Octave Specialty Group, Inc. · NYSE:OSG
Octave Specialty — Ambac Financial Group — Q1 2016 Earnings Presentation
18 slides from Octave Specialty's earnings presentation, May 11, 2016
Slide 1: First Quarter 2016 Highlights
© 2014 Ambac Financial Group, Inc. One State Street Plaza, New York, NY 10004 All Rights Reserved | 800-221-1854 | www.ambac.com 6 FIRST QUARTER 2016 HIGHLIGHTS MAY 10, 2016
Slide 2: 1Q 2016 Highlights
1Q 2016 HIGHLIGHTS 1 Category Highlights 1Q 2016 Financial Results Operating Earnings(1) of $218.1 million, or $4.82 per diluted share compared to $481.0 million, or $10.64 per diluted share for the fourth quarter of 2015 Net Income of $9.4 million, or $0.21 per diluted share, compared to net income
Slide 3: Book Value and Adjusted Book Value per Share
BOOK VALUE AND ADJUSTED BOOK VALUE PER SHARE(1) Ambac has delivered substantial book value and adjusted book value growth since emergence from bankruptcy(2) 2 ($7.23) ($1.11) $7.50 $24.78 $29.10 ($10) ($5) $0 $5 $10 $15 $20 $25 $30 $35 Jun-2013 Dec-2013 Dec-2014 Dec-2015 Mar-2016 $6.38 $15.62 $31.09
Slide 4: 1Q 2016 vs 4Q 2015 - Key Financial Results
$53 $61 ($9) $13 ($83) ($27) $105 ($58) $9 $218 $114 $64 ($12) ($3) $9 ($7) $337 ($58) $387 $481 ($200) ($100) $0 $100 $200 $300 $400 $500 Net premiums earned Net investment income Other-than- temp impairment losses Net change in FV of CDS Derivative products gains (losses) Income (loss) from VIEs L
Slide 5: 1Q 2016 vs 4Q 2015 - Incurred (Losses) Benefit by Category
1Q 2016 VS 4Q 2015 - INCURRED (LOSSES) BENEFIT BY CATEGORY⁽¹⁾ 4 $150 $77 ($55) ($27) $1 ($42) $105 $354 $110 ($93) $7 $- ($42) $337 ($200) ($100) $0 $100 $200 $300 $400 RMBS Student Loans Domestic Public Finance Ambac UK Other Credits Interest on Deferred Amts Total 1Q 2016 4Q 2015 (1) Components ma
Slide 6: Gross Loss Reserves by Category
$2,305 $313 $513 $436 $7 $69 $3,643 $1,401 $486 $470 $420 $9 $73 $2,859 $0 $500 $1,000 $1,500 $2,000 $2,500 $3,000 $3,500 $4,000 RMBS Student Loans Domestic Public Finance Ambac UK Other Credits Loss expenses Total As of 03/31/16 As of 12/31/15 $ in millions GROSS LOSS RESERVES BY CATEGORY⁽¹⁾ 5 1) G
Slide 7: Net Operating Loss Carry-Forward (NOL)
NET OPERATING LOSS CARRY-FORWARD (NOL) $4.24 billion of consolidated U.S. ordinary NOLs as of March 31, 2016 • $1.38 billion @ AFG • $2.86 billion @ AAC AAC will pay AFG for usage of up to $3.65 billion of NOLs • $71 million tolling payment made by AAC to AFG on April 29, 2016 based on utilization o
Slide 8: Insured Portfolio Net Par
INSURED PORTFOLIO NET PAR(1) $101 billion net par as of March 31, 2016 • -7% since December 31, 2015 7 Public Finance 60% Structured Finance 20% Int'l 20% General Account 69% Segregated Account 14% Ambac UK 17% Portfolio % Breakdown Sector % Breakdown (1) Net Par includes capital appreciation bonds
Slide 9: Public Finance Runoff
8 1) Runoff includes calls, refundings, pre-refundings and amortization PUBLIC FINANCE RUNOFF(1) Public Finance Runoff by Policy Vintage Year Pre 2003 13% 2003 4% 2004 4% 2005 43% 2006 8% 2007 28% 2008 <1% 4Q 2015 $7.6 billion net par Pre 2003 20% 2003 3% 2004 8% 2005 24% 2006 26% 2007 18% 2008 1% 1
Slide 10: Consolidated Investment Portfolio Fair Value
CONSOLIDATED INVESTMENT PORTFOLIO FAIR VALUE 9 As of March 31, 2016 $6.473 billion As of December 31, 2015 $5.645 billion Corporate Obligations 25% Foreign Obligations 1% Muni Obligations 6% Non-RMBS Ambac Insured(1) 2% Other 5% RMBS/ABS 18% RMBS- Ambac Insured 34% Short Term 7% US Gov & Agency Obli
Slide 11: Status of RMBS Litigations
STATUS OF RMBS LITIGATIONS (1) Litigation Case Current Status (as of May 10, 2016) First Franklin Financial Corporation, Bank of America, N.A., Merrill Lynch, Pierce, Fenner & Smith Inc., Merrill Lynch Mortgage Lending, Inc., and Merrill Lynch Mortgage Investors, Inc. – New York State Supreme Court,
Slide 12: Status of RMBS Litigations - Continued
STATUS OF RMBS LITIGATIONS - CONTINUED (1) Litigation Case Current Status (as of May 10, 2016) Nomura Credit & Capital, Inc. and Nomura Holding America Inc. – New York State Supreme Court, Index No. 651359/2013 [re Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2007-1 and Nomura
Slide 13: Status of RMBS Litigations - Continued
STATUS OF RMBS LITIGATIONS - CONTINUED (1) Litigation Case Current Status (as of May 10, 2016) Countrywide Home Loans, Inc., Countrywide Financial Corp., and Bank of America Corp. – New York State Supreme Court, Index No. 653979/2014 [re CWALT 2005-81, CWALT 2006-OA19, HVMLT 2005-16, HVMLT 2006-9, L
Slide 14: Non-GAAP Financial Data
Non-GAAP Financial Data Included in this presentation, the Company reports two non-GAAP financial measures: Operating Earnings and Adjusted Book Value. A non-GAAP financial measure is a numerical measure of financial performance or financial position that excludes (or includes) amounts that are incl
Slide 15: Adjusted Book Value
Adjusted Book Value The following table reconciles Total Ambac Financial Group, Inc. stockholders’ equity to the non-GAAP measure Adjusted Book Value as of each date presented: 14 AMBAC NON-GAAP FINANCIAL DATA ($ in millions, other than per share data) $ Amount Per Share $ Amount Per Share $ Amount
Slide 16: Forward Looking Statement
FORWARD LOOKING STATEMENT In this presentation, we have included statements that may constitute “forward-looking statements” within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Words such as “estimate,” “project,” “plan,” “believe,” “anticipate,”
Slide 17: Important Information
Important Information Ambac Financial Group, Inc., ("Ambac") filed a definitive proxy statement with the Securities and Exchange Commission ("SEC") on April 20, 2016 in connection with its 2016 Annual Meeting. STOCKHOLDERS ARE URGED TO READ THIS PROXY STATEMENT, THE ACCOMPANYING WHITE PROXY CARD AND
Slide 18: One State Street Plaza, New York, NY 10004 All Rights Reserved | 800-221-1854 |
© 2014 Ambac Financial Group, Inc. One State Street Plaza, New York, NY 10004 All Rights Reserved | 800-221-1854 | www.ambac.com 6
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