Assured Guaranty Ltd. · NYSE:AGO
Assured Guaranty — Debt Investor Presentation (March 2022)
67 slides from Assured Guaranty's debt investor presentation, Mar 31, 2022
Slide 1: Fixed Income Investor Presentation March 31, 2022
EMBRACE POSSIBILITIES, INVEST IN CERTAINTIES Fixed Income Investor Presentation March 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 42 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 Limite
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 regulations forbid acceleration of our obligations without our consent • Issuers that default on a few debt service payments may have the resources later to repay the
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, 2022 ($ in millions) AGM AGC AG Re6 Eliminations2 Consolidated Claims-paying resources Policyholders' surplus $2,909 $1,992 $691 $(212) $5,380 Contingency
Slide 11: Principal Insurance Platforms
Assured Guaranty Principal Insurance Platforms • AGM1, AGC, AGUK and AGE operate as four separate direct financial guaranty platforms, with AG Re operating as a reinsurer – AGM1 focuses exclusively on public finance and global infrastructure finance – AGC, as the most diversified platform, insures t
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, 2022: – AGM2 $6.6 billion (includes AGUK and AGE) – AGC $3.1 billion – AG Re $1.6 billion (includes AGRO) – Separate in
Slide 13: Asset Management
Assured Guaranty Asset Management • AssuredIM provides asset management services – As of March 31, 2022, AssuredIM had AUM1 of $17.0 billion in four strategies Strategy AUM ($ billions) CLOs $14.3 Opportunity Funds $1.9 Liquid Strategies $0.4 Wind-Down Funds $0.5 Total $17.0 – The Company is using t
Slide 14: AGM Consolidated Net Exposure
AGM Consolidated1 Net Exposure • AGM Consolidated1 is committed to insuring U.S. public finance and global infrastructure transactions. AGM’s subsidiaries, AGUK and AGE, may also underwrite structured finance transactions. Net Par Outstanding As of March 31, 2022 U.S. ($ in billions) Structured Fina
Slide 15: AGM, AGUK and AGE Net Exposure
AGM, AGUK and AGE Net Exposure U.S. Muni U.S. other public • AGM is a U.S. insurance company currently Utility finance writing financial guarantees in the public Revenue $27.7 $18.1 finance sector. AGM Net Par Outstanding – Provides insurance in public finance Non-U.S. public As of Mar 31, 2022 fina
Slide 16: AGC is a Diversified Platform
AGC is a Diversified Platform • AGC, a diversified insurer, may write all Net Par Outstanding classes of financial guaranty business, As of March 31, 2022 including structured finance, U.S. public ($ in billions) finance and global infrastructure • Structured finance eligible for new business U.S. S
Slide 17: AG Re and AGRO
AG Re and AGRO Consolidated AG Re AGRO Net Par Outstanding1 Outstanding Net Exposure2 As of March 31, 2022 ($ in billions) As of March 31, 2022 ($ in billions) U.S. Non-U.S. Structured Financial Guaranty Public RVI Aircraft Finance Public Finance Finance Insurance $3.3 $0.1 $10.9 Non-U.S. $0.2 A A-
Slide 18: Underwriting Discipline
Underwriting Discipline • Our U.S. public finance portfolio, our largest Consolidated Net Par Outstanding exposure category, generally performed well As of March 31, 2022 during the 2008 recession and in subsequent Non-U.S. Structured ($ in billions) years, including into the COVID-19 pandemic, Fina
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 solid in the first quarter of 2022 – The $3.6 billion we insured of U.S. public finance new-issue par closed in the first quarter was our second highest first q
Slide 20: Broadening Market Awareness
Broadening Market Awareness Current Advertising Campaigns 19
Slide 21: Competitive Landscape
Competitive Landscape Select Assured Guaranty Transactions in 2022 $754,830,000 $608,310,000 $546,015,000 $271,545,000 $220,380,000 Dulles Metrorail Green Transmission Project LAX Airport CFC Rev. Bonds, Louisville/Jefferson County Metropolitan Washington Utility System Revenue Revenue Bonds, Series
Slide 22: Creating Value: International Public Finance Business Activity
Creating Value Insurance International Public Finance Business Activity • In first quarter 2022, we guaranteed a U.K. International Public Finance PVP1 water liquidity guarantee and a restructuring (excluding SGI reinsurance portfolio)2 of an existing U.K. water transaction ($ in millions) • The Com
Slide 23: Creating Value: Global Structured Finance Business Activity
Creating Value Insurance Global Structured Finance Business Activity • In first quarter 2022, among other transactions, we insured rental income cash flows for an insurance company Global Structured PVP1 (excluding SGI reinsurance portfolio)2 ($ in millions) • Focus has been on bilateral transaction
Slide 24: Creating Value: Underwriting Principles and Pricing Discipline
Creating Value Insurance Underwriting Principles and Pricing Discipline • New business production gross par written was robust in all three insurance sectors – U.S. public finance gross par written was the second largest first quarter amount in a decade – Global structured finance gross par written
Slide 25: Creating Value: Puerto Rico Update
Creating Value Puerto Rico Update • On March 15, 2022, the General Obligation (GO) and Public Buildings Authority (PBA) Plan of Adjustment (GO/PBA Plan)1, and the Puerto Rico Convention Center District Authority (PRCCDA) and the Puerto Rico Infrastructure Financing Authority (PRIFA) debt modificatio
Slide 26: Creating Value: AssuredIM
Creating Value AssuredIM • AssuredIM improved its adjusted operating income to break even for the first quarter – Completed an interim close on Assured Healthcare Partners’ Fund II during the quarter and a final close in April, exceeding its original hard cap of $750 million. – Reset a CLO and price
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 2021) (October 2021) (March 2022) AA AA+ AGC Stable Outlook stable outlook (3) (July 2021) (October 2021) 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 from the international public finance sector – Since year-end 2016, the international public finance portfolio has incr
Slide 29: Assured Guaranty Today: Capital Changes and Insured Portfolio
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 $11.0 62.9x 58.9x 52.7x 47.4x 46.7x 46.2x 41.2x 39.5x 54% De
Slide 30: 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, 2022 maturity and short-term investments, and cash; 52% rated AA or higher A • 21% BBB 4 Nearly 100% of BIG is held Approximately $704 million invested
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 March 31, 2022 Portfolio Diversification by Sector Non-U.S. Structured U.S. Finance Structured <1% Finance 3% Non-U.S. Public Finance 21% U.S. Public Finance 75% $233.4 billion1,2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Stru
Slide 33: AGL Consolidated Insured Portfolio Ratings
AGL Consolidated Insured Portfolio Ratings Net Par Outstanding as of March 31, 2022 Portfolio Diversification by Rating BIG AAA AA 2% 2% 11% BBB 40% A 45% $233.4 billion1,2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA AAA BIG
Slide 34: Public Finance Puerto Rico Exposure
Public Finance Puerto Rico Exposure Par Exposure to the Commonwealth and its Agencies1 As of March 31, 2022 ($ in millions) Net Par Outstanding Total Net Par Gross Par AGM AGC AG Re Eliminations2 Outstanding Outstanding Puerto Rico Exposures Subject to a Plan or Support Agreement: Commonwealth of Pu
Slide 35: Puerto Rico 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, 2022 2022 2022 2022 2032 - 2037 - ($ millions) (2Q) (3Q) (4Q) 2023 2024 2025 2026 2027 2028 2029 2030 2031 2036 2041 2042 Total Commonwealth of Puerto Rico - GO $ - $ 2
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 Agencies As of March 31, 2022 2022 2022 2022 2032 - 2037 - ($ millions) (2Q) (3Q) (4Q) 2023 2024 2025 2026 2027 2028 2029 2030 2031 2036 2041 2042 Total Commonwealth of Puerto Rico - G
Slide 37: International Public Finance Exposure
International Public Finance Exposure Net Par Outstanding By Type As of March 31, 2022 ($ in billions) • International public finance net par outstanding Infrastructure is $49 billion and makes up 21% of our total finance Sovereign and $15.7 sub-sovereign insured portfolio as of March 31, 2022 32% 2
Slide 38: Global Structured Finance Exposures
Global Structured Finance Exposures Net Par Outstanding By Type As of March 31, 2022 ($ in billions) U.S. RMBS $2.3 • Assured Guaranty’s total structured finance net par exposure of $8.9 billion, as of March 26% 31, 2022 (or 3.8% of our total insured net par Global Pooled Corporate exposure), reflec
Slide 39: Consolidated U.S. RMBS
Consolidated U.S. RMBS By Type • Our $2.3 billion U.S. RMBS portfolio is amortizing As of March 31, 2022 both on a dollar basis and as a percentage of the ($ in millions) portfolio Subprime First Lien – Assured Guaranty’s U.S. RMBS exposure of $2.3 billion on March $1,399 31, 2022, reflects a $26.9
Slide 40: Consolidated Insurance Expected Loss and LAE to Be Paid
Consolidated Insurance Expected Loss and LAE to Be Paid Three Months Ended March 31, 2022 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended March 31, 2022 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) N
Slide 41: Below Investment Grade Exposures
Below Investment Grade Exposures Net Par Outstanding by BIG Category1 • As of March 31, 2022, approximately $2.0 billion (36%) of the aggregate BIG Net Par Outstanding by BIG Category1 exposure was Category 1, which are ($ millions) March 31, 2022 December 31, 2021 transactions that show sufficient
Slide 42: BIG Exposure Summary
BIG Exposure Summary • Since 4Q-11, BIG net par outstanding has declined by $21.2 billion • The largest components of our BIG exposure are Puerto Rico at 40% and U.S. RMBS at 22% • The March Puerto Rico Resolutions (in March 2022) accounted for approximately $1.3 billion of the total $1.7 billion BI
Slide 43: 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 44: AGM Consolidated Insured Portfolio
AGM Consolidated1 Insured Portfolio Net Par Outstanding as of March 31, 2022 Portfolio Diversification by Sector Non-U.S. Structured Finance U.S. <1% Structured Finance 1% U.S. Public Finance 76% Non-U.S. Public Finance 22% $155.6 billion2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Struc
Slide 45: AGM Consolidated Insured Portfolio Ratings
AGM Consolidated1 Insured Portfolio Ratings Net Par Outstanding as of March 31, 2022 Portfolio Diversification by Rating BIG AAA AA 2% 1% 9% BBB 41% A 47% $155.6 billion2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA AA AA BIG
Slide 46: AGM Consolidated Net Par Outstanding By Asset Type
AGM Consolidated1 Insured Portfolio March 31, 2022 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: General obligation $ 49,500 A- RMBS $ 1,505 BBB- Tax backed 23,254 A- F
Slide 47: AGM Consolidated Investment Portfolio
AGM Consolidated1 Investment Portfolio Fair Value as of March 31, 2022 Invested Assets and Cash2,3 As of March 31, 2022 A 19% • Predominately consists of highly rated, fixed Nearly 100% of BIG maturity and short-term investments, and cash; BBB is held for loss 9% 42% rated AA or higher mitigation or
Slide 48: AGM Consolidated Expected Loss and LAE to Be Paid
AGM Consolidated Expected Loss and LAE to Be Paid Three Months Ended March 31, 2022 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended March 31, 2022 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) Net (Pa
Slide 49: Assured Guaranty Corp. Portfolio Review
Assured Guaranty Corp. Portfolio Review Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret
Slide 50: AGC Insured Portfolio
AGC Insured Portfolio Net Par Outstanding as of March 31, 2022 Portfolio Diversification by Sector Non-U.S. Structured Finance 2% U.S. Public Non-U.S. Finance Public 66% Finance 17% U.S. Structured Finance 15% $20.2 billion Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Po
Slide 51: AGC Insured Portfolio Ratings
AGC Insured Portfolio Ratings Net Par Outstanding as of March 31, 2022 Portfolio Diversification by Rating BIG AAA 6% 7% AA 23% BBB 34% A 31% $20.2 billion Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA BIG AAA BIG AA 6% <1% 13
Slide 52: AGC Net Par Outstanding By Asset Type
AGC Insured Portfolio Net Par Outstanding as of March 31, 2022 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: General obligation $ 3,271 A Life insurance transactions $
Slide 53: AGC U.S. RMBS Exposure
AGC U.S. RMBS Exposure By Type As of March 31, 2022 ($ in millions) Prime Alt-A First • AGC’s U.S. RMBS portfolio is amortizing on First Lien $31 Lien $145 an absolute basis and has declined as a 5% percentage of the portfolio 23% – $0.6 billion versus $13.4 billion at year-end 2007, Second a decrea
Slide 54: AGC Global Structured Finance Exposure
AGC Global Structured Finance Exposure Excluding U.S. RMBS By Type As of March 31, 2022 ($ in millions) Life Insurance • AGC’s non-U.S. RMBS global structured Transactions $943 finance exposures consist principally of: Other – Life insurance transactions Structured Finance – Pooled corporate obligat
Slide 55: AGC Investment Portfolio
AGC Investment Portfolio Fair Value as of March 31, 2022 Invested Assets and Cash1,2 As of March 31, 2022 • Predominately consists of highly rated, fixed maturity and short-term investments, and BBB Nearly 100% of BIG 11% cash; 43% rated AA or higher is held for loss A 15% mitigation or other BIG 14
Slide 56: AGC Expected Loss and LAE to Be Paid
AGC Expected Loss and LAE to Be Paid Three Months Ended March 31, 2022 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended March 31, 2022 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) Net (Paid) Recovered
Slide 57: Appendix
ASSURED (GUARANTY
Slide 58: 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 59: 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 60: 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 61: 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 62: 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) 2022 2021 2021 2020 2019 2018 2017 2016 2015 Total GWP $70 $87 $377 $454 $677 $612 $307 $154 $181 Less: Installment GWP and other GAA
Slide 63: 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) 2022 2021 Per Diluted Per Diluted Total Share Total Share Net income (loss) attributabl
Slide 64: 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, 2022 December 31, 2021 March 31, 2021 December 31, 2020 Total Per Share Total Per Share Total Per Share Total Per Share Reconcil
Slide 65: 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, 2022 2021 Net income (loss) attributable to AGL 66 $11 Adjusted operating income1 90 43 Average Shareholders' equity attributable to AGL $6,047 $6,537 Average Adjus
Slide 66: 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 67: 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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