Assured Guaranty Ltd. · NYSE:AGO
Assured Guaranty — Q3 2024 Earnings Presentation
70 slides from Assured Guaranty's earnings presentation, Nov 12, 2024
Slide 1: Equity Investor Presentation
Equity Investor Presentation September 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 • Quarterly and year-to-date highlights • Assured Guaranty overview – Strength of Business Model – AGM merger into AG – Financial strength ratings – Track record of creating shareholder value – Dividend limitation calculations – Simplified corporate structure • Underlying value – H
Slide 5: Highlights
ASSURED GUARANTY Highlights
Slide 6: Third Quarter 2024 Highlights
Third Quarter 2024 Highlights Financial Results • Earned $130 million of adjusted operating income1 (or $2.42 per share) – In the third quarter of 2023, adjusted operating income was $206 million ($3.42 per share) driven by a gain on the Sound Point/AHP transactions partially offset by higher losses
Slide 7: Year-to-Date 2024 Highlights
Year-to-Date 2024 Highlights Financial Results • Earned $323 million of adjusted operating income1 (or $5.80 per share), up from $310 million (or $5.12 per share) in the same period of 2023 Insurance • Generated $281 million of PVP1, up from $249 million in the same period of 2023 and the second lar
Slide 8: New Insurance Business Production
New Insurance Business Production Gross Par Written • Assured Guaranty insured approximately $21 (First Three Quarters; $ in millions) billion of aggregate par in the first nine months of 2024 – This aggregate amount of par is the second largest $20,170 $20,285 $20,603 amount in the first nine month
Slide 9: Assured Guaranty Overview
ASSURED GUARANTY Assured Guaranty Overview
Slide 10: Financial Guaranty Business Model
Assured Guaranty Overview Financial Guaranty Business Model • What do we insure? – We insure financial products in three main sectors ▪ U.S. public finance and infrastructure transactions ▪ Non-U.S.public finance and infrastructure transactions ▪ U.S. and non-U.S. structured finance transactions (gl
Slide 11: Financial Guaranty Business Model
Assured Guaranty Overview Financial Guaranty Business Model • How do we invest our investment portfolio? – Our portfolio predominately consists of highly rated, fixed maturity and short-term investments, and cash – We also have a strategy to invest a portion of our investment portfolio in alternativ
Slide 12: Overview and Ratings
Assured Guaranty Overview Overview and Ratings Assured Guaranty Ltd. • Assured Guaranty is the leading financial guaranty franchise, with nearly four decades ($ in billions) Sep. 30, 2024 of experience in the municipal and structured finance markets Insured net par outstanding $258.2 • We participat
Slide 13: Resilience and Enduring Financial Strength
Assured Guaranty Overview Resilience and Enduring Financial Strength Assured Guaranty maintained over $10 billion of claims-paying resources1 over 16 years while paying nearly $15 billion to insured investors From January 1, 2008 through $16 As of Dec. 31 of each year, except 2024, which is as of Se
Slide 14: Insurance Subsidiaries' Claims-Paying Resources
Insurance Subsidiaries’ Claims-Paying Resources As of September 30, 2024 ($ in millions) AG AG Re6 Eliminations2 Total Claims-paying resources Policyholders' surplus $ 3,644 $ 770 $ 61 $ 4,475 Contingency reserve 1,374 — — 1,374 Qualified statutory capital 5,018 770 61 5,849 Unearned premium reserve
Slide 15: 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 16: 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 17: 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 18: Financial Strength Ratings
Assured Guaranty Overview Financial Strength Ratings Financial Strength Ratings1 S&P KBRA Moody's AA AA+ A1 AG Stable Outlook Stable Outlook Stable Outlook (May 2024) (October 2024) (July 2024) Recent Updates • In August 2024, S&P issued a press release indicating no change to the AA (stable outlook
Slide 19: Adjusted Operating Income
Assured Guaranty Overview Adjusted Operating Income • In the first three quarters of the year, adjusted operating income1 per share was $5.80, up from $5.12 in the same period of 2023 – Adjusted operating income1 per share was $2.42 in the third quarter of 2024 • Adjusted operating income1 is genera
Slide 20: 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 November 8, 202
Slide 21: 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 22: Simplified Corporate Structure With Expected Dividend Capacity
Assured Guaranty Overview Simplified Corporate Structure With Expected Dividend Capacity1 Shareholders • Total investment portfolio and cash of $41 million2 Assured Guaranty Ltd. • Annual net expenses of $43 million (Head Office – Bermuda; Tax Residence – U.K.) • Annual dividend distribution of $66
Slide 23: Underlying Value
ASSURED (GUARANTY
Slide 24: Historical Growth: Adjusted Book Value per Share
Underlying Value Historical Growth Adjusted Book Value1 per Share2 $166.47 $155.92 $141.98 $130.67 52.51 49.38 ) %C AGR $114.87 48.06 s e (10 41.94 n crea : 57 9% i 36.38 V alue B ook Adj. $113.96 $41.90 $106.54 $35.66 $88.73 $93.92 $29.54 $78.49 $24.51 $26.06 16.53 12.13 7.18 8.17 6.43 $18.88 $21.3
Slide 25: High-Quality Investment Portfolio
Underlying Value High-Quality Investment Portfolio Total Invested Assets and Cash1,2 U.S. government & As of September 30, 2024 agencies 1% AAA 3 • Predominately consists of highly rated, 27% fixed maturity and short-term investments, Other invested assets and cash; 53% rated AA or higher 6% • Appro
Slide 26: Total Assets and Cash
Underlying Value Total Assets and Cash • Total invested assets and cash has declined modestly – As of 3Q-24, total invested assets and cash excludes $278 million of investments in certain funds managed by Sound Point because the Company consolidates these investments in accordance with GAAP Total In
Slide 27: Net Investment Income and Operating Expenses
Underlying Value Net Investment Income1 and Operating Expenses • Net investment income1 excludes the following (see table below): – Earnings on alternative investments2 accounted for under the equity method – Changes in fair value of alternative investments accounted for as CIVs – Changes in fair va
Slide 28: New Business Activity
ASSURED GUARANTY New Business Activity
Slide 29: Insurance: U.S. Public Finance
New Business Activity Insurance: U.S. Public Finance • Assured Guaranty’s U.S. public finance new business production was strong in the first three quarters of 2024 – U.S. public finance insured over $15 billion of total par that closed in the first nine months of the year – U.S. public finance PVP1
Slide 30: Insurance: Non-U.S. Public Finance
New Business Activity Insurance: Non-U.S. Public Finance Non-U.S. Public Finance PVP1 (First Three Quarters; $ in millions) • In the first three quarters of 2024, business activity was attributable to secondary market $73 guarantees of several regulated utilities and $67 $63 airport transactions $44
Slide 31: Insurance: Global Structured Finance
New Business Activity Insurance: Global Structured Finance • In the first three quarters of 2024, new Global Structured Finance PVP1 business PVP primarily consisted of pooled (First Three Quarters; $ in millions) corporate transactions, insurance $82 securitizations and subscription finance transac
Slide 32: Asset Management and Alternative Investments
Asset Management and Alternative Investments
Slide 33: Asset Management and Alternative Investments Highlights
Asset Management and Alternative Investments Highlights • In July 2023, Assured Guaranty contributed most of AssuredIM to Sound Point in exchange for approximately 30% of the combined Sound Point entity, and sold its entire equity interest in Assured Healthcare Partners, LLC (AHP) – AG engaged Sound
Slide 34: Financial Results
ASSURED (GUARANTY Financial Results M4
Slide 35: Third Quarter 2024 Results
Third Quarter 2024 Results Select Financial Items Select GAAP Results ($ in millions, except per share data and percentages) Three Months Ended September 30, % Change vs. 3Q-23 2024 2023 Net income (loss) attributable to AGL $171 $157 9% Net income (loss) attributable to AGL per diluted share $3.17
Slide 36: Nine Months 2024 Results
Nine Months 2024 Results Select Financial Items Select GAAP Results ($ in millions, except per share data and percentages) Nine Months Ended September 30, % Change vs. 9M23 2024 2023 Net income (loss) attributable to AGL $358 $363 (1)% Net income (loss) attributable to AGL per diluted share $6.44 $5
Slide 37: Third Quarter 2024 Results: Supplemental Information
Third Quarter 2024 Results Supplemental Information Select Income Components ($ in millions) Three Months Ended September 30, 2024 Employee Net Income (Loss) Asset Compensation, Benefit Attributable to Net Earned Net Investment Management Loss Expense Expenses and Other Assured Guaranty Premiums Inc
Slide 38: Nine Months 2024 Results: Supplemental Information
Nine Months 2024 Results Supplemental Information Select Income Components ($ in millions) Nine Months Ended September 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 39: 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 40: Expected Loss and LAE to Be Paid (Three Months)
Expected Loss and LAE to Be Paid Three Months Ended September 30, 2024 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended September 30, 2024 Net Expected Loss Net Economic Loss Net Expected Loss to be Paid Development Net (Paid) to be Paid (Recovered) as
Slide 41: Expected Loss and LAE to Be Paid (Nine Months)
Expected Loss and LAE to Be Paid Nine Months Ended September 30, 2024 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Nine Months Ended September 30, 2024 Net Expected Loss Net Economic Loss Net Expected Loss to be Paid Development Net (Paid) to be Paid (Recovered) as of
Slide 42: Insured Portfolio
Insured Portfolio Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret
Slide 43: Insured Portfolio Overview
Insured Portfolio Overview • Assured Guaranty’s insured portfolio is Net Par Outstanding largely concentrated in U.S. public finance As of September 30, 2024 ($ in billions) – 76% U.S. public finance Non-U.S. – 20% Non-U.S. public finance Structured Finance – 3% U.S. structured finance $1.6 – 1% Non
Slide 44: Net Par Outstanding by Sector
Insured Portfolio Net Par Outstanding by Sector as of September 30, 2024 Portfolio Diversification by Sector Non-U.S. Structured Finance U.S. 1% Public Finance 76% U.S. Structured Finance 3% Non-U.S. Public Finance 20% $258.2 billion1,2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public F
Slide 45: Net Par Outstanding by Ratings
Insured Portfolio Net Par Outstanding by Ratings as of September 30, 2024 Portfolio Diversification by Rating BIG AAA 4% 1% AA 10% BBB 37% A 48% $258.2 billion1,2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finance Portfolio Structured Finance Portfolios BIG AAA BIG AAA BIG AAA 2%
Slide 46: Net Par Outstanding Amortization
Insured Portfolio 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 $25 billion, with increased par outstanding in all three asset classes: U.S. public finance,
Slide 47: Puerto Rico Update
Insured Portfolio Puerto Rico Update • The Company has divested the majority of the consideration it received as a result of the resolution of the Company’s exposure to insured Puerto Rico credits experiencing payment default other than PREPA (2022 Puerto Rico Resolutions) – Remaining amounts owed f
Slide 48: Puerto Rico Exposure
Insured Portfolio Puerto Rico Exposure Exposure to Puerto Rico As of September 30, 2024 ($ in millions) Net Par Outstanding Total Net Par Gross Par AG AG Re Outstanding Outstanding Defaulted Puerto Rico Exposures Puerto Rico Electric Power Authority (PREPA) $377 $154 $531 $539 Total Defaulted $377 $
Slide 49: CLO Exposures
CLO Exposures Exposure in Three Distinct Areas Non-CLO Exposure 1. $886 million of insured exposure $257.3 • Ten transactions Insured Portfolio • All of the exposure is investment grade Net Par Outstanding As of Sep. 30, 2024 • Average credit enhancement is approximately 39% ($ in billions) • The Co
Slide 50: BIG Surveillance Category
Insured Portfolio BIG Surveillance Category The Company assigns each BIG exposure to one of the three BIG surveillance categories based on loss modeling1 and scenario probability weighting: BIG 1: Exposures for which there are possible losses, on a present value basis, and the aggregate probability
Slide 51: Net Par Outstanding by BIG Surveillance Category
Insured Portfolio Net Par Outstanding by BIG Surveillance Category1 Financial Guaranty Insurance and Credit Derivatives Surveillance Categories As of September 30, 2024 Net Par Percent of Percent of ($ millions) Outstanding BIG Par Total Par • Approximately $7.5 billion (2.9% of total BIG Category 1
Slide 52: Total BIG Financial Guaranty Exposure
Insured Portfolio Total BIG Financial Guaranty Exposure • Exposure with an internal BIG rating increased by $5.1 billion in the third quarter driven primarily by transactions that were downgraded in the non-U.S. public finance U.K. regulated utilities sector partially offset by other transactions re
Slide 53: BIG and BIG Financial Guaranty Exposure
Insured Portfolio BIG 2 and BIG 3 Financial Guaranty Exposure • Transactions rated BIG 2 and BIG 3 represent less than 30% of all BIG transactions, or 1.2% of total net par outstanding – BIG Surveillance Category 2 and Category 3 are exposures there are possible losses, on a present value basis, and
Slide 54: BIG Exposures > $250 Million
Insured Portfolio BIG Exposures > $250 Million BIG Exposures Greater Than $250 Million As of September 30, 2024 ($ in millions) Net Par Internal Type1 Name or Description Outstanding Rating2 PF Southern Water Services Limited $2,544 BB PF Thames Water Utilities Finance Plc 2,248 B PF ProMedica Healt
Slide 55: Appendix
ASSURED (GUARANTY
Slide 56: 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 57: 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 58: 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 59: 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 60: 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 September 30, Year Ended December 31, (dollars in millions) 2024 2023 2023 2022 2021 2020 2019 2018 2017 Total GWP $61 $40 $357 $360 $377 $454 $677 $612 $307 1 Less: Instal
Slide 61: Reconciliation of Net Income to Adjusted Operating Income
Appendix Reconciliation of Net Income (Loss) Attributable to AGL to Adjusted Operating Income1 Three Months Ended Nine Months Ended Adjusted Operating Income Reconciliation September 30, September 30, (dollars in millions, except per share amounts) 2024 2023 2024 2023 Per Per Diluted Per Diluted Dil
Slide 62: Adjusted Operating Income Reconciliation (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 63: Adjusted Operating Income Reconciliation (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 64: 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) Sep 30, 2024 Jun 30, 2024 Dec 31, 2023 Sept 30, 2023 Jun 30, 2023 Dec 31, 2022 Per Per Per Per Per Total Share Total Share Total Share
Slide 65: 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 66: 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 67: 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 68: 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 69: 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 Nine Months Ended September 30, September 30, 2024 2023 2024 2023 Net income (loss) attributable to AGL $171 $157 $358 $363 2 Adjusted operating income 130 206 323 310 Av
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 Andre Thomas Managing Director Equity Investor Relations Direct: 212.339.3551 athomas@agltd.com Glenn Alterman Vice President Investor Relations Di