Assured Guaranty Ltd. · NYSE:AGO
Assured Guaranty — Debt Investor Presentation (March 2024)
62 slides from Assured Guaranty's debt investor presentation, Mar 31, 2024
Slide 1: Fixed Income Investor Presentation March 31, 2024
EMBRACE POSSIBILITIES, INVEST IN CERTAINTIES Fixed Income Investor Presentation March 31, 2024
Slide 2: Table of Contents
Table of Contents Page Forward-Looking Statements and Safe Harbor Disclosure 3 Conventions and Non-GAAP Financial Measures 4 Corporate Overview 5 Assured Guaranty Ltd. Consolidated Insured Portfolio Overview 30 AGM Consolidated1 Portfolio Review 41 Assured Guaranty Inc. Portfolio Review 47 Appendix
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 and Non-GAAP Financial Measures
Conventions and Non-GAAP Financial Measures • 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 (AGUK), Assured Guaranty
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 Inc. (AGUS) U.S. Holding Company S&P: A (stable outlook) / KBRA: A+ (stable outl
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 the Company's obligations unless such acceleration is at our sole option • Issuers t
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 March 31, 2024 ($ in millions) AGM AG AG Re6 Eliminations2 Consolidated Claims-paying resources Policyholders' surplus $ 2,665 $ 1,638 $ 732 $ (228) $ 4,807 Conting
Slide 11: Principal Insurance Platforms
Assured Guaranty Principal Insurance Platforms • AGM, AG, 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 – AG focuses on global structured finance transactions, and may als
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 March 31, 2024: ▪ AGM $6.3 billion (includes AGUK and AGE) ▪ AG $2.9 billion ▪ AG Re $1.7 billion (includes AGRO) – Separate insu
Slide 13: AGM Consolidated Net Par Outstanding
AGM Consolidated1 Net Par Outstanding • AGM focuses on insuring public finance and infrastructure transactions. AGM’s subsidiaries, AGUK and AGE, additionally focus on insuring structured finance transactions. Net Par Outstanding As of March 31, 2024 ($ in billions) Non-U.S. Structured Finance $0.3
Slide 14: AGM, AGUK and AGE Net Par Outstanding
AGM, AGUK and AGE Net Par Outstanding U.S. Other Public U.S. Muni Finance • AGM is a U.S. financial guaranty insurance $33.6 AGM Net Par Utilities $20.1 Non-U.S. company that focuses on public finance and Public Finance Outstanding $27.3 infrastructure transactions As of March 31, 2024 U.S. Tax Back
Slide 15: AG Net Par Outstanding
AG Net Par Outstanding Net Par Outstanding • Assured Guaranty Inc. (AG) is the new name As of March 31, 2024 ($ in billions) for Assured Guaranty Corp. (AGC) • AG focuses on global structured finance transactions, and may also insure public Non-U.S. U.S. Structured Public finance and infrastructure
Slide 16: AG Re and AGRO
AG Re and AGRO Consolidated AG Re AGRO Net Par Outstanding1 Outstanding Net Exposure2 As of March 31, 2024 ($ in billions) As of March 31, 2024 ($ in billions) Non-U.S. Other Guaranties U.S. Structured $2.0 Structured Finance Financial Finance Guaranty $4.0 7% $0.2 Structured <1 % Finance $0.2 56% N
Slide 17: Underwriting Discipline
Underwriting Discipline Consolidated Net Par Outstanding • Our U.S. public finance portfolio, our As of March 31, 2024 largest exposure category, generally ($ in billions) performed well during the 2008 recession Non-U.S. and in subsequent years, including during Structured the COVID-19 pandemic, de
Slide 18: 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 had a solid start to 2024 – U.S. public finance insured $2.9 billion of total par that closed in the first quarter – U.S. public finance PVP1 was approximately $43
Slide 19: Broadening Market Awareness
Broadening Market Awareness Current Advertising Campaigns 19 ASSURED GUARANTY MUNICIPAL | ASSURED GUARANTY INC.
Slide 20: Competitive Landscape
Competitive Landscape Select AGM Transactions in 2024 Source: Refinitiv SDC Database. Amounts are on a sale-date basis and reflect only those series insured by Assured Guaranty Municipal Corp. (New York, NY). 20 ASSURED GUARANTY MUNICIPAL | ASSURED GUARANTY INC.
Slide 21: Non-U.S. Public Finance Business Activity
Creating Value Insurance Non-U.S. Public Finance Business Activity Non-U.S. Public Finance PVP1 • Non-U.S. public finance continues to have a (Q1; $ in millions) strong and very active pipeline of business, although transactions often have long lead $30 times and therefore production may vary period
Slide 22: Global Structured Finance Business Activity
Creating Value Insurance Global Structured Finance Business Activity • In the first quarter of 2024, new business PVP Global Structured Finance PVP1 primarily consisted of insurance securitization (Q1; $ in millions) and subscription finance transactions $60 • In 2023, new business PVP primarily con
Slide 23: Underwriting Principles and Pricing Discipline
Creating Value Insurance Underwriting Principles and Pricing Discipline • Assured Guaranty insured approximately $4 billion of aggregate par in the first quarter of 2024 – U.S. public finance insured the fourth largest amount of first-quarter par in a decade – Global structured finance insured the s
Slide 24: Puerto Rico Update
Creating Value Puerto Rico Update • The Company has divested the majority of the Plan Consideration it received in connection with the resolution of General Obligation (GO) and Public Buildings Authority (PBA), Puerto Rico Convention Center District Authority (PRCCDA), Puerto Rico Infrastructure Fin
Slide 25: Asset Management
Creating Value Asset Management • In 2023, Assured Guaranty contributed most of AssuredIM to Sound Point in exchange for approximately 30% of the combined Sound Point entity, and the Company sold its entire equity interest in Assured Healthcare Partners, LLC (AHP) – AGM and AG engaged Sound Point as
Slide 26: Financial Strength Ratings
Financial Strength Ratings U.S. Insurance Companies Financial Strength Ratings1 S&P KBRA Moody's AA AA+ A1 AGM Stable Outlook Stable Outlook Stable Outlook (May 2024) (October 2023) (April 2024) AA AA+ A1 AG Stable Outlook Stable Outlook Stable Outlook (May 2024) (October 2023) (April 2024) Recent R
Slide 27: Net Par Outstanding Amortization
Net Par Outstanding Amortization • Since year-end 2018, the net par outstanding of the insured portfolio has stabilized significantly – This stabilization was primarily driven by new business production in U.S. public finance and non-U.S. public finance – This will help stabilize our future earned r
Slide 28: Capital Changes and Insured Portfolio Since the Global Financial Crisis
Assured Guaranty Today Capital Changes and Insured Portfolio Since the Global Financial Crisis Claims-Paying Resources Insured Leverage ($ in billions) 71.3x 70.5x $13.2 $13.2 $12.8 $12.8 $12.6 $12.6 $12.7 $12.1 $12.1 $11.9 62.9x $11.4 $11.1 $11.2 $10.8 $10.7 $10.5 58.9x 52.7x 47.4x 46.7x 46.2x 41.2
Slide 29: High-Quality Investment Portfolio
Underlying Value High-Quality Investment Portfolio Total Invested Assets and Cash1,2 As of March 31, 2024 U.S. government & agencies AAA 3 • Predominately consists of highly rated, 29% 1% fixed maturity and short-term investments, Other invested assets and cash; 55% rated AA or higher 5% • Approxima
Slide 30: Assured Guaranty Ltd. Consolidated Insured Portfolio Overview
Assured Guaranty Ltd. Consolidated Insured Portfolio Overview
Slide 31: AGL Consolidated Insured Portfolio
AGL Consolidated Insured Portfolio Net Par Outstanding as of March 31, 2024 Portfolio Diversification by Sector Non-U.S. Structured Finance 1% U.S. Public Finance 77% U.S. Structured Finance 3% Non-U.S. Public Finance 19% $248.1 billion1,2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Publi
Slide 32: AGL Consolidated Insured Portfolio Ratings
AGL Consolidated Insured Portfolio Ratings Net Par Outstanding as of March 31, 2024 Portfolio Diversification by Rating BIG AAA 2% 1% AA 11% BBB 38% A 47% $248.1 billion1,2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finance Portfolio Structured Finance Portfolios BIG AAA BIG AAA B
Slide 33: Public Finance Puerto Rico Exposure
Public Finance Puerto Rico Exposure Exposure to Puerto Rico As of March 31, 2024 ($ 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 $633 Tota
Slide 34: Scheduled Net Par Amortization of Exposure to Puerto Rico
Public Finance Puerto Rico Exposure Scheduled Net Par Amortization of Exposure to Puerto Rico As of March 31, 2024 2024 2024 2024 2034 - 2039 - ($ in millions) (Q2) (Q3) (Q4) 2025 2026 2027 2028 2029 2030 2031 2032 2033 2038 2041 Total Defaulted Puerto Rico Exposures PREPA $ — $ 93 $ — $ 68 $ 105 $
Slide 35: 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 March 31, 2024 2024 2024 2024 2034 - 2039 - ($ in millions) (Q2) (Q3) (Q4) 2025 2026 2027 2028 2029 2030 2031 2032 2033 2038 2041 Total Defaulted Puerto Rico Exposures PREPA $ 3 $ 105 $ 3 $ 9
Slide 36: Non-U.S. Public Finance Exposure
Non-U.S. Public Finance Exposure Net Par Outstanding By Type As of March 31, 2024($ in billions) Infrastructure • Non-U.S. public finance net par outstanding is finance $48 billion and makes up 19% of our total $15.0 Sovereign and insured portfolio as of March 31, 2024 sub-sovereign 31% $9.7 — Direc
Slide 37: Global Structured Finance Exposures
Global Structured Finance Exposures Net Par Outstanding By Type As of March 31, 2024 ($ in billions) U.S. RMBS $1.7 • Assured Guaranty’s total structured Insurance Securitizations Global Pooled finance exposure of $10.0 billion, as of $4.6 21% 17% Corporate March 31, 2024, reflects a $164.6 billion
Slide 38: Consolidated Insurance Expected Loss and LAE to Be Paid
Consolidated Insurance Expected Loss and LAE to Be Paid Three Months Ended March 31, 2024 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended March 31, 2024 Net Expected Loss Net Economic Loss Net Expected Loss to be Paid Development Net (Paid) to be Paid
Slide 39: Below Investment Grade Exposures
Below Investment Grade Exposures Net Par Outstanding by BIG Category1 Financial Guaranty Insurance and Credit Derivatives Surveillance Categories • As of March 31, 2024, approximately $2.4 ($ millions) March 31, 2024 December 31, 2023 billion (46%) of the aggregate BIG BIG Category 1 exposure was Ca
Slide 40: BIG Financial Guaranty Exposure Decline
BIG Financial Guaranty Exposure Decline • Since the fourth quarter of 2013, BIG net par outstanding has declined by $17.3 billion • The largest components of our BIG exposure are Healthcare at 21%, Puerto Rico at 19%, and U.S. RMBS at 17% BIG Net Par Outstanding Changes in BIG Net Par Outstanding ($
Slide 41: AGM Consolidated Portfolio Review
AGM Consolidated1 Portfolio Review Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret 1. Please see page 4 for a definition of this convention.
Slide 42: AGM Consolidated Insured Portfolio
AGM Consolidated1 Insured Portfolio Net Par Outstanding as of March 31, 2024 Portfolio Diversification by Sector Non-U.S. Structured Finance <1% U.S. U.S. Public Structured Finance Finance 79% 1% Non-U.S. Public Finance 20% $162.0 billion2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Publi
Slide 43: AGM Consolidated Insured Portfolio Ratings
AGM Consolidated1 Insured Portfolio Ratings Net Par Outstanding as of March 31, 2024 Portfolio Diversification by Rating BIG AAA 2% 1% AA 9% BBB 39% A 49% $162.0 billion2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finance Portfolio Structured Finance Portfolios BIG AAA BIG AAA 2%
Slide 44: AGM Consolidated Insured Portfolio by Asset Type
AGM Consolidated1 Insured Portfolio Net Par Outstanding as of March 31, 2024 Net Par Outstanding By Asset Type ($ in millions) Net Par Net Par Outstanding Outstanding U.S. public finance: U.S. structured finance: General obligation $ 51,332 RMBS 1,072 2 Tax backed 22,243 Financial products 468 Munic
Slide 45: AGM Consolidated Investment Portfolio
AGM Consolidated1 Investment Portfolio Value as of March 31, 2024 Invested Assets and Cash2,3 U.S. government & agencies As of March 31, 2024 1% Other invested AAA 4 • Predominately consists of highly rated, fixed assets <1% 34% maturity and short-term investments, and cash; 57% rated AA or higher E
Slide 46: AGM Consolidated Expected Loss and LAE to Be Paid
AGM Consolidated Expected Loss and LAE to Be Paid Three Months Ended March 31, 2024 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended March 31, 2024 Net Expected Loss Net Economic Loss Net Expected Loss to be Paid Development Net (Paid) to be Paid (Recov
Slide 47: Assured Guaranty Inc. Portfolio Review
Assured Guaranty Inc.1 Portfolio Review Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret 1. Assured Guaranty Inc. (AG) was formerly known as Assured Guaranty Corp. (AGC).
Slide 48: AG Insured Portfolio
AG Insured Portfolio Net Par Outstanding as of March 31, 2024 Portfolio Diversification by Sector Non-U.S. Structured Finance U.S. 3% Public Finance 68% U.S. Structured Finance 12% Non-U.S. Public Finance 17% $28.8 billion U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finance Portfol
Slide 49: AG Insured Portfolio Ratings
AG Insured Portfolio Ratings Net Par Outstanding as of March 31, 2024 Portfolio Diversification by Rating BIG AAA 3% 5% AA 18% BBB 35% A 39% $28.8 billion U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finance Portfolio Structured Finance Portfolios BIG AAA BIG AAA BIG AAA 2% <1% —% 1
Slide 50: AG Insured Portfolio by Asset Type
AG Insured Portfolio Net Par Outstanding as of March 31, 2024 Net Par Outstanding By Asset Type ($ in millions) Net Par Net Par Outstanding Outstanding U.S. public finance: U.S. structured finance: General obligation $ 5,572.4 Insurance securitizations 1,294.3 Transportation 3,355.4 RMBS 511.1 Infra
Slide 51: AG Investment Portfolio
AG Investment Portfolio Value as of March 31, 2024 Invested Assets and Cash1,2 As of March 31, 2024 AAA 3 • Predominately consists of highly rated, fixed U.S. government & 12% agencies AA maturity and short-term investments, and cash; <1% 30% 42% rated AA or higher Other invested assets <1% • Approx
Slide 52: AG Expected Loss and LAE to Be Paid
AG Expected Loss and LAE to Be Paid Three Months Ended March 31, 2024 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended March 31, 2024 Net Expected Loss Net Economic Loss Net Expected Loss to be Paid Development Net (Paid) to be Paid (Recovered) as of (B
Slide 53: Appendix
Appendix
Slide 54: 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 55: 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 56: 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 57: 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 58: Reconciliation of Gross Written Premiums (GWP) to PVP
Appendix AGL Consolidated 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) 2024 2023 2023 2022 2021 2020 2019 2018 2017 Total GWP $61 $86 $357 $360 $377 $454 $677 $612 $307 1 Less: Installmen
Slide 59: 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) 2024 2023 Per Per Diluted Diluted Total Share Total Share Net income (loss) attributable
Slide 60: 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) Mar 31, 2024 Dec 31, 2023 Mar 31, 2023 Dec 31, 2022 Per Per Per Total Share Total Share Total Per Share Total Share Reconciliation of
Slide 61: 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 March 31, 2024 2023 Net income (loss) attributable to AGL $109 $81 2 Adjusted operating income 113 68 Average shareholders' equity attributable to AGL $5,671 $5,142 2 Ave
Slide 62: 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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