Assured Guaranty Ltd. · NYSE:AGO
Assured Guaranty — Debt Investor Presentation (June 2024)
57 slides from Assured Guaranty's debt investor presentation, Jun 30, 2024
Slide 1: Fixed Income Investor Presentation June 30, 2024
EMBRACE POSSIBILITIES, INVEST IN CERTAINTIES Fixed Income Investor Presentation June 30, 2024
Slide 2: Table of Contents
Table of Contents Page Forward-Looking Statements and Safe Harbor Disclosure 3 Conventions and Non-GAAP Financial Measures 4 Corporate Overview 5 Assured Guaranty Ltd. Consolidated Insured Portfolio Overview 31 Combined AG1 Portfolio Review 43 Appendix 48 1. Please see page 4 for a definition of thi
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 and Non-GAAP Financial Measures
Conventions and Non-GAAP Financial Measures • Unless otherwise noted, the following conventions are used in this presentation: – “Combined AG” means Assured Guaranty Inc. (AG) after the merger of Assured Guaranty Municipal Corp. (AGM) with and into AG. “Combined AG” includes AG’s post-merger consoli
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 AGL business throughout the 2008 financial crisis and
Slide 7: AGM Merger Into AG
AGM Merger Into AG • Assured Guaranty Municipal Corp. (AGM) merged with and into Assured Guaranty Inc. (AG), effective August 1, 2024 • Some of the benefits of the merger include: – Created a larger, combined company to guarantee all the obligations in both the AGM and AG insured portfolios – Improv
Slide 8: Corporate Structure (Pre-Merger)
Assured Guaranty Ltd. Corporate Structure (Pre-Merger) Assured Guaranty Ltd. Hamilton, Bermuda Publicly Traded Holding Company (NYSE: AGO) A (stable outlook) / Baa1 (stable outlook) issuer credit ratings Assured Guaranty US Holdings Inc. (AGUS) U.S. Holding Company S&P: A (stable outlook) / KBRA: A+
Slide 9: Corporate Structure (Current)
Assured Guaranty Ltd. Corporate Structure (Current) Assured Guaranty Ltd. Hamilton, Bermuda Publicly Traded Holding Company (NYSE: AGO) A (stable outlook) / Baa1 (stable outlook) issuer credit ratings Assured Guaranty US Holdings Inc. (AGUS) Assured Guaranty Re Ltd. (AG Re) U.S. Holding Company Insu
Slide 10: 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 11: Strength of Financial Guaranty Business Model
Strength of Financial Guaranty Business Model • The Company insures scheduled payments of principal and interest when due – Insurance law requires that each policy must provide that there shall be no acceleration of the Company's obligations unless such acceleration is at our sole option • Issuers t
Slide 12: Insurance Subsidiaries with Separate Capital Bases
Insurance Subsidiaries with Separate Capital Bases Consolidated Statutory-Basis Claims-Paying Resources and Exposures As of June 30, 2024 2 ($ in millions) AGM AG Eliminations Combined AG AG Re7 Eliminations3 Consolidated Claims-paying resources Policyholders' surplus $ 2,599 $ 1,649 $ (288) $ 3,960
Slide 13: Principal Insurance Platforms
Assured Guaranty Principal Insurance Platforms • AG, AGUK and AGE operate as three separate financial guaranty platforms, with AG Re operating as a reinsurer – AG focuses on insuring U.S. public finance, infrastructure and structured finance transactions – AGUK serves the U.K. market and certain oth
Slide 14: 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 June 30, 2024: ▪ Combined AG2 $8.9 billion (includes AGUK and AGE) ▪ AG Re $1.7 billion (includes AGRO) – Separate insurance lice
Slide 15: Combined AG Net Par Outstanding
Combined AG1 Net Par Outstanding Net Par Outstanding As of June 30, 2024 ($ in billions) Non-U.S. Structured • Assured Guaranty Inc. (AG) is the new name Finance $1.2 for Assured Guaranty Corp. (AGC) 1% U.S. • Assured Guaranty Municipal Corp. (AGM) Structured Finance 3% U.S. merged with and into AG,
Slide 16: AGUK and AGE Net Par Outstanding
AGUK and AGE Net Par Outstanding AGUK Net Par Outstanding As of June 30, 2024 ($ in billions) Non-U.S. Sovereign • AGUK is an insurance company that provides and Sub- financial guarantees in the U.K. and certain other sovereign $1.0 countries Non-U.S. – Provides insurance in both public finance and
Slide 17: AG Re and AGRO
AG Re and AGRO AG Re AGRO Net Par Outstanding1 Outstanding Net Exposure2 As of June 30, 2024 ($ in billions) As of June 30, 2024 ($ in billions) Diversified U.S. Non-U.S. real estate Structured Structured $1.5 Finance Finance $4.1 7% $0.2 Financial <1 % Guaranty 34% Structured Non-U.S. Public 21% Fi
Slide 18: Underwriting Discipline
Underwriting Discipline Consolidated Net Par Outstanding • Our U.S. public finance portfolio, our As of June 30, 2024 largest exposure category, generally ($ in billions) performed well during the 2008 recession and in subsequent years, including during Non-U.S. the COVID-19 pandemic, despite persis
Slide 19: Creating Value: Insurance Penetration in the U.S. Public Finance Market
Creating Value Insurance Penetration in the U.S. Public Finance Market • Assured Guaranty’s U.S. public finance new business production had a strong first half of 2024 – U.S. public finance insured nearly $10 billion of total par that closed in the first half of the year – U.S. public finance PVP1 t
Slide 20: Broadening Market Awareness
Broadening Market Awareness Current Advertising Campaigns 20 ASSURED GUARANTY INC.
Slide 21: Competitive Landscape
Competitive Landscape Select AG Transactions in 2024 Source: Refinitiv SDC Database. Amounts are on a sale-date basis and reflect only those series insured by Assured Guaranty Inc. (New York, NY). 21 ASSURED GUARANTY INC.
Slide 22: Creating Value: Non-U.S. Public Finance Business Activity
Creating Value Insurance Non-U.S. Public Finance Business Activity Non-U.S. Public Finance PVP1 • In the first half of 2024, business activity was (1H; $ in millions) attributable to secondary market guarantees of several regulated utilities and airport $49 $46 transactions $36 $34 $30 • For full-ye
Slide 23: Creating Value: Global Structured Finance Business Activity
Creating Value Insurance Global Structured Finance Business Activity • In the first half of 2024, new business PVP Global Structured Finance PVP1 primarily consisted of pooled corporate (1H; $ in millions) transactions, insurance securitizations and $68 subscription finance transactions • For full-y
Slide 24: Underwriting Principles and Pricing Discipline
Creating Value Insurance Underwriting Principles and Pricing Discipline • Assured Guaranty insured approximately $13 billion of aggregate par in the first half of 2024 – Non-U.S. public finance insured the second largest amount of first-half par in a decade – Global structured finance insured the se
Slide 25: Creating Value: Puerto Rico Update
Creating Value Puerto Rico Update • The Company has divested the majority of the consideration it received as a result of the resolution of the Company’s exposure to insured Puerto Rico credits experiencing payment default other than PREPA (2022 Puerto Rico Resolutions) – Our remaining Puerto Rico H
Slide 26: Creating Value: Asset Management
Creating Value Asset Management • In 2023, Assured Guaranty contributed most of AssuredIM to Sound Point in exchange for approximately 30% of the combined Sound Point entity, and the Company sold its entire equity interest in Assured Healthcare Partners, LLC (AHP) – AGM and AG engaged Sound Point as
Slide 27: Financial Strength Ratings
Financial Strength Ratings Summary Financial Strength Ratings1 S&P KBRA Moody's AA AA+ A1 AG Stable Outlook Stable Outlook Stable Outlook (May 2024) (October 2023) (July 2024) Recent Updates • There has been no change, resulting from the merger, to AG’s strong and stable ratings • In August 2024, S&
Slide 28: Net Par Outstanding Amortization
Net Par Outstanding Amortization • Since year-end 2018, the net par outstanding of the insured portfolio has stabilized significantly – Since year-end 2022, net par outstanding increased by $21 billion, with increased par outstanding in all three asset classes: U.S. public finance, non-U.S. public f
Slide 29: Capital Changes and Insured Portfolio Since the Global Financial Crisis
Assured Guaranty Today Capital Changes and Insured Portfolio Since the Global Financial Crisis Claims-Paying Resources Insured Leverage ($ in billions) 71.3x 70.5x $13.2 $13.2 $12.8 $12.8 $12.6 $12.6 $12.7 $12.1 $12.1 $11.9 62.9x $11.4 $11.1 $11.2 $10.8 $10.7 $10.6 58.9x 52.7x 47.4x 46.7x 46.2x 41.2
Slide 30: High-Quality Investment Portfolio
Underlying Value High-Quality Investment Portfolio Total Invested Assets and Cash1,2 U.S. government & As of June 30, 2024 agencies AAA 3 • Predominately consists of highly rated, 1% 29% fixed maturity and short-term investments, Other invested assets and cash; 55% rated AA or higher 5% • Approximat
Slide 31: Assured Guaranty Ltd. Consolidated Insured Portfolio Overview
Assured Guaranty Ltd. Consolidated Insured Portfolio Overview
Slide 32: AGL Consolidated Insured Portfolio
AGL Consolidated Insured Portfolio Net Par Outstanding as of June 30, 2024 Portfolio Diversification by Sector Non-U.S. Structured Finance 1% U.S. Public Finance 76% U.S. Structured Finance 3% Non-U.S. Public Finance 19% $254.4 billion1,2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public
Slide 33: AGL Consolidated Insured Portfolio Ratings
AGL Consolidated Insured Portfolio Ratings Net Par Outstanding as of June 30, 2024 Portfolio Diversification by Rating BIG AAA 2% 1% AA 11% BBB 38% A 48% $254.4 billion1,2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finance Portfolio Structured Finance Portfolios BIG AAA BIG AAA BI
Slide 34: Puerto Rico Exposure
Public Finance Puerto Rico Exposure Exposure to Puerto Rico As of June 30, 2024 ($ in millions) Net Par Outstanding Total Net Par Gross Par Combined AG1 AG Re Outstanding Outstanding Defaulted Puerto Rico Exposures Puerto Rico Electric Power Authority (PREPA) $444 $180 $624 $633 Total Defaulted $444
Slide 35: Scheduled Net Par Amortization of Exposure to Puerto Rico
Public Finance Puerto Rico Exposure Scheduled Net Par Amortization of Exposure to Puerto Rico As of June 30, 2024 2024 2024 2034 - 2039 - ($ in millions) (Q3) (Q4) 2025 2026 2027 2028 2029 2030 2031 2032 2033 2038 2041 Total Defaulted Puerto Rico Exposures PREPA $ 93 $ — $ 68 $ 105 $ 105 $ 68 $ 39 $
Slide 36: Scheduled Net Debt Service Amortization of Exposure to Puerto Rico
Public Finance Puerto Rico Exposure Scheduled Net Debt Service Amortization of Exposure to Puerto Rico As of June 30, 2024 2024 2024 2034 - 2039 - ($ in millions) (Q3) (Q4) 2025 2026 2027 2028 2029 2030 2031 2032 2033 2038 2041 Total Defaulted Puerto Rico Exposures PREPA $ 105 $ 3 $ 92 $ 126 $ 122 $
Slide 37: Non-U.S. Public Finance Exposure
Non-U.S. Public Finance Exposure Net Par Outstanding By Type As of June 30, 2024 ($ in billions) Infrastructure • Non-U.S. public finance net par outstanding is finance $50 billion and makes up 19% of our total $14.9 Sovereign and insured portfolio as of June 30, 2024 sub-sovereign 30% $9.5 — Direct
Slide 38: Global Structured Finance Exposures
Global Structured Finance Exposures Net Par Outstanding By Type As of June 30, 2024 ($ in billions) U.S. RMBS $1.6 • Assured Guaranty’s total structured Insurance Securitizations Global Pooled finance exposure of $10.2 billion, as of $4.6 21% 16% Corporate June 30, 2024, reflects a $164.4 billion $1
Slide 39: Expected Loss and LAE to Be Paid (Three Months)
Consolidated Insurance Expected Loss and LAE to Be Paid Three Months Ended June 30, 2024 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended June 30, 2024 Net Expected Loss Net Economic Loss Net Expected Loss to be Paid Development Net (Paid) to be Paid (R
Slide 40: Expected Loss and LAE to Be Paid (Six Months)
Consolidated Insurance Expected Loss and LAE to Be Paid Six Months Ended June 30, 2024 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Six Months Ended June 30, 2024 Net Expected Loss Net Economic Loss Net Expected Loss to be Paid Development Net (Paid) to be Paid (Recov
Slide 41: Below Investment Grade Exposures
Below Investment Grade Exposures Net Par Outstanding by BIG Category1 Financial Guaranty Insurance and Credit Derivatives Surveillance Categories • Approximately $2.2 billion (0.9% of total net par) of the aggregate BIG exposure ($ millions) June 30, 2024 December 31, 2023 was Category 1, which are
Slide 42: BIG Financial Guaranty Exposure Decline
BIG Financial Guaranty Exposure Decline • Since the fourth quarter of 2013, BIG net par outstanding has declined by $17.0 billion • The largest components of our BIG exposure are Healthcare at 26%, Puerto Rico at 17%, and U.S. RMBS at 15% BIG Net Par Outstanding Changes in BIG Net Par Outstanding ($
Slide 43: Combined AG Portfolio Review
Combined AG1 Portfolio Review Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret 1. Please see page 4 for a definition of this convention.
Slide 44: Combined AG Insured Portfolio
Combined AG1 Insured Portfolio Net Par Outstanding as of June 30, 2024 Portfolio Diversification by Sector Non-U.S. Structured Finance 1% U.S. Public U.S. Finance Structured 77% Finance 3% Non-U.S. Public Finance 19% $195.2 billion2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finan
Slide 45: Combined AG Insured Portfolio Ratings
Combined AG1 Insured Portfolio Ratings Net Par Outstanding as of June 30, 2024 Portfolio Diversification by Rating BIG AAA 2% 1% AA 10% BBB 39% A 48% $195.2 billion2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finance Portfolio Structured Finance Portfolios BIG AAA BIG AAA BIG 2% <
Slide 46: Combined AG Net Par Outstanding By Asset Type
Combined AG1 Insured Portfolio Net Par Outstanding as of June 30, 2024 Net Par Outstanding By Asset Type ($ in millions) Net Par Net Par Outstanding Outstanding U.S. public finance: U.S. structured finance: General obligation $ 58,481 RMBS 1,485 Tax backed 25,341 Insurance securitizations 1,338 Muni
Slide 47: Combined AG Investment Portfolio
Combined AG1 Investment Portfolio Value as of June 30, 2024 Invested Assets and Cash2,3 As of June 30, 2024 U.S. government & agencies 1% AAA 4 • Predominately consists of highly rated, Other invested assets 30% fixed maturity and short-term investments, <1% and cash; 55% rated AA or higher Equity m
Slide 48: Appendix
Appendix
Slide 49: Explanation of Non-GAAP Financial Measures
Appendix Explanation of Non-GAAP Financial Measures The Company discloses both: (i) financial measures determined in accordance with GAAP; and (ii) financial measures not determined in accordance with GAAP (non-GAAP financial measures). Financial measures identified as non-GAAP should not be conside
Slide 50: Explanation of Non-GAAP Financial Measures (Cont'd)
Appendix Explanation of Non-GAAP Financial Measures (Cont’d) The following paragraphs define each non-GAAP financial measure disclosed by the Company and describe why it is useful. To the extent there is a directly comparable GAAP financial measure, a reconciliation of the non-GAAP financial measure
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 to PVP
Appendix AGL Consolidated Reconciliation of Gross Written Premiums (GWP) to PVP Three Months Ended Reconciliation of GWP to PVP June 30, Year Ended December 31, (dollars in millions) 2024 2023 2023 2022 2021 2020 2019 2018 2017 Total GWP $132 $95 $357 $360 $377 $454 $677 $612 $307 1 Less: Installmen
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 Six Months Ended Adjusted Operating Income Reconciliation June 30, June 30, (dollars in millions, except per share amounts) 2024 2023 2024 2023 Per Per Diluted Per Diluted Diluted Per Di
Slide 55: Reconciliation of Shareholders' Equity to Adjusted Book Value
Appendix Reconciliation of AGL Shareholders’ Equity to Adjusted Book Value1 Adjusted book value1 reconciliation As of (dollars in millions, except per share amounts) Jun 30, 2024 Mar 31, 2024 Dec 31, 2023 June 30, 2023 Mar 31, 2023 Dec 31, 2022 Per Per Per Per Per Total Share Total Share Total Share
Slide 56: Reconciliation of GAAP ROE to Adjusted Operating ROE
Appendix Reconciliation of AGL GAAP ROE1 to Adjusted Operating ROE1,2 ROE Reconciliation (dollars in millions) Three Months Ended Six Months Ended June 30, June 30, 2024 2023 2024 2023 Net income (loss) attributable to AGL $78 $125 $187 $206 2 Adjusted operating income 80 36 193 104 Average sharehol
Slide 57: 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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