Assured Guaranty Ltd. · NYSE:AGO
Assured Guaranty — Assured Guaranty Re — Investor Presentation (November 2009)
37 slides from Assured Guaranty's investor presentation, Nov 16, 2009
Slide 1: Assured Guaranty Re Ltd Presentation
November 2009 Assured Guaranty Re Ltd Ltd. Presentation The financial statements contained herein should not be relied on because Assured Guaranty will be restating them. For additional information, see the Current Report on Form 8-K that Assured Guaranty filed on or about October 18, 2011 with the
Slide 2: Disclaimer
Disclaimer • The information contained in this presentation is provided for informational purposes only. This information may be amended and/or supplemented without notice. The statements in this presentation are made as of November 10, 2009 unless otherwise noted, and we do not undertake to update
Slide 3: Safe Harbor Disclosure
Safe Harbor Disclosure • Forward-looking statements are being made in this presentation which reflect the current views of Assured Guaranty Ltd. (“AGL” and, together with its subsidiaries, “Assured Guaranty” or the “Company”) with respect to future events and financial performance. They are made pur
Slide 4: Executive Summary
Executive Summary
Slide 5: Executive Summary
Executive Summary • Assured Guaranty Re Ltd. (“AG Re”) is the industry’s leading financial guaranty reinsurance company, with a diversified book of business from both independent and affiliated ceding companies - Wholly-owned subsidiary of publicly-traded (NYSE ticker symbol: AGO) Assured Guaranty L
Slide 6: Recent Developments
Executive Summary Recent Developments p at AG Re • Limited current third-party reinsurance activity due to decline in credit quality of non- affiliated formerly triple-A rated financial guaranty companies - The only treaties that are currently active in place, are with AGC and AGM - No ongoing reins
Slide 7: AG Re's Financial Strength
Executive Summary AG Re’s Financial Strength g • As of December 31, 2008, AG Re’s Bermuda Statutory Capital and Surplus was $1.1 billion 30 2009, • As of June 30, 2009 AG Re’s Re s claims paying resources were $2.6 $2 6 billion • Significant potential future earnings capacity and stability provided
Slide 8: AG Re within the Assured Guaranty Ltd. Corporate Structure
AG Re within the Assured Guaranty Ltd. Corporate Structure Assured Guaranty Ltd. Publicly-traded Holding Company (NYSE: AGO) A+/A3 senior debt rating Assured Guaranty Re Ltd. Assured Guaranty Ireland Ltd. Assured Guaranty Finance Overseas Ltd. Financial Guaranty Reinsurance Ireland Holding Company E
Slide 9: Financial Guaranty Reinsurance
Financial Guaranty Reinsurance
Slide 10: Changing Industry Relationships
Financial Guaranty Reinsurance Changing g g Industry y Relationships p S f l build • Successful b ild up off ffacultative lt ti franchise f hi created t d strong t relationships l ti hi with ith all ll primary insurers - Kept us in the mix regarding portfolio transactions - Allowed for better insigh
Slide 11: AGC and AGM Relationship
Financial Guaranty Reinsurance AGC and AGM Relationship p • AGC and AGM growth would provide a strong foundation for future growth and enhanced stability at AG Re • Better balanced portfolio in 2009 and going forward as AGC and AGM builds public finance franchise • AGM, formerly known as FSA, provid
Slide 12: Underwriting
Financial Guaranty Reinsurance Underwriting g • All facultative transactions are approved by a committee underwriting process - Underwriting process has been structured to maintain separation of surveillance from credit - All non-AGC and non-AGM transactions require AG Re Credit Committee and AG Re
Slide 13: Competitive Position
Financial Guaranty Reinsurance Competitive p Position • 21+ year track record of successfully writing financial guaranty reinsurance business within i hi Assured A d Guaranty G family f il off companies i • Capital base provides significant single risk capacity • Diversified portfolio mix • Rated wi
Slide 14: Risk Management
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Slide 15: Risk Management
Financial Guaranty Reinsurance Risk Management g • Risk Oversight Committee at the AGL board level reviews overall underwriting and risk management guidelines and policy - Monitor underwriting process - Review significant changes in policy - Review guidelines for managing and monitoring risk - Monit
Slide 16: Surveillance
Financial Guaranty Reinsurance Surveillance • AG Re has responsibility for conducting surveillance on the reinsurance portfolio and small direct portfolio, including claims mitigation and portfolio management. • Reports on BIG credits are obtained from ceding companies on a regular basis (generally
Slide 17: Portfolio Risk Management
Portfolio Risk Management
Slide 18: Portfolio Risk Management
Portfolio Risk Management As of June 30, 2009: • $119.1 billion NPO with average credit quality of A+, based on Assured Guaranty’s internal ratings • 75% of portfolio consists of public finance and infrastructure credits - The remaining 25% consists of structured finance credits • Only 39% of portfo
Slide 19: AG Re Portfolio Composition
Portfolio Risk Management AG Re Portfolio Composition p ($ in millions) Net Par Outstanding as of June 30, 2009 AGC Cessions Other Cessions, AG Re Direct Total AG Re Sector g AGM including General Obligation $ 6,751 14.6% $ 15,098 20.8% $ - 0.0% $ 21,849 18.3% Tax Backed 6,200 13.4% 13,831 19.0% - 0
Slide 20: Portfolio Credit Quality
Portfolio Risk Management Portfolio Credit Quality y1 June 30, 2009 December 31, 2008 BIG BIG AAA 3% AAA 3% BBB BBB 16% 19% 17% 16% AA 27% AA 29% A A 37% 33% $119 1 billion net par outstanding $119.1 $111 7 billion net par outstanding $111.7 AAA AAA AA AA A A BBB BBB BIG BIG 1Assured Guaranty's inte
Slide 21: Geographic Distribution
Portfolio Risk Management Geographic g p Distribution As of June 30, 2009: Total Net Par Outstanding O InternationalNetParOutstanding 11% 5% 3% 3% 82% 22% 18% 56% $119.1 billion net par outstanding $21.1 billion net par outstanding US UnitedKingdom Australia Non-U.S. Germany Italy Ireland Other 21
Slide 22: Below Investment Grade Exposures
Portfolio Risk Management Below Investment Grade Exposures p 1 $3 8 million, • BIG exposure $3.8 illi 3 3.2% 2% off NPO • BIG exposure is concentrated in a small number of transactions - 5 largest have NPO of $1,429.0 million or 37.9% of the total - 10 largest have NPO of $1,983.7 million or 52.6% o
Slide 23: Below Investment Grade Exposures
Portfolio Risk Management Below Investment Grade Exposures ($ in millions) Weighted NPO Average % Total Average Life 6/30/2009 Rating NPO US Public Finance General Obligations 17.5 268.1 B 0.23% Healthcare 12.2 63.5 BB 0.05% Municipal Utility 18.7 198.2 D 0.17% Other Public Finance 29.8 285.4 BB+ 0.
Slide 24: Top Ten Below Investment Grade Exposures
Portfolio Risk Management Top p Ten Below Investment Grade Exposures p $ in millions Internal NPO % of Total % of Total Credit Name Rating 6/30/2009 BIG NPO Deutsche Bank Alt-A Securities Mortgage Loan Trust 2007-2 CCC 376.2 10.0% 0.3% Ballantyne Re PLC Class A-2 Floating Rate Notes D 370.0 9.8% 0.3
Slide 25: Financial Review
Financial Review
Slide 26: First Half 2009 Results
Financial Review First Half 2009 Results • Largest claims paying resources and strongest earnings amongst monoline reinsurers - AG Re’s claims paying resources were $2.6 billion as of June 30, 2009 Re’s • As of December 31, 2008, AG Re s Bermuda Statutory Capital and Surplus was $1.1 billion • Signi
Slide 27: Summary GAAP Income Statements
Financial Review Summary y GAAP Income Statements 6 months ended $ in millions 6/30/09 2008 2007 Net earned premiums $132.7 $169.4 $100.5 Investment income 20 4 20.4 33 2 33.2 63 5 63.5 Change in fair value of derivatives 21.8 (64.0) (136.8) Total revenues 174.9 138.6 27.2 Losses incurred 49.9 116.3
Slide 28: Summary GAAP Balance Sheets
Financial Review Summary y GAAP Balance Sheets $ in millions Jun-09 2008 2007 Balance Sheet Items: Invested assets $2,103.2 $1,989.6 $1,774.2 Other assets 982.2 328.1 255.7 Total assets 3,085.4 2,317.7 2,029.9 Liabilities Unearned premiums 1,288.4 713.9 624.8 Profit commission 5.5 4.6 18.7 L Loss re
Slide 29: Liquidity
Financial Review Liquidity q y • $2.1 billion investment portfolio as of June 30, 2009 with 3.0 year duration and $396.6 million in cash and short-term investments 21.2% • US Treasuries and agency obligations account for 21 2% of total investment portfolio portfolio, while triple-A rated securities
Slide 30: Summary of Invested Assets as of June 30, 2009
Financial Review Summary y of Invested Assets as of June 30, 2009 ($ in millions) Pre-Tax After-Tax Annualized Amortized Book Book Investment Investment Category Cost Yield Yield Fair Value Income Fixed maturity securities available for sale: U S Treasury securities and obligations U.S. of U.S. gove
Slide 31: Investment Portfolio Rating Distribution
Financial Review Investment Portfolio Rating g Distribution Investment Portfolio 6/30/2009 12/31/2008 Fair Value Fair Value Ratings Quality Distribution: ($ in millions) % ($ in millions) % Treasury and government obligations $ 131.1 7.7% $ 145.3 8.8% Agency obligations 231.0 13.5% 257.3 15.7% AAA/A
Slide 32: Investment Portfolio Guidelines
Financial Review Investment Portfolio Guidelines • Guidelines reviewed and approved by the Finance Committee of the AGL Board of Directors • Portfolio objectives - Preserve AG Re Re’s s double double-A A rating - Manage investment risk within the context of the underlying portfolio of insurance risk
Slide 33: Appendix
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Slide 34: AG Re Top Public Finance Exposures
AG Re Top p 25 Public Finance Exposures p As of June 30, 2009 Internal Client Name Sector Rating NPO 1 NEWYORKCITYGENERALOBLIGATION NEW YORK CITY GENERAL OBLIGATION City/CountyGeneralObligation Cit /C t G l Obli ti A+ A 911,597,655 911 597 655 2 LOSANGELESCALIFORNIAUNIFIEDSCHOOLDISTRICT SchoolsGener
Slide 35: AG Re Top Structured Finance Exposures
AG Re Top p 25 Structured Finance Exposures p As of June 30, 2009 Internal Client Name Sector Rating NPO 1 PERMANENTMASTERISSUERPLCSERIES200713A PERMANENT MASTER ISSUER PLC SERIES 2007 1 3A AssetBackedPrimeFirstLienRMBS A B k d Pi Fi Li RMBS AAA 456,307,279 456 307 279 2 LIICAHOLDINGS,LLC AssetBacke
Slide 36: Non-GAAP Financial Measures
Non-GAAP Financial Measures • PVP or present value of new business production: PVP is a non-GAAP financial measure defined as: gross upfront and installment premiums received and the present value of gross estimated future i t ll installmentt premiums i or revenues on financial fi i l guaranty t and
Slide 37: Assured Guaranty Re Contacts
Assured Guaranty Re Contacts: Assured Guaranty Ltd. Contacts: Kevin Pearson Sabra Purtill President Managing Director Direct: 441 279 5710 Investor Relations [email protected] Direct: 212 408 6040 [email protected] Gary Burnet Ross Aron Managing Director Associate Chief Credit O
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