Assured Guaranty Ltd. · NYSE:AGO
Assured Guaranty — Debt Investor Presentation (March 2020)
72 slides from Assured Guaranty's debt investor presentation, Mar 31, 2020
Slide 1: Fixed Income Investor Presentation March 31, 2020
EMBRACE POSSIBILITIES, INVEST IN CERTAINTIES Fixed Income Investor Presentation March 31, 2020
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 33 AGM1 Portfolio Review 43 Municipal Assurance Corp. Portfolio Review 52 Assur
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. and its consolidated entities, which consist primarily of Assured Guaranty (Europe) plc (
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 Re Ltd (AG Re) Assured Guaranty US Holdings (AGUS) Assured Guaranty Finance Financial Guaran
Slide 8: Insurance Operating Principles and Investor and Issuer Benefits
Insurance Operating Principles and Investor and Issuer Benefits • Underwriting principles and a strong risk management culture designed to preserve our franchise value • Experienced and disciplined management • Commitment to disclosure and transparency – Extensive quarterly financial disclosures by
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: COVID-19 Market Disruption
COVID-19 Market Disruption Strength of Financial Guaranty Business Model • The Company is required to pay only any shortfall of principal and interest due on the scheduled payment dates ‒ Insurance regulations forbid acceleration of its obligations without its consent ‒ Many of the obligations the C
Slide 11: 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, 2020 ($ in millions) AGM AGC MAC AG Re7 Eliminations2 Consolidated Claims-paying resources Policyholders' surplus $2,573 $1,668 $277 $823 $(478) $4,863 Con
Slide 12: Principal Insurance Platforms
Assured Guaranty Principal Insurance Platforms • Assured Guaranty Municipal1, MAC, AGC, AGE UK and AGE SA operate as five separate direct financial guaranty platforms, with AG Re operating as a reinsurer – Assured Guaranty Municipal1 focuses exclusively on public finance and global infrastructure fi
Slide 13: Principal Insurance Platforms (Cont.)
Assured Guaranty Principal Insurance Platforms (Cont.) • Companies distinct for legal and regulatory purposes – Separate capital bases – claims-paying resources2 as of March 31, 2020 – AGM1 $5.9 billion, MAC $0.6 billion, AGC $3.0 billion, AG Re $1.8 billion – Separate insurance licenses – Separate
Slide 14: Asset Management Platform
Assured Guaranty Asset Management Platform • The Assured Investment Management platform provides asset management services – As of March 31, 2020, the Assured Investment Management platform had AUM1 of $16.5 billion in three fund areas – CLOs had AUM1 of $12.6 billion – Opportunity Funds had AUM1 of
Slide 15: AGM's Commitment to the Public Finance Market
AGM’s1 Commitment to the Public Finance Market Net Par Outstanding • AGM1 is committed to insuring U.S. public finance As of March 31, 2020 and global infrastructure transactions. AGM’s ($ in billions) subsidiaries, AGE UK and AGE SA, may underwrite some structured finance transactions.2 U.S. Struct
Slide 16: AGE UK and AGE SA
AGE UK and AGE SA • AGE UK is an insurance company currently engaged in providing financial guarantees in the U.K. – Provides insurance in both public finance and structured finance – Through 2019, AGE UK wrote business throughout the EU as well as certain other non-EU countries – New UK business is
Slide 17: Municipal Assurance Corp.
Municipal Assurance Corp. Municipal Only Bond Insurance MAC: • Is committed to insuring only U.S. public finance transactions; • Has a $19 billion U.S. municipal-only insurance portfolio that is geographically diversified; • Has conservative and well-defined underwriting standards; and • Maintains a
Slide 18: AGC is a Diversified Platform
AGC is a Diversified Platform • AGC, a diversified insurer, may write all Net Par Outstanding classes of financial guaranty business, As of March 31, 2020 including structured finance, U.S. public ($ in billions) finance and global infrastructure • Structured finance eligible for new business U.S. S
Slide 19: AG Re and AGRO
AG Re and AGRO • AG Re is an insurance company • AG Re’s subsidiary, AGRO, is a primarily engaged in providing specialty reinsurance company reinsurance to financial guarantors – Rated AA (stable outlook) by S&P and A+ (stable – Rated AA (stable outlook) by S&P outlook) by A.M. Best – Licensed as a
Slide 20: Underwriting Discipline
Underwriting Discipline • Our U.S. public finance portfolio, our largest exposure category, generally performed well Consolidated Net Par Outstanding3 during the 2008 recession and in subsequent As of March 31, 2020 years, despite persistent financial pressures ($ in billions) Non-U.S. Structured Fi
Slide 21: Creating Value: Insurance
Creating Value Insurance Penetration in the U.S. Public Finance Market (excluding SGI portfolio) • We are focused on building demand for our bond insurance, both in the primary and secondary markets for U.S. public finance – In Q1 2020, we insured 162 primary market transactions totaling $2.5 billio
Slide 22: Broadening Market Awareness
Broadening Market Awareness Advertising Campaigns 21
Slide 23: Market Update
Market Update Select Assured Guaranty Transactions in 2020 $385,735,000 $261,295,000 $153,425,000 $150,000,000 $142,645,000 School Districts Revenue Bond Transportation Revenue Taxable Pension Obligation Revenue Bonds, Series 2020A Escambia County Financing Program, Green Bonds Series 2020A-1 Bonds,
Slide 24: Creating Value: U.S. Structured Finance Business Activity
Creating Value Insurance U.S. Structured Finance Business Activity • During 1Q-20, we insured a portion of a whole business securitization U.S. Structured PVP1 (excluding SGI reinsurance portfolio)2 • Focus has been on bilateral transactions to ($ in millions) improve policy beneficiaries’ capital m
Slide 25: Creating Value: Non-U.S. Business Activity
Creating Value Insurance Non-U.S. Business Activity • During 1Q-20, new business included a guaranty of a solar bond transaction in Spain, written by the Non-U.S. PVP1 Company’s new French subsidiary, Assured (excluding SGI reinsurance portfolio)2 ($ in millions) Guaranty (Europe) SA, as well as add
Slide 26: Puerto Rico Settlement Agreements
Creating Value Insurance Puerto Rico Settlement Agreements • In February 2019, consummated a resolution under a Restructuring Support Agreement (RSA) relating to the Company’s Puerto Rico Sales Tax Financing Corporation (COFINA) exposure ‒ Paid off the entire exposure of $273 million, plus accrued a
Slide 27: Acquisitions and Reinsurance of Legacy Monolines
Creating Value Insurance Acquisitions and Reinsurance of Legacy Monolines • Radian Asset Assurance acquisition closed on April 1, 2015 - Resulted in an increase of $654 million to claims-paying resources, an increase of $193 million to adjusted operating shareholders’ equity1 and $570 million to adj
Slide 28: Assured Investment Management Platform
Creating Value Assured Investment Management Platform • On October 1, 2019, Assured Guaranty completed the acquisition of all of the outstanding equity interests in BlueMountain and its associated entities for a purchase price of $157 million - Assured Guaranty contributed $60 million of cash to Blu
Slide 29: Financial Strength Ratings
Financial Strength Ratings Financial Strength Ratings As of March 31, 2020 • In April 2020, S&P released a report assessing the U.S. bond insurance sector as low risk S&P Moody’s KBRA – S&P pointed to industry’s strong capitalization, favorable pricing opportunities and strong regulatory track recor
Slide 30: Net Par Outstanding Amortization
Net Par Outstanding Amortization • Amortization of the existing portfolio reduces rating agency capital charges, but also embedded future earned premiums – Currently, the existing $231 billion portfolio consists of $221 billion of public finance and $10 billion of structured finance net par – The ex
Slide 31: Assured Guaranty Today
Assured Guaranty Today Insured Portfolio and Capital Changes 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 $11.0 71.3x 70.5x 62.9x 58.9x 52.7x 47.4x 46.7x 46.2x 41.2x 38.6x 39.5x 54% Decline
Slide 32: AGL Consolidated Investment Portfolio
AGL Consolidated Investment Portfolio Fair Value as of March 31, 2020 Total Invested Assets and Cash1 Total Invested Assets and Cash1 By Category By Rating2 U.S. NR Other Other U.S. Government & Invested Government 1% Invested Agencies 7 Short-term and Assets AAA Assets Cash Nearly 100% of 2% 1% 10%
Slide 33: Assured Guaranty Ltd. Consolidated Insured Portfolio Overview
Assured Guaranty Ltd. Consolidated Insured Portfolio Overview
Slide 34: AGL Consolidated Insured Portfolio
AGL Consolidated Insured Portfolio Net Par Outstanding as of March 31, 2020 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% $230.9 billion1,2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Stru
Slide 35: AGL Consolidated Insured Portfolio Ratings
AGL Consolidated Insured Portfolio Ratings Net Par Outstanding as of March 31, 2020 Portfolio Diversification by Rating BIG AAA AA 4% 2% 12% BBB 36% A 47% $230.9 billion1,2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA AAA BIG
Slide 36: Puerto Rico Exposure
Public Finance Puerto Rico Exposure Par Exposure to the Commonwealth and its Agencies1,2 As of March 31, 2020 Net Par Gross Par ($ in millions) Outstanding Outstanding Commonwealth Commonwealth of Puerto Rico - General Obligation Bonds 3 $1,253 $1,294 Constitutionally Puerto Rico Public Buildings Au
Slide 37: Puerto Rico Net Par Amortization
Public Finance Puerto Rico Exposure Scheduled Net Par Amortization of Exposure to the Commonwealth and its Agencies As of March 31, 2020 2Q 3Q 4Q 2030- 2035- 2040- 2045- ($ in millions) 2020 2020 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2034 2039 2044 2047 Total Commonwealth – GO $- $141 $-
Slide 38: Puerto Rico Net Debt Service Amortization
Public Finance Puerto Rico Exposure Scheduled Net Debt Service Amortization of Exposure to the Commonwealth and its Agencies As of March 31, 2020 2Q 3Q 4Q 2030- 2035- 2040- 2045- ($ in millions) 2020 2020 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2034 2039 2044 2047 Total Commonwealth – GO $
Slide 39: Detroit & Stockton Exposure
AGL Consolidated Detroit & Stockton Exposure Details of Assured Guaranty’s Exposure to Detroit • Municipal utilities exposure is $429 million of water revenue bonds and $970 million of sewer revenue bonds. Both the water and sewer systems provide services to areas that extend significantly beyond th
Slide 40: Structured Finance Exposures
Structured Finance Exposures Net Par Outstanding By Type As of March 31, 2020 • Assured Guaranty’s total structured finance Life Insurance Financial ($ in billions) Transactions Products $1.8 (GICs) 1 exposure of $9.5 billion at March 31, 2020 $0.8 8% 19% U.S. and Non- reflects a $231.4 billion redu
Slide 41: Consolidated U.S. RMBS
Consolidated U.S. RMBS • Our $3.4 billion U.S. RMBS portfolio is amortizing both on a dollar basis and as a U.S. RMBS by Exposure Type percentage of the portfolio As of March 31, 2020 – Assured Guaranty’s U.S. RMBS exposure of $3.4 billion at ($ in billions) March 31, 2020 reflects a $25.8 billion r
Slide 42: Consolidated Non-U.S. Exposure
Consolidated Non-U.S. Exposure Non-U.S. Public and Structured Finance Non-U.S. Exposure As of March 31, 2020 ($ in billions) • 99% of non-U.S. exposure is Public Finance – Direct sovereign debt is limited to Poland ($289 Canada $2.4 France million) and Mexico ($50 million) Other $3.1 Australia $1.9
Slide 43: AGM Portfolio Review
AGM Portfolio Review Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret
Slide 44: AGM Insured Portfolio
AGM1 Insured Portfolio Net Par Outstanding as of March 31, 2020 Portfolio Diversification by Sector Non-U.S. Structured Finance U.S. <1% Structured Finance 2% U.S. Public Finance 71% Non-U.S. Public Finance 27% $130.6 billion2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance
Slide 45: AGM Insured Portfolio Ratings
AGM1 Insured Portfolio Ratings Net Par Outstanding as of March 31, 2020 Portfolio Diversification by Rating BIG AAA AA 3% 1% 10% BBB 38% A 48% $130.6 billion2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA A BIG AAA 3% <1% AA A
Slide 46: AGM Insured Portfolio by Asset Type
AGM1 Insured Portfolio Net Par Outstanding as of March 31, 2020 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: General obligation $ 35,977 A- RMBS $ 2,000 BBB- Tax backe
Slide 47: AGM Projected Amortization of Global Structured Finance Portfolio
AGM1 Projected Amortization2 of Global Insured Structured Finance Portfolio Portfolio Diversification by Sector Portfolio Diversification by Rating Other Structured BIG AAA Finance $1.0 $0.6 $0.5 Financial 3 Products U.S. (GICs) Residential $0.8 Mortgages BBB $2.0 $0.4 AA $3.3 Billion Net Par Outsta
Slide 48: AGM U.S. RMBS Exposure
AGM1 U.S. RMBS Exposure By Type As of March 31, 2020 ($ 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 $20 Lien $298 of the portfolio 1% – $2.0 billion net par outstanding versus $17.1 billion at 15% year-end
Slide 49: AGM Investment Portfolio
AGM1 Investment Portfolio Fair Value as of March 31, 2020 Total Invested Assets and Cash2 Total Invested Assets and Cash2 By Category By Rating3 Short-term & Other NR 8 Cash U.S. AAA Invested <0% U.S. 5% Government 24% Assets Government & Agencies 6% & Agencies 1% 1% Foreign Gov't Asset- Securities
Slide 50: AGM Consolidated Expected Loss and LAE to Be Paid
AGM Consolidated Expected Loss and LAE to Be Paid Three Months Ended March 31, 2020 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended March 31, 2020 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) as Development (Benefit) (Pai
Slide 51: Municipal Assurance Corp. Portfolio Review
Municipal Assurance Corp. Portfolio Review
Slide 52: MAC Insured Portfolio
MAC Insured Portfolio (100% U.S. Public Finance) Net Par Outstanding as of March 31, 2020 Portfolio Diversification by Sector Portfolio Diversification by Rating 1 BIG AAA AA Muni Utility 1% 1% 20% Revenue 14% BBB 19% Tax Backed 13% General Obligations 66% Other 7% A 59% $18.6 billion Net Par Outsta
Slide 53: MAC Investment Portfolio
MAC Investment Portfolio Fair Value as of March 31, 2020 Total Invested Assets and Cash1 Total Invested Assets and Cash1 By Category By Rating2 Short Term U.S. Cash Government Investments <1% & Agencies 4 2% AAA 4% 16% U.S. Mortgage- Government backed & & Agencies Asset- 4% backed 9% BBB 12% 3 Corpo
Slide 54: Assured Guaranty Corp. Portfolio Review
Assured Guaranty Corp. Portfolio Review Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret
Slide 55: AGC Insured Portfolio
AGC Insured Portfolio Net Par Outstanding as of March 31, 2020 Portfolio Diversification by Sector Non-U.S. Structured Finance 2% Non-U.S. Public Finance 20% U.S. Public Finance 61% U.S. Structured Finance $21.6 billion 17% Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Po
Slide 56: AGC Insured Portfolio Ratings
AGC Insured Portfolio Ratings Net Par Outstanding as of March 31, 2020 Portfolio Diversification by Rating BIG AAA 11% 6% AA 20% BBB 36% A 27% $21.6 billion Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance AAA AA BIG AAA BIG BIG <1% 14%
Slide 57: AGC Insured Portfolio by Asset Type
AGC Insured Portfolio Net Par Outstanding as of March 31, 2020 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: Tax backed $ 2,901 BBB- RMBS $ 1,107 BBB Transportation 2,3
Slide 58: AGC U.S. RMBS Exposure
AGC U.S. RMBS Exposure By Type As of March 31, 2020 ($ in millions) Second Alt-A First Lien • AGC’s U.S. RMBS portfolio is amortizing on Lien $236 $145 an absolute basis and has declined as a percentage of the portfolio Prime First 21% Option Lien 13% ARMs – $1.1 billion versus $13.4 billion at year
Slide 59: AGC Non-RMBS Exposure
AGC Non-RMBS Exposure U.S. Structured Finance U.S. Non-RMBS Structured Finance • AGC’s non-RMBS U.S. structured finance As of March 31, 2020 ($ in billions) exposures consist principally of: – Pooled corporate obligations – Life insurance transactions Other – Consumer receivables structured finance
Slide 60: AGC Investment Portfolio
AGC Investment Portfolio Fair Value as of March 31, 2020 Total Invested Assets and Cash1 Total Invested Assets and Cash1 By Category By Rating2 Other Invested Cash U.S. 1% 6 Assets Government AAA <1% & Agencies Short-term 12% AA 2% 2% U.S. 45% Government & Agencies Corporates 2% 13% Mortgage- NR bac
Slide 61: AGC Expected Loss and LAE to Be Paid
AGC Expected Loss and LAE to Be Paid Three Months Ended March 31, 2020 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended March 31, 2020 Net Expected Loss to be Economic Loss (Paid) Recovered Net Expected Loss to Paid (Recovered) as of Development (Benefi
Slide 62: Appendix
ASSURED GUARANTY
Slide 63: Explanation of Non-GAAP Financial Measures
Appendix Explanation of Non-GAAP Financial Measures To reflect the key financial measures that management analyzes in evaluating the Company’s operations and progress towards long-term goals, the Company discloses both financial measures determined in accordance with GAAP and financial measures not
Slide 64: 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 underwriting results of the Company. Adjusted operating income is defined as net income (loss) attributa
Slide 65: 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 66: 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 67: 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) 2020 2019 2019 2018 2017 2016 2015 2014 Total GWP $64 $39 $677 $612 $307 $154 $181 $104 Less: Installment GWP and other GAAP adjustme
Slide 68: Reconciliation of Net Income (Loss) to Adjusted Operating Income
Appendix Reconciliation of Net Income (Loss) Attributable to AGL to Adjusted Operating Income1 Three Months Ended Adjusted Operating Income1 Reconciliation March 31, (dollars in millions, except per share amounts) 2020 2019 Per Diluted Per Diluted Total Share Total Share Net income (loss) attributab
Slide 69: 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, 2020 December 31, 2019 March 31, 2019 December 31, 2018 Total Per Share Total Per Share Total Per Share Total Per Share Reconcil
Slide 70: 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, 2020 2019 Net income (loss) attributable to AGL $(55) 54 Adjusted operating income2 33 86 Gain (loss) related to VIE consolidation included in adjusted operating in
Slide 71: 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. The Company uses measures of its AUM in its decision making process and intends to use a measure of change in AUM in its calculation of certain components o
Slide 72: 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
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