Assured Guaranty Ltd. · NYSE:AGO
Assured Guaranty — Debt Investor Presentation (December 2014)
82 slides from Assured Guaranty's debt investor presentation, Dec 9, 2014
Slide 1: Fixed Income Investor Presentation September 30, 2014
EMBRACE POSSIBILITIES, INVEST IN CERTAINTIES Fixed Income Investor Presentation September 30, 2014
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 29 AGM1 Portfolio Review 43 Municipal Assurance Corp. Portfolio Review 55 Assur
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, Disclaimers and Non-GAAP Financial Measures
Conventions, Disclaimers and Non-GAAP Financial Measures • Unless otherwise noted, the following conventions are used in this presentation: – “AGM Consolidated” means Assured Guaranty Municipal Corp. and its consolidated entities (consisting primarily of Assured Guaranty (Europe) Ltd.; Municipal Ass
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 continue to write new business throughout the financial crisis and rec
Slide 7: Operating Principles and Investor and Issuer Benefits
Operating Principles and Investor and Issuer Benefits • Underwriting principles and a strong risk management culture designed to protect our franchise • Experienced and disciplined management • Commitment to disclosure and transparency • Our guaranty benefits investors and issuers because we provide
Slide 8: Strategic Priorities
Strategic Priorities • Exercise underwriting and pricing discipline • Increase penetration in the U.S. public finance market • Increase new business activity in our structured finance and international segments • Maintain strong financial strength ratings • Pursue loss mitigation strategies • Utiliz
Slide 9: Corporate Structure
Assured Guaranty Ltd. Corporate Structure Assured Guaranty Ltd. Hamilton, Bermuda Publicly traded Holding Company (NYSE: AGO) A (stable outlook) / Baa2 (stable outlook) Assured Guaranty Finance Assured Guaranty Re Ltd. (AG Re) Overseas Ltd. Financial Guaranty Reinsurance European Marketing AA (stabl
Slide 10: Four Discrete Operating Companies With Separate Capital Bases
Four Discrete Operating Companies With Separate Capital Bases Consolidated Claims-Paying Resources and Statutory-Basis Exposures As of September 30, 2014 ($ in millions) AGM AGC MAC AG Re8 Eliminations4 Consolidated Claims-paying resources Policyholders' surplus $ 1,610 $ 508 $ 542 $ 1,045 $ (812) $
Slide 11: Assured Guaranty Operating Platforms
Assured Guaranty Operating Platforms • Assured Guaranty Municipal1, MAC and AGC operate as three separate direct financial guaranty platforms, with AG Re operating as a reinsurer – Assured Guaranty Municipal1 focuses exclusively on public finance and global infrastructure transactions – MAC insures
Slide 12: Assured Guaranty Operating Platforms (Continued)
Assured Guaranty Operating Platforms (Continued) • Companies distinct for legal and regulatory purposes – Separate insurance licenses – Separate regulators – Assured Guaranty Municipal1 and MAC are domiciled in New York; AGC is domiciled in Maryland – Dividend restrictions – including New York, Mary
Slide 13: Assured Guaranty Municipal's Commitment to the Public Finance Market
Assured Guaranty Municipal’s1 Commitment to the Public Finance Market AGM1 Net Par Outstanding Amortization Current and Projected Year-End Amounts As of September 30, 2014 ($ in billions) • Assured Guaranty Municipal1 is committed to Public Finance Structured Finance insuring only U.S. public financ
Slide 14: Initial Capitalization of MAC
Initial Capitalization of MAC Unlike a typical start-up, MAC began with significant investment income and predictable future earned revenue built in. • MAC was initially capitalized, in July 2013, to approximately $800 million through cash and securities contributed by Assured Guaranty Municipal1 an
Slide 15: AGC is Our Most Diversified Platform
AGC is Our Most Diversified Platform Net Par Outstanding • AGC, a diversified insurer, writes all As of September 30, 2014 ($ in billions) classes of financial guaranty business, including: U.S. public finance, global Non-U.S. Non-U.S. Structured infrastructure and structured finance Public Finance
Slide 16: AG Re's Operating Structure
AG Re’s Operating Structure Net Par Outstanding As of September 30, 2014 ($ in billions) • AG Re is an insurance company Non-U.S. Public Non-U.S. Structured Finance Finance primarily engaged in providing $9.9 $1.8 reinsurance to financial guarantors BBB+ A+ average average rating rating 2% – AG Re i
Slide 17: Underwriting Discipline
Underwriting Discipline • Our U.S. public finance portfolio, our largest Consolidated Net Par Outstanding exposure category, has performed well despite As of September 30, 2014 increased financial pressure on municipal ($ in billions) obligors caused by the economic stress of recent U.S. years Struc
Slide 18: New Business Production
New Business Production Penetration in the U.S. Public Finance Market • We are focused on building demand for our Assured Guaranty guaranties, both in the primary and the New Issue U.S. Public Finance secondary markets Insured Par Sold and Transaction Penetration1 – Wrote 109 secondary market polici
Slide 19: The Fundamental Demand for Bond Insurance Continued in 2014
The Fundamental Demand for Bond Insurance Continued in 2014 In the Primary Market, $9.7 Billion of Insured Par on 627 Transactions Sold With Our Insurance1, Including These Selected Issues $114,665,000 $72,000,324 $79,055,000 $73,445,000 $96,150,000 $153,340,000 Special Tax School Warrants Waterwork
Slide 20: Broadening Market Awareness
Broadening Market Awareness Advertising Campaign 19
Slide 21: New Business Production: U.S. Structured Finance
New Business Production U.S. Structured Finance Business Activity • 3Q-14 U.S. structured finance PVP1 U.S. Structured PVP1 ($ in millions) was $1 million $32 • New business production tends to fluctuate as large, complex transactions require a long time frame • Our future pipeline should benefit fr
Slide 22: New Business Production: Non-U.S. Business Activity
New Business Production Non-U.S. Business Activity • During 3Q-14, we insured a non-U.S. diversified payment rights transaction Non-U.S. PVP1 by Quarter ($ in millions) • We also insured a non-U.S. diversified payment rights transaction during 2Q-14 – $200 million 2014-C notes are backed by future d
Slide 23: New Business Production: Reinsurance Platform
New Business Production Reinsurance Platform • Reassumption of previously ceded business has increased the unearned premium reserve and adjusted book value1 Ceded Par Outstanding by Reinsurer2 As of September 30, 2014 Reassumed Reassumed Commutation Year Par UPR Gain / (Loss) Net Par ($ in billions)
Slide 24: Financial Strength Ratings
Financial Strength Ratings • We maintain strong financial strength ratings – S&P upgraded the financial strength ratings of AGM, MAC, and AGC to AA (stable outlook) on March 18, Financial Strength Ratings 2014 As of December 9, 2014 – A key factor listed by S&P in support of the upgrade was S&P Mood
Slide 25: Pursuing Loss Mitigation Strategies: R&W Activity
Pursuing Loss Mitigation Strategies R&W Activity • The cumulative total (gross of reinsurance) of settlement receipts and commitments and R&W putback receipts was approximately $3.8 billion1,2 • Favorable ruling in Flagstar trial was a positive development for ongoing and future R&W litigation • Our
Slide 26: Pursuing Loss Mitigation Strategies: Loss Mitigation Bond Purchases
Pursuing Loss Mitigation Strategies: Other Capital Creation or Rating Agency Capital Relief Activities – Loss Mitigation Bond Purchases • We have a program to purchase securities we have insured in order to reduce our losses and potentially relieve rating agency capital charges, enhance yield and in
Slide 27: Insured Portfolio Amortization Also Creates Rating Agency Capital
Insured Portfolio Amortization Also Creates Rating Agency Capital • Amortization of the portfolio reduces rating agency capital charges but also embedded future earned premiums • Public finance exposure amortizes at a steady rate – $363 billion net par outstanding – 9% expected to amortize by year-e
Slide 28: AGL Consolidated Investment Portfolio
AGL Consolidated Investment Portfolio Fair Value as of September 30, 2014 Investments Available for Sale and Cash1 Investments Available for Sale and Cash1,2 By Category By Rating U.S. Treasuries & U.S. Short-term Government Treasuries, 6 7% Cash Obligations Agency Gov't AAA 1% 3% Obligations Obliga
Slide 29: Credit Default Swap Spreads
Credit Default Swap Spreads Credit Default Swap Spreads • Movements in credit default swap (CDS) levels for Assured Guaranty Municipal1 and AGC continue to be significantly affected by technical factors such as supply/demand imbalance and light trading volume • The deterioration in the asset-backed
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 September 30, 2014 Portfolio Diversification by Sector Non-U.S. Non-U.S. Public Structured Finance Finance 8% U.S. 2% Structured Finance 11% U.S. Public Finance $418.0 billion1,2 79% Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. S
Slide 32: AGL Consolidated Insured Portfolio Ratings
AGL Consolidated Insured Portfolio Ratings Net Par Outstanding as of September 30, 2014 Portfolio Diversification by Rating BIG AAA 5% 8% BBB 16% AA 25% A 46% $418.0 billion1,2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA AAA
Slide 33: Detroit & Stockton Exposure
AGL Consolidated Detroit & Stockton Exposure Details of Assured Guaranty’s Exposure to Detroit As of September 30, 2014 ($ in millions) Water / Sewer General Obligation / General Fund Net Par Internal Net Par Internal Exposure Exposure Outstanding Rating Outstanding Rating Water $ 882 BBB General Ob
Slide 34: Puerto Rico Exposure
AGL Consolidated Puerto Rico Exposure • In June 2014, the Commonwealth enacted the Puerto Rico Public Corporations Debt Enforcement and Recovery Act, a legislative framework for certain financially stressed public corporations to restructure their debt through agreements with creditors or court- man
Slide 35: Puerto Rico Exposure: Scheduled Net Par Amortization
AGL Consolidated Puerto Rico Exposure Scheduled Net Par Amortization of Exposure to the Commonwealth and its Agencies As of September 30, 2014 4Q- 2024- 2029- 2034- 2039- 2044- ($ in millions) 2015 2016 2017 2018 2019 2020 2021 2022 2023 Total 2014 2028 2033 2038 2043 2047 Highways and Transportatio
Slide 36: Puerto Rico Exposure: Scheduled Net Debt Service Amortization
AGL Consolidated Puerto Rico Exposure Scheduled Net Debt Service Amortization of Exposure to the Commonwealth and its Agencies As of September 30, 2014 4Q- 2024- 2029- 2034- 2039- 2044- ($ in millions) 2015 2016 2017 2018 2019 2020 2021 2022 2023 Total 2014 2028 2033 2038 2043 2047 Highways and Tran
Slide 37: Structured Finance Exposures
AGL Consolidated Structured Finance Exposures Net Par Outstanding By Type As of September 30, 2014 ($ in billions) • We expect Assured Guaranty’s global Other U.S. and structured finance insured portfolio ($55.3 Structured 56% Non-U.S. billion as of September 30, 2014) to amortize Finance Pooled $11
Slide 38: U.S. RMBS
AGL Consolidated U.S. RMBS U.S. RMBS by Exposure Type • Our $10.5 billion U.S. RMBS portfolio is As of September 30, 2014 ($ in billions) amortizing on a dollar basis and as a Subprime percentage of the portfolio First Lien Option $4.2 ARMs – Total U.S. RMBS has declined from $29.2 $0.7 billion at D
Slide 39: U.S. RMBS Exposure Loss-Sharing Arrangements
AGL Consolidated U.S. RMBS Exposure Loss-Sharing Arrangements (as of September 30, 2014) Net Par Outstanding by Quarter ($ in billions) • 50% of total U.S. RMBS is included in R&W agreements $22.5 $21.6 – 67% of our exposure to troubled U.S. RMBS $20.9 $19.9 transactions (below investment grade plus
Slide 40: First Lien 30-59 Day Delinquencies
Mar-09 3.8% Mar-09 5.4% Jun-09 3.3% Jun-09 4.4% Sep-09 3.4% Sep-09 4.2% 3.5% 4.2% 39 Dec-09 Dec-09 Mar-10 3.3% Mar-10 4.0% Jun-10 2.8% Jun-10 3.5% Sep-10 2.9% Sep-10 3.4% Dec-10 3.0% Dec-10 3.5% Mar-11 3.0% Mar-11 3.4% Jun-11 2.7% Jun-11 3.1% Sep-11 2.8% Sep-11 3.0% Dec-11 2.6% Dec-11 3.2% Mar-12 2.
Slide 41: Second Lien 30-59 Day Delinquencies
AGL Consolidated Second Lien 30-59 Day Delinquencies For Financial Guaranty Direct Transactions HELOCs Originated 2004-2007 3.5% Increase due 3.7% • Second lien 30-59 day delinquencies 3.0% to anticipated servicing 3.2% 2.9% 3.1% 3.0% transfer 2.9% are down since January 2009 in both 2.8% 2.7% 2.6%
Slide 42: Non-U.S. Public and Structured Finance
AGL Consolidated Non-U.S. Public and Structured Finance Net Par Outstanding Non-U.S. Public and Structured Finance As of September 30, 2014 ($ in billions) Other $11.1 Canada • Non-U.S. exposure is 76% public finance and 25% $3.6 24% structured finance 8% • Approximately 74% of non-U.S. structured 7
Slide 43: Insured Obligations Within Troubled Eurozone Countries
AGL Consolidated Insured Obligations Within Troubled Eurozone Countries1 • Approximately 33%, or $1.0 billion, of net par outstanding of exposure to troubled Eurozone countries is to structured finance transactions Insured Obligations Within • M6 Toll Road is a 58km dual carriage motorway from Budap
Slide 44: AGM Portfolio Review
AGM1 Portfolio Review Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret 1. “AGM Consolidated” means Assured Guaranty Municipal Corp. and its consolidated entities (consisting primarily of Assured Guaranty (Europe) Ltd.; Municipal Assurance Holdings Inc. (MAC Holdings); Municipal Assurance Co
Slide 45: AGM Insured Portfolio Overview
AGM1 Insured Portfolio Overview Net Par Outstanding1,2 As of September 30, 2014 • AGM’s1 portfolio is diversified by asset ($ in billions) class Non-U.S. Public Finance – 70% U.S. public finance $21.5 BBB+ average – 14% U.S. structured finance Non-U.S. rating Structured – 13% Non-U.S. public finance
Slide 46: AGM Insured Portfolio
AGM1 Insured Portfolio Net Par Outstanding as of September 30, 2014 Portfolio Diversification by Sector Non-U.S. Public Finance 13% Non-U.S. Structured Finance 3% U.S. Structured Finance 14% U.S. Public Finance 70% $167.3 billion2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Fin
Slide 47: AGM Insured Portfolio Ratings
AGM1 Insured Portfolio Ratings Net Par Outstanding as of September 30, 2014 Portfolio Diversification by Rating BIG 5% AAA BBB 12% 19% AA 24% A 40% $167.3 billion2 Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA AAA BIG BIG 3% 1
Slide 48: AGM Insured Portfolio: Net Par Outstanding By Asset Type
AGM1 Insured Portfolio Net Par Outstanding as of September 30, 2014 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: General obligation $ 42,262 A Pooled corporate obligat
Slide 49: Reinsurance
Reinsurance AGM1 Has Ceded 7% of Its Gross Insured Portfolio to a Diversified Group of Non-Affiliated Reinsurers and Other Monolines AGM’s1 Total Gross Par Outstanding: Externally Ceded Par Outstanding: $321.2 billion $23.5 billion (7.3%) As of September 30, 2014 As of September 30, 2014 Ceded to As
Slide 50: AGM Amortization of Global Insured Structured Finance Portfolio
AGM1 Amortization of Global Insured Structured Finance Portfolio Other Structured Financial Finance BIG 3 $1.8 $3.9 Products (GICs) $2.3 BBB $0.5 U.S. Consumer Receivables $0.2 A $0.3 U.S. and Non- U.S. Residential U.S. Pooled AA Mortgages Corporate $5.4 $5.1 $19.5 AAA $18.9 • We expect AGM’s1 legac
Slide 51: AGM U.S. RMBS Exposure
AGM1 U.S. RMBS Exposure By Type As of September 30, 2014 ($ in billions) • AGM’s1 U.S. RMBS portfolio is amortizing on an Prime First Lien Alt-A First absolute basis and has declined as a percentage $0.1 Lien 1% of the portfolio $0.8 Closed End – $5.1 billion net par outstanding versus $17.1 billion
Slide 52: AGM Non-RMBS Exposure
AGM1 Non-RMBS Exposure U.S. Structured Finance • 83% of AGM’s1 non-RMBS U.S. U.S. Non-RMBS Structured Finance As of September 30, 2014 structured finance portfolio consists of ($ in billions) pooled corporate obligations – 91% of U.S. pooled corporate exposure is of AAA quality Other U.S. ABS $0.5 •
Slide 53: AGM Global Pooled Corporate Obligations
AGM1 Global Pooled Corporate Obligations Pooled Corporate Obligations • AGM’s1 pooled corporate exposure is By Asset Class As of September 30, 2014 generally highly rated and well protected ($ in billions) – Average current credit enhancement of 26.0% Trust Preferred Other $0.6 <$0.1 – 90% rated AAA
Slide 54: AGM Investment Portfolio
AGM1 Investment Portfolio Fair Value as of September 30, 2014 Investments Available for Sale and Cash2 Investments Available for Sale and Cash2,3 By Category By Rating U.S. Treasuries & U.S. Short-term Cash Government Agency Treasuries, 4% 1% Obligations Obligations Gov't AAA 6 <1% 1% Obligations &
Slide 55: AGM Consolidated Expected Loss and LAE to Be Paid
AGM Consolidated1 Expected Loss and Loss Adjustment Expense (“LAE”) to Be Paid As of September 30, 2014 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid for the Three Months Ended September 30, 2014 Net Expected Loss Economic Loss (Paid) Recovered Net Expected Loss Financial Guara
Slide 56: Municipal Assurance Corp. Portfolio Review
Municipal Assurance Corp. Portfolio Review
Slide 57: MAC Insured Portfolio (100% U.S. Public Finance)
MAC Insured Portfolio (100% U.S. Public Finance) Net Par Outstanding as of September 30, 2014 Portfolio Diversification by Sector Portfolio Diversification by Rating 1 BIG AAA Muni Utility 2% <0.1% Revenue BBB AA 16% 9% 34% Tax Backed 15% General Obligations 59% Other 10% A 55% $94.1 billion Net Par
Slide 58: MAC Investment Portfolio
MAC Investment Portfolio Fair Value as of September 30, 2014 Investments Available for Sale and Cash1 Investments Available for Sale and Cash1,2 By Category By Rating U.S. Treasuries & U.S. Short-term & Government Treasuries, 4 cash Obligations Agency Gov't AAA 3% 1% Obligations & 16% Obligations Ag
Slide 59: MAC Is Licensed in All 50 States
MAC Is Licensed in All 50 States MAC is now able to offer insurance in all 50 states + the District of Columbia. 58
Slide 60: Assured Guaranty Corp. Portfolio Review
Assured Guaranty Corp. Portfolio Review Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret
Slide 61: AGC Insured Portfolio Overview
AGC Insured Portfolio Overview Net Par Outstanding • AGC’s portfolio is diversified by asset As of September 30, 2014 class ($ in billions) – 58% U.S. public finance Non-U.S. Non-U.S. Public Structured – 29% U.S. structured finance Finance Finance $2.7 $3.4 – 6% Non-U.S. public finance A- average ra
Slide 62: AGC Insured Portfolio
AGC Insured Portfolio Net Par Outstanding as of September 30, 2014 Portfolio Diversification by Sector Non-U.S. Non-U.S. Structured Public Finance Finance 7% 6% U.S. Structured Finance 29% U.S. Public Finance 58% $48.9 billion Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance
Slide 63: AGC Insured Portfolio Ratings
AGC Insured Portfolio Ratings Net Par Outstanding as of September 30, 2014 Portfolio Diversification by Rating BIG AAA 12% 17% BBB 19% AA 13% A 39% $48.9 billion Non-U.S. Portfolios U.S. Public Finance Portfolio U.S. Structured Finance Portfolio Public & Structured Finance BIG AAA AA BIG 8% <1% 14%
Slide 64: AGC Insured Portfolio: Net Par Outstanding By Asset Type
AGC Insured Portfolio Net Par Outstanding as of September 30, 2014 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: General obligation $ 7,672 A- Pooled corporate obligati
Slide 65: Reinsurance
Reinsurance AGC Has Ceded 2% of Its Gross Insured Portfolio to a Diversified Group of Non-Affiliated Reinsurers and Other Monolines (1) AGC’s Total Gross Par Outstanding: Externally Ceded Par Outstanding: $101.3 billion $1.6 billion (1.6%) As of September 30, 2014 As of September 30, 2014 Ceded to A
Slide 66: AGC U.S. RMBS Exposure
AGC U.S. RMBS Exposure By Type As of September 30, 2014 ($ in billions) • AGC’s U.S. RMBS portfolio is amortizing on Alt-A First Lien an absolute basis and has declined as a $1.6 percentage of the portfolio Prime First Lien 41% – $3.9 billion versus $13.4 billion at year-end 2007, $0.3 8% Closed a d
Slide 67: AGC Non-RMBS Exposure
AGC Non-RMBS Exposure U.S. Structured Finance U.S. Non-RMBS Structured Finance • AGC’s non-RMBS U.S. structured finance As of September 30, 2014 ($ in billions) exposures consist principally of: – Pooled corporate obligations Structured Commercial credit – CMBS receivables $0.1 Other $0.4 1% structu
Slide 68: AGC Global Direct Pooled Corporate Obligations
AGC Global Direct Pooled Corporate Obligations • Our pooled corporate exposure is highly rated and Direct Pooled Corporate Obligations1 protected by overcollateralization. In AGC’s direct By Asset Class portfolio: As of September 30, 2014 ($ in billions) – Average current credit enhancement of 38.6%
Slide 69: AGC Direct U.S. CMBS Exposure
AGC Direct U.S. CMBS Exposure • AGC’s CMBS-related exposures were underwritten at high attachment points Direct U.S. Commercial Real Estate Exposure1 – All deals except one were written with triple-A ratings at By Sector inception As of September 30, 2014 ($ in billions) – One deal was written with
Slide 70: AGC Direct U.S. Consumer Receivables
AGC Direct U.S. Consumer Receivables Direct U.S. Consumer Receivables by Type1 • Despite the economic stress of recent As of September 30, 2014 years, AGC’s consumer receivable portfolio ($ in billions) is entirely investment grade: Auto – Average rating of A <$0.1 2% – For all transactions, current
Slide 71: AGC Investment Portfolio
AGC Investment Portfolio Fair Value as of September 30, 2014 Investments Available for Sale and Cash1 Investments Available for Sale and Cash1,2 By Category By Rating U.S. Mortgage- Treasuries, backed4 Asset- Short-term Gov't 3 7% backed 5% Obligations & 6 6% Cash Agency AAA Corporates Obligations 1
Slide 72: AGC Expected Loss and LAE to Be Paid
AGC Expected Loss and LAE to Be Paid As of September 30, 2014 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid for the Three Months Ended September 30, 2014 Net Expected Loss Economic Loss (Paid) Recovered Net Expected Loss Financial Guaranty Insurance Contracts and to be Paid as
Slide 73: Appendix
ASSURED GUARANTY
Slide 74: Explanation of Non-GAAP Financial Measures
Appendix Explanation of Non-GAAP Financial Measures Endnotes related to non-GAAP financial measures discussed in the presentation: The Company references financial measures that are not in accordance with GAAP. Assured Guaranty’s management and the board of directors utilize non-GAAP financial measu
Slide 75: Explanation of Non-GAAP Financial Measures (Continued)
Appendix Explanation of Non-GAAP Financial Measures (Continued) Operating Shareholders’ Equity: Management believes that operating shareholders’ equity is a useful measure because it presents the equity of Assured Guaranty Ltd. with all financial guaranty contracts accounted for on a more consistent
Slide 76: Explanation of Non-GAAP Financial Measures (Continued)
Appendix Explanation of Non-GAAP Financial Measures (Continued) Adjusted Book Value: Management believes that adjusted book value is a useful measure because it enables an evaluation of the net present value of the Company’s in-force premiums and revenues in addition to operating shareholders’ equit
Slide 77: Reconciliation of PVP to GWP
Appendix AGL Consolidated Reconciliation of PVP to GWP ($ in millions) Three Months Ended September 30, 2014 2013 New business production analysis: PVP: Public finance - U.S. $ 51 $ 24 Public finance - non-U.S. — 13 Structured finance - U.S. 1 3 Structured finance - non-U.S. 4 — Total PVP $ 56 $ 40
Slide 78: Reconciliation of GAAP Book Value to Adjusted Book Value
Appendix AGL Consolidated Reconciliation of GAAP Book Value to Adjusted Book Value ($ in millions, except per share amounts) As of: September 30, 2014 December 31, 2013 Total Per Share Total Per Share Reconciliation of shareholders' equity to adjusted book value: Shareholders' equity $ 5,354 $ 32.53
Slide 79: Reconciliation of AGM Net Par Outstanding to AGM Consolidated
Appendix Reconciliation of AGM1 Net Par Outstanding to AGM Consolidated1 Net Par Outstanding Net Par Outstanding by Asset Type September 30, 2014 ($ in millions) AGM AGM1 MAC Consolidated1 U.S. public finance: General obligation $ 42,262 $ 55,462 $ 97,724 Tax backed 25,134 14,146 39,280 Municipal ut
Slide 80: Reconciliation of AGM Investment Portfolio and Cash to AGM Consolidated
Appendix Reconciliation of AGM1 Investment Portfolio and Cash to AGM Consolidated1 Investment Portfolio and Cash Fair Value September 30, 2014 ($ in millions) AGM AGM1 MAC Consolidated1 Investment portfolio, available-for-sale Fixed-maturity securities: Obligations of states and political subdivisio
Slide 81: Reconciliation of AGM Expected Amortization to AGM Consolidated
Appendix Reconciliation of AGM1 Expected Amortization to AGM Consolidated1 Expected Amortization AGM1 – Estimated Ending Net Par Outstanding2 September 30, 2014 ($ in millions) Public Finance Structured Finance Total 2014 (as of September 30) $ 138,320 $ 28,946 $ 167,266 2014 135,734 25,757 161,491
Slide 82: Assured Guaranty Contacts
Assured Guaranty Contacts: Robert Tucker Managing Director Investor Relations and Corporate Communications Direct: 212.339.0861 rtucker@assuredguaranty.com Michael Walker Managing Director Fixed Income Investor Relations Direct: 212.261.5575 mwalker@assuredguaranty.com Glenn Alterman Associate Inves
Assured Guaranty — Debt Investor Presentation (December 2014) on 6ix