Assured Guaranty Ltd. · NYSE:AGO
Assured Guaranty — Debt Investor Presentation (September 2021)
71 slides from Assured Guaranty's debt investor presentation, Sep 30, 2021
Slide 1: Fixed Income Investor Presentation September 30, 2021
EMBRACE POSSIBILITIES, INVEST IN CERTAINTIES Fixed Income Investor Presentation September 30, 2021
Slide 2: Table of Contents
Table of Contents Page Forward-Looking Statements and Safe Harbor Disclosure 2 Conventions, Disclaimers and Non-GAAP Financial Measures 3 Corporate Overview 4 Assured Guaranty Ltd. Consolidated Insured Portfolio Overview 31 AGM1 Portfolio Review 42 Assured Guaranty Corp. Portfolio Review 49 Municipa
Slide 3: Forward-Looking Statements and Safe Harbor Disclosure
Forward-Looking Statements and Safe Harbor Disclosure • This presentation contains information that includes or is based upon forward looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. Forward looking statements give the expectations or forecasts of future
Slide 4: Conventions, Non-GAAP Financial Measures and Certain Statutory Data
Conventions, Non-GAAP Financial Measures and Certain Statutory Data • Unless otherwise noted, the following conventions are used in this presentation: – "AGM Consolidated" means Assured Guaranty Municipal Corp. (“AGM”) and its consolidated entities (consisting primarily of Assured Guaranty UK Limite
Slide 5: Corporate Overview
ASSURED (GUARANTY Corporate Overview
Slide 6: Corporate Overview
Corporate Overview • Assured Guaranty Ltd. (“AGL” and, together with its subsidiaries, “Assured Guaranty” or the “Company”) is the leading financial guaranty franchise – We are the only long-standing financial guaranty company to have written new business throughout the 2008 financial crisis and rec
Slide 7: Corporate Structure
Assured Guaranty Ltd. Corporate Structure Assured Guaranty Ltd. Hamilton, Bermuda Publicly Traded Holding Company (NYSE: AGO) A (stable outlook) / Baa2 (stable outlook) issuer credit ratings Assured Guaranty US Holdings (AGUS) U.S. Holding Company Assured Guaranty Re Ltd (AG Re) S&P: A (stable outlo
Slide 8: Investor and Issuer Benefits, and Insurance Operating Principles
Investor and Issuer Benefits, and Insurance Operating Principles • Our guaranty benefits investors and issuers because we provide credit selection, underwriting, surveillance and remediation, in addition to timely payment of scheduled principal and interest if an underlying transaction defaults – Bo
Slide 9: AGL Strategic Priorities
AGL Strategic Priorities • Insurance • Growth of insured portfolio • Loss mitigation • Asset management and alternative investments • Capital management 8
Slide 10: Strength of Financial Guaranty Business Model
Strength of Financial Guaranty Business Model • The Company insures scheduled payments of principal and interest when due ‒ Insurance regulations forbid acceleration of our obligations without consent • Issuers that default on a few debt service payments may have the resources later to repay the Com
Slide 11: Three Discrete Insurance Companies with Separate Capital Bases
Three Discrete Insurance Companies with Separate Capital Bases Consolidated Statutory-Basis Claims-Paying Resources and Exposures As of September 30, 2021 ($ in millions) AGM AGC AG Re6 Eliminations2 Consolidated Claims-paying resources Policyholders' surplus $2,910 $1,758 $759 $(211) $5,216 Conting
Slide 12: Principal Insurance Platforms
Assured Guaranty Principal Insurance Platforms • AGM1, AGC, AGUK and AGE operate as four separate direct financial guaranty platforms, with AG Re operating as a reinsurer – AGM1 focuses exclusively on public finance and global infrastructure finance – AGC, as the most diversified platform, insures t
Slide 13: Principal Insurance Platforms (Cont.)
Assured Guaranty Principal Insurance Platforms (Cont.) • Companies distinct for legal and regulatory purposes – Separate capital bases with claims-paying resources1 as of September 30, 2021: – AGM2 $6.7 billion (includes AGUK and AGE) – AGC $3.1 billion – AG Re $1.6 billion (includes AGRO) – Separat
Slide 14: Asset Management
Assured Guaranty Asset Management • AssuredIM provides asset management services – As of September 30, 2021, AssuredIM had AUM1 of $17.6 billion in four strategies Strategy AUM ($ billions) CLOs $14.7 Opportunity Funds $1.6 Liquid Strategies $0.4 Wind-Down Funds $0.8 Total $17.6 – The Company is usi
Slide 15: AGM Consolidated Net Exposure
AGM Consolidated1 Net Exposure • AGM Consolidated1 is committed to insuring U.S. public finance and global infrastructure transactions. AGM’s subsidiaries, AGUK and AGE, may also underwrite structured finance transactions. Net Par Outstanding U.S. As of September 30, 2021 Structured ($ in billions)
Slide 16: AGM, AGUK and AGE Net Exposure
AGM, AGUK and AGE Net Exposure U.S. Muni U.S. other public • AGM is a U.S. insurance company currently Utility Revenue finance writing financial guarantees in the public $25.6 $18.3 finance sector. AGM Net Par Outstanding Non-U.S. public – Provides insurance in public finance As of Sept 30, 2021 fin
Slide 17: AGC is a Diversified Platform
AGC is a Diversified Platform • AGC, a diversified insurer, may write all Net Par Outstanding classes of financial guaranty business, As of September 30, 2021 including structured finance, U.S. public ($ in billions) finance and global infrastructure • Structured finance eligible for new business U.
Slide 18: AG Re and AGRO
AG Re and AGRO Consolidated AG Re AGRO Outstanding Net Exposure1 Outstanding Net Exposure1 As of September 30, 2021 ($ in billions) As of September 30, 2021 ($ in billions) U.S. Non-U.S. Structured Public Financial Guaranty RVI Aircraft Finance Finance Public Finance Insurance $3.3 $11.3 $0.1 Non-U.
Slide 19: Underwriting Discipline
Underwriting Discipline • Our U.S. public finance portfolio, our largest Consolidated Net Par Outstanding3 exposure category, generally performed well As of September 30, 2021 during the 2008 recession and in subsequent ($ in billions) Non-U.S. Structured Finance years, including into the COVID-19 p
Slide 20: Creating Value: Insurance Penetration in the U.S. Public Finance Market
Creating Value Insurance Penetration in the U.S. Public Finance Market • Assured Guaranty has seen strong new business production for U.S. public finance in the first nine months of 2021 – Year-to-date, we insured 826 primary market transactions totaling approximately $17.4 billion of par, up approx
Slide 21: Broadening Market Awareness
Broadening Market Awareness Current Advertising Campaigns 20
Slide 22: Municipal Market Update
Municipal Market Update Select Assured Guaranty Transactions in 2021 $800,325,000 $658,055,000 $551,535,000 $548,175,000 Seaport Revenue Refunding Bonds Certificates of Participation, Series 2021A Pilot Revenue Refunding Bonds, Series 2021A Senior Lien Refunding Revenue Bonds, Series (Taxable) & Tax
Slide 23: Creating Value: U.S. Structured Finance Business Activity
Creating Value Insurance U.S. Structured Finance Business Activity • In third quarter 2021, we insured a large insurance securitization transaction U.S. Structured PVP1 (excluding SGI reinsurance portfolio)2 • In second quarter 2021, we insured an ($ in millions) insurance securitization and a whole
Slide 24: Creating Value: Non-U.S. Business Activity
Creating Value Insurance Non-U.S. Business Activity • In third quarter 2021, non-U.S. new business Non-U.S. PVP1 PVP was primarily driven by a large U.K. (excluding SGI reinsurance portfolio)2 university housing transaction ($ in millions) • In second quarter 2021, activity included a $315 healthcar
Slide 25: Creating Value: AssuredIM
Creating Value AssuredIM • AssuredIM executed on its key strategic goals during the first nine months of 2021 – Had gross inflows of $2.3 billion – Issued four new CLOs, selling a significant percentage of the new CLOs’ equity to third parties – Increased fee earning AUM to $16.3 billion as of Septe
Slide 26: Financial Strength Ratings
Financial Strength Ratings U.S. Insurance Companies Financial Strength Ratings1 S&P KBRA Moody’s AA AA+ A2 AGM2 Stable Outlook Stable Outlook Stable Outlook (July 2021) (October 2021) (August 2019) AA AA+ AGC Stable Outlook stable outlook (3) (July 2021) (October 2021) Recent Rating Activity • In Ju
Slide 27: Net Par Outstanding
Net Par Outstanding • In the last five years, the net par outstanding of the insured portfolio has stabilized significantly, driven mainly by increased insured net par for the international sector – Since 2015, the international portfolio has increased by over 50%, and currently accounts for approxi
Slide 28: Assured Guaranty Today: Capital Changes and Insured Portfolio
Assured Guaranty Today Capital Changes and Insured Portfolio Since the Global Financial Crisis Claims-Paying Resources Insured Leverage $ in billions $13.2 $12.8 $13.2 $12.8 $12.6 $12.6 $12.7 $12.1 $12.1 $11.9 $11.4 $11.1 $11.1 71.3x 70.5x 62.9x 58.9x 52.7x 47.4x 46.7x 46.2x 41.2x 39.5x 54% Decline
Slide 29: Underlying Value: High-Quality Investment Portfolio
Underlying Value High-Quality Investment Portfolio Total Invested Assets and Cash1,2 • Predominately consists of highly rated, fixed As of September 30, 2021 maturity and short-term investments, and cash; 54% rated AA or higher 4 BBB A 22% 12% Nearly 100% of BIG is held • Approximately $795 million
Slide 30: Assured Guaranty Ltd. Consolidated Insured Portfolio Overview
Assured Guaranty Ltd. Consolidated Insured Portfolio Overview
Slide 31: AGL Consolidated Insured Portfolio
AGL Consolidated Insured Portfolio Net Par Outstanding as of September 30, 2021 Portfolio Diversification by Sector Non-U.S. Structured U.S. Finance Structured <1% Finance 4% Non-U.S. Public Finance U.S. Public 21% Finance 75% $235.7 billion1,2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S.
Slide 32: AGL Consolidated Insured Portfolio Ratings
AGL Consolidated Insured Portfolio Ratings Net Par Outstanding as of September 30, 2021 Portfolio Diversification by Rating BIG AAA AA 3% 2% 11% BBB 40% A 45% $235.7 billion1,2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA AAA
Slide 33: Puerto Rico Exposure
Public Finance Puerto Rico Exposure Par Exposure to the Commonwealth and its Agencies1,2 As of September 30, 2021 ($ in millions) Net Par Outstanding Eliminations Total Net Par Gross Par AGM AGC AG Re 2 Outstanding Outstanding Puerto Rico Exposures Subject to a Support Agreement 3: Commonwealth of P
Slide 34: Puerto Rico Scheduled Net Par Amortization
Public Finance Puerto Rico Exposure Scheduled Net Par Amortization of Exposure to the Commonwealth and its Agencies As of September 30, 2021 2021 2022 2022 2022 2022 2031 - 2036 - 2041 - ($ millions) (4Q) (1Q) (2Q) (3Q) (4Q) 2023 2024 2025 2026 2027 2028 2029 2030 2035 2040 2042 Total Puerto Rico Ex
Slide 35: Puerto Rico Scheduled Net Debt Service Amortization
Public Finance Puerto Rico Exposure Scheduled Net Debt Service Amortization of Exposure to the Commonwealth and its Agencies As of September 30, 2021 2021 2022 2022 2022 2022 2031 - 2036 - 2041 - ($ millions) (4Q) (1Q) (2Q) (3Q) (4Q) 2023 2024 2025 2026 2027 2028 2029 2030 2035 2040 2042 Total Puert
Slide 36: Detroit & Stockton Exposure
AGL Consolidated Detroit & Stockton Exposure Details of Assured Guaranty’s Exposure to Detroit • Municipal utilities exposure is $352 million of water revenue bonds and $869 million of sewer revenue bonds. Both the water and sewer systems provide services to areas that extend significantly beyond th
Slide 37: Consolidated Non-U.S. Exposure
Consolidated Non-U.S. Exposure Non-U.S. Public and Structured Finance Non-U.S. Exposure • 99% of non-U.S. exposure is Public Finance As of September 30, 2021 – Direct sovereign debt is limited to Poland ($279 million) ($ in billions) and Mexico ($50 million) Australia $1.8 5% 6% • 1% of non-U.S. exp
Slide 38: Structured Finance Exposures
Structured Finance Exposures Net Par Outstanding By Type As of September 30, 2021 ($ in billions) Life Insurance Transactions • Assured Guaranty’s total structured finance $3.4 exposure of $9.4 billion, as of September 30, Financial Products 36% 2021, reflects a $165.2 billion reduction from 1 (GICs
Slide 39: Consolidated U.S. RMBS
Consolidated U.S. RMBS By Type • Our $2.5 billion U.S. RMBS portfolio is amortizing As of September 30, 2021 both on a dollar basis and as a percentage of the ($ in millions) portfolio Subprime First Lien – Assured Guaranty’s U.S. RMBS exposure of $2.5 billion on $1,513 September 30, 2021, reflects
Slide 40: Consolidated Insurance Expected Loss and LAE to Be Paid (Three Months)
Consolidated Insurance Expected Loss and LAE to Be Paid Three Months Ended September 30, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended September 30, 2021 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Be
Slide 41: Consolidated Insurance Expected Loss and LAE to Be Paid (Nine Months)
Consolidated Insurance Expected Loss and LAE to Be Paid Nine Months Ended September 30, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Nine Months Ended September 30, 2021 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Bene
Slide 42: Below Investment Grade Insurance Exposures
Below Investment Grade Insurance Exposures Net Par Outstanding by BIG Category1 Financial Guaranty Insurance and Credit Derivatives Surveillance Categories ($ millions) September 30, 2021 December 31, 2020 • As of September 30, 2021, BIG Category 1 approximately $2.4 billion (33%) of U.S. public fin
Slide 43: BIG Exposure Decline
BIG Exposure Decline • Since 4Q-11, BIG net par outstanding has declined by $19.5 billion • The largest components of our BIG exposure are Puerto Rico at 49% and U.S. RMBS at 18% BIG Net Par Outstanding Changes in BIG Net Par Outstanding ($ in billions) Full Full Full Year Year Year Q3 ($ in million
Slide 44: AGM Consolidated Portfolio Review
AGM Consolidated1 Portfolio Review Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret 1. Please see page 3 for a definition of this convention.
Slide 45: AGM Consolidated Insured Portfolio
AGM Consolidated1 Insured Portfolio Net Par Outstanding as of September 30, 2021 Portfolio Diversification by Sector Non-U.S. Structured Finance U.S. <1% Structured Finance 2% U.S. Public Finance 75% Non-U.S. Public Finance 23% $154.7 billion2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. S
Slide 46: AGM Consolidated Insured Portfolio Ratings
AGM Consolidated1 Insured Portfolio Ratings Net Par Outstanding as of September 30, 2021 Portfolio Diversification by Rating BIG AAA AA 3% 1% 9% BBB 40% A 47% $154.7 billion2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA AA AA
Slide 47: AGM Consolidated Net Par Outstanding By Asset Type
AGM Consolidated1 Insured Portfolio September 30, 2021 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: General obligation $ 49,115 A- RMBS $ 1,621 BB+ Tax backed 23,339 A
Slide 48: AGM Consolidated U.S. RMBS Exposure
AGM Consolidated1 U.S. RMBS Exposure By Type As of September 30, 2021 ($ in millions) • AGM’s1 U.S. RMBS portfolio is amortizing on an Prime First Lien Alt-A First absolute basis and has declined as a percentage $18 Lien $239 of the portfolio 1%1% – $1.6 billion net par outstanding versus $17.1 bill
Slide 49: AGM Consolidated Investment Portfolio
AGM Consolidated1 Investment Portfolio Fair Value as of September 30, 2021 Invested Assets and Cash2,3 As of September 30, 2021 A • Predominately consists of highly rated, fixed 20% BBB Nearly 100% of BIG maturity and short-term investments, and cash; 11% is held for loss 54% rated AA or higher miti
Slide 50: AGM Consolidated Expected Loss and LAE to Be Paid (Three Months)
AGM Consolidated Expected Loss and LAE to Be Paid Three Months Ended September 30, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended September 30, 2021 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit)
Slide 51: AGM Consolidated Expected Loss and LAE to Be Paid (Nine Months)
AGM Consolidated Expected Loss and LAE to Be Paid Nine Months Ended September 30, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Nine Months Ended September 30, 2021 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) (
Slide 52: Assured Guaranty Corp. Portfolio Review
Assured Guaranty Corp. Portfolio Review Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret
Slide 53: AGC Insured Portfolio
AGC Insured Portfolio Net Par Outstanding as of September 30, 2021 Portfolio Diversification by Sector Non-U.S. Structured Finance 2% U.S. Public Non-U.S. Finance Public 65% Finance 18% U.S. Structured Finance 15% $21.7 billion Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Financ
Slide 54: AGC Insured Portfolio Ratings
AGC Insured Portfolio Ratings Net Par Outstanding as of September 30, 2021 Portfolio Diversification by Rating BIG AAA 8% 6% AA 21% BBB 35% A 29% $21.7 billion Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance AAA BIG AAA BIG BIG AA <1% 1
Slide 55: AGC Net Par Outstanding By Asset Type
AGC Insured Portfolio Net Par Outstanding as of September 30, 2021 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: General obligation $ 3,282 A- Life insurance transactio
Slide 56: AGC U.S. RMBS Exposure
AGC U.S. RMBS Exposure By Type As of September 30, 2021 ($ in millions) Prime Alt-A First • AGC’s U.S. RMBS portfolio is amortizing on First Lien $36 Lien $164 an absolute basis and has declined as a 5% percentage of the portfolio 23% – $0.7 billion versus $13.4 billion at year-end 2007, Second a de
Slide 57: AGC Non-RMBS Exposure
AGC Non-RMBS Exposure U.S. Structured Finance By Type As of September 30, 2021 ($ in millions) Other • AGC’s non-RMBS U.S. structured finance Life Insurance Structured exposures consist principally of: Transactions Finance $1,055 $490 – Life insurance transactions 20% – Pooled corporate obligations
Slide 58: AGC Investment Portfolio
AGC Investment Portfolio Fair Value as of September 30, 2021 Invested Assets and Cash1,2 As of September 30, 2021 • Predominately consists of highly rated, fixed maturity and short-term investments, and BBB 12% cash; 47% rated AA or higher A Nearly 100% of BIG 16% is held for loss • Approximately $7
Slide 59: AGC Expected Loss and LAE to Be Paid (Three Months)
AGC Expected Loss and LAE to Be Paid Three Months Ended September 30, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended September 30, 2021 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) (Paid) Recov
Slide 60: AGC Expected Loss and LAE to Be Paid (Nine Months)
AGC Expected Loss and LAE to Be Paid Six Months Ended September 30, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Nine Months Ended September 30, 2021 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) (Paid) Recovere
Slide 61: Appendix
ASSURED (GUARANTY:
Slide 62: Explanation of Non-GAAP Financial Measures
Appendix Explanation of Non-GAAP Financial Measures The Company discloses both (a) financial measures determined in accordance with GAAP and (b) financial measures not determined in accordance with GAAP (non-GAAP financial measures). Financial measures identified as non-GAAP should not be considered
Slide 63: Explanation of Non-GAAP Financial Measures (Cont'd)
Appendix Explanation of Non-GAAP Financial Measures (Cont’d) Adjusted Operating Income: Management believes that adjusted operating income is a useful measure because it clarifies the understanding of the operating results of the Company. Adjusted operating income is defined as net income (loss) att
Slide 64: Explanation of Non-GAAP Financial Measures (Cont'd)
Appendix Explanation of Non-GAAP Financial Measures (Cont’d) Adjusted Operating Shareholders’ Equity and Adjusted Book Value: Management believes that adjusted operating shareholders’ equity is a useful measure because it excludes the fair value adjustments on investments, credit derivatives and CCS
Slide 65: Explanation of Non-GAAP Financial Measures (Cont'd)
Appendix Explanation of Non-GAAP Financial Measures (Cont’d) Adjusted Operating Return on Equity (Adjusted Operating ROE): Adjusted Operating ROE represents adjusted operating income for a specified period divided by the average of adjusted operating shareholders’ equity at the beginning and the end
Slide 66: Reconciliation of Gross Written Premiums (GWP) to PVP
Appendix Reconciliation of Gross Written Premiums (GWP) to PVP Three Months Ended Reconciliation of GWP to PVP September 30, Year Ended December 31, (dollars in millions) 2021 2020 2020 2019 2018 2017 2016 2015 2014 Total GWP $106 $121 $454 $677 $612 $307 $154 $181 $104 Less: Installment GWP and oth
Slide 67: Reconciliation of Net Income to Adjusted Operating Income
Appendix Reconciliation of Net Income (Loss) Attributable to AGL to Adjusted Operating Income1 Three Months Ended Nine Months Ended Adjusted Operating Income Reconciliation September 30, September 30, (dollars in millions, except per share amounts) 2021 2020 2021 2020 Per Diluted Per Diluted Per Dil
Slide 68: Reconciliation of Shareholders' Equity to Adjusted Book Value
Appendix Reconciliation of Shareholders’ Equity to Adjusted Book Value1 Adjusted book value1 reconciliation As of (dollars in millions, except per share amounts) September 30, 2021 June 30, 2021 December 31, 2020 September 30, 2020 June 30, 2020 December 31, 2019 Total Per Share Total Per Share Tota
Slide 69: Reconciliation of GAAP ROE to Adjusted Operating ROE
Appendix Reconciliation of GAAP ROE1 to Adjusted Operating ROE1,2 ROE Reconciliation (dollars in millions) Three Months Ended Nine Months Ended September 30, September 30, 2021 2020 2021 2020 Net income (loss) attributable to AGL $17 $86 $126 214 Adjusted operating income2 34 48 197 200 Average shar
Slide 70: Assets Under Management
Appendix Assets Under Management Assets Under Management: The Company uses AUM as a metric to measure progress in its Asset Management segment. Management fee revenue is based on a variety of factors and is not perfectly correlated with AUM. However, we believe AUM is a useful metric for assessing t
Slide 71: Assured Guaranty Contacts
Assured Guaranty Contacts: Robert Tucker Senior Managing Director Investor Relations and Corporate Communications Direct: 212.339.0861 rtucker@agltd.com Michael Walker Managing Director Fixed Income Investor Relations Direct: 212.261.5575 mwalker@agltd.com Andre Thomas Managing Director Investor Rel
Assured Guaranty — Debt Investor Presentation (September 2021) on 6ix