Assured Guaranty Ltd. · NYSE:AGO
Assured Guaranty — Debt Investor Presentation (March 2021)
71 slides from Assured Guaranty's debt investor presentation, Mar 31, 2021
Slide 1: Fixed Income Investor Presentation March 31, 2021
EMBRACE POSSIBILITIES, INVEST IN CERTAINTIES Fixed Income Investor Presentation March 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 31 AGM1 Portfolio Review 42 Assured Guaranty Corp. Portfolio Review 49 Municipa
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 UK Limited (“A
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 Re Ltd (AG Re) Assured Guaranty US Holdings (AGUS) Financial Guaranty Reinsurance U.S. Holdi
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: COVID-19 Market Disruption: Strength of Financial Guaranty Business Model
COVID-19 Market Disruption 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 consent • Issuers that default on a few debt service payments may have the resou
Slide 11: COVID-19 Market Disruption: Augmented Periodic Surveillance Process
COVID-19 Market Disruption Augmented Periodic Surveillance Process • The Company’s Surveillance Department (with a staff of over three dozen) is closely monitoring those sectors and credits it believes are most at risk as a result of the direct and indirect consequences of the COVID-19 pandemic • Th
Slide 12: Discrete Insurance Companies with Separate Capital Bases
Discrete Insurance Companies with Separate Capital Bases Consolidated Statutory-Basis Claims-Paying Resources and Exposures As of March 31, 2021 ($ in millions) AGM AGC MAC AG Re7 Eliminations2 Consolidated Claims-paying resources Policyholders' surplus $2,805 $1,672 $305 $699 $(515) $4,966 Continge
Slide 13: Principal Insurance Platforms
Assured Guaranty Principal Insurance Platforms • Assured Guaranty Municipal1, AGC, AGUK and AGE operate as four separate direct financial guaranty platforms, with AG Re operating as a reinsurer – Assured Guaranty Municipal1 focuses exclusively on public finance and global infrastructure finance – AG
Slide 14: Principal Insurance Platforms (Cont.)
Assured Guaranty Principal Insurance Platforms (Cont.) • Companies distinct for legal and regulatory purposes – Separate capital bases – claims-paying resources1 as of March 31, 2021 – AGM2 $6.2 billion, MAC $0.6 billion, AGC $2.9 billion, AG Re $1.6 billion – Separate insurance licenses – Separate
Slide 15: Asset Management
Assured Guaranty Asset Management • AssuredIM provides asset management services – As of March 31, 2021, AssuredIM had AUM1 of $17.5 billion in four fund areas Fund Area AUM ($ billions) CLOs $14.3 Opportunity Funds $1.5 Liquid Strategies $0.4 Wind-Down Funds $1.3 Total $17.5 – The Company is using
Slide 16: AGM's Commitment to the Public Finance Market
AGM’s1 Commitment to the Public Finance Market Net Par Outstanding • AGM1 is committed to insuring U.S. public finance As of March 31, 2021 and global infrastructure transactions. AGM’s ($ in billions) subsidiaries, AGUK and AGE, may underwrite some U.S. structured finance transactions.2 Structured
Slide 17: AGUK and AGE
AGUK and AGE • AGUK is an insurance company currently engaged in providing financial guarantees in the U.K. and certain other countries – Provides insurance in both public finance and structured finance – Through 2019, AGUK wrote business throughout the EU as well as certain other non-EU countries –
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, 2021 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 Consolidated AG Re AGRO Outstanding Net Exposure1 Outstanding Net Exposure1 As of March 31, 2021 ($ in billions) As of March 31, 2021 ($ in billions) U.S. RVI Aircraft Non-U.S. Structured Insurance Public Finance $0.2 Finance $3.0 BBB $11.6 Non-U.S. A- average A Structured average rat
Slide 20: Municipal Assurance Corp.
Municipal Assurance Corp. Municipal Only Bond Insurance MAC: • As of March 31, 2021, MAC had a $14 billion U.S. municipal-only insurance portfolio that was geographically diversified • On April 1, 2021, MAC completed its merger with and into Assured Guaranty Municipal, with Assured Guaranty Municipa
Slide 21: Underwriting Discipline
Underwriting Discipline • Our U.S. public finance portfolio, our largest Consolidated Net Par Outstanding3 exposure category, generally performed well As of March 31, 2021 during the 2008 recession and in subsequent ($ in billions) Non-U.S. Structured Finance years, including into the COVID-19 pande
Slide 22: Creating Value: Insurance
Creating Value Insurance Penetration in the U.S. Public Finance Market (excluding SGI portfolio) • Assured Guaranty saw strong new business production for U.S. public finance – In the first quarter 2021, we insured 252 primary market transactions totaling over $5.5 billion, up approximately 138% fro
Slide 23: Broadening Market Awareness
Broadening Market Awareness Current Advertising Campaigns 22
Slide 24: Market Update: Select Assured Guaranty Transactions in 2021
Market Update Select Assured Guaranty Transactions in 2021 $658,055,000 $551,535,000 $548,175,000 $372,495,000 Certificates of Participation, Series 2021A Pilot Revenue Refunding Bonds, Series 2021A Senior Lien Refunding Revenue Bonds, Series Water Rev Refunding Bonds, Series 2021 (Taxable) & Taxabl
Slide 25: Creating Value: U.S. Structured Finance Business Activity
Creating Value Insurance U.S. Structured Finance Business Activity • In first quarter 2021, we insured a balloon note guaranty and a tax credit securitization U.S. Structured PVP1 (excluding SGI reinsurance portfolio)2 • Focus has been on bilateral transactions to ($ in millions) improve policy bene
Slide 26: Creating Value: Non-U.S. Business Activity
Creating Value Insurance Non-U.S. Business Activity • In first quarter 2021, we guaranteed a debt service Non-U.S. PVP1 reserve guarantee to replace liquidity facilities for a (excluding SGI reinsurance portfolio)2 public utility and restructured a transaction that was ($ in millions) previously ins
Slide 27: Creating Value: AssuredIM
Creating Value AssuredIM • AssuredIM executed on its key strategic goals during the first quarter – Issued two new CLOs, selling a significant percentage of the equity to third parties – Increased fee earning AUM to $14.4 billion as of March 31, 2021, from $8.0 billion on December 31, 2019 – Attract
Slide 28: Financial Strength Ratings
Financial Strength Ratings U.S. Insurance Companies • In July 2020, S&P affirmed the AA (stable outlook) Financial Strength Ratings financial strength ratings of the insurance companies As of March 31, 2021 – S&P found Assured Guaranty group’s capital adequacy ratio to be “considerably above 1.0x” t
Slide 29: 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 sector – Since 2015, the international portfolio has increased by over 50%, and currently account
Slide 30: Assured Guaranty Today: Insured Portfolio and Capital Changes
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 71.3x 70.5x $11.1 $11.0 62.9x 58.9x 52.7x 47.4x 46.7x 46.2x 41.2x 39.5x 54% Decline
Slide 31: 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 March 31, 2021 maturity and short-term investments, and cash; 56% rated AA or higher Nearly 100% of BIG BBB is held for loss A 22% 12% mitigation or other • Appr
Slide 32: Assured Guaranty Ltd. Consolidated Insured Portfolio Overview
Assured Guaranty Ltd. Consolidated Insured Portfolio Overview
Slide 33: AGL Consolidated Insured Portfolio
AGL Consolidated Insured Portfolio Net Par Outstanding as of March 31, 2021 Portfolio Diversification by Sector Non-U.S. Structured U.S. Finance Structured <1% Finance 4% Non-U.S. Public Finance U.S. Public 22% Finance 74% $234.3 billion1,2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Stru
Slide 34: AGL Consolidated Insured Portfolio Ratings
AGL Consolidated Insured Portfolio Ratings Updated Net Par Outstanding as of March 31, 2021 Portfolio Diversification by Rating BIG AAA AA 3% 2% 11% BBB 40% A 45% $234.3 billion1,2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA
Slide 35: Puerto Rico Exposure
Public Finance Puerto Rico Exposure Par Exposure to the Commonwealth and its Agencies1,2 As of March 31, 2021 Net Par ($ in millions) Outstanding Puerto Rico Exposures Subject to a Support Agreement 2: Commonwealth of Puerto Rico - General Obligation (GO) Bonds 3 $1,112 Puerto Rico Public Buildings
Slide 36: Puerto Rico Exposure: Scheduled Net Par Amortization
Public Finance Puerto Rico Exposure Scheduled Net Par Amortization of Exposure to the Commonwealth and its Agencies As of March 31, 2021 2Q 3Q 4Q 2031- 2036- 2041- ($ in millions) 2021 2021 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030 2035 2040 2042 Total Puerto Rico Exposures Subject to a Supp
Slide 37: Puerto Rico Exposure: Scheduled 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, 2021 2Q 3Q 4Q 2031- 2036- 2041- ($ in millions) 2021 2021 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030 2035 2040 2042 Total Puerto Rico Exposures Subject
Slide 38: Detroit & Stockton Exposure
AGL Consolidated Detroit & Stockton Exposure Details of Assured Guaranty’s Exposure to Detroit • Municipal utilities exposure is $392 million of water revenue bonds and $897 million of sewer revenue bonds. Both the water and sewer systems provide services to areas that extend significantly beyond th
Slide 39: Consolidated Non-U.S. Exposure
Consolidated Non-U.S. Exposure Non-U.S. Public and Structured Finance Non-U.S. Exposure As of March 31, 2021 ($ in billions) • 99% of non-U.S. exposure is Public Finance – Direct sovereign debt is limited to Poland ($281 million) and Mexico ($50 million) Australia $1.9 5% 6% 4% 11% France United • 1
Slide 40: Structured Finance Exposures
Structured Finance Exposures Net Par Outstanding By Type As of March 31, 2021 ($ in billions) Life Insurance Transactions • Assured Guaranty’s total structured finance Financial 1 $2.6 exposure of $9.2 billion as of March 31, 2021, Products (GICs) 28% reflects a $165.4 billion reduction from $174.6
Slide 41: Consolidated U.S. RMBS
Consolidated U.S. RMBS By Type • Our $2.9 billion U.S. RMBS portfolio is amortizing As of March 31, 2021 both on a dollar basis and as a percentage of the ($ in millions) portfolio Subprime First Lien – Assured Guaranty’s U.S. RMBS exposure of $2.9 billion on March $1,719 31, 2021, reflects a $26.4
Slide 42: Consolidated Insurance Expected Loss and LAE to Be Paid
Consolidated Insurance Expected Loss and LAE to Be Paid Three Months Ended March 31, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended March 31, 2021 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) (
Slide 43: AGM Portfolio Review
AGM Portfolio Review1 Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret 1. On April 1, 2021, the Company completed the merger of MAC with and into Assured Guaranty Municipal, with Assured Guaranty Municipal as the surviving entity.
Slide 44: AGM Insured Portfolio
AGM1 Insured Portfolio Net Par Outstanding as of March 31, 2021 Portfolio Diversification by Sector Non-U.S. Structured Finance U.S. <1% Structured Finance 2% U.S. Public Finance 72% Non-U.S. Public Finance 26% $140.9 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, 2021 Portfolio Diversification by Rating BIG AAA AA 3% 1% 9% BBB 42% A 45% $140.9 billion2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA A BIG AAA 3% <1% AA AA
Slide 46: AGM Insured Portfolio by Asset Type
AGM1 Insured Portfolio Net Par Outstanding as of March 31, 2021 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: General obligation $ 40,123 A- RMBS $ 1,776 BBB- Tax backe
Slide 47: AGM U.S. RMBS Exposure
AGM1 U.S. RMBS Exposure By Type As of March 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 $20 Lien $260 of the portfolio 1%1% – $1.8 billion net par outstanding versus $17.1 billion at 15% 15% ye
Slide 48: AGM Investment Portfolio
AGM1 Investment Portfolio Fair Value as of March 31, 2021 • Predominately consists of highly rated, fixed Invested Assets and Cash2,3 maturity and short-term investments, and cash; As of March 31, 2021 55% rated AA or higher • Approximately $158 million invested in liquid, A BBB Nearly 100% of BIG 2
Slide 49: AGM Consolidated Expected Loss and LAE to Be Paid
AGM Consolidated Expected Loss and LAE to Be Paid Three Months Ended March 31, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended March 31, 2021 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) (Paid)
Slide 50: Assured Guaranty Corp. Portfolio Review
Assured Guaranty Corp. Portfolio Review Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret
Slide 51: AGC Insured Portfolio
AGC Insured Portfolio Net Par Outstanding as of March 31, 2021 Portfolio Diversification by Sector Non-U.S. Structured Finance 1% Non-U.S. Public Finance U.S. Public 23% Finance 58% U.S. Structured Finance $19.1 billion 18% Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Po
Slide 52: AGC Insured Portfolio Ratings
AGC Insured Portfolio Ratings Net Par Outstanding as of March 31, 2021 Portfolio Diversification by Rating BIG AAA 10% 8% AA 21% BBB 36% A 26% $19.1 billion Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance AAA BIG AAA BIG AA BIG AAA <1%
Slide 53: AGC Insured Portfolio by Asset Type
AGC Insured Portfolio Net Par Outstanding as of March 31, 2021 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: Tax backed $ 2,594 BB+ Pooled corporate obligations $ 897 A
Slide 54: AGC U.S. RMBS Exposure
AGC U.S. RMBS Exposure By Type As of March 31, 2021 ($ in millions) Second Alt-A First Lien • AGC’s U.S. RMBS portfolio is amortizing on Lien $184 $111 an absolute basis and has declined as a percentage of the portfolio Prime First 21% Option Lien 13% ARMs – $0.9 billion versus $13.4 billion at year
Slide 55: AGC Non-RMBS Exposure
AGC Non-RMBS Exposure U.S. Structured Finance By Type As of March 31, 2021 ($ in millions) Other Life Insurance Structured • AGC’s non-RMBS U.S. structured finance Transactions $704 Finance $474 exposures consist principally of: – Pooled corporate obligations 28% 19% – Life insurance transactions –
Slide 56: AGC Investment Portfolio
AGC Investment Portfolio Fair Value as of March 31, 2021 • Predominately consists of highly rated, fixed Invested Assets and Cash1,2 maturity and short-term investments, and cash; As of March 31, 2021 51% rated AA or higher BBB • Approximately $67 million invested in liquid, 13% Nearly 100% of BIG s
Slide 57: AGC Expected Loss and LAE to Be Paid
AGC Expected Loss and LAE to Be Paid Three Months Ended March 31, 2021 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended March 31, 2021 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) (Paid) Recovered be
Slide 58: Municipal Assurance Corp. Portfolio Review
Municipal Assurance Corp. Portfolio Review* * Assured Guaranty merged MAC with and into Assured Guaranty Municipal on April 1, 2021, with Assured Guaranty Municipal as the surviving company. See page 3 for a definition of this convention.
Slide 59: MAC Insured Portfolio
MAC Insured Portfolio (100% U.S. Public Finance) Net Par Outstanding as of March 31, 2021 Portfolio Diversification by Sector Portfolio Diversification by Rating 1 BIG AAA AA 1% 1% 20% Muni Utility Revenue BBB 12% 20% General Tax Backed Obligations 12% 70% Other 6% A 58% $13.9 billion Net Par Outsta
Slide 60: MAC Investment Portfolio
MAC Investment Portfolio Fair Value as of March 31, 2021 • Predominately consists of highly rated, fixed Invested Assets and Cash1,2 maturity and short-term investments, and cash; As of March 31, 2021 67% rated AA or higher • Approximately $76 million invested in liquid, A 16% BBB short-term investm
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
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 operating results of the Company. Adjusted operating income is defined as net income (loss) attributable
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 March 31, Year Ended December 31, (dollars in millions) 2021 2020 2020 2019 2018 2017 2016 2015 2014 Total GWP $87 $64 $454 $677 $612 $307 $154 $181 $104 Less: Installment GWP and other GAA
Slide 67: Reconciliation of Net Income to Adjusted Operating Income
Appendix Reconciliation of Net Income (Loss) Attributable to AGL to Adjusted Operating Income1 Three Months Ended Adjusted Operating Income Reconciliation March 31, (dollars in millions, except per share amounts) 2021 2020 Per Diluted Per Diluted Total Share Total Share Net income (loss) attributabl
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) March 31, 2021 December 31, 2020 March 31, 2020 December 31, 2019 Total Per Share Total Per Share Total Per Share Total Per Share Reconcil
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 March 31, 2021 2020 Net income (loss) attributable to AGL $11 $(55) Adjusted operating income2 43 33 Average shareholders' equity attributable to AGL $6,537 $6,440 Average ad
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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