Assured Guaranty Ltd. · NYSE:AGO
Assured Guaranty — Debt Investor Presentation (December 2022)
70 slides from Assured Guaranty's debt investor presentation, Dec 31, 2022
Slide 1: Fixed Income Investor Presentation December 31, 2022
EMBRACE POSSIBILITIES, INVEST IN CERTAINTIES Fixed Income Investor Presentation December 31, 2022
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 30 AGM Consolidated1 Portfolio Review 43 Assured Guaranty Corp. Portfolio Revie
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 Limited
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: Corporate Structure
Assured Guaranty Ltd. Corporate Structure Assured Guaranty Ltd. Hamilton, Bermuda Publicly Traded Holding Company (NYSE: AGO) A (stable outlook) / Baa1 (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: 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 our obligations unless such acceleration is at our sole option • Issuers that defaul
Slide 10: 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, 2022 ($ in millions) AGM AGC AG Re6 Eliminations2 Consolidated Claims-paying resources Policyholders' surplus $2,747 $1,916 $709 $(217) $5,155 Continge
Slide 11: Principal Insurance Platforms
Assured Guaranty Principal Insurance Platforms • AGM, AGC, AGUK and AGE operate as four separate direct financial guaranty platforms, with AG Re operating as a reinsurer – AGM focuses on public finance and infrastructure transactions – AGC focuses on global structured finance transactions, and may a
Slide 12: 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, 2022: – AGM $6.4 billion (includes AGUK and AGE) – AGC $3.0 billion – AG Re $1.7 billion (includes AGRO) – Separate
Slide 13: Asset Management
Assured Guaranty Asset Management • AssuredIM provides asset management services – On April 5, 2023, Assured Guaranty announced an agreement with Sound Point Capital Management, L.P. (Sound Point) pursuant to which Assured Guaranty will contribute its entire equity interest in Assured Investment Man
Slide 14: AGM Consolidated Net Par Outstanding
AGM Consolidated1 Net Par Outstanding • AGM Consolidated1 is committed to insuring public finance and infrastructure transactions. AGM’s subsidiaries, AGUK and AGE, may also insure structured finance transactions. Net Par Outstanding As of December 31, 2022 ($ in billions) U.S. Structured Non-U.S. F
Slide 15: AGM, AGUK and AGE Net Par Outstanding
AGM, AGUK and AGE Net Par Outstanding U.S. Muni U.S. Other Public Utilities $19.2 Finance $30.9 • AGM is a U.S. financial guaranty insurance AGM Net Par company that focuses on public finance and Outstanding Non-U.S. Public infrastructure transactions Finance As of Dec. 31, 2022 $23.0 – AGM’s legacy
Slide 16: AGC Net Par Outstanding
AGC Net Par Outstanding • AGC focuses on global structured finance Net Par Outstanding transactions, and may also insure public As of December 31, 2022 finance and infrastructure transactions ($ in billions) • Structured finance eligible for new business U.S. originations: Structured Finance – Tradi
Slide 17: AG Re and AGRO
AG Re and AGRO Consolidated AG Re AGRO Net Par Outstanding1 Outstanding Net Exposure2 As of December 31, 2022 ($ in billions) As of December 31, 2022 ($ in billions) U.S. Non-U.S. RVI Aircraft Structured Public Insurance Finance Finance Financial Guaranty $0.2 $3.5 $9.8 Public Finance Non-U.S. BBB-
Slide 18: Underwriting Discipline
Underwriting Discipline • Our U.S. public finance portfolio, our Consolidated Net Par Outstanding As of December 31, 2022 largest exposure category, generally ($ in billions) Non-U.S. Structured performed well during the 2008 recession Finance and in subsequent years, including into AA Average Ratin
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 was robust in in 2022 – U.S. public finance direct PVP1 in 2022 was approximately $257 million, the second largest amount of new business production in a decade and
Slide 20: Broadening Market Awareness
Broadening Market Awareness Current Advertising Campaigns 19
Slide 21: Select AGM Transactions in 2022
Competitive Landscape Select AGM Transactions in 2022 $754,830,000 $608,310,000 $572,010,000 $546,015,000 $459,943,677 $405,345,000 Dulles Metrorail Green Transmission Project Pennsylvania Economic LAX Airport CFC Rev. Bonds, Tax-Exempt Senior & Second South Carolina Metropolitan Washington Revenue
Slide 22: Creating Value: Non-U.S. Public Finance Business Activity
Creating Value Insurance Non-U.S. Public Finance Business Activity • In fourth quarter 2022, business activity was Non-U.S. Public Finance PVP1 primarily attributable to a guaranty of (excluding SGI reinsurance portfolio)2 regulated utilities ($ in millions) • In third quarter 2022, business activit
Slide 23: Creating Value: Global Structured Finance Business Activity
Creating Value Insurance Global Structured Finance Business Activity • Global structured finance had a particularly successful 2022, insuring nearly $50 million Global Structured PVP1 of new business PVP, the second largest (excluding SGI reinsurance portfolio)2 amount in a decade ($ in millions) •
Slide 24: Underwriting Principles and Pricing Discipline
Creating Value Insurance Underwriting Principles and Pricing Discipline • New business production gross par written and PVP were strong in 2022 – U.S. public finance ▪ Gross par written was the third largest amount in a decade ▪ Direct PVP was the second largest amount in a decade ▪ Secondary gross
Slide 25: Creating Value: Puerto Rico Update
Creating Value Puerto Rico Update • During 2022, the Company completed settlement agreements related to our General Obligation (GO) and Public Buildings Authority (PBA), Puerto Rico Convention Center District Authority (PRCCDA), Puerto Rico Infrastructure Financing Authority (PRIFA) and Puerto Rico
Slide 26: Creating Value: AssuredIM
Creating Value AssuredIM • AssuredIM continued to execute on its key initiatives in 2022 – Third-party gross inflows were $1.4 billion – Reduced AUM from the wind-down funds to under $200 million • Despite market headwinds, AssuredIM has delivered strong results in funds invested for the insurance s
Slide 27: 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 2022) (October 2022) (March 2022) AA AA+ AGC Stable Outlook Stable Outlook (3) (July 2022) (October 2022) Recent Rating Activity • In Mar
Slide 28: 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 non-U.S. public finance sector – Our current net par of $233 billion includes a negative adjustment of over $4.
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 $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 $10.8 62.9x 58.9x 52.7x 47.4x 46.7x 46.2x 41.2x 38.6x 39.5x
Slide 30: High-Quality Investment Portfolio
Underlying Value High-Quality Investment Portfolio Total Invested Assets and Cash1,2 As of December 31, 2022 AAA 3 • Predominately consists of highly rated, fixed 23% maturity and short-term investments, and 5 cash; 54% rated AA or higher NR 5% AA 30% • Approximately $0.9 billion invested in liquid,
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 December 31, 2022 Portfolio Diversification by Sector Non-U.S. Structured U.S. Finance Structured <1% Finance 4% Non-U.S. Public Finance 19% U.S. Public Finance 77% $233.3 billion1,2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. S
Slide 33: AGL Consolidated Insured Portfolio Ratings
AGL Consolidated Insured Portfolio Ratings Net Par Outstanding as of December 31, 2022 Portfolio Diversification by Rating BIG AAA 3% 2% AA 10% BBB 39% A 46% $233.3 billion1,2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA AAA
Slide 34: Puerto Rico Exposure
Public Finance Puerto Rico Exposure Par Exposure to the Commonwealth and its Related Authorities and Public Corporations1 As of December 31, 2022 ($ in millions) Net Par Outstanding Total Net Par Gross Par AGM AGC AG Re Eliminations2 Outstanding Outstanding Resolved Puerto Rico Exposures Puerto Rico
Slide 35: Puerto Rico Scheduled Net Par Amortization
Public Finance Puerto Rico Exposure Scheduled Net Par Amortization of Exposure to the Commonwealth and its Related Authorities and Public Corporations As of December 31, 2022 2023 2023 2023 2023 2033 – 2038 – ($ in millions) (1Q) (2Q) (3Q) (4Q) 2024 2025 2026 2027 2028 2029 2030 2031 2032 2037 2042
Slide 36: Puerto Rico Scheduled Net Debt Service Amortization
Public Finance Puerto Rico Exposure Scheduled Net Debt Service Amortization of Exposure to the Commonwealth and its Related Authorities and Public Corporations As of December 31, 2022 2023 2023 2023 2023 2033 – 2038 – ($ in millions) (1Q) (2Q) (3Q) (4Q) 2024 2025 2026 2027 2028 2029 2030 2031 2032 2
Slide 37: Non-U.S. Public Finance Exposure
Non-U.S. Public Finance Exposure Net Par Outstanding By Type As of December 31, 2022 ($ in billions) • Non-U.S. public finance net par outstanding is Infrastructure finance $44 billion and makes up 19% of our total $13.9 Sovereign and insured portfolio as of December 31, 2022 31% sub-sovereign $9.5
Slide 38: Global Structured Finance Exposures
Global Structured Finance Exposures Net Par Outstanding By Type As of December 31, 2022 ($ in billions) U.S. RMBS • Assured Guaranty’s total structured finance $2.0 exposure of $9.2 billion, as of December 31, 21% Global Pooled 2022, reflects a $165.4 billion reduction from Corporate $174.6 billion
Slide 39: Consolidated U.S. RMBS
Consolidated U.S. RMBS By Type • Our $2.0 billion U.S. RMBS portfolio is As of December 31, 2022 amortizing both on a dollar basis and as a ($ in millions) percentage of the portfolio Subprime First Lien – Assured Guaranty’s U.S. RMBS exposure of $2.0 billion on $1,191 December 31, 2022, reflects a
Slide 40: Expected Loss and LAE to Be Paid (Three Months)
Consolidated Insurance Expected Loss and LAE to Be Paid Three Months Ended December 31, 2022 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended December 31, 2022 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Bene
Slide 41: Expected Loss and LAE to Be Paid (Year)
Consolidated Insurance Expected Loss and LAE to Be Paid Year Ended December 31, 2022 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Year Ended December 31, 2022 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) Net (Paid)
Slide 42: Below Investment Grade Exposures
Below Investment Grade Exposures Net Par Outstanding by BIG Category1 Financial Guaranty Insurance and Credit Derivatives Surveillance Categories • As of December 31, 2022, approximately ($ millions) December 31, 2022 December 31, 2021 BIG Category 1 $3.4 billion (57%) of the aggregate BIG U.S. publ
Slide 43: BIG Financial Guaranty Exposure Decline
BIG Financial Guaranty Exposure Decline • Since 4Q-11, BIG net par outstanding has declined by $20.9 billion • The largest components of our BIG exposure are Puerto Rico at 23% and U.S. RMBS at 17% • The finalization of the 2022 Puerto Rico Resolutions and its normal amortization led to a reduction
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, 2022 Portfolio Diversification by Sector Non-U.S. Structured U.S. Finance Structured <1% Finance 1% U.S. Public Finance Non-U.S. 78% Public Finance 20% $156.8 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, 2022 Portfolio Diversification by Rating BIG AAA AA 2% 1% 9% BBB 40% A 48% $156.8 billion2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA AA AA
Slide 47: AGM Consolidated Net Par Outstanding By Asset Type
AGM Consolidated1 Insured Portfolio Net Par Outstanding as of December 31, 2022 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: General obligation $ 49,895 A- RMBS $ 1,26
Slide 48: AGM Consolidated Investment Portfolio
AGM Consolidated1 Investment Portfolio Fair Value as of December 31, 2022 Invested Assets and Cash2,3 As of December 31, 2022 A 18% • Predominately consists of highly rated, fixed Nearly 100% of BIG maturity and short-term investments, and cash; BBB is held for loss 7% 45% rated AA or higher mitigat
Slide 49: AGM Consolidated Expected Loss and LAE to Be Paid (Three Months)
AGM Consolidated Expected Loss and LAE to Be Paid Three Months Ended December 31, 2022 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended December 31, 2022 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) N
Slide 50: AGM Consolidated Expected Loss and LAE to Be Paid (Year)
AGM Consolidated Expected Loss and LAE to Be Paid Year Ended December 31, 2022 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Year Ended December 31, 2022 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) Net (Paid) Recove
Slide 51: Assured Guaranty Corp. Portfolio Review
Assured Guaranty Corp. Portfolio Review Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret
Slide 52: AGC Insured Portfolio
AGC Insured Portfolio Net Par Outstanding as of December 31, 2022 Portfolio Diversification by Sector Non-U.S. Structured Finance 3% Non-U.S. Public U.S. Public Finance Finance 16% 66% U.S. Structured Finance 15% $20.7 billion Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance
Slide 53: AGC Insured Portfolio Ratings
AGC Insured Portfolio Ratings Net Par Outstanding as of December 31, 2022 Portfolio Diversification by Rating BIG AAA 4% 7% AA 22% BBB 35% A 32% $20.7 billion Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA AA BIG AAA BIG 4% <1%
Slide 54: AGC Net Par Outstanding By Asset Type
AGC Insured Portfolio Net Par Outstanding as of December 31, 2022 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: General obligation $ 3,573 A Life insurance transactions
Slide 55: AGC U.S. RMBS Exposure
AGC U.S. RMBS Exposure By Type As of December 31, 2022 ($ in millions) Prime Alt-A First • AGC’s U.S. RMBS portfolio is amortizing on First Lien $27 Lien $131 an absolute basis and has declined as a 5% percentage of the portfolio 23% – $0.6 billion at year-end 2022 versus $13.4 billion Second at yea
Slide 56: AGC Global Structured Finance Exposure
AGC Global Structured Finance Exposure Excluding U.S. RMBS By Type As of December 31, 2022 ($ in millions) • AGC’s global structured finance (excluding Life Insurance Other U.S. RMBS) exposure consists principally Transactions Structured $1,094 of: Finance $890 – Life insurance transactions 34% 28%
Slide 57: AGC Investment Portfolio
AGC Investment Portfolio Fair Value as of December 31, 2022 Invested Assets and Cash1,2 As of December 31, 2022 • Predominately consists of highly rated, Nearly 100% of BIG fixed maturity and short-term investments, BBB A 13% 9% is held for loss and cash; 46% rated AA or higher 4 mitigation or other
Slide 58: AGC Expected Loss and LAE to Be Paid (Three Months)
AGC Expected Loss and LAE to Be Paid Three Months Ended December 31, 2022 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended December 31, 2022 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) Net (Paid) Rec
Slide 59: AGC Expected Loss and LAE to Be Paid (Year)
AGC Expected Loss and LAE to Be Paid Year Ended December 31, 2022 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Year Ended December 31, 2022 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) Net (Paid) Recovered be Paid (
Slide 60: Appendix
ASSURED (GUARANTY
Slide 61: 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 62: 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 63: 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 64: 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 65: 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) 2022 2021 2022 2021 2020 2019 2018 2017 2016 Total GWP $131 $100 $360 $377 $454 $677 $612 $307 $154 Less: Installment GWP and othe
Slide 66: 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) 2022 2021 2022 2021 Per Diluted Per Diluted Per Diluted Per
Slide 67: 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, 2022 September 30, 2022 December 31, 2021 September 30, 2021 December 31, 2020 Total Per Share Total Per Share Total Per Shar
Slide 68: 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, 2022 2021 2022 2021 Net income (loss) attributable to AGL $94 $263 $124 $389 Adjusted operating income2 14 273 267 470 Average shareholde
Slide 69: 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. 1 Management fee revenue is based on a variety of factors and is not perfectly correlated with AUM. However, we believe that AUM is a useful metric for asse
Slide 70: 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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