Assured Guaranty Ltd. · NYSE:AGO
Assured Guaranty — Debt Investor Presentation (December 2021)
71 slides from Assured Guaranty's debt investor presentation, Dec 31, 2021
Slide 1: Fixed Income Investor Presentation December 31, 2021
EMBRACE POSSIBILITIES, INVEST IN CERTAINTIES Fixed Income Investor Presentation December 31, 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 29 AGM1 Portfolio Review 43 Assured Guaranty Corp. Portfolio Review 51 Appendix
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: Assured Guaranty Ltd. 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 our consent • Issuers that default on a few debt service payments may have the resources later to repay the
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 December 31, 2021 ($ in millions) AGM AGC AG Re6 Eliminations2 Consolidated Claims-paying resources Policyholders' surplus $3,053 $2,070 $660 $(211) $5,572 Continge
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 December 31, 2021: – AGM2 $6.7 billion (includes AGUK and AGE) – AGC $3.2 billion – AG Re $1.6 billion (includes AGRO) – Separate
Slide 14: Asset Management
Assured Guaranty Asset Management • AssuredIM provides asset management services – As of December 31, 2021, AssuredIM had AUM1 of $17.5 billion in four strategies Strategy AUM ($ billions) CLOs $14.7 Opportunity Funds $1.8 Liquid Strategies $0.4 Wind-Down Funds $0.6 Total $17.5 – The Company is usin
Slide 15: AGM Consolidated Net Exposure
AGM Consolidated1 Net Exposure • AGM Consolidated1 is committed to insuring U.S. public finance and global infrastructure transactions. AGM’s subsidiaries, AGUK and AGE, may also underwrite structured finance transactions. Net Par Outstanding As of December 31, 2021 U.S. Structured ($ in billions) F
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 $26.6 $18.3 finance sector. AGM Net Par Outstanding – Provides insurance in public finance Non-U.S. public As of Dec 31, 2021 fina
Slide 17: AGC is a Diversified Platform
AGC is a Diversified Platform • AGC, a diversified insurer, may write all Net Par Outstanding classes of financial guaranty business, As of December 31, 2021 including structured finance, U.S. public ($ in billions) finance and global infrastructure • Structured finance eligible for new business U.S
Slide 18: AG Re and AGRO
AG Re and AGRO Consolidated AG Re AGRO Outstanding Net Exposure1 Outstanding Net Exposure1 As of December 31, 2021 ($ in billions) As of December 31, 2021 ($ in billions) U.S. Non-U.S. Structured Financial Guaranty Public RVI Aircraft Finance Public Finance Finance Insurance $3.3 $0.1 $11.2 Non-U.S.
Slide 19: Underwriting Discipline
Underwriting Discipline • Our U.S. public finance portfolio, our largest Consolidated Net Par Outstanding3 exposure category, generally performed well As of December 31, 2021 during the 2008 recession and in subsequent ($ in billions) Non-U.S. Structured Finance years, including into the COVID-19 pa
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’s U.S. public finance new business production was strong in 2021 – The $23.4 billion we insured of U.S. public finance new-issue par sold in 2021 was our highest annual total in over a decade and approximately
Slide 21: Broadening Market Awareness
Broadening Market Awareness Current Advertising Campaigns 20
Slide 22: Select Assured Guaranty Transactions in 2021
Competitive Landscape Select Assured Guaranty Transactions in 2021 Assured Guaranty maintained its market leadership in 2021, insuring more than $23 billion of par on over 1,000 primary market transactions, ranging in size from $1 million to $800 million in par. Some of our 2021 transactions are hig
Slide 23: Creating Value: International Public Finance Business Activity
Creating Value Insurance International Public Finance Business Activity • In fourth quarter 2021, international public International Public Finance PVP1 finance new business PVP was primarily (excluding SGI reinsurance portfolio)2 attributable to the restructuring of several ($ in millions) existing
Slide 24: Creating Value: Global Structured Finance Business Activity
Creating Value Insurance Global Structured Finance Business Activity • In fourth quarter 2021, we insured a large insurance securitization transaction Global Structured PVP1 (excluding SGI reinsurance portfolio)2 • In third quarter 2021, we insured a large ($ in millions) insurance securitization tr
Slide 25: Creating Value: AssuredIM
Creating Value AssuredIM • AssuredIM executed on its key strategic goals during 2021 – Raised gross inflows of $3.2 billion, including $3.0 billion from third-parties – Issued six new CLOs, selling a significant percentage of the new CLOs’ equity to third parties – Increased fee earning AUM to $16.6
Slide 26: Financial Strength Ratings
Financial Strength Ratings U.S. Insurance Companies Financial Strength Ratings1 S&P KBRA Moody’s AA AA+ A1 AGM2 Stable Outlook Stable Outlook Stable Outlook (July 2021) (October 2021) (March 2022) AA AA+ AGC Stable Outlook stable outlook (3) (July 2021) (October 2021) Recent Rating Activity • In Mar
Slide 27: 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 public finance sector – Since year-end 2016, the international public finance portfolio has incre
Slide 28: 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 $13.2 $12.8 $13.2 $12.8 $12.6 $12.6 $12.7 $12.1 $12.1 $11.9 $11.4 $11.1 $11.2 71.3x 70.5x 62.9x 58.9x 52.7x 47.4x 46.7x 46.2x 41.2x 39.5x 55% 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 December 31, 2021 maturity and short-term investments, and cash; 58% rated AA or higher 4 BBB A 21% 12% Nearly 100% of BIG is held • Approximately $1.3 billion i
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 December 31, 2021 Portfolio Diversification by Sector Non-U.S. Structured U.S. Finance Structured <1% Finance 4% Non-U.S. Public Finance 21% U.S. Public Finance 75% $236.4 billion1,2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. S
Slide 32: AGL Consolidated Insured Portfolio Ratings
AGL Consolidated Insured Portfolio Ratings Net Par Outstanding as of December 31, 2021 Portfolio Diversification by Rating BIG AAA AA 3% 2% 11% BBB 40% A 45% $236.4 billion1,2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA AAA
Slide 33: Puerto Rico Exposure
Public Finance Puerto Rico Exposure Par Exposure to the Commonwealth and its Agencies1,2 As of December 31, 2021 ($ in millions) Net Par Outstanding Total Net Par Gross Par AGM AGC AG Re Eliminations2 Outstanding Outstanding Puerto Rico Exposures Subject to a Plan or Support Agreement 3: Commonwealt
Slide 34: Puerto Rico Scheduled Net Par Amortization
Public Finance Puerto Rico Exposure Scheduled Net Par Amortization of Exposure to the Commonwealth and its Agencies1 As of December 31, 2021 2022 2022 2022 2022 2032 - 2037 - ($ millions) (1Q) (2Q) (3Q) (4Q) 2023 2024 2025 2026 2027 2028 2029 2030 2031 2036 2041 2042 Total Commonwealth of Puerto Ric
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 Agencies1 As of December 31, 2021 2022 2022 2022 2022 2032 - 2037 - ($ millions) (1Q) (2Q) (3Q) (4Q) 2023 2024 2025 2026 2027 2028 2029 2030 2031 2036 2041 2042 Total Puerto Rico Expos
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 $869 million of sewer revenue bonds. Both the water and sewer systems provide services to areas that extend significantly beyond th
Slide 37: International Public Finance Exposure
International Public Finance Exposure Net Par Outstanding By Type As of December 31, 2021 ($ in billions) • International public finance net par outstanding Infrastructure Sovereign and is $50 billion and makes up 21% of our total finance $16.5 sub-sovereign insured portfolio as of December 31, 2021
Slide 38: Global Structured Finance Exposures
Global Structured Finance Exposures Net Par Outstanding By Type As of December 31, 2021 ($ in billions) U.S. RMBS $2.4 • Assured Guaranty’s total structured finance net par exposure of $9.2 billion, as of 26% Global Pooled December 31, 2021(or 3.9% of our total insured Corporate net par exposure), r
Slide 39: Consolidated U.S. RMBS
Consolidated U.S. RMBS By Type • Our $2.4 billion U.S. RMBS portfolio is amortizing As of December 31, 2021 both on a dollar basis and as a percentage of the ($ in millions) portfolio Subprime First Lien – Assured Guaranty’s U.S. RMBS exposure of $2.4 billion on $1,454 December 31, 2021, reflects a
Slide 40: Consolidated Insurance Expected Loss and LAE to Be Paid (Quarter)
Consolidated Insurance Expected Loss and LAE to Be Paid Three Months Ended December 31, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended December 31, 2021 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Bene
Slide 41: Consolidated Insurance Expected Loss and LAE to Be Paid (Year)
Consolidated Insurance Expected Loss and LAE to Be Paid Year Ended December 31, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Year Ended December 31, 2021 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) Net (Paid)
Slide 42: Below Investment Grade Insurance Exposures
Below Investment Grade Insurance Exposures Net Par Outstanding by BIG Category1 Net Par Outstanding by BIG Category ($ millions) December 31, 2021 December 31, 2020 • As of December 31, 2021, BIG Category 1 approximately $2.4 billion (33%) of U.S. public finance $1,765 $1,777 Non-U.S. public finance
Slide 43: BIG Financial Guaranty Exposure Decline
BIG Financial Guaranty Exposure Decline • Since 4Q-11, BIG net par outstanding has declined by $19.4 billion • The largest components of our BIG exposure are Puerto Rico at 49% and U.S. RMBS at 17% • With the finalization of GO, PBA, CCDA and PRIFA settlements in March 2022, total BIG declined by ap
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 December 31, 2021 Portfolio Diversification by Sector Non-U.S. Structured Finance U.S. <1% Structured Finance 2% U.S. Public Finance 76% Non-U.S. Public Finance 23% $156.2 billion2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. St
Slide 46: AGM Consolidated Insured Portfolio Ratings
AGM Consolidated1 Insured Portfolio Ratings Net Par Outstanding as of December 31, 2021 Portfolio Diversification by Rating BIG AAA AA 3% 1% 9% BBB 41% A 47% $156.2 billion2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA AA AA
Slide 47: AGM Consolidated Net Par Outstanding By Asset Type
AGM Consolidated1 Insured Portfolio December 31, 2021 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: General obligation $ 49,738 A- RMBS $ 1,561 BB+ Tax backed 23,561 A-
Slide 48: AGM Consolidated U.S. RMBS Exposure
AGM Consolidated1 U.S. RMBS Exposure By Type As of December 31, 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 $225 of the portfolio 1%1% – $1.6 billion net par outstanding versus $17.1 billi
Slide 49: AGM Consolidated Investment Portfolio
AGM Consolidated1 Investment Portfolio Fair Value as of December 31, 2021 Invested Assets and Cash2,3 As of December 31, 2021 A • Predominately consists of highly rated, fixed 19% Nearly 100% of BIG maturity and short-term investments, and cash; BBB is held for loss 10% 55% rated AA or higher mitiga
Slide 50: AGM Consolidated Expected Loss and LAE to Be Paid (Quarter)
AGM Consolidated Expected Loss and LAE to Be Paid Three Months Ended December 31, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended December 31, 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 (Year)
AGM Consolidated Expected Loss and LAE to Be Paid Year Ended December 31, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Year Ended December 31, 2021 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) (Paid) Recovered
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 December 31, 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 14% $21.4 billion Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance
Slide 54: AGC Insured Portfolio Ratings
AGC Insured Portfolio Ratings Net Par Outstanding as of December 31, 2021 Portfolio Diversification by Rating BIG AAA 8% 7% AA 22% BBB 34% A 29% $21.4 billion Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance AAA AA BIG AAA BIG BIG <1% 22
Slide 55: AGC Net Par Outstanding By Asset Type
AGC Insured Portfolio Net Par Outstanding as of December 31, 2021 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: General obligation $ 3,403 A- Life insurance transaction
Slide 56: AGC U.S. RMBS Exposure
AGC U.S. RMBS Exposure By Type As of December 31, 2021 ($ in millions) Prime Alt-A First • AGC’s U.S. RMBS portfolio is amortizing on First Lien $33 Lien $155 an absolute basis and has declined as a 5% percentage of the portfolio 23% – $0.7 billion versus $13.4 billion at year-end 2007, Second a dec
Slide 57: AGC Non-RMBS Exposure
AGC Non-RMBS Exposure U.S. Structured Finance By Type As of December 31, 2021 ($ in millions) • AGC’s non-RMBS U.S. structured finance Life Insurance Transactions Other exposures consist principally of: $951 Structured Finance – Life insurance transactions $554 – Pooled corporate obligations 41% 24%
Slide 58: AGC Investment Portfolio
AGC Investment Portfolio Fair Value as of December 31, 2021 Invested Assets and Cash1,2 As of December 31, 2021 • Predominately consists of highly rated, fixed maturity and short-term investments, and BBB 11% cash; 50% rated AA or higher A 15% Nearly 100% of BIG is held for loss • Approximately $287
Slide 59: AGC Expected Loss and LAE to Be Paid (Quarter)
AGC Expected Loss and LAE to Be Paid Three Months Ended December 31, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended December 31, 2021 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) (Paid) Recover
Slide 60: AGC Expected Loss and LAE to Be Paid (Year)
AGC Expected Loss and LAE to Be Paid Year Ended December 31, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Year Ended December 31, 2021 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) (Paid) Recovered be Paid (Reco
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) 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 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 December 31, Year Ended December 31, (dollars in millions) 2021 2020 2021 2020 2019 2018 2017 2016 2015 Total GWP $100 $120 $377 $454 $677 $612 $307 $154 $181 Less: Installment GWP and othe
Slide 67: Reconciliation of Net Income Attributable to AGL to Adjusted Operating Income
Appendix Reconciliation of Net Income (Loss) Attributable to AGL to Adjusted Operating Income1 Three Months Ended Year Ended Adjusted Operating Income Reconciliation December 31, December 31, (dollars in millions, except per share amounts) 2021 2020 2021 2020 Per Diluted Per Diluted Per Diluted Per
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) December 31, 2021 September 30, 2021 December 31, 2020 September 30, 2020 December 31, 2019 Total Per Share Total Per Share Total Per Shar
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 Year Ended December 31, December 31, 2021 2020 2021 2020 Net income (loss) attributable to AGL $263 $148 $389 362 Adjusted operating income2 273 56 470 256 Average shareholde
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
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