:

Fair Value at
June 30, 2013

Valuation Techniques

Unobservable
Inputs

Ranges

Weighted
Average

Financial Assets:

Bank Debt Term Loans

56,566

Discounted Cash Flow – Comparable Yields

Discount
Rates

10.7%–30.4%

15.7

Stocks

603

Market Comparable Companies

Comparable
Multiples

6.6x

Total

57,169

Summary of Changes in Investments of Consolidated VIEs

The following table summarizes the changes in investments of consolidated VIEs, which are measured at fair value and characterized as Level III investments:


	For the Three Months Ended June 30,						For the Six Months Ended June 30,
	2013			2012			2013			2012
Balance, Beginning of Period	$	1,765,988		$	215,246		$	1,643,465		$	246,609
Acquisition of VIEs		—			1,482,057			—			1,482,057
Elimination of investments attributable to consolidation of VIEs		19,302			(59,764	)		15,400			(59,764	)
Purchases		538,507			210,721			922,668			437,666
Sale of investments		(319,231	)		(935,739	)		(506,092	)		(975,013	)
Net realized (losses) gains		(2,566	)		5,850			(7,008	)		1,192
Changes in net unrealized gains (losses)		6,304			(9,377	)		4,951			2,215
Transfers out of Level III		(444,462	)		(55,913	)		(782,135	)		(346,430	)
Transfers into Level III		194,015			144,885			466,608			209,434

Balance, End of Period	$	1,757,857		$	997,966		$	1,757,857		$	997,966

Changes in net unrealized gains (losses) included in Net (Losses) Gains from Investment Activities of consolidated VIEs related to investments still held at reporting date	$	3,850		$	(2,063	)	$	(6,916	)	$	5,437

Summary of Changes in Liabilities of Consolidated VIEs

The following table summarizes the changes in liabilities of consolidated VIEs, which are measured at fair value and characterized as Level III liabilities:


	For the Three Months Ended June 30,						For the Six Months Ended June 30,
	2013			2012			2013			2012
Balance, Beginning of Period	$	11,347,332		$	3,700,536		$	11,834,955		$	3,189,837
Acquisition of VIEs		—			7,317,144			—			7,317,144
Borrowings		—			503,848			332,250			929,532
Repayments		(508,400	)		(243,343	)		(1,420,175	)		(246,134	)
Net realized gains on debt		(91,000	)		—			(83,397	)		—
Changes in net unrealized losses from debt		68,013			14,247			156,249			102,825
Elimination of debt attributable to consolidated VIEs		19,326			(59,772	)		15,389			(60,544	)

Balance, End of Period	$	10,835,271		$	11,232,660		$	10,835,271		$	11,232,660

Changes in net unrealized (gains) losses included in Net (Losses) Gains from Investment Activities of consolidated VIEs related to liabilities still held at reporting date	$	(17,662	)	$	8,456		$	75,214		$	93,021

Net (Losses) Gains from Investment Activities of Consolidated VIEs

The following table presents net (losses) gains from investment activities of the consolidated VIEs for the three and six months ended June 30, 2013 and 2012, respectively:


	For the Three Months Ended June 30,						For the Six Months Ended June 30,
	2013			2012			2013			2012
Net unrealized (losses) gains from investment activities	$	(138,181	)	$	(18,021	)	$	(113,061	)	$	51,998
Net realized gains from investment activities		32,988			12,349			83,918			14,634

Net (losses) gains from investment activities		(105,193	)		(5,672	)		(29,143	)		66,632

Net unrealized losses from debt		(68,013	)		(14,247	)		(156,249	)		(102,825	)
Net realized gains from debt		91,000			—			83,397			—

Net gains (losses) from debt		22,987			(14,247	)		(72,852	)		(102,825	)

Interest and other income		152,501			171,229			329,626			216,860
Other expenses		(105,493	)		(119,547	)		(214,968	)		(165,105	)

Net (Losses) Gains from Investment Activities of Consolidated VIEs	$	(35,198	)	$	31,763		$	12,663		$	15,562

Principal Provisions of Debt

Senior Secured Notes and Subordinated Notes—Included within debt are amounts due to third-party institutions of the consolidated VIEs. The following table summarizes the principal provisions of the debt of the consolidated VIEs as of June 30, 2013 and December 31, 2012:


	June 30, 2013							December 31, 2012
	Principal Outstanding		Weighted Average Interest Rate			Weighted Average Remaining Maturity in Years		Principal Outstanding		Weighted Average Interest Rate			Weighted Average Remaining Maturity in Years
Senior Secured Notes⁽²⁾⁽³⁾	$	10,379,364		1.04	%		7.0	$	11,409,825		1.30	%		7.3
Subordinated Notes⁽²⁾⁽³⁾		929,278		N/A	⁽¹⁾		7.6		1,074,904		N/A	⁽¹⁾		7.7

Total	$	11,308,642						$	12,484,729

(1)	The subordinated notes do not have contractual interest rates but instead receive distributions from the excess cash flows of the VIEs.

(2)	The fair value of Senior Secured and Subordinated Notes as of June 30, 2013 and December 31, 2012 was $10,835 million and $11,835 million, respectively.

(3)

The debt at fair value of the consolidated VIEs is collateralized by assets of the consolidated VIEs and assets of one vehicle may not be used to satisfy the liabilities of another. As of June 30, 2013 and December 31, 2012, the fair value of the consolidated VIE assets was $14,150 million and $14,672 million, respectively. This collateral consisted of cash and cash equivalents, investments, at fair value, and other assets.

Quantitative Inputs and Assumptions Used for Liabilities at Fair Value

The following table provides a summary of the quantitative inputs and assumptions used for liabilities, at fair value, categorized as Level III in the fair value hierarchy as of June 30, 2013. The disclosure below excludes Level III liabilities, at fair value, as of June 30, 2013 for which the determination of fair value is based on broker quotes:


	As of June 30, 2013
	Fair Value		Valuation Technique	Unobservable Input	Ranges	Weighted Average
Subordinated Notes	$	766,611	Discounted Cash	Discount Rate	10.0%-12.0%		10.3	%
			Flow	Default Rate	1.0%-1.5%		1.2	%
				Recovery Rate	75.0%		75.0	%
Senior Secured Notes	$	2,071,470	Discounted Cash	Discount Rate	1.9%–2.1%		2.0	%
			Flow	Default Rate	2.0%		2.0	%
				Recovery Rate	30.0%–65.0%		59.9	%

Carrying Amounts of Assets and Liabilities

The following tables present the carrying amounts of the assets and liabilities of the VIEs for which Apollo has concluded that it holds a significant variable interest, but that it is not the primary beneficiary as of June 30, 2013 and December 31, 2012. In addition, the tables present the maximum exposure to loss relating to those VIEs.


	June 30, 2013
	Total Assets			Total Liabilities			Apollo Exposure
Private Equity	$	10,490,123		$	(49,067	)	$	5,802
Credit		2,926,982			(255,900	)		15,967
Real Estate		1,562,431			(1,143,349	)		—

Total	$	14,979,536	⁽¹⁾	$	(1,448,316	)⁽²⁾	$	21,769	⁽³⁾

(1)	Consists of $435,924 in cash, $14,022,771 in investments and $520,841 in receivables.

(2)	Represents $1,402,393 in debt and other payables, $45,824 in securities sold, not purchased, and $99 in capital withdrawals payable.

(3)	Apollo’s exposure is limited to its direct and indirect investments in those entities in which Apollo holds a significant variable interest.


	December 31, 2012
	Total Assets			Total Liabilities			Apollo Exposure
Private Equity	$	13,498,100		$	(34,438	)	$	7,105
Credit		3,276,198			(545,547	)		12,605
Real Estate		1,685,793			(1,237,462	)		—

Total	$	18,460,091	⁽¹⁾	$	(1,817,447	)⁽²⁾	$	19,710	⁽³⁾

(1)	Consists of $452,116 in cash, $17,092,814 in investments and $915,161 in receivables.

(2)	Represents $1,752,294 in debt and other payables, $32,702 in securities sold, not purchased, and $32,451 in capital withdrawals payable.

(3)	Apollo’s exposure is limited to its direct and indirect investments in those entities in which Apollo holds a significant variable interest.

- Definition

Tabular disclosure of liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

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- Definition

Tabular disclosure of marketable securities. This may consist of investments in certain debt and equity securities, short-term investments and other assets.

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