Assured Guaranty Ltd. · NYSE:AGO
Assured Guaranty — Q2 2024 Earnings Presentation
68 slides from Assured Guaranty's earnings presentation, Aug 8, 2024
Slide 1: Equity Investor Presentation June 30, 2024
EMBRACE POSSIBILITIES, INVEST IN CERTAINTIES Equity Investor Presentation June 30, 2024
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 are Assured Guaranty’s internal ratings. ▪ Internal credit ratings are expressed on a ratings scale similar to that used by
Slide 4: Table of Contents
Table of Contents • Assured Guaranty overview – AGM merger into AG – Financial strength ratings – Track record of creating shareholder value – Dividend limitation calculations – Simplified corporate structure • Underlying value – High-quality investment portfolio – Deleveraging while maintaining tot
Slide 5: Second Quarter 2024 Overview
Second Quarter 2024 Overview Financial Results • Earned $80 million of adjusted operating income1 (or $1.44 per share) – This result was more than double the amount earned in the second quarter of 2023 ($36 million or $0.60 per share in 2Q 2023) • Increased on a per share basis shareholders’ equity
Slide 6: Year-to-Date 2024 Overview
Year-to-Date 2024 Overview Financial Results • Earned $193 million of adjusted operating income1 (or $3.41 per share), up from $104 million in the same period of 2023 Insurance • Generated $218 million of PVP1, up from $203 million in the same period of 2023 and the second largest amount of half-yea
Slide 7: Strength of Financial Guaranty Business Model
Strength of Financial Guaranty Business Model • The Company insures scheduled payments of principal and interest when due – Insurance law requires that each policy must provide that there shall be no acceleration of the Company's obligations unless such acceleration is at our sole option • Issuers t
Slide 8: Assured Guaranty Overview
ASSURED GUARANTY Assured Guaranty Overview
Slide 9: Assured Guaranty Overview: Overview and Ratings
Assured Guaranty Overview Overview and Ratings Assured Guaranty Ltd. ($ in billions) Jun. 30, 2024 Sep. 30, 2009 Insured net par outstanding $254.4 $646.6 • We are the leading financial guaranty franchise, with nearly four decades of experience in the municipal and structured finance markets U.S. pu
Slide 10: AGM Merger Into AG
Assured Guaranty Overview 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 i
Slide 11: 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 12: 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 13: 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 14: Adjusted Operating Income per Share
Assured Guaranty Overview Adjusted Operating Income • Adjusted operating income1 per share was $1.44 in the second quarter of 2024, up from $0.60 in same period of 2023 – In the first half of the year, adjusted operating income1 per share was $3.41, up from $1.72 in the same period of 2023 • Adjuste
Slide 15: 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 August 6, 2024,
Slide 16: Expected Dividend Limitation Calculations
Assured Guaranty Overview Expected Dividend Limitation Calculations Assured Guaranty Inc. (post-Merger) Assured Guaranty Re Ltd. (AG Re) (Domiciled in Maryland) (Domiciled in Bermuda) • On a combined basis, cannot exceed the lesser of: • Cannot exceed 25% of prior year total statutory capital and (i
Slide 17: Simplified Corporate Structure With Expected Dividend Capacity
Assured Guaranty Overview Simplified Corporate Structure With Expected Dividend Capacity1 Shareholders • Total investment portfolio and cash of $27 million2 Assured Guaranty Ltd. • Annual net expenses of $43 million (Head Office – Bermuda; Tax Residence – U.K.) • Annual dividend distribution of $66
Slide 18: Underlying Value
Underlying Value
Slide 19: 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 20: Deleveraging
Underlying Value Deleveraging • Our insured net par outstanding to adjusted operating shareholders’ equity1 has declined considerably from 157:1 in 4Q-09 to 44:1 as of 2Q-24 • Over the same time period, total invested assets and cash has declined more modestly – As of 2Q-24, total invested assets an
Slide 21: Net Investment Income and Operating Expenses
Underlying Value Net Investment Income1 and Operating Expenses2 • As of June 30, 2024, net investment income1 excludes – Equity in earnings of $55 million generated from $770 million in alternative investments2 and – Mark-to-market gains of $43 million generated from trading securities (Puerto Rico
Slide 22: Historical Growth: Adjusted Book Value per Share
Underlying Value Historical Growth Adjusted Book Value1 per Share2 $161.65 $155.92 $141.98 $130.67 51.77 49.38 $114.87 GR ) 48.06 % CA 41.94 as e (10 0% incre 36.38 : 56 V alue B ook Adj. $106.54 $109.88 $41.90 $93.92 $35.66 $88.73 $29.54 $78.49 $24.51 $26.06 16.53 12.13 7.18 8.17 6.43 $21.37 $23.53
Slide 23: Creating Value
ASSURED GUARANTY Creating Value
Slide 24: Insurance: 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: 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 26: Non-U.S. Public Finance Business Activity
Creating Value Insurance Non-U.S. Public Finance Business Activity Non-U.S. Public Finance PVP1 • In 2024, business activity was attributable to (1H; $ in millions) secondary market guarantees of several regulated utilities and airport transactions $49 $46 $36 $34 • In 2023, business activity was at
Slide 27: Global Structured Finance Business Activity
Creating Value Insurance Global Structured Finance Business Activity • In 2024, new business PVP primarily consisted Global Structured Finance PVP1 of pooled corporate transactions, insurance (1H; $ in millions) securitizations and subscription finance $68 transactions • In 2023, new business PVP pr
Slide 28: Puerto Rico Update
Creating Value Puerto Rico Update • The Company has divested the majority of the consideration it received as a result of the resolution of the Company’s exposure to insured Puerto Rico credits experiencing payment default other than PREPA (2022 Puerto Rico Resolutions) – Our remaining Puerto Rico H
Slide 29: Asset Management
Creating Value Asset Management • In 2023, Assured Guaranty contributed most of AssuredIM to Sound Point in exchange for approximately 30% of the combined Sound Point entity, and the Company sold its entire equity interest in Assured Healthcare Partners, LLC (AHP) – AGM and AG engaged Sound Point as
Slide 30: Financial Results
ASSURED GUARANTY Financial Results M4
Slide 31: Second Quarter 2024 Results: Select Financial Items
Second Quarter 2024 Results Select Financial Items Select GAAP Results ($ in millions, except per share data and percentages) Three Months Ended June 30, % Change vs. 2Q-23 2024 2023 Net income (loss) attributable to AGL $78 $125 (38)% Net income (loss) attributable to AGL per diluted share $1.41 $2
Slide 32: Year-to-Date 2024 Results: Select Financial Items
Year-to-Date 2024 Results Select Financial Items Select GAAP Results ($ in millions, except per share data and percentages) Six Months Ended June 30, % Change vs. 1H23 2024 2023 Net income (loss) attributable to AGL $187 $206 (9)% Net income (loss) attributable to AGL per diluted share $3.31 $3.40 (
Slide 33: Second Quarter 2024 Results: Supplemental Information
Second Quarter 2024 Results Supplemental Information Select Income Components ($ in millions) Three Months Ended June 30, 2024 Employee Net Income (Loss) Asset Compensation, Benefit Attributable to Net Earned Net Investment Management Loss Expense Expenses and Other Assured Guaranty Premiums Income
Slide 34: Year-to-Date 2024 Results: Supplemental Information
Year-to-Date 2024 Results Supplemental Information Select Income Components ($ in millions) Six Months Ended June 30, 2024 Employee Net Income (Loss) Asset Compensation, Benefit Attributable to Net Earned Net Investment Management Loss Expense Expenses and Other Assured Guaranty Premiums Income Fees
Slide 35: 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 36: 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 37: 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 38: Insurance Portfolio Overview
Insurance Portfolio Overview Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret
Slide 39: 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 40: 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 June 30, 2024 ($ in billions) — 76% U.S. public finance Non-U.S. — 19% Non-U.S. public finance Structured Finance — 3% U.S. structured finance $1
Slide 41: 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 $21 billion, with increased par outstanding in all three asset classes: U.S. public finance, non-U.S. public f
Slide 42: U.S. Public Finance Net Par Outstanding
U.S. Public Finance Net Par Outstanding U.S. Public Finance As of June 30, 2024 ($ in billions) • U.S. public finance net par outstanding is $195 billion and makes up 76% of our total General obligation insured portfolio as of June 30, 2024 $76.6 • U.S. public finance portfolio generally Other Publi
Slide 43: Puerto Rico Exposure
Public Finance Puerto Rico Exposure Exposure to Puerto Rico As of June 30, 2024 ($ in millions) Net Par Outstanding Total Net Par Gross Par AGM AG AG Re Eliminations1 Outstanding Outstanding Defaulted Puerto Rico Exposures Puerto Rico Electric Power Authority (PREPA) $377 $67 $180 $— $624 $633 Total
Slide 44: Scheduled Net Par Amortization of Exposure to Puerto Rico
Public Finance Puerto Rico Exposure Scheduled Net Par Amortization of Exposure to Puerto Rico As of June 30, 2024 2024 2024 2034 - 2039 - ($ 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 45: 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 46: 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% $9.5 — Direct
Slide 47: Global Structured Finance Exposures
Global Structured Finance Exposures Net Par Outstanding By Type As of June 30, 2024 ($ 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 48: CLO Exposures
CLO Exposures Exposure in Three Distinct Areas Non-CLO Exposure 1. $825 million of insured exposure $253.6 • Nine transactions Insured Portfolio • All of the exposure is investment grade Net Par Outstanding As of June 30, 2024 • Average credit enhancement is approximately 39% ($ in billions) • The C
Slide 49: 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 50: 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 51: BIG Exposures > $250 Million
BIG Exposures > $250 Million BIG Exposures Greater Than $250 Million As of June 30, 2024 ($ in millions) Net Par Internal Type1 Name or Description Outstanding Rating2 PF ProMedica Healthcare Obligated Group, Ohio $820 BB- PF Puerto Rico Electric Power Authority 625 CCC PF Coventry & Rugby Hospital
Slide 52: Appendix
Appendix
Slide 53: 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 54: 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 55: 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 56: 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 57: 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 58: 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 59: Reconciliation to Adjusted Operating Income (2012-2023)
Appendix Reconciliation of Net Income (Loss) Attributable to AGL to Adjusted Operating Income1 (2012-2023) Adjusted Operating Income1 Reconciliation Year Ended December 31, (dollars in millions, except per share amounts) 2023 2022 2021 2020 2019 2018 Total Per Share Total Per Share Total Per Share T
Slide 60: Reconciliation to Adjusted Operating Income (2004-2011)
Appendix Reconciliation of Net Income (Loss) Attributable to AGL to Adjusted Operating Income1 (2004-2011) Adjusted Operating Income1 Reconciliation Year Ended December 31, (dollars in millions, except per share amounts) 2011 2010 2009 2008 2007 2006 Total Per Share Total Per Share Total Per Share T
Slide 61: 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 62: Adjusted Book Value Reconciliation (2017-2021)
Appendix Reconciliation of AGL Shareholders’ Equity to Adjusted Book Value1 (2017-2021) Adjusted book value1 reconciliation As of December 31, (dollars in millions, except per share amounts) 2021 2020 2019 2018 2017 Per Per Per Per Per Total Share Total Share Total Share Total Share Total Share Reco
Slide 63: Adjusted Book Value Reconciliation (2012-2016)
Appendix Reconciliation of AGL Shareholders’ Equity to Adjusted Book Value1 (2012-2016) Adjusted book value1 reconciliation As of December 31, (dollars in millions, except per share amounts) 2016 2015 2014 2013 2012 Per Per Per Per Per Total Share Total Share Total Share Total Share Total Share Reco
Slide 64: Adjusted Book Value Reconciliation (2007-2011)
Appendix Reconciliation of AGL Shareholders’ Equity to Adjusted Book Value1 (2007-2011) Adjusted book value1 reconciliation As of December 31, (dollars in millions, except per share amounts) 2011 2010 2009 2008 2007 Per Per Per Per Per Total Share Total Share Total Share Total Share Total Share Reco
Slide 65: Adjusted Book Value Reconciliation (2004-2006)
Appendix Reconciliation of AGL Shareholders’ Equity to Adjusted Book Value1 (2004-2006) Adjusted book value1 reconciliation As of December 31, (dollars in millions, except per share amounts) 2006 2005 2004 2004 Q2 Per Per Per Per Total Share Total Share Total Share Total Share Reconciliation of shar
Slide 66: Calculation of Adjusted Operating Portfolio Leverage
Appendix Calculation of Adjusted Operating Portfolio Leverage Adjusted Operating Leverage As of December 31, (dollars in millions, except leverage) 2009 2010 2011 2012 2013 2014 2015 Insured net par outstanding $640,194 $616,686 $556,830 $518,772 $459,107 $403,729 $358,571 Adjusted operating shareho
Slide 67: 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 68: 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 Glenn Alterman Vice President Investor Relations Di