Assured Guaranty Ltd. · NYSE:AGO
Assured Guaranty — Debt Investor Presentation (March 2023)
66 slides from Assured Guaranty's debt investor presentation, Mar 31, 2023
Slide 1: Fixed Income Investor Presentation March 31, 2023
EMBRACE POSSIBILITIES, INVEST IN CERTAINTIES Fixed Income Investor Presentation March 31, 2023
Slide 2: Table of Contents
Table of Contents Page Forward-Looking Statements and Safe Harbor Disclosure 2 Conventions and Non-GAAP Financial Measures 3 Corporate Overview 4 Assured Guaranty Ltd. Consolidated Insured Portfolio Overview 29 AGM Consolidated1 Portfolio Review 41 Assured Guaranty Corp. 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 (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 March 31, 2023 ($ in millions) AGM AGC AG Re6 Eliminations2 Consolidated Claims-paying resources Policyholders' surplus $2,742 $1,920 $732 $(220) $5,174 Contingency
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 March 31, 2023: – AGM $6.4 billion (includes AGUK and AGE) – AGC $3.0 billion – AG Re $1.7 billion (includes AGRO) – Separate ins
Slide 13: AGM Consolidated Net Par Outstanding
AGM Consolidated1 Net Par Outstanding • AGM focuses on insuring public finance and infrastructure transactions. AGM’s subsidiaries, AGUK and AGE, additionally focus on insuring structured finance transactions. Net Par Outstanding As of March 31, 2023 ($ in billions) U.S. Structured Non-U.S. Finance
Slide 14: AGM, AGUK and AGE Net Par Outstanding
AGM, AGUK and AGE Net Par Outstanding U.S. Other Public U.S. Muni Utilities $19.6 Finance $31.6 • AGM is a U.S. financial guaranty insurance AGM Net Par company that focuses on public finance and Non-U.S. Public infrastructure transactions Outstanding Finance As of Mar. 31, 2023 $25.2 – AGM’s legacy
Slide 15: AGC Net Par Outstanding
AGC Net Par Outstanding • AGC focuses on global structured finance Net Par Outstanding transactions, and may also insure public As of March 31, 2023 finance and infrastructure transactions ($ in billions) • Structured finance eligible for new business U.S. originations: Structured Finance – Traditio
Slide 16: AG Re and AGRO
AG Re and AGRO Consolidated AG Re AGRO Net Par Outstanding1 Outstanding Net Exposure2 As of March 31, 2023 ($ in billions) As of March 31, 2023 ($ in billions) U.S. Non-U.S. RVI Aircraft Structured Public Insurance Financial Guaranty Finance Finance $0.2 Public Finance $3.8 $10.5 BBB- $0.2 A A- Non-
Slide 17: Underwriting Discipline
Underwriting Discipline • Our U.S. public finance portfolio, our Consolidated Net Par Outstanding As of March 31, 2023 largest exposure category, generally ($ in billions) Non-U.S. Structured performed well during the 2008 recession Finance and in subsequent years, including into AA Average Rating t
Slide 18: Creating Value: Insurance Penetration in 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 lower in the first quarter 2023 compared with the same period in 2022 – U.S. public finance insured nearly $2.9 billion of par that closed in the first quarter
Slide 19: Broadening Market Awareness
Broadening Market Awareness Current Advertising Campaigns 18
Slide 20: Competitive Landscape
Competitive Landscape Select AGM Transactions in 2023 $1,075,205,000 $648,585,000 $538,915,000 $452,475,000 $325,885,000 School District Revenue Bond LCRA Transmission Services Second Lien Water Revenue Second Lien Wastewater Pasco County, FL Financing Program Revenue Corp Prj Transmission Contract
Slide 21: Creating Value: Non-U.S. Public Finance Business Activity
Creating Value Insurance Non-U.S. Public Finance Business Activity • Non-U.S. public finance insured the third First Quarter Non-U.S. Public Finance PVP1 largest amount of first quarter new business $30 PVP in a decade $21 • In first quarter 2023, new business primarily included a long-term sale and
Slide 22: Creating Value: Global Structured Finance Business Activity
Creating Value Insurance Global Structured Finance Business Activity • After a strong fourth quarter 2022, global First Quarter Global Structured PVP1 structured finance continued its momentum ($ in millions) in first quarter 2023, insuring over $60 $60 million of new business PVP, the largest amoun
Slide 23: Underwriting Principles and Pricing Discipline
Creating Value Insurance Underwriting Principles and Pricing Discipline • Assured Guaranty’s first quarter PVP of $112 million in the insurance segment is the largest amount of total first quarter PVP since first quarter of 2010 – This is only the second time that first quarter PVP exceeded $100 mil
Slide 24: Creating Value: Puerto Rico Update
Creating Value Puerto Rico Update • The Company continued to divest plan consideration 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 Financing Authority
Slide 25: Creating Value: AssuredIM
Creating Value AssuredIM • The Company remains committed to growing asset management-related earnings – On April 5, 2023, the Company announced an agreement pursuant to which most of its asset management business, other than that conducted by Assured Healthcare Partners LLC, will combine with Sound
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 (July 2022) (October 2022) (March 2022) AA AA+ AGC Stable Outlook Stable Outlook (2) (July 2022) (October 2022) Recent Rating Activity • In Marc
Slide 27: Net Par Outstanding Amortization
Net Par Outstanding Amortization • In the last six 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 – We expect this stabilization of net par outstanding of our portfolio should hel
Slide 28: 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 $13.2 $12.8 $12.8 $12.6 $12.6 $12.7 $12.1 $12.1 $11.9 $11.4 $11.1 $11.2 $10.8 $10.8 71.3x 70.5x 62.9x 58.9x 52.7x 47.4x 46.7x 46.2x 41.2x 38.6x
Slide 29: Underlying Value: High-Quality Investment Portfolio
Underlying Value High-Quality Investment Portfolio Total Invested Assets and Cash1,2 As of March 31, 2023 AAA 3 • Predominately consists of highly rated, fixed 28% maturity and short-term investments, and cash; 58% rated AA or higher 5 NR 2% AA • Approximately $1.4 billion invested in liquid, Other
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, 2023 Portfolio Diversification by Sector Non-U.S. U.S. Structured Structured Finance Finance <1% 4% Non-U.S. Public Finance U.S. Public 19% Finance 77% $236.4 billion1,2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Publ
Slide 32: AGL Consolidated Insured Portfolio Ratings
AGL Consolidated Insured Portfolio Ratings Net Par Outstanding as of March 31, 2023 Portfolio Diversification by Rating BIG AAA 2% 2% AA 10% BBB 39% A 47% $236.4 billion1,2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finance Portfolio Structured Finance Portfolios BIG AAA BIG AAA A
Slide 33: Puerto Rico Exposure
Public Finance Puerto Rico Exposure Par Exposure to the Commonwealth and its Related Authorities and Public Corporations1 As of March 31, 2023 ($ in millions) Net Par Outstanding Total Net Par Gross Par AGM AGC AG Re Eliminations2 Outstanding Outstanding Defaulted Puerto Rico Exposures Puerto Rico E
Slide 34: Puerto Rico Exposure: 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 March 31, 2023 2023 2023 2023 2033 – 2038 – ($ in millions) (2Q) (3Q) (4Q) 2024 2025 2026 2027 2028 2029 2030 2031 2032 2037 2041 Total Default
Slide 35: Puerto Rico Exposure: 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 March 31, 2023 2023 2023 2023 2033 – 2038 – ($ in millions) (2Q) (3Q) (4Q) 2024 2025 2026 2027 2028 2029 2030 2031 2032 2037 2041 Tota
Slide 36: Non-U.S. Public Finance Exposure
Non-U.S. Public Finance Exposure Net Par Outstanding By Type As of March 31, 2023 ($ in billions) • Non-U.S. public finance net par outstanding is Infrastructure finance $46 billion and makes up 19% of our total $14.2 Sovereign and insured portfolio as of March 31, 2023 31% sub-sovereign $9.9 – Dire
Slide 37: Global Structured Finance Exposures
Global Structured Finance Exposures Net Par Outstanding By Type As of March 31, 2023 ($ in billions) U.S. RMBS • Assured Guaranty’s total structured finance $1.9 exposure of $9.6 billion, as of March 31, 2023, 20% reflects a $165.0 billion reduction from $174.6 Global Pooled Corporate billion on Dec
Slide 38: Consolidated U.S. RMBS
Consolidated U.S. RMBS By Type • Our $1.9 billion U.S. RMBS portfolio is As of March 31, 2023 amortizing both on a dollar basis and as a ($ in millions) percentage of the portfolio Subprime First Lien – Assured Guaranty’s U.S. RMBS exposure of $1.9 billion on $1,168 March 31, 2023, reflects a $27.3
Slide 39: Consolidated Insurance Expected Loss and LAE to Be Paid
Consolidated Insurance Expected Loss and LAE to Be Paid Three Months Ended March 31, 2023 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended March 31, 2023 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) N
Slide 40: 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, 2023, approximately $3.4 ($ millions) March 31, 2023 December 31, 2022 BIG Category 1 billion (57%) of the aggregate BIG U.S. public fin
Slide 41: BIG Financial Guaranty Exposure Decline
BIG Financial Guaranty Exposure Decline • Since 4Q-11, BIG net par outstanding has declined by $20.9 billion • The largest components of our BIG exposure are Puerto Rico at 23% and U.S. RMBS at 17% BIG Net Par Outstanding Changes in BIG Net Par Outstanding ($ in billions) Full Full Full Year Year Ye
Slide 42: 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 43: AGM Consolidated Insured Portfolio
AGM Consolidated1 Insured Portfolio Net Par Outstanding as of March 31, 2023 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% $157.8 billion2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Publi
Slide 44: AGM Consolidated Insured Portfolio Ratings
AGM Consolidated1 Insured Portfolio Ratings Net Par Outstanding as of March 31, 2023 Portfolio Diversification by Rating BIG AAA AA 2% 1% 9% BBB 40% A 48% $157.8 billion2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finance Portfolio Structured Finance Portfolios BIG AAA AA AAA AA 2
Slide 45: AGM Consolidated Net Par Outstanding By Asset Type
AGM Consolidated1 Insured Portfolio Net Par Outstanding as of March 31, 2023 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: General obligation $ 50,274 A- RMBS $ 1,236 B
Slide 46: AGM Consolidated Investment Portfolio
AGM Consolidated1 Investment Portfolio Fair Value as of March 31, 2023 Invested Assets and Cash2,3 As of March 31, 2023 A 18% • Predominately consists of highly rated, fixed Nearly 100% of BIG maturity and short-term investments, and cash; BBB is held for loss 8% 51% rated AA or higher mitigation or
Slide 47: AGM Consolidated Expected Loss and LAE to Be Paid
AGM Consolidated Expected Loss and LAE to Be Paid Three Months Ended March 31, 2023 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended March 31, 2023 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) Net (Pa
Slide 48: Assured Guaranty Corp. Portfolio Review
Assured Guaranty Corp. Portfolio Review Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret
Slide 49: AGC Insured Portfolio
AGC Insured Portfolio Net Par Outstanding as of March 31, 2023 Portfolio Diversification by Sector Non-U.S. Structured Finance 3% Non-U.S. Public U.S. Public Finance Finance 18% 64% U.S. Structured Finance 15% $22.1 billion U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finance Portfo
Slide 50: AGC Insured Portfolio Ratings
AGC Insured Portfolio Ratings Net Par Outstanding as of March 31, 2023 Portfolio Diversification by Rating BIG AAA 4% 7% AA 20% BBB 34% A 35% $22.1 billion U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finance Portfolio Structured Finance Portfolios BIG AAA AA BIG AAA BIG 4% <1% 21%
Slide 51: AGC Net Par Outstanding By Asset Type
AGC Insured Portfolio Net Par Outstanding as of March 31, 2023 Net Par Outstanding By Asset Type ($ in millions) Net Par Avg. Internal Net Par Avg. Internal Outstanding Rating Outstanding Rating U.S. public finance: U.S. structured finance: General obligation $ 3,895 A Life insurance transactions $
Slide 52: AGC U.S. RMBS Exposure
AGC U.S. RMBS Exposure By Type As of March 31, 2023 ($ in millions) Prime Alt-A First • AGC’s U.S. RMBS portfolio is amortizing on First Lien $26 Lien $129 an absolute basis and has declined as a 5% percentage of the portfolio 23% – $0.6 billion at March 31, 2023 versus $13.4 billion Second at year-
Slide 53: AGC Global Structured Finance Exposure
AGC Global Structured Finance Exposure Excluding U.S. RMBS By Type As of March 31, 2023 ($ in millions) • AGC’s global structured finance (excluding Life Insurance U.S. RMBS) exposure consists principally Transactions Other $1,273 Structured of: Finance $941 – Life insurance transactions 37% 27% – P
Slide 54: AGC Investment Portfolio
AGC Investment Portfolio Fair Value as of March 31, 2023 Invested Assets and Cash1,2 As of March 31, 2023 • Predominately consists of highly rated, Nearly 100% of BIG fixed maturity and short-term investments, BBB A and cash; 46% rated AA or higher 13% 10% is held for loss 4 mitigation or other BIG
Slide 55: AGC Expected Loss and LAE to Be Paid
AGC Expected Loss and LAE to Be Paid Three Months Ended March 31, 2023 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended March 31, 2023 Net Expected Loss to Economic Loss Net Expected Loss to be Paid (Recovered) Development (Benefit) Net (Paid) Recovered
Slide 56: Appendix
ASSURED (GUARANTY
Slide 57: 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 58: 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 59: 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 60: 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 61: 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) 2023 2022 2022 2021 2020 2019 2018 2017 2016 Total GWP $86 $70 $360 $377 $454 $677 $612 $307 $154 Less: Installment GWP and other GAA
Slide 62: 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 March 31, December 31, (dollars in millions, except per share amounts) 2023 2022 2022 Per Diluted Per Diluted Per Diluted Total Share
Slide 63: 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, 2023 December 31, 2022 March 31, 2022 December 31, 2021 December 31, 2020 Total Per Share Total Per Share Total Per Share Total
Slide 64: 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, 2023 2022 Net income (loss) attributable to AGL $81 $66 Adjusted operating income2 68 90 Average shareholders' equity attributable to AGL $5,142 $6,047 Average adju
Slide 65: 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 66: 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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