Assured Guaranty Ltd. · NYSE:AGO
Assured Guaranty — Investor Presentation (May 2021)
63 slides from Assured Guaranty's investor presentation, May 2021
Slide 1: Equity Investor Presentation March 31, 2021
Equity Investor Presentation March 31, 2021
Slide 2: 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 3: Conventions and Non-GAAP Financial Measures
Conventions and Non-GAAP Financial Measures • Unless otherwise noted, the following conventions are used in this presentation: – Ratings on Assured Guaranty’s insured portfolio and on bonds purchased pursuant to our loss mitigation or risk management strategies are our internal credit ratings. Inter
Slide 4: Table of Contents
Table of Contents • First Quarter 2021 • Assured Guaranty overview – Track record of creating shareholder value – Dividend limitation calculations – Simplified corporate structure • Underlying value – High-quality investment portfolio – Deleveraging while maintaining total invested assets – Investme
Slide 5: First Quarter 2021 Accomplishments
First Quarter 2021 Accomplishments • Earned $43 million of adjusted operating income1, or $0.55 per share – This includes a one-time $13 million after-tax write-off of MAC’s insurance licenses in the first quarter of 2021 resulting from the merger of MAC with and into AGM, which was recorded in othe
Slide 6: COVID-19 Market Disruption: Strength of Financial Guaranty Business Model
COVID-19 Market Disruption Strength of Financial Guaranty Business Model • The Company insures scheduled payments of principal and interest when due ‒ Insurance regulations forbid acceleration of our obligations without consent • Issuers that default on a few debt service payments may have the resou
Slide 7: COVID-19 Market Disruption: Augmented Periodic Surveillance Process
COVID-19 Market Disruption Augmented Periodic Surveillance Process • The Company’s Surveillance Department (with a staff of over three dozen) is closely monitoring those sectors and credits it believes are most at risk as a result of the direct and indirect consequences of the COVID-19 pandemic • Th
Slide 8: Assured Guaranty Overview
Assured Guaranty Overview
Slide 9: Assured Guaranty Overview
Assured Guaranty Overview • We are the leading financial guaranty Assured Guaranty Ltd. franchise, with over three decades of ($ in billions) Mar 31, 2021 Sept 30, 2009 experience in the municipal and structured finance markets Insured net par outstanding $234.3 $646.6 • We serve the bond insurance
Slide 10: 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 Re Ltd (AG Re) Assured Guaranty US Holdings (AGUS) Financial Guaranty Reinsurance U.S. Holdi
Slide 11: Adjusted Operating Income per Share by Year
Assured Guaranty Overview • Our annual adjusted operating income1 per share was $2.97 in 2020 compared with $1.88 in 2004, the year of our initial public offering • Repurchases of our shares improve adjusted operating income1 per share, adjusted operating shareholders’ equity1 per share and adjusted
Slide 12: Track Record of Creating Shareholder Value
Assured Guaranty Overview Track Record of Creating Shareholder Value • We have returned excess capital to shareholders by repurchasing our common shares and distributing dividends – Since 2013, when we started our capital management strategy of repurchasing our common shares, through May 6, 2021, we
Slide 13: Dividend Limitation Calculations
Dividend Limitation Calculations Assured Guaranty Municipal Corp. Assured Guaranty Corp. Assured Guaranty Re Ltd. (AG Re) (Domiciled in New York) (Domiciled in Maryland) (Domiciled in Bermuda) • Based on most recently filed quarterly or annual statement • Based on most recently filed annual statemen
Slide 14: Simplified Corporate Structure With Dividend Capacity
Assured Guaranty Overview Simplified Corporate Structure With Dividend Capacity1 Shareholders Assured Guaranty Ltd. • Total investment portfolio and cash of $90 million2 (Head Office – Bermuda; Tax Residence – U.K.) • Annual net expenses of $31 million Assured Guaranty Re Ltd. • Annual dividend dist
Slide 15: Underlying Value
Underlying Value
Slide 16: High-Quality Investment Portfolio
Underlying Value High-Quality Investment Portfolio Total Invested Assets and Cash1,2 • Predominately consists of highly rated, fixed As of March 31, 2021 maturity and short-term investments, and cash; 56% rated AA or higher Nearly 100% of BIG BBB is held for loss • A 12% 22% mitigation or other Appr
Slide 17: Deleveraging
Underlying Value Deleveraging • Our insured net par outstanding to adjusted operating shareholders’ equity1 has improved from 157:1 as of 4Q-09 to 39:1 as of 1Q-21 – We expect that our rate of new business written should tend to equal or exceed that of exposures amortized in a given year, stabilizin
Slide 18: Net Investment Income and Operating Expenses
Underlying Value Net Investment Income1 and Operating Expenses • Net investment income1 excludes the returns generated from alternative investments with a fair value of approximately $493 million as of March 31, 2021, composed primarily of AssuredIM funds Net Investment Income1 ($ in millions) Net i
Slide 19: Historical Growth: Adjusted Book Value per Share
Underlying Value Historical Growth Adjusted Book Value1 per Share $114.87 $116.56 $96.99 $35.22 $34.50 $86.18 $28.26 $77.86 $1.88 $1.90 $23.32 $66.52 $1.77 $20.53 $60.99 $1.69 $15.85 $53.39 $1.13 $48.26 $46.54 $48.37 $17.07 $46.22 $45.06 $0.78 $41.90 $41.97 $15.34 $0.96 $78.49 $79.44 $14.63 $35.66 $
Slide 20: Creating Value
Creating Value
Slide 21: Insurance: Penetration in the U.S. Public Finance Market
Creating Value Insurance Penetration in the U.S. Public Finance Market (excluding SGI portfolio) • Assured Guaranty saw strong new business production for U.S. public finance – In the first quarter 2021, we insured 252 primary market transactions totaling over $5.5 billion, up approximately 138% fro
Slide 22: U.S. Structured Finance Business Activity
Creating Value Insurance U.S. Structured Finance Business Activity • In first quarter 2021, we insured a balloon note guaranty and a tax credit securitization U.S. Structured PVP1 (excluding SGI reinsurance portfolio)2 • Focus has been on bilateral transactions to ($ in millions) improve policy bene
Slide 23: Non-U.S. Business Activity
Creating Value Insurance Non-U.S. Business Activity • In first quarter 2021, we guaranteed a debt service Non-U.S. PVP1 reserve guarantee to replace liquidity facilities for a (excluding SGI reinsurance portfolio)2 public utility and restructured a transaction that was ($ in millions) previously ins
Slide 24: Underwriting Principles and Pricing Discipline
Creating Value Insurance Underwriting Principles and Pricing Discipline • First quarter new business production was the second largest amount in over a decade, driven by decade-high U.S. public finance sector performance – U.S. public finance PVP increased by approximately 181% from PVP in the prior
Slide 25: AssuredIM
Creating Value AssuredIM • AssuredIM executed on its key strategic goals during the first quarter – Issued two new CLOs, selling a significant percentage of the equity to third parties – Increased fee earning AUM to $14.4 billion as of March 31, 2021, from $8.0 billion on December 31, 2019 – Attract
Slide 26: Financial Results
ASSURED (GUARANTY Financial Results VL hE |
Slide 27: First Quarter 2021 Results: Select Financial Items
First Quarter 2021 Results Select Financial Items Select GAAP Results % Change vs. ($ in millions, except per share data and percentages) Quarter Ended March 31, 1Q-20 2021 2020 Net income (loss) attributable to AGL $11 $(55) NM Net income (loss) attributable to AGL per diluted share $0.14 $(0.59) N
Slide 28: First Quarter 2021 Results: Select Segment Results
First Quarter 2021 Results Select Segment Results Select Segment Results ($ in millions) Quarter Ended March 31, 2021 Insurance Asset Management Corporate Other Total Adjusted operating income (loss)1 $79 $(7) $(29) $- $43 Net earned premiums and credit derivative revenues $107 $- $- $(1) $106 Net i
Slide 29: Consolidated Insurance Expected Loss and LAE to Be Paid
Consolidated Insurance Expected Loss and LAE to Be Paid Three Months Ended March 31, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended March 31, 2021 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) (
Slide 30: Insurance Loss Measures
Insurance Loss Measures Loss and LAE reported on the GAAP Consolidated Statement of Operations: • Represents loss and loss adjustment expenses (LAE) for contracts accounted for as insurance and not those accounted for as credit derivatives or those accounted for as FG VIEs ̶ GAAP financial guaranty
Slide 31: Insurance Portfolio Overview
Insurance Portfolio Overview
Slide 32: Four Discrete Insurance Companies with Separate Capital Bases
Four Discrete Insurance Companies with Separate Capital Bases Consolidated Statutory-Basis Claims-Paying Resources and Exposures As of March 31, 2021 ($ in millions) AGM AGC MAC AG Re7 Eliminations2 Consolidated Claims-paying resources Policyholders' surplus $2,805 $1,672 $305 $699 $(515) $4,966 Con
Slide 33: Net Par Outstanding By Sector
Net Par Outstanding By Sector • Assured Guaranty’s insured portfolio is Consolidated Net Par Outstanding largely concentrated in U.S. public finance As of March 31, 2021 ($ in billions) Non-U.S. Structured – 74% U.S. public finance Finance A Average Rating – 22% Non-U.S. public finance $0.6 <1% – 4%
Slide 34: Net Par Outstanding Amortization
Net Par Outstanding Amortization • 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 account
Slide 35: U.S. Public Finance
U.S. Public Finance Net Par Outstanding • U.S. public finance net par outstanding is $172.9 billion and makes up 74% of our total insured portfolio as of U.S. Public Finance March 31, 2021 As of March 31, 2021 ($ in billions) • U.S. public finance portfolio generally performed well during the Great
Slide 36: Puerto Rico Exposure
Public Finance Puerto Rico Exposure Par Exposure to the Commonwealth and its Agencies1,2 As of March 31, 2021 Net Par ($ in millions) Outstanding Puerto Rico Exposures Subject to a Support Agreement 2: Commonwealth of Puerto Rico - General Obligation (GO) Bonds 3 $1,112 Puerto Rico Public Buildings
Slide 37: Puerto Rico: Scheduled Net Par Amortization
Public Finance Puerto Rico Exposure Scheduled Net Par Amortization of Exposure to the Commonwealth and its Agencies As of March 31, 2021 2Q 3Q 4Q 2031- 2036- 2041- ($ in millions) 2021 2021 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030 2035 2040 2042 Total Puerto Rico Exposures Subject to a Supp
Slide 38: 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 March 31, 2021 2Q 3Q 4Q 2031- 2036- 2041- ($ in millions) 2021 2021 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030 2035 2040 2042 Total Puerto Rico Exposures Subject
Slide 39: Consolidated Non-U.S. Exposure
Consolidated Non-U.S. Exposure Non-U.S. Public and Structured Finance Non-U.S. Exposure As of March 31, 2021 ($ in billions) • 99% of non-U.S. exposure is Public Finance – Direct sovereign debt is limited to Poland ($281 million) and Mexico ($50 million) Australia $1.9 5% 6% 4% 11% France United • 1
Slide 40: Structured Finance Exposures
Structured Finance Exposures Net Par Outstanding By Type As of March 31, 2021 ($ in billions) Life Insurance Transactions • Assured Guaranty’s total structured finance Financial 1 $2.6 exposure of $9.2 billion as of March 31, 2021, Products (GICs) 28% reflects a $165.4 billion reduction from $174.6
Slide 41: Consolidated U.S. RMBS
Consolidated U.S. RMBS By Type • Our $2.9 billion U.S. RMBS portfolio is amortizing As of March 31, 2021 both on a dollar basis and as a percentage of the ($ in millions) portfolio Subprime First Lien – Assured Guaranty’s U.S. RMBS exposure of $2.9 billion on March $1,719 31, 2021, reflects a $26.4
Slide 42: Below Investment Grade Exposures
Below Investment Grade Exposures Net Par Outstanding by BIG Category1 Financial Guaranty Insurance and Credit Derivatives Surveillance Categories ($ millions) March 31, 2021 December 31, 2020 • As of March 31, 2021, approximately BIG Category 1 $2.4 billion (31%) of the aggregate U.S. public finance
Slide 43: BIG Exposure Decline
BIG Exposure Decline • Since 4Q-11, BIG net par outstanding has declined by $19.3 billion • The largest components of our BIG exposure are Puerto Rico at 50% and U.S. RMBS at 19% BIG Net Par Outstanding Changes in BIG Net Par Outstanding ($ in billions) Full Full Full Year Year Year Q1 ($ in million
Slide 44: BIG Exposures > $250 Million
BIG Exposures > $250 Million (dollars in millions) BIG Exposures Greater Than $250 Million as of March 31, 2021 Net Par Internal Type1 Name or Description Outstanding Rating2 PF Puerto Rico Highways and Transportation Authority $1,310 CCC PF Puerto Rico General Obligation, Appropriations and Guarant
Slide 45: Asset Management Overview
ASSURED (GUARANTY Asset Management Overview VL hE |
Slide 46: Asset Management
Asset Management • AssuredIM currently has $17.5 billion in assets under management – CLOs had net inflows of $566 million, including $813 million of Assets Under Management inflows from third parties As of March 31, 2021 ($ in billions) – Wind-down funds, which are legacy BlueMountain hedge and opp
Slide 47: Assets Under Management
Asset Management Assets Under Management Select GAAP Results Quarter-to-Date (December 31, 2020 to March 31, 2021) ($ in millions) Opportunity Liquid Wind-Down CLOs Funds Strategies Funds Total AUM, Beginning of Period $13,856 $1,486 $383 $1,623 $17,348 Inflows: Third-party 813 60 - - 873 Intercompa
Slide 48: Appendix
ASSURED GUARANTY F | Appendix
Slide 49: 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 50: Explanation of Non-GAAP Financial Measures
Appendix Explanation of Non-GAAP Financial Measures 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) attributable
Slide 51: 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 52: 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 53: 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 March 31, Year Ended December 31, (dollars in millions) 2021 2020 2020 2019 2018 2017 2016 2015 2014 Total GWP $87 $64 $454 $677 $612 $307 $154 $181 $104 Less: Installment GWP and other GAA
Slide 54: Reconciliation of Net Income to Adjusted Operating Income
Appendix Reconciliation of Net Income (Loss) Attributable to AGL to Adjusted Operating Income1 Three Months Ended Adjusted Operating Income Reconciliation March 31, (dollars in millions, except per share amounts) 2021 2020 Per Diluted Per Diluted Total Share Total Share Net income (loss) attributabl
Slide 55: Reconciliation of Net Income to Adjusted Operating Income (2015-2020)
Appendix Reconciliation of Net Income (Loss) to Adjusted Operating Income1 (2010-2019) Adjusted Operating Income1 Reconciliation Year Ended December 31, (dollars in millions, except per share amounts) 2020 2019 2018 2017 2016 2015 Total Per Share Total Per Share Total Per Share Total Per Share Total
Slide 56: Reconciliation of Net Income to Adjusted Operating Income (2005-2009)
Appendix Reconciliation of Net Income (Loss) to Adjusted Operating Income1 (2004-2009) Adjusted Operating Income1 Reconciliation Year Ended December 31, (dollars in millions, except per share amounts) 2009 2008 2007 2006 2005 Total Per Share Total Per Share Total Per Share Total Per Share Total Per
Slide 57: 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) March 31, 2021 December 31, 2020 March 31, 2020 December 31, 2019 Total Per Share Total Per Share Total Per Share Total Per Share Reconcil
Slide 58: Reconciliation of Shareholders' Equity to Adjusted Book Value (2004-2010)
Appendix Reconciliation of Shareholders’ Equity to Adjusted Book Value1 (2004-2010) Adjusted Book Value1 Reconciliation (dollars in millions, except per share amounts) 2Q 2004 2004 2005 2006 2007 2008 2009 2010 Per Per Per Per Per Per Per Per Total Share Total Share Total Share Total Share Total Sha
Slide 59: Reconciliation of Shareholders' Equity to Adjusted Book Value (2011-2018)
Appendix Reconciliation of Shareholders’ Equity to Adjusted Book Value1 (2011-2018) Adjusted Book Value1 Reconciliation (dollars in millions, except per share amounts) 2011 2012 2013 2014 2015 2016 2017 2018 Per Per Per Per Per Per Per Total Share Total Share Total Share Total Share Total Share Tota
Slide 60: Calculation of Adjusted Operating Portfolio Leverage
Appendix Calculation of Adjusted Operating Portfolio Leverage Adjusted Operating Leverage Actual (dollars in millions, except leverage) 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 1Q 2021 Insured net par outstanding $640,194 $616,686 $556,830 $518,772 $459,107 $403,729 $358,571 $296,
Slide 61: 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 March 31, 2021 2020 Net income (loss) attributable to AGL $11 $(55) Adjusted operating income2 43 33 Average shareholders' equity attributable to AGL $6,537 $6,440 Average ad
Slide 62: 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 63: Equity Investor Presentation: Assured Guaranty Contacts
Assured Guaranty Contacts: Robert Tucker Senior Managing Director, Investor Relations and Corporate Communications Direct: 212.339.0861 rtucker@agltd.com Andre Thomas Managing Director, Equity Investor Relations Direct: 212.339.3551 athomas@agltd.com Equity Investor Presentation March 31, 2021 62