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MUNICIPAL
Assured Guaranty Municipal Corp.
March 31, 2010
Financial Supplement
Table of Contents | Page | |||
---|---|---|---|---|
Selected Financial Highlights | 1 | |||
Consolidated Statements of Operations | 2 | |||
Consolidated Balance Sheets | 3 | |||
Claims Paying Resources and Statutory-basis Exposures | 4 | |||
New Business Production | 5 | |||
Financial Guaranty Gross Par Written | 6 | |||
Underwriting Gain (Loss) | 7 | |||
Investment Portfolio | 8 | |||
Estimated Net Exposure Amortization and Estimated Future Net Premium and Credit Derivative Revenues | 9 | |||
Present Value of Financial Guaranty Insurance Losses to be Expensed | 10 | |||
Financial Guaranty Profile | 11 - 13 | |||
Expected Amortization of U.S. and Non-U.S. Structured Finance Net Par Outstanding | 14 | |||
Pooled Corporate Obligations Profile | 15 | |||
Consolidated U.S. Residential Mortgage-Backed Securities Profile | 16 - 20 | |||
U.S. Consumer Receivable Profile | 21 | |||
Credit Derivative Net Par Outstanding Profile | 22 | |||
Below Investment Grade Exposures | 23 - 26 | |||
Largest Exposures by Sector | 27 - 30 | |||
Financial Guaranty Insurance and Credit Derivatives Surveillance Categories | 31 | |||
Loss and LAE Reserves by Segment/Type | 32 | |||
Financial Guaranty Losses Incurred and Paid | 33 | |||
Summary of Statutory Financial and Statistical Data | 34 | |||
Glossary | 35 - 36 | |||
Endnotes Related to Non-GAAP Financial Measures | 37 - 39 |
This supplement should be read in conjunction with documents filed by Assured Guaranty Ltd. (together with its subsidiaries, "Assured Guaranty"), with the U.S. Securities and Exchange Commission ("SEC"), including Assured Guaranty's Annual Report on Form 10-K for the year ended December 31, 2009 and its Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2010. Assured Guaranty Municipal Corp. ("AGM") was purchased by Assured Guaranty US Holdings Inc., a subsidiary of Assured Guaranty Ltd., on July 1, 2009. This financial supplement presents financial information since its acquisition, except for statutory data, which is based on full year statutory accounting principles. Purchase accounting adjustments were pushed down to AGM, which affects comparability to periods prior to the acquisition. AGM is a subsidiary of Assured Guaranty Municipal Holdings Inc. ("AGMH"), which terminated its registration with the SEC in July 2009 and no longer files reports with the SEC. For the purposes of this supplement all references to the "Company" shall mean AGM.
Some amounts in this Financial Supplement may not add due to rounding.
Cautionary Statement Regarding Forward-Looking Statements:
Any forward-looking statements made in this supplement reflect the current views of Assured Guaranty with respect to future events and financial performance and are made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such statements involve risks and uncertainties that may cause actual results to differ materially from those set forth in these statements. Assured Guaranty's forward looking statements could be affected by many events. These events include (1) rating agency action, including a ratings downgrade of Assured Guaranty Ltd. or its subsidiaries and/or of transactions insured by Assured Guaranty Ltd.'s subsidiaries, both of which have occurred in the past; (2) developments in the world's financial and capital markets that adversely affect issuers' payment rates, Assured Guaranty's loss experience, its ability to cede exposure to reinsurers, its access to capital, its unrealized (losses) gains on derivative financial instruments or its investment returns; (3) changes in the world's credit markets, segments thereof or general economic conditions; (4) more severe or frequent losses implicating the adequacy of Assured Guaranty's loss reserves; (5) the impact of market volatility on the mark-to-market of Assured Guaranty's contracts written in credit default swap form; (6) reduction in the amount of reinsurance portfolio opportunities available to Assured Guaranty; (7) decreased demand or increased competition; (8) changes in applicable accounting policies or practices; (9) changes in applicable laws or regulations, including insurance and tax laws; (10) other governmental actions; (11) difficulties with the execution of Assured Guaranty's business strategy; (12) contract cancellations; (13) Assured Guaranty's dependence on customers; (14) loss of key personnel; (15) adverse technological developments; (16) the effects of mergers, acquisitions and divestitures; (17) natural or man-made catastrophes; (18) other risks and uncertainties that have not been identified at this time; (19) management's response to these factors; and (20) other risk factors identified in Assured Guaranty's filings with the SEC. Readers are cautioned not to place undue reliance on these forward looking statements, which speak only as of the dates on which they are made. Assured Guaranty undertakes no obligation to publicly update or revise any forward looking statements, whether as a result of new information, future events or otherwise.
Assured Guaranty Municipal Corp.
Selected Financial Highlights
(dollars in millions)
| 1Q-10 | 4Q-09 | 3Q-09 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Operating income reconciliation: | ||||||||||||
Operating income | $ | 168.3 | $ | 209.4 | $ | 230.7 | ||||||
Plus: | ||||||||||||
Realized gains (losses) on investments, after tax | 3.5 | 0.5 | 0.3 | |||||||||
Non-credit impairment unrealized fair value gains (losses) on credit derivatives, after tax | (31.8 | ) | 169.2 | (50.0 | ) | |||||||
Fair value gains (losses) on committed capital securities, after tax | (1.8 | ) | (15.6 | ) | (33.7 | ) | ||||||
Gain on bargain purchase | — | — | 232.6 | |||||||||
Non-economic fair value adjustments and net interest margin of consolidated variable interest entities ("VIEs"), after tax(1) | (11.8 | ) | — | — | ||||||||
Net income attributable to Assured Guaranty Municipal Corp. | $ | 126.4 | $ | 363.5 | $ | 379.9 | ||||||
Return on equity ("ROE") calculation(2): | ||||||||||||
ROE, excluding unrealized gain (loss) on investment portfolio | 25.5 | % | 80.0 | % | 104.3 | % | ||||||
Operating ROE | 30.2 | % | 40.7 | % | 53.4 | % | ||||||
Other information: | ||||||||||||
Net debt service outstanding | 538,276 | 583,796 | 595,811 | |||||||||
Net par outstanding | 363,925 | 393,990 | 401,515 | |||||||||
Claims-paying resources | 7,045 | 7,232 | 7,173 | |||||||||
Gross par written | 4,929 | 1,495 | 1,065 |
| As of: | ||||||||
---|---|---|---|---|---|---|---|---|---|
| March 31, 2010 | December 31, 2009 | |||||||
Reconciliation of book value to adjusted book value: | |||||||||
Book value attributable to Assured Guaranty Municipal Corp. | $ | 1,999.4 | $ | 2,074.5 | |||||
Less after-tax adjustments: | |||||||||
Non-economic fair value adjustments of consolidated VIEs(1) | (190.9 | ) | — | ||||||
Non-credit impairment unrealized fair value gains (losses) on credit derivatives | (174.6 | ) | (143.5 | ) | |||||
Fair value gains (losses) on committed capital securities | 1.9 | 3.6 | |||||||
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect | 38.1 | 75.1 | |||||||
Operating shareholder's equity | $ | 2,324.9 | $ | 2,139.3 | |||||
Less: Deferred acquisition costs, after tax | (57.6 | ) | (17.5 | ) | |||||
Plus: Net present value of estimated net future credit derivative revenue, after tax | 179.6 | 191.9 | |||||||
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss, after tax | 2,193.8 | 2,510.6 | |||||||
Adjusted book value | $ | 4,755.9 | $ | 4,859.3 | |||||
- (1)
- Effective January 1, 2010, new accounting guidance required the deconsolidation of four previously consolidated VIEs and the consolidation of 18 VIEs previously accounted for as insurance contracts. Operating income and operating shareholder's equity reverse the financial effect of consolidating these entities and accounts for them as financial guaranty insurance contracts in order to present the Company's insured obligations on a consistent basis.
- (2)
- Quarterly ROE calculations represent annualized returns.
Note: Please refer to endnotes for explanation of non-GAAP financial measures.
1
Assured Guaranty Municipal Corp.
Consolidated Statements of Operations
(in millions)
| 1Q-10 | 4Q-09 | 3Q-09 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Revenues | ||||||||||||
Net earned premiums | $ | 250.0 | $ | 294.9 | $ | 280.5 | ||||||
Net investment income | 47.8 | 47.1 | 44.9 | |||||||||
Net realized investment gains (losses) | 5.3 | 0.8 | 0.5 | |||||||||
Change in fair value of credit derivatives: | ||||||||||||
Realized gains and other settlements | 28.1 | 27.8 | 28.8 | |||||||||
Credit impairment gains (losses) on credit derivatives | 2.8 | 19.7 | 27.3 | |||||||||
Non-credit impairment fair value gains (losses) on credit derivatives | (48.9 | ) | 260.2 | (76.9 | ) | |||||||
Net change in fair value of credit derivatives | (18.0 | ) | 307.7 | (20.8 | ) | |||||||
Fair value gains (losses) on committed capital securities | (2.7 | ) | (24.0 | ) | (51.8 | ) | ||||||
Financial guaranty VIE revenues | (22.9 | ) | 3.7 | 4.9 | ||||||||
Other income | (1.4 | ) | 0.9 | 34.3 | ||||||||
Total Revenues | 258.1 | 631.1 | 292.5 | |||||||||
Expenses: | ||||||||||||
Loss and loss adjustment expenses | 59.0 | 50.9 | 0.9 | |||||||||
Amortization of deferred acquisition costs | (1.3 | ) | (0.5 | ) | — | |||||||
Interest expense | 1.9 | 2.1 | 2.3 | |||||||||
Gain on bargain purchase | — | — | (232.6 | ) | ||||||||
Financial guaranty VIE expenses | (0.8 | ) | (0.4 | ) | 10.2 | |||||||
Other operating expenses | 20.1 | 31.5 | 75.9 | |||||||||
Total Expenses | 78.9 | 83.6 | (143.3 | ) | ||||||||
Income before provision for income taxes | 179.2 | 547.5 | 435.8 | |||||||||
Provision for income taxes | 52.8 | 179.9 | 61.2 | |||||||||
Net income | 126.4 | 367.6 | 374.6 | |||||||||
Less: Noncontrolling interest in consolidated VIEs | — | 4.1 | (5.3 | ) | ||||||||
Net income attributable to Assured Guaranty Municipal Corp. | 126.4 | 363.5 | 379.9 | |||||||||
Less: | ||||||||||||
Realized gains (losses) on investments, after tax | 3.5 | 0.5 | 0.3 | |||||||||
Non-credit impairments unrealized fair value gains (losses) on credit derivatives, after tax | (31.8 | ) | 169.2 | (50.0 | ) | |||||||
Fair value gains (losses) on committed capital securities, after tax | (1.8 | ) | (15.6 | ) | (33.7 | ) | ||||||
Gain on bargain purchase | — | — | 232.6 | |||||||||
Non-economic fair value adjustments and net interest margin of consolidated VIEs, after tax(1) | (11.8 | ) | — | — | ||||||||
Operating income | $ | 168.3 | $ | 209.4 | $ | 230.7 | ||||||
Effect of refundings and accelerations, net | ||||||||||||
Earned premiums from refunding and accelerations | $ | 10.8 | $ | 36.5 | $ | 11.5 | ||||||
Operating income(loss) effect | $ | 7.0 | $ | 23.7 | $ | 7.5 |
- (1)
- Effective January 1, 2010, new accounting guidance required the deconsolidation of four previously consolidated VIEs and the consolidation of 18 VIEs previously accounted for as insurance contracts. Operating income reverses the financial effect of consolidating these entities and accounts for them as financial guaranty insurance contracts in order to present the Company's insured obligations on a consistent basis.
Note: Please refer to endnotes for explanation of non-GAAP financial measures.
2
Assured Guaranty Municipal Corp.
Consolidated Balance Sheets
(dollars in millions)
| As of | ||||||||
---|---|---|---|---|---|---|---|---|---|
| March 31, 2010 | December 31, 2009 | |||||||
Assets | |||||||||
Investment portfolio, available-for-sale: | |||||||||
Fixed maturity securities, at fair value | $ | 4,993.0 | $ | 5,183.6 | |||||
Short-term investments | 517.3 | 542.0 | |||||||
Total investment portfolio | 5,510.3 | 5,725.6 | |||||||
Assets acquired in refinancing transactions | 143.5 | 152.4 | |||||||
Note receivable from affiliate | 300.0 | 300.0 | |||||||
Cash | 32.9 | 23.6 | |||||||
Premiums receivable | 757.1 | 787.4 | |||||||
Ceded unearned premium reserve | 1,573.2 | 1,508.6 | |||||||
Reinsurance recoverable on unpaid losses | 17.5 | 13.7 | |||||||
Credit derivative assets | 213.6 | 227.0 | |||||||
Committed capital securities, at fair value | 2.9 | 5.6 | |||||||
Deferred tax asset, net | 1,024.6 | 972.4 | |||||||
Financial guaranty VIE assets(1) | 1,498.7 | 762.3 | |||||||
Other assets | 235.4 | 202.9 | |||||||
Total assets | $ | 11,309.7 | $ | 10,681.5 | |||||
Liabilities and shareholder's equity | |||||||||
Liabilities | |||||||||
Unearned premium reserves | $ | 5,812.0 | $ | 6,287.6 | |||||
Loss and loss adjustment expense reserve | 100.6 | 55.3 | |||||||
Notes payable | 142.4 | 149.1 | |||||||
Credit derivative liabilities | 657.4 | 625.8 | |||||||
Reinsurance balances payable, net | 368.2 | 230.5 | |||||||
Financial guaranty VIE liabilities with recourse(1) | 1,663.5 | 762.7 | |||||||
Financial guaranty VIE liabilities without recourse(1) | 191.1 | — | |||||||
Other liabilities | 375.1 | 496.4 | |||||||
Total liabilities | 9,310.3 | 8,607.4 | |||||||
Shareholder's equity | |||||||||
Preferred stock | — | — | |||||||
Common stock | 15.0 | 15.0 | |||||||
Additional paid-in capital | 1,241.8 | 1,241.8 | |||||||
Retained earnings(1) | 690.6 | 743.4 | |||||||
Accumulated other comprehensive income | 52.0 | 74.3 | |||||||
Total shareholder's equity attributable to Assured Guaranty Municipal Corp. | 1,999.4 | 2,074.5 | |||||||
Noncontrolling interest in consolidated VIEs(1) | — | (0.4 | ) | ||||||
Total shareholder's equity | 1,999.4 | 2,074.1 | |||||||
Total liabilities and shareholder's equity | $ | 11,309.7 | $ | 10,681.5 | |||||
- (1)
- Effective January 1, 2010, new accounting guidance required the deconsolidation of four previously consolidated VIEs and the consolidation of 18 VIEs previously accounted for as insurance contracts.
3
Assured Guaranty Municipal Corp.
Claims Paying Resources and Statutory-basis Exposures(1)
(dollars in millions)
| As of: | |||||||
---|---|---|---|---|---|---|---|---|
| March 31, 2010 | December 31, 2009 | ||||||
Claims paying resources | ||||||||
Policyholders' surplus | $ | 863 | $ | 909 | ||||
Contingency reserve | 1,357 | 1,323 | ||||||
Qualified statutory capital | 2,220 | 2,232 | ||||||
Unearned premium reserve | 2,229 | 2,392 | ||||||
Loss and loss adjustment expense reserves | 1,252 | 1,236 | ||||||
Total policyholders' surplus and reserves(1) | 5,701 | 5,860 | ||||||
Present value of installment premiums(2) | 846 | 874 | ||||||
Standby line of credit/stop loss | 498 | 498 | ||||||
Total claims paying resources | $ | 7,045 | $ | 7,232 | ||||
Net par outstanding(1) | $ | 352,809 | $ | 381,148 | ||||
Net debt service outstanding(1) | $ | 525,788 | $ | 568,594 | ||||
Ratios: | ||||||||
Net par outstanding to qualified statutory capital | 159:1 | 171:1 | ||||||
Capital ratio(3) | 237:1 | 255:1 | ||||||
Financial resources ratio(4) | 75:1 | 79:1 |
- (1)
- Statutory basis.
- (2)
- Includes financial guaranty and credit derivatives.
- (3)
- The capital ratio is calculated by dividing net debt service outstanding by qualified statutory capital.
- (4)
- The financial resources ratio is calculated by dividing net debt service outstanding by total claims paying resources.
4
Assured Guaranty Municipal Corp.
New Business Production
(dollars in millions)
| 1Q-10 | |||||
---|---|---|---|---|---|---|
Consolidated new business production analysis: | ||||||
Present value of new business production ("PVP") | ||||||
Public finance—U.S. | $ | 53.6 | ||||
Public finance—non-U.S. | — | |||||
Structured finance—U.S.(1) | 0.4 | |||||
Structured finance—non-U.S.(1) | — | |||||
Total PVP | 54.0 | |||||
Less: PVP (a) of credit derivatives | — | |||||
PVP of financial guaranty insurance | 54.0 | |||||
Less: Financial guaranty installment premium PVP | 0.6 | |||||
Total: Financial guaranty upfront GWP | 53.4 | |||||
Plus: Financial guaranty installment PVP adjustment(2) | 13.8 | |||||
Total GWP | $ | 67.2 | ||||
Consolidated financial guaranty gross par written: | ||||||
Public finance—U.S. | $ | 4,929 | ||||
Public finance—non-U.S. | — | |||||
Structured finance—U.S. | — | |||||
Structured finance—non-U.S. | — | |||||
Total | $ | 4,929 | ||||
- (1)
- These policies represent existing policies that have additional premium and have no par outstanding.
- (2)
- Includes the difference between management estimates for the discount rate applied to future installments compared to the discount rate used for new financial guaranty insurance accounting standard as well as the changes in estimated term for future installments.
Note: Please refer to endnotes for explanation of non-GAAP financial measures.
5
Assured Guaranty Municipal Corp.
Financial Guaranty Gross Par Written
(in millions)
| Gross Par Written | Avg. Rating(1) | |||||||
---|---|---|---|---|---|---|---|---|---|
| 1Q-10 | ||||||||
Financial Guaranty Gross Par Written by Asset Type Sector: | |||||||||
U.S. Public Finance: | |||||||||
General obligation | $ | 2,073 | A | ||||||
Municipal utilities | 1,222 | A | |||||||
Tax backed | 1,137 | A | |||||||
Transportation | 275 | A | |||||||
Healthcare | 168 | A | |||||||
Higher education | 24 | A | |||||||
Investor-owned utilities | 30 | A- | |||||||
Total U.S. public finance | 4,929 | A | |||||||
Non-U.S. Public Finance: | |||||||||
Total non-U.S. public finance | — | — | |||||||
Total public finance | $ | 4,929 | A | ||||||
U.S. Structured Finance: | |||||||||
Total U.S. structured finance | $ | — | — | ||||||
Non-U.S. Structured Finance: | |||||||||
Total non-U.S. structured finance | — | — | |||||||
Total structured finance | $ | — | — | ||||||
Total gross par written | $ | 4,929 | A | ||||||
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies.
Please refer to Glossary for description of selected types of U.S. public finance, non-U.S. public finance, U.S. structured finance and non-U.S. structured finance obligations that the Company insures and reinsures.
6
Assured Guaranty Municipal Corp.
Underwriting Gain (Loss)
(in millions)
| 3Q-09 | 4Q-09 | 1Q-10 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Income statement: | ||||||||||||
Net earned premiums: | ||||||||||||
Scheduled net earned premiums | ||||||||||||
Public finance—U.S. | $ | 60.7 | $ | 55.3 | $ | 43.2 | ||||||
Public finance—non-U.S. | 13.3 | 11.5 | 9.5 | |||||||||
Structured finance—U.S. | 189.5 | 180.6 | 179.8 | |||||||||
Structured finance—non-U.S. | 5.5 | 11.0 | 6.7 | |||||||||
Total scheduled net earned premiums | 269.0 | 258.4 | 239.2 | |||||||||
Net earned premiums from refundings | 11.5 | 36.5 | 10.8 | |||||||||
Total net earned premiums | 280.5 | 294.9 | 250.0 | |||||||||
Realized gains on credit derivatives(1) | 28.8 | 27.8 | 28.1 | |||||||||
Other income | 34.3 | 0.9 | (1.4 | ) | ||||||||
Total underwriting revenues | 343.6 | 323.6 | 276.7 | |||||||||
Loss and loss adjustment expenses | 0.9 | 50.9 | 59.0 | |||||||||
Incurred losses (gains) on credit derivatives | (27.3 | ) | (19.7 | ) | (2.8 | ) | ||||||
Total incurred losses | (26.4 | ) | 31.2 | 56.2 | ||||||||
Amortization of deferred acquisition costs | — | (0.5 | ) | (1.3 | ) | |||||||
Other operating expenses | 41.7 | 25.5 | 18.8 | |||||||||
Total underwriting expenses | 15.3 | 56.2 | 73.7 | |||||||||
Underwriting gain (loss) | $ | 328.3 | $ | 267.4 | $ | 203.0 | ||||||
- (1)
- Includes premiums and ceding commissions.
7
Assured Guaranty Municipal Corp.
Investment Portfolio
As of March 31, 2010
(dollars in millions)
| Amortized Cost | Pre-Tax Book Yield | After-Tax Book Yield | Fair Value | Annualized Investment Income(1) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment portfolio, available-for-sale: | |||||||||||||||||||
Fixed maturity securities: | |||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government agencies | $ | 67.9 | 3.5 | % | 2.4 | % | $ | 67.8 | $ | 2.4 | |||||||||
Agency obligations | 126.5 | 2.1 | % | 1.5 | % | 126.7 | 2.6 | ||||||||||||
Foreign government securities | 270.5 | 2.8 | % | 1.8 | % | 254.1 | 7.7 | ||||||||||||
Obligations of states and political subdivisions | 1,830.3 | 3.5 | % | 3.3 | % | 1,879.5 | 63.1 | ||||||||||||
Insured obligations of state and political subdivisions(2) | 1,736.1 | 4.8 | % | 4.5 | % | 1,799.3 | 82.5 | ||||||||||||
Corporate securities | 117.0 | 2.6 | % | 1.8 | % | 117.0 | 3.1 | ||||||||||||
Mortgage-backed securities ("MBS"): | |||||||||||||||||||
Residential MBS | 457.0 | 3.9 | % | 3.2 | % | 441.6 | 17.9 | ||||||||||||
Asset-backed securities | 306.5 | 3.2 | % | 2.2 | % | 307.0 | 9.8 | ||||||||||||
Total fixed maturity securities | 4,911.8 | 3.8 | % | 3.5 | % | 4,993.0 | 189.1 | ||||||||||||
Short-term investments | 517.9 | 0.3 | % | 0.2 | % | 517.3 | 1.7 | ||||||||||||
Total investment portfolio | $ | 5,429.7 | 3.5 | % | 3.1 | % | $ | 5,510.3 | $ | 190.8 | |||||||||
| Fair Value | % | ||||||
---|---|---|---|---|---|---|---|---|
Ratings(3): | ||||||||
U.S. Treasury securities and obligations of U.S. government agencies | $ | 67.8 | 1.4 | % | ||||
Agency obligations | 126.7 | 2.5 | % | |||||
AAA/Aaa | 1,480.3 | 29.6 | % | |||||
AA/Aa | 1,962.9 | 39.3 | % | |||||
A/A | 939.4 | 18.8 | % | |||||
BBB | 139.0 | 2.8 | % | |||||
Below investment grade ("BIG") | 276.9 | 5.6 | % | |||||
Total fixed maturity securities | $ | 4,993.0 | 100.0 | % | ||||
Duration of investment portfolio (in years): | 5.0 | |||||||
Average ratings of investment portfolio | AA- | |||||||
- (1)
- Represents annualized investment income based on amortized cost and pre-tax book yields.
- (2)
- Reflects obligations of state and local political subdivisions that have been insured by financial guarantors. The underlying ratings of these bonds average A+. Includes $192.3 million insured by AGM.
- (3)
- Ratings are represented by the lower of the Moody's Investors Service ("Moody's") and Standard & Poor's ("S&P") classifications.
8
Assured Guaranty Municipal Corp.
Estimated Net Exposure Amortization(1) and Estimated Future Net Premium and Credit Derivative Revenues
(in millions)
| | | Financial Guaranty Insurance(2) | | | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| | Estimated Ending Net Debt Service Outstanding | | | |||||||||||||||||||
| Estimated Net Debt Service Amortization | Expected PV Net Earned Premiums | Accretion of Discount | Future Net Premiums Earned | Future Credit Derivative Revenues(3) | Total | |||||||||||||||||
2010 (as of March 31) | $ | 538,276 | |||||||||||||||||||||
2010 (April 1 - December 31) | $ | 36,578 | 501,698 | $ | 610.6 | $ | 11.1 | $ | 621.7 | $ | 60.6 | $ | 682.3 | ||||||||||
2011 | 40,264 | 461,434 | 568.8 | 13.8 | 582.6 | 71.1 | 653.7 | ||||||||||||||||
2012 | 43,368 | 418,066 | 427.0 | 12.9 | 439.9 | 52.0 | 491.9 | ||||||||||||||||
2013 | 35,794 | 382,272 | 356.1 | 12.0 | 368.1 | 35.4 | 403.5 | ||||||||||||||||
2014 | 37,050 | 345,222 | 311.2 | 11.2 | 322.4 | 23.1 | 345.5 | ||||||||||||||||
2010 - 2014 | 193,054 | 345,222 | 2,273.7 | 61.0 | 2,334.7 | 242.2 | 2,576.9 | ||||||||||||||||
2015 - 2019 | 122,211 | 223,011 | 1,054.8 | 45.0 | 1,099.8 | 32.1 | 1,131.9 | ||||||||||||||||
2020 - 2024 | 88,753 | 134,258 | 578.4 | 30.6 | 609.0 | 2.9 | 611.9 | ||||||||||||||||
2025 - 2029 | 62,178 | 72,080 | 329.1 | 19.7 | 348.8 | 2.3 | 351.1 | ||||||||||||||||
After 2029 | 72,080 | — | 362.3 | 19.8 | 382.1 | 7.0 | 389.1 | ||||||||||||||||
Total | $ | 538,276 | $ | 4,598.3 | $ | 176.1 | $ | 4,774.4 | $ | 286.5 | $ | 5,060.9 | |||||||||||
- (1)
- Represents the future expected amortization of current debt service outstanding (principal and interest), assuming no advance refundings, as of March 31, 2010. Actual amortization differs from expected maturities because borrowers may have the right to call or prepay guaranteed and because of management's assumptions on structured finance amortization.
- (2)
- See page 10 for "Present Value of Financial Guaranty Insurance Losses to be Expensed."
- (3)
- Excludes UPR contracts with credit impairment or is net of expected losses to be expensed on contracts with expected losses.
9
Assured Guaranty Municipal Corp.
Present Value of Financial Guaranty Insurance Losses to be Expensed
(in millions)
| Expected PV of Net Loss to be Expensed(1) | ||||
---|---|---|---|---|---|
Financial Guaranty Insurance Losses to be Expensed: | |||||
2010 (April 1 - December 31) | $ | 174.4 | |||
2011 | 186.7 | ||||
2012 | 110.7 | ||||
2013 | 84.9 | ||||
2014 | 79.9 | ||||
2010 - 2014 | 636.6 | ||||
2015 - 2019 | 254.7 | ||||
2020 - 2024 | 120.1 | ||||
2025 - 2029 | 66.5 | ||||
After 2029 | 56.3 | ||||
Total expected PV | 1,134.2 | ||||
Discount | 366.8 | ||||
Total future value | $ | 1,501.0 | |||
- (1)
- The expected present value of net loss to be expensed is discounted by weighted-average risk free rates ranging from 0% to 5.32%.
10
Assured Guaranty Municipal Corp.
Financial Guaranty Profile
(in millions)
| As of March 31, 2010 | As of December 31, 2009 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
| Net Par Outstanding | Avg. Rating(1) | Net Par Outstanding | Avg. Rating(1) | ||||||||
U.S. Public Finance: | ||||||||||||
General obligation | $ | 111,034 | A+ | $ | 126,375 | A+ | ||||||
Tax backed | 50,375 | A+ | 53,759 | A+ | ||||||||
Municipal utilities | 46,323 | A | 49,263 | A | ||||||||
Transportation | 19,648 | A | 20,428 | A | ||||||||
Healthcare | 10,009 | A | 11,033 | A | ||||||||
Higher education | 6,669 | A+ | 7,909 | A+ | ||||||||
Housing | 6,175 | AA- | 6,653 | AA- | ||||||||
Infrastructure finance | 1,201 | BBB | 1,201 | BBB | ||||||||
Investor-owned utilities | 52 | BBB+ | 27 | BBB | ||||||||
Other public finance | 1,099 | A | 1,413 | A | ||||||||
Total U.S. public finance | 252,585 | A+ | 278,061 | A+ | ||||||||
Non-U.S. Public Finance: | ||||||||||||
Infrastructure finance | 10,698 | BBB | 11,111 | BBB | ||||||||
Regulated utilities | 6,653 | BBB+ | 6,845 | BBB+ | ||||||||
Other public finance | 6,461 | AA- | 6,553 | AA- | ||||||||
Total non-U.S. public finance | 23,812 | A- | 24,509 | A- | ||||||||
Total public finance | $ | 276,397 | A | $ | 302,570 | A+ | ||||||
U.S. Structured Finance: | ||||||||||||
Pooled corporate obligations | $ | 42,930 | AAA | $ | 44,597 | AAA | ||||||
Residential mortgage-backed and home equity | 13,884 | BB | 14,343 | BB | ||||||||
Financial products | 9,653 | AA- | 10,251 | AA- | ||||||||
Consumer receivables | 3,171 | A- | 3,640 | BBB | ||||||||
Insurance securitization | 368 | AA | 369 | AA | ||||||||
Commercial receivables | 96 | BBB | 96 | BBB | ||||||||
Structured credit | 81 | BBB | 81 | BBB | ||||||||
Other structured finance | 650 | A | 762 | A | ||||||||
Total U.S. structured finance | 70,833 | AA- | 74,139 | AA- | ||||||||
Non-U.S. Structured Finance: | ||||||||||||
Pooled corporate obligations | 13,766 | AAA | 14,271 | AAA | ||||||||
Residential mortgage-backed and home equity | 1,670 | AA- | 1,808 | AA+ | ||||||||
Structured credit | 556 | BBB | 624 | BBB | ||||||||
Commercial receivables | 241 | A | 244 | A | ||||||||
Consumer receivables | 134 | AAA | — | — | ||||||||
Insurance securitizations | 38 | A+ | 38 | A+ | ||||||||
Other structured finance | 290 | AAA | 296 | AAA | ||||||||
Total non-U.S. structured finance | 16,695 | AAA | 17,281 | AAA | ||||||||
Total structured finance | $ | 87,528 | AA | $ | 91,420 | AA | ||||||
Total net par outstanding | $ | 363,925 | A+ | $ | 393,990 | A+ | ||||||
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies.
Please refer to Glossary for description of selected types of U.S. public finance, non-U.S. public finance, U.S. structured finance and non-U.S. structured finance obligations that the Company insures and reinsures.
11
Assured Guaranty Municipal Corp.
Financial Guaranty Profile (Continued)
(dollars in millions)
Distribution by Ratings of Financial Guaranty Portfolio
| As of March 31, 2010 | |||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Public Finance—U.S. | Public Finance—non-U.S. | Structured Finance—U.S. | Structured Finance—non-U.S. | Consolidated | |||||||||||||||||||||||||||
| Net Par Outstanding | % | Net Par Outstanding | % | Net Par Outstanding | % | Net Par Outstanding | % | Net Par Outstanding | % | ||||||||||||||||||||||
Ratings(1): | ||||||||||||||||||||||||||||||||
Super senior | $ | — | 0.0 | % | $ | — | 0.0 | % | $ | 13,680 | 19.3 | % | $ | 5,613 | 33.6 | % | $ | 19,293 | 5.3 | % | ||||||||||||
AAA | 4,281 | 1.7 | % | 1,297 | 5.4 | % | 21,508 | 30.4 | % | 5,920 | 35.5 | % | 33,006 | 9.1 | % | |||||||||||||||||
AA | 109,701 | 43.4 | % | 1,406 | 5.9 | % | 18,807 | 26.6 | % | 2,296 | 13.8 | % | 132,210 | 36.3 | % | |||||||||||||||||
A | 116,976 | 46.3 | % | 7,233 | 30.4 | % | 4,317 | 6.1 | % | 1,240 | 7.4 | % | 129,766 | 35.7 | % | |||||||||||||||||
BBB | 20,451 | 8.1 | % | 13,507 | 56.7 | % | 2,264 | 3.2 | % | 1,546 | 9.3 | % | 37,768 | 10.4 | % | |||||||||||||||||
BIG | 1,176 | 0.5 | % | 369 | 1.6 | % | 10,257 | 14.4 | % | 80 | 0.4 | % | 11,882 | 3.2 | % | |||||||||||||||||
Total net par outstanding | $ | 252,585 | 100.0 | % | $ | 23,812 | 100.0 | % | $ | 70,833 | 100.0 | % | $ | 16,695 | 100.0 | % | $ | 363,925 | 100.0 | % | ||||||||||||
Ceded Par Outstanding by Reinsurer and Insurer Financial Strength Rating
Reinsurer | Moody's Rating | S&P Rating | Ceded Par Outstanding | % of Total | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Affiliated Companies | A1 | AA | $ | 67,717 | 48.2 | % | |||||||
Non-Affiliated Companies: | |||||||||||||
Radian Asset Assurance Inc. | Ba1 | BB- | 23,343 | 16.6 | % | ||||||||
Tokio Marine & Nichido Fire Insurance Co., Ltd. | Aa2 | AA | 21,195 | 15.1 | % | ||||||||
RAM Reinsurance Co. Ltd. | WR | WR | 11,099 | 7.9 | % | ||||||||
R.V.I. Guaranty Co. Ltd. | WR | BBB | 4,132 | 2.9 | % | ||||||||
Syncora Guarantee Inc. | Ca | R | 4,132 | 2.9 | % | ||||||||
Swiss Reinsurance Company | A1 | A+ | 3,986 | 2.8 | % | ||||||||
Mitsui Sumitomo Insurance Co. Ltd. | Aa3 | AA- | 2,518 | 1.8 | % | ||||||||
Other | Various | Various | 2,329 | 1.8 | % | ||||||||
Non-Affiliated Companies | 72,734 | 51.8 | % | ||||||||||
Total | $ | 140,451 | 100.0 | % | |||||||||
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies. The super senior category, which is not generally used by rating agencies, is used by the Company in instances where Assured Guaranty's AAA-rated exposure has additional credit enhancement due to either (1) the existence of another security rated AAA that is subordinated to Assured Guaranty's exposure or (2) Assured Guaranty's exposure benefits from a different form of credit enhancement that would pay any claims first in the event that any of the exposures incurs a loss and such credit enhancement, in management's opinion, causes Assured Guaranty's attachment point to be materially above the AAA attachment point.
12
Assured Guaranty Municipal Corp.
Financial Guaranty Profile (Continued)
(dollars in millions)
Geographic Distribution of Financial Guaranty Portfolio as of March 31, 2010
| Net Par Outstanding | % of Total | |||||||
---|---|---|---|---|---|---|---|---|---|
U.S.: | |||||||||
Public Finance: | |||||||||
California | $ | 36,815 | 10.1 | % | |||||
New York | 20,931 | 5.8 | % | ||||||
Pennsylvania | 18,697 | 5.1 | % | ||||||
Texas | 17,212 | 4.7 | % | ||||||
Illinois | 16,037 | 4.4 | % | ||||||
Florida | 13,800 | 3.8 | % | ||||||
New Jersey | 11,567 | 3.2 | % | ||||||
Michigan | 11,510 | 3.2 | % | ||||||
Washington | 8,720 | 2.4 | % | ||||||
Massachusetts | 7,962 | 2.2 | % | ||||||
Other states | 89,334 | 24.5 | % | ||||||
Total Public Finance | 252,585 | 69.4 | % | ||||||
Structured finance(multiple states) | 70,833 | 19.5 | % | ||||||
Total U.S. | 323,418 | 88.9 | % | ||||||
Non-U.S.: | |||||||||
United Kingdom | 11,586 | 3.2 | % | ||||||
Australia | 4,943 | 1.4 | % | ||||||
Canada | 4,356 | 1.2 | % | ||||||
France | 1,830 | 0.5 | % | ||||||
Italy | 1,805 | 0.5 | % | ||||||
Other | 15,987 | 4.3 | % | ||||||
Total non-U.S. | 40,507 | 11.1 | % | ||||||
Total net par outstanding | $ | 363,925 | 100.0 | % | |||||
13
Assured Guaranty Municipal Corp.
Expected Amortization of U.S. and Non-U.S. Structured Finance Net Par Outstanding
(in millions)
| Estimated Net Par Amortization | | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| U.S. and Non-U.S. Pooled Corporate | U.S. RMBS | Financial Products (GICs) | Other Structured Finance | Total | Estimated Ending Net Par Outstanding | ||||||||||||||
Structured Finance Net Par Amortization: | ||||||||||||||||||||
2010 (as of March 31) | $ | 87,528 | ||||||||||||||||||
2010 (April 1 - December 31) | $ | 10,119 | $ | 2,607 | $ | 1,360 | $ | 2,000 | $ | 16,086 | 71,442 | |||||||||
2011 | 7,126 | 2,572 | 777 | 1,734 | 12,209 | 59,233 | ||||||||||||||
2012 | 11,237 | 1,674 | 1,384 | 1,140 | 15,435 | 43,798 | ||||||||||||||
2013 | 7,607 | 1,049 | 1,075 | 398 | 10,129 | 33,669 | ||||||||||||||
2014 | 10,735 | 857 | 824 | 210 | 12,626 | 21,043 | ||||||||||||||
2010 - 2014 | 46,824 | 8,759 | 5,420 | 5,482 | 66,485 | 21,043 | ||||||||||||||
2015 - 2019 | 9,579 | 2,739 | 1,010 | 1,044 | 14,372 | 6,671 | ||||||||||||||
2020 - 2024 | 179 | 1,232 | 692 | 242 | 2,345 | 4,326 | ||||||||||||||
2025 - 2029 | 33 | 461 | 511 | 172 | 1,177 | 3,149 | ||||||||||||||
After 2029 | 81 | 693 | 2,020 | 355 | 3,149 | — | ||||||||||||||
Total structured finance | $ | 56,696 | $ | 13,884 | $ | 9,653 | $ | 7,295 | $ | 87,528 | ||||||||||
14
Assured Guaranty Municipal Corp.
Pooled Corporate Obligations Profile
(dollars in millions)
Distribution of Pooled Corporate Obligations by Ratings as of March 31, 2010
| Net Par Outstanding | % of Total | Avg. Initial Credit Enhancement(2) | Avg. Current Enhancement(2) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratings(1): | |||||||||||||
Super senior | $ | 18,758 | 33.1 | % | 28.0 | % | 25.7 | % | |||||
AAA | 24,896 | 43.9 | % | 23.7 | % | 23.5 | % | ||||||
AA | 9,019 | 15.9 | % | 32.0 | % | 28.9 | % | ||||||
A | 2,848 | 5.0 | % | 24.4 | % | 22.1 | % | ||||||
BBB | 936 | 1.7 | % | 11.9 | % | 9.7 | % | ||||||
BIG | 239 | 0.4 | % | 38.9 | % | 8.7 | % | ||||||
Total exposures | $ | 56,696 | 100.0 | % | 26.4 | % | 24.7 | % | |||||
Distribution of Pooled Corporate Obligations by Asset Class as of March 31, 2010
| Net Par Outstanding | % of Total | Avg. Initial Credit Enhancement(2) | Avg. Current Enhancement(2) | Avg. Rating(1) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset class: | ||||||||||||||||
CLOs/CBOs | $ | 31,168 | 55.0 | % | 27.1 | % | 25.6 | % | AAA | |||||||
Synthetic investment grade pooled corporates | 12,207 | 21.5 | % | 17.4 | % | 15.7 | % | AAA | ||||||||
Synthetic high yield pooled corporates | 10,901 | 19.2 | % | 37.2 | % | 32.0 | % | AAA | ||||||||
Market Value CDOs of corporates | 1,492 | 2.6 | % | 17.0 | % | 35.2 | % | AAA | ||||||||
Trust preferred—banks and insurance | 164 | 0.3 | % | 47.5 | % | 46.3 | % | A | ||||||||
CDO of CDOs (corporate)(3) | 52 | 0.1 | % | 27.7 | % | 28.5 | % | A | ||||||||
Other Pooled Corporates | 712 | 1.3 | % | — | — | A- | ||||||||||
$ | 56,696 | 100.0 | % | 26.4 | % | 24.7 | % | AAA | ||||||||
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies. The super senior category, which is not generally used by rating agencies, is used by the Company in instances where Assured Guaranty's AAA-rated exposure has additional credit enhancement due to either (1) the existence of another security rated AAA that is subordinated to Assured Guaranty's exposure or (2) Assured Guaranty's exposure benefits from a different form of credit enhancement that would pay any claims first in the event that any of the exposures incurs a loss and such credit enhancement, in management's opinion, causes Assured Guaranty's attachment point to be materially above the AAA attachment point.
- (2)
- "Average Credit Enhancement" is intended to provide a measure of the amount of equity and/or subordinate tranches that are junior in the capital structure to AGM's exposure, and reflects any reduction of that credit support resulting from defaults or other factors. For transactions where excess spread may be available to absorb certain losses, the numbers shown above do not include any benefit from excess spread. The calculation methodologies differ for the various asset classes to reflect differences in transaction structures in order to provide a measure that management believes is comparable across asset classes. Data is obtained from third-party sources such as trustee reports and may be subject to adjustments.
- (3)
- CDOs are collateralized debt obligations.
15
Assured Guaranty Municipal Corp.
Consolidated U.S. Residential Mortgage-Backed Securities ("RMBS") Profile
(dollars in millions)
Distribution of U.S. RMBS by Rating(1) and Type of Exposure as of March 31, 2010
| Prime First Lien(2) | Closed End Seconds ("CES") | HELOC(3) | Alt-A First Lien | Alt-A Option ARMs | Subprime First Lien | NIMs(4) | Total Net Par Outstanding | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratings: | |||||||||||||||||||||||||
Super senior | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||
AAA | 108 | — | 437 | 91 | 152 | 1,288 | — | 2,076 | |||||||||||||||||
AA | 2 | 39 | 508 | 39 | — | 279 | — | 867 | |||||||||||||||||
A | 1 | — | 221 | — | — | 120 | — | 342 | |||||||||||||||||
BBB | — | — | 137 | — | — | 424 | 31 | 592 | |||||||||||||||||
BIG | — | 1,131 | 3,080 | 1,412 | 2,232 | 1,985 | 166 | 10,007 | |||||||||||||||||
Total exposures | $ | 111 | $ | 1,170 | $ | 4,383 | $ | 1,542 | $ | 2,384 | $ | 4,096 | $ | 197 | $ | 13,884 | |||||||||
Distribution of U.S. RMBS by Year Insured and Type of Exposure as of March 31, 2010
| Prime First Lien | CES | HELOC | Alt-A First Lien | Alt-A Option ARMs | Subprime First Lien | NIMs | Total Net Par Outstanding | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year insured: | |||||||||||||||||||||||||
2004 and prior | $ | 7 | $ | — | $ | 291 | $ | 71 | $ | — | $ | 1,296 | $ | — | $ | 1,665 | |||||||||
2005 | — | — | 680 | 382 | 129 | 391 | 13 | 1,593 | |||||||||||||||||
2006 | 104 | 451 | 1,719 | 539 | 932 | 126 | 86 | 3,958 | |||||||||||||||||
2007 | — | 719 | 1,692 | 551 | 1,323 | 2,215 | 98 | 6,598 | |||||||||||||||||
2008 | — | — | — | — | — | 69 | — | 69 | |||||||||||||||||
Total exposures | $ | 111 | $ | 1,170 | $ | 4,383 | $ | 1,542 | $ | 2,384 | $ | 4,096 | $ | 197 | $ | 13,884 | |||||||||
Distribution of U.S. RMBS by Rating(1) and Year Insured as of March 31, 2010
| Super Senior | AAA Rated | AA Rated | A Rated | BBB Rated | BIG Rated | Total | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year insured: | ||||||||||||||||||||||
2004 and prior | $ | — | $ | 1,289 | $ | 2 | $ | 44 | $ | 17 | $ | 312 | $ | 1,665 | ||||||||
2005 | — | 187 | 118 | — | 354 | 934 | 1,593 | |||||||||||||||
2006 | — | 310 | — | 298 | — | 3,351 | 3,958 | |||||||||||||||
2007 | — | 290 | 747 | — | 151 | 5,409 | 6,598 | |||||||||||||||
2008 | — | — | — | — | 69 | — | 69 | |||||||||||||||
Total exposures | $ | — | $ | 2,076 | $ | 867 | $ | 342 | $ | 592 | $ | 10,007 | $ | 13,884 | ||||||||
% of total | 0.0 | % | 15.0 | % | 6.2 | % | 2.5 | % | 4.3 | % | 72.0 | % | 100.0 | % |
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies.
- (2)
- Includes primarily Prime First Lien plus an insignificant amount of other miscellaneous MBS transactions.
- (3)
- Home equity line of credit ("HELOC") securitizations.
- (4)
- NIMs are net interest margin securities.
AGM has not insured any U.S. RMBS transactions since 2008.
16
Assured Guaranty Municipal Corp.
Consolidated U.S. RMBS Profile (Continued)
(dollars in millions)
Distribution of Financial Guaranty U.S. Mortgage-Backed Securities Insured January 1, 2005 or Later by Exposure Type, Average Pool Factor, Subordination, Cumulative Losses and 60+ Day Delinquencies as of March 31, 2010(1)
U.S. CES
| Net Par Outstanding | Pool Factor(2) | Subordination(3)(6) | Cumulative Losses(4) | 60+ Day Delinquencies(5) | Number of Transactions | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year insured: | |||||||||||||||||||
2005 | $ | — | — | — | — | — | — | ||||||||||||
2006 | 451 | 25.4 | % | — | 52.1 | % | 17.0 | % | 2 | ||||||||||
2007 | 719 | 32.1 | % | — | 55.6 | % | 14.6 | % | 9 | ||||||||||
2008 | — | — | — | — | — | — | |||||||||||||
$ | 1,170 | 29.5 | % | 0.0 | % | 54.2 | % | 15.6 | % | 11 | |||||||||
U.S. HELOC
| Net Par Outstanding | Pool Factor | Subordination | Cumulative Losses | 60+ Day Delinquencies | Number of Transactions | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year insured: | |||||||||||||||||||
2005 | $ | 680 | 23.6 | % | 3.7 | % | 7.9 | % | 11.4 | % | 4 | ||||||||
2006 | 1,719 | 41.9 | % | 2.0 | % | 23.1 | % | 16.5 | % | 7 | |||||||||
2007 | 1,692 | 57.4 | % | 4.5 | % | 20.5 | % | 7.7 | % | 7 | |||||||||
2008 | — | — | — | — | — | — | |||||||||||||
$ | 4,092 | 45.3 | % | 3.3 | % | 19.5 | % | 12.0 | % | 18 | |||||||||
U.S. Alt-A First Lien
| Net Par Outstanding | Pool Factor | Subordination | Cumulative Losses | 60+ Day Delinquencies | Number of Transactions | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year insured: | |||||||||||||||||||
2005 | $ | 382 | 41.4 | % | 13.7 | % | 5.3 | % | 23.3 | % | 8 | ||||||||
2006 | 539 | 55.0 | % | 2.2 | % | 9.9 | % | 40.3 | % | 7 | |||||||||
2007 | 551 | 68.3 | % | 2.9 | % | 9.6 | % | 49.0 | % | 4 | |||||||||
2008 | — | — | — | — | — | — | |||||||||||||
$ | 1,471 | 56.4 | % | 5.5 | % | 8.6 | % | 39.2 | % | 19 | |||||||||
- (1)
- For this release, net par outstanding is based on values as of March 2010. All performance information such as pool factor, subordination, cumulative losses and delinquency is based on March 31, 2010 information obtained from Intex, Bloomberg, and/or provided by the trustee and may be subject to restatement or correction.
- (2)
- Pool factor is the percentage of the current collateral balance divided by the original collateral balance of the transactions at inception.
- (3)
- Represents the sum of subordinate tranches and over-collateralization, expressed as a percentage of total transaction size and does not include any benefit from excess interest collections that may be used to absorb losses.
- (4)
- Cumulative losses are defined as net charge-offs on the underlying loan collateral divided by the original pool balance.
- (5)
- 60+ day delinquencies are defined as loans that are greater than 60 days delinquent and all loans that are in foreclosure, bankruptcy or real estate owned ("REO") divided by net par outstanding.
- (6)
- Many of the CES transactions insured by the Company have unique structures whereby the collateral may be written down for losses without a corresponding write-down of the obligations insured by the Company. Many of these transactions are currently under-collateralized, with the principal amount of collateral being less than the principal amount of the obligation insured by the Company. The Company is not required to pay principal shortfalls until legal maturity (rather than making timely principal payments), and takes the under-collateralization into account when estimating expected losses for these transactions.
17
Assured Guaranty Municipal Corp.
Consolidated U.S. RMBS Profile (Continued)
(dollars in millions)
Distribution of Financial Guaranty U.S. Mortgage-Backed Securities Insured January 1, 2005 or Later by Exposure Type, Average Pool Factor, Subordination, Cumulative Losses and 60+ Day Delinquencies as of March 31, 2010(1)
U.S. Alt-A Option ARMs
| Net Par Outstanding | Pool Factor(2) | Subordination(3) | Cumulative Losses(4) | 60+ Day Delinquencies(5) | Number of Transactions | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year insured: | |||||||||||||||||||
2005 | $ | 129 | 35.3 | % | 7.6 | % | 7.4 | % | 45.3 | % | 3 | ||||||||
2006 | 932 | 63.3 | % | 7.5 | % | 7.9 | % | 53.3 | % | 6 | |||||||||
2007 | 1,323 | 69.7 | % | 6.0 | % | 8.6 | % | 47.2 | % | 5 | |||||||||
2008 | — | — | — | — | — | — | |||||||||||||
$ | 2,384 | 65.3 | % | 6.7 | % | 8.2 | % | 49.5 | % | 14 | |||||||||
U.S. Subprime First Lien
| Net Par Outstanding | Pool Factor | Subordination | Cumulative Losses | 60+ Day Delinquencies | Number of Transactions | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year insured: | |||||||||||||||||||
2005 | $ | 391 | 38.5 | % | 46.9 | % | 3.9 | % | 39.5 | % | 6 | ||||||||
2006 | 126 | 42.9 | % | 43.1 | % | 9.8 | % | 42.9 | % | 2 | |||||||||
2007 | 2,215 | 72.5 | % | 27.4 | % | 7.7 | % | 51.5 | % | 9 | |||||||||
2008 | 69 | 74.8 | % | 34.8 | % | 4.5 | % | 33.7 | % | 1 | |||||||||
$ | 2,800 | 66.5 | % | 31.0 | % | 7.2 | % | 49.0 | % | 18 | |||||||||
- (1)
- For this release, net par outstanding is based on values as of March 2010. All performance information such as pool factor, subordination, cumulative losses and delinquency is based on March 31, 2010 information obtained from Intex, Bloomberg, and/or provided by the trustee and may be subject to restatement or correction.
- (2)
- Pool factor is the percentage of the current collateral balance divided by the original collateral balance of the transactions at inception.
- (3)
- Represents the sum of subordinate tranches and over-collateralization, expressed as a percentage of total transaction size and does not include any benefit from excess interest collections that may be used to absorb losses.
- (4)
- Cumulative losses are defined as net charge-offs on the underlying loan collateral divided by the original pool balance.
- (5)
- 60+ day delinquencies are defined as loans that are greater than 60 days delinquent and all loans that are in foreclosure, bankruptcy or REO divided by net par outstanding.
18
Assured Guaranty Municipal Corp.
Consolidated U.S. RMBS Profile (Continued)
(dollars in millions)
Distribution of Financial Guaranty U.S. Mortgage-Backed Securities Insured January 1, 2005 or Later by Exposure Type, Internal Rating(1), Average Pool Factor, Subordination, Cumulative Losses and 60+ Day Delinquencies as of March 31, 2010(2)
U.S. CES
| Net Par Outstanding | Pool Factor(3) | Subordination(4)(7) | Cumulative Losses(5) | 60+ Day Delinquencies(6) | Number of Transactions | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Rating: | |||||||||||||||||||
Super senior | $ | — | — | — | — | — | — | ||||||||||||
AAA | — | — | — | — | — | — | |||||||||||||
AA | 39 | 65.0 | % | — | 7.8 | % | 3.2 | % | 1 | ||||||||||
A | — | — | — | — | — | — | |||||||||||||
BBB | — | — | — | — | — | — | |||||||||||||
BIG | 1,131 | 28.3 | % | — | 55.8 | % | 16.0 | % | 10 | ||||||||||
$ | 1,170 | 29.5 | % | 0.0 | % | 54.2 | % | 15.6 | % | 11 | |||||||||
U.S. HELOC
| Net Par Outstanding | Pool Factor | Subordination | Cumulative Losses | 60+ Day Delinquencies | Number of Transactions | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Rating: | |||||||||||||||||||
Super senior | $ | — | — | — | — | — | — | ||||||||||||
AAA | 415 | 75.9 | % | 7.9 | % | 0.5 | % | 1.1 | % | 3 | |||||||||
AA | 508 | 69.6 | % | 10.6 | % | 7.1 | % | 3.8 | % | 2 | |||||||||
A | 221 | 65.2 | % | — | 5.9 | % | 3.3 | % | 1 | ||||||||||
BBB | 137 | 28.2 | % | 16.1 | % | 7.5 | % | 12.1 | % | 1 | |||||||||
BIG | 2,811 | 35.6 | % | 1.0 | % | 26.2 | % | 15.8 | % | 11 | |||||||||
$ | 4,092 | 45.3 | % | 3.3 | % | 19.5 | % | 12.0 | % | 18 | |||||||||
U.S. Alt-A First Lien
| Net Par Outstanding | Pool Factor | Subordination | Cumulative Losses | 60+ Day Delinquencies | Number of Transactions | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Rating: | |||||||||||||||||||
Super senior | $ | — | — | — | — | — | — | ||||||||||||
AAA | 20 | 16.1 | % | 45.5 | % | 5.8 | % | 22.7 | % | 2 | |||||||||
AA | 39 | 47.1 | % | 17.8 | % | 1.7 | % | 13.9 | % | 1 | |||||||||
A | — | — | — | — | — | — | |||||||||||||
BBB | — | — | — | — | — | — | |||||||||||||
BIG | 1,412 | 57.3 | % | 4.5 | % | 8.8 | % | 40.1 | % | 16 | |||||||||
$ | 1,471 | 56.4 | % | 5.5 | % | 8.6 | % | 39.2 | % | 19 | |||||||||
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies.
- (2)
- For this release, net par outstanding is based on values as of March 2010. All performance information such as pool factor, subordination, cumulative losses and delinquency is based on March 31, 2010 information obtained from Intex, Bloomberg, and/or provided by the trustee and may be subject to restatement or correction.
- (3)
- Pool factor is the percentage of the current collateral balance divided by the original collateral balance of the transactions at inception.
- (4)
- Represents the sum of subordinate tranches and over-collateralization, expressed as a percentage of total transaction size and does not include any benefit from excess interest collections that may be used to absorb losses.
- (5)
- Cumulative losses are defined as net charge-offs on the underlying loan collateral divided by the original pool balance.
- (6)
- 60+ day delinquencies are defined as loans that are greater than 60 days delinquent and all loans that are in foreclosure, bankruptcy or REO divided by net par outstanding.
- (7)
- Many of the CES transactions insured by the Company have unique structures whereby the collateral may be written down for losses without a corresponding write-down of the obligations insured by the Company. Many of these transactions are currently under-collateralized, with the principal amount of collateral being less than the principal amount of the obligation insured by the Company. The Company is not required to pay principal shortfalls until legal maturity (rather than making timely principal payments), and takes the under-collateralization into account when estimating expected losses for these transactions.
19
Assured Guaranty Municipal Corp.
Consolidated U.S. RMBS Profile (Continued)
(dollars in millions)
Distribution of Financial Guaranty U.S. Mortgage-Backed Securities Insured January 1, 2005 or Later by Exposure Type, Internal Rating(1), Average Pool Factor, Subordination, Cumulative Losses and 60+ Day Delinquencies as of March 31, 2010(2)
U.S. Alt-A Option ARMs
| Net Par Outstanding | Pool Factor(3) | Subordination(4) | Cumulative Losses(5) | 60+ Day Delinquencies(6) | Number of Transactions | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Rating: | |||||||||||||||||||
Super senior | $ | — | — | — | — | — | — | ||||||||||||
AAA | 152 | 66.7 | % | 3.4 | % | 9.2 | % | 53.7 | % | 1 | |||||||||
AA | — | — | — | — | 0.0 | % | — | ||||||||||||
A | — | — | — | — | — | — | |||||||||||||
BBB | — | — | — | — | — | — | |||||||||||||
BIG | 2,232 | 65.2 | % | 6.9 | % | 8.2 | % | 49.2 | % | 13 | |||||||||
$ | 2,384 | 65.3 | % | 6.7 | % | 8.2 | % | 49.5 | % | 14 | |||||||||
U.S. Subprime First Lien
| Net Par Outstanding | Pool Factor | Subordination | Cumulative Losses | 60+ Day Delinquencies | Number of Transactions | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Rating: | |||||||||||||||||||
Super senior | $ | — | — | — | — | — | — | ||||||||||||
AAA | 95 | 25.3 | % | 81.1 | % | 4.6 | % | 45.3 | % | 2 | |||||||||
AA | 279 | 41.1 | % | 42.1 | % | 6.8 | % | 35.6 | % | 2 | |||||||||
A | 77 | 23.9 | % | 55.9 | % | 14.2 | % | 44.6 | % | 1 | |||||||||
BBB | 407 | 60.2 | % | 28.0 | % | 3.7 | % | 33.3 | % | 6 | |||||||||
BIG | 1,943 | 75.2 | % | 26.5 | % | 7.8 | % | 54.5 | % | 7 | |||||||||
$ | 2,800 | 66.5 | % | 31.0 | % | 7.2 | % | 49.0 | % | 18 | |||||||||
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies.
- (2)
- For this release, net par outstanding is based on values as of March 2010. All performance information such as pool factor, subordination, cumulative losses and delinquency is based on March 31, 2010 information obtained from Intex, Bloomberg, and/or provided by the trustee and may be subject to restatement or correction.
- (3)
- Pool factor is the percentage of the current collateral balance divided by the original collateral balance of the transactions at inception.
- (4)
- Represents the sum of subordinate tranches and over-collateralization, expressed as a percentage of total transaction size and does not include any benefit from excess interest collections that may be used to absorb losses.
- (5)
- Cumulative losses are defined as net charge-offs on the underlying loan collateral divided by the original pool balance.
- (6)
- 60+ day delinquencies are defined as loans that are greater than 60 days delinquent and all loans that are in foreclosure, bankruptcy or REO divided by net par outstanding.
20
Assured Guaranty Municipal Corp.
U.S. Consumer Receivables Profile
(dollars in millions)
Distribution of U.S. Consumer Receivables by Rating(1) as of March 31, 2010
| Credit Cards | Auto | Manufactured Housing | Total Net Par Outstanding | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Rating: | |||||||||||||
Super senior | $ | — | $ | — | $ | — | $ | — | |||||
AAA | — | 33 | 87 | 120 | |||||||||
AA | — | — | 48 | 48 | |||||||||
A | — | 1,568 | — | 1,568 | |||||||||
BBB | 88 | 1,174 | — | 1,262 | |||||||||
BIG | — | — | 173 | 173 | |||||||||
$ | 88 | $ | 2,775 | $ | 308 | $ | 3,171 | ||||||
Average rating(1) | BBB | A- | A- | ||||||||||
Avg. initial credit enhancement(2) | 13.2 | % | 11.2 | % | 27.6 | % | |||||||
Avg. current enhancement(2) | 11.7 | % | 26.7 | % | 26.4 | % |
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies.
- (2)
- "Average Credit Enhancement" is intended to provide a measure of the amount of equity and/or subordinate tranches that are junior in the capital structure to AGM's exposure, expressed as a percentage of the total transaction size and reflects any reduction of that credit support resulting from defaults or other factors. For transactions where excess spread may be available to absorb certain losses, the amounts shown above do not include any benefit from excess spread. The calculation methodologies differ for the various asset classes to reflect differences in transaction structures in order to provide a measure that management believes is comparable across asset classes. Data is obtained from third-party sources such as trustee reports and may be subject to adjustments.
21
Assured Guaranty Municipal Corp.
Credit Derivative Net Par Outstanding Profile
(dollars in millions)
Distribution of Credit Derivative Net Par Outstanding by Rating
| March 31, 2010 | |||||||
---|---|---|---|---|---|---|---|---|
| Net Par Outstanding | % | ||||||
Ratings(1): | ||||||||
Super senior | $ | 18,496 | 33.1 | % | ||||
AAA | 22,620 | 40.4 | % | |||||
AA | 9,089 | 16.3 | % | |||||
A | 3,487 | 6.2 | % | |||||
BBB | 1,538 | 2.8 | % | |||||
BIG | 691 | 1.2 | % | |||||
Total credit derivative net par outstanding | $ | 55,921 | 100.0 | % | ||||
Distribution of Credit Derivative Net Par Outstanding by Sector and Average Rating
| March 31, 2010 | ||||||||
---|---|---|---|---|---|---|---|---|---|
| Net Par Outstanding | Average Rating(1) | |||||||
Public Finance | |||||||||
U.S. public finance | $ | 898 | A- | ||||||
Non-U.S. public finance | 2,553 | A | |||||||
Total public finance | $ | 3,451 | A | ||||||
U.S. Structured Finance: | |||||||||
Pooled corporate obligations | $ | 38,712 | AAA | ||||||
Residential mortgage-backed and home equity | 380 | BBB- | |||||||
Insurance securitizations | 368 | AA | |||||||
Commercial receivables | 67 | BBB- | |||||||
Other structured finance | 119 | B | |||||||
Total U.S. structured finance | 39,646 | AAA | |||||||
Non-U.S. Structured Finance: | |||||||||
Pooled corporate obligations | 12,245 | AAA | |||||||
Residential mortgage-backed and home equity | 525 | AA- | |||||||
Structured credit | 17 | BBB | |||||||
Insurance securitizations | 37 | A+ | |||||||
Total non-U.S. structured finance | 12,824 | AAA | |||||||
Total structured finance | $ | 52,470 | AAA | ||||||
Total credit derivative net par outstanding | $ | 55,921 | AAA | ||||||
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies. The super senior category, which is not generally used by rating agencies, is used by the Company in instances where Assured Guaranty's AAA-rated exposure has additional credit enhancement due to either (1) the existence of another security rated AAA that is subordinated to Assured Guaranty's exposure or (2) Assured Guaranty's exposure benefits from a different form of credit enhancement that would pay any claims first in the event that any of the exposures incurs a loss and such credit enhancement, in management's opinion, causes Assured Guaranty's attachment point to be materially above the AAA attachment point.
Please refer to Glossary for description of selected types of U.S. public finance, non-U.S. public finance, U.S. structured finance and non-U.S. structured finance obligations that the Company insures and reinsures.
22
Assured Guaranty Municipal Corp.
Below Investment Grade Exposures
As of March 31, 2010
(in millions)
| Net Par Outstanding | Internal Rating(1) | |||||
---|---|---|---|---|---|---|---|
BIG Exposures by Asset Type: | |||||||
U.S. Public Finance: | |||||||
General obligation | $ | 456 | BB | ||||
Healthcare | 271 | BB- | |||||
Tax backed | 194 | BB | |||||
Municipal utilities | 160 | D | |||||
Housing | 6 | B | |||||
Higher education | 5 | BB+ | |||||
Other public finance | 84 | B | |||||
Total U.S. public finance | 1,176 | B | |||||
Non-U.S. Public Finance: | |||||||
Infrastructure finance | 369 | BB | |||||
Total non-U.S. public finance | 369 | BB | |||||
Total public finance | $ | 1,545 | B | ||||
U.S. Structured Finance: | |||||||
Residential mortgage-backed and home equity | $ | 9,806 | B- | ||||
Consumer receivables | 173 | BB | |||||
Pooled corporate obligations | 159 | CCC+ | |||||
Other structured finance | 119 | B | |||||
Total U.S. structured finance | 10,257 | B- | |||||
Non-U.S. Structured Finance: | |||||||
Pooled corporate obligations | 80 | CCC | |||||
Total non-U.S. structured finance | 80 | CCC | |||||
Total structured finance | $ | 10,337 | B- | ||||
Total BIG net par outstanding | $ | 11,882 | B- | ||||
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies.
Please refer to Glossary for description of selected types of U.S. public finance, non-U.S. public finance, U.S. structured finance and non-U.S structurd finance obligations that the Company insures and reinsures.
23
Assured Guaranty Municipal Corp.
Below Investment Grade Exposures (Continued)
As of March 31, 2010
(in millions)
Public Finance BIG Exposures Greater Than $50 Million
Name or Description | Net Par Outstanding | Internal Rating(1) | ||||
---|---|---|---|---|---|---|
U.S. Public Finance: | ||||||
Detroit (City of) School District Michigan | $ | 175 | BB | |||
Jefferson County Alabama Sewer | 145 | D | ||||
Jefferson County Alabama School Sales Tax Limited Obligation | 144 | BB | ||||
Detroit (City of) Michigan | 137 | BB+ | ||||
Harrisburg (City of) Pennsylvania | 86 | B | ||||
Mashantucket Pequot Tribe—Connecticut | 84 | B | ||||
DeKalb County Medical Center—Georgia | 74 | BB | ||||
St. Barnabas Health System—New Jersey | 62 | BB | ||||
Total | $ | 907 | ||||
Non-U.S. Public Finance: | ||||||
Aeroporti Di Roma (ADR) Romulus Finance S.R.L. (Rome Airport) | $ | 212 | BB | |||
Cross City Tunnel Motorway Finance Limited | 157 | BB | ||||
Total | $ | 369 | ||||
Total | $ | 1,276 | ||||
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies.
24
Assured Guaranty Municipal Corp.
Below Investment Grade Exposures (Continued)
As of March 31, 2010
(dollars in millions)
Structured Finance BIG Exposures Greater Than $50 Million
Name or Description | Net Par Outstanding | Internal Rating(1) | Current Credit Enhancement | 60+ Day Delinquencies(2) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Structured Finance: | ||||||||||||||
U.S. RMBS: | ||||||||||||||
MABS 2007-NCW | $ | 636 | BB | 34.6 | % | 68.4 | % | |||||||
Countrywide HELOC 2006-I | 616 | CCC | 0.0 | % | 11.6 | % | ||||||||
MASTR 2007-3 (NEGAM) G1A | 568 | CCC | 7.9 | % | 58.0 | % | ||||||||
Countrywide HELOC 2006-F | 563 | CCC | 0.4 | % | 29.9 | % | ||||||||
Option One 2007-FXD2 | 399 | B | 19.3 | % | 33.3 | % | ||||||||
Nomura Asset Accept. Corp. 2007-1 | 388 | CCC | 3.6 | % | 47.4 | % | ||||||||
Harborview 2006-12 (NEGAM) | 346 | BB | 11.7 | % | 56.7 | % | ||||||||
MARM 2007-1 (FKA MASTR 2007-OA1 NEGAM) | 323 | CCC | 1.9 | % | 36.0 | % | ||||||||
Countrywide HELOC 2007-A | 313 | CCC | 0.0 | % | 11.9 | % | ||||||||
Countrywide HELOC 2005-D | 313 | CCC | 0.0 | % | 13.6 | % | ||||||||
Countrywide 2007-13 | 286 | BB | 31.4 | % | 59.3 | % | ||||||||
Countrywide HELOC 2007-B | 282 | CCC | 0.0 | % | 10.0 | % | ||||||||
GMACM 2004-HE3 | 270 | B | 0.0 | % | 0.0 | % | ||||||||
Terwin Mortgage Trust 2006-12SL | 253 | CCC | N/A | 18.9 | % | |||||||||
Indymac 2007-H1 HELOC | 233 | CCC | 0.0 | % | 11.9 | % | ||||||||
CWABS 2007-4 (Class A-4W) | 220 | BB | 22.2 | % | 42.6 | % | ||||||||
Terwin Mortgage Trust 2007-1SL | 207 | CCC | N/A | 12.3 | % | |||||||||
Soundview 2007-WMC1 | 206 | CCC | 14.0 | % | 72.4 | % | ||||||||
Terwin Mortgage Trust 2006-10SL | 199 | CCC | N/A | 14.7 | % | |||||||||
Harborview 2006-1 (NEGAM) | 196 | CCC | 7.8 | % | 59.8 | % | ||||||||
Harborview 2007-1 (NEGAM) | 195 | BB | 14.7 | % | 55.9 | % | ||||||||
Harborview 2006-10 (NEGAM) | 159 | CCC | 3.0 | % | 38.2 | % | ||||||||
Countrywide HELOC 2005-C | 159 | B | 0.0 | % | 11.2 | % | ||||||||
CSAB 2006-3 | 151 | CCC | N/A | 44.8 | % | |||||||||
Flagstar HELOC 2006-2 | 149 | CCC | 19.5 | % | 15.8 | % | ||||||||
Renaissance (DELTA) 2007-3 | 146 | B | 27.1 | % | 40.5 | % | ||||||||
NAAC 2007-S2 | 128 | CCC | 0.0 | % | 16.8 | % | ||||||||
AHMA 2007-4 NEGAM | 119 | CCC | 0.0 | % | 30.7 | % | ||||||||
IMSC 2007-HOA1 NEGAM A-1-2 | 118 | CCC | 0.0 | % | 30.5 | % | ||||||||
Countrywide ALTA 2005-22T | 95 | B | 6.3 | % | 22.0 | % | ||||||||
CSAB 2006-2 | 91 | CCC | 4.6 | % | 39.7 | % | ||||||||
Deutsche ALT-B 2006-AB1 | 90 | CCC | 6.0 | % | 31.8 | % | ||||||||
Deutsche ALT-B 2006-AB4 | 80 | CCC | 0.0 | % | 38.9 | % | ||||||||
Terwin Mortgage Trust 2005-16HE | 75 | BB | 15.7 | % | 27.6 | % | ||||||||
ACE 2006-GP1 | 74 | CCC | 0.0 | % | 11.9 | % | ||||||||
CSMC 2007-3 | 71 | CCC | 0.2 | % | 36.1 | % | ||||||||
Countrywide HELOC 2006-H | 67 | CCC | N/A | 22.7 | % | |||||||||
GSAA 2005-12 | 66 | BB | 11.3 | % | 23.6 | % | ||||||||
ACE 2007-SL1 | 64 | CCC | N/A | 15.2 | % | |||||||||
Terwin Mortgage Trust 2007-6ALT | 63 | CCC | N/A | 79.6 | % | |||||||||
CWALT 2005-62 (NEGAM) | 60 | CCC | 12.6 | % | 57.2 | % | ||||||||
Terwin Mortgage Trust 2005-14HE | 59 | BB | 14.7 | % | 25.6 | % | ||||||||
DSLA 2005-AR5 (NEGAM) | 56 | CCC | 3.9 | % | 34.3 | % | ||||||||
Luminent 2006-2 (NEGAM) | 53 | CCC | 8.6 | % | 57.1 | % | ||||||||
CSAB 2006-4 | 52 | CCC | 1.7 | % | 38.6 | % | ||||||||
Total U.S. RMBS | $ | 9,257 |
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies.
- (2)
- 60+ day delinquencies are defined as loans that are greater than 60 days delinquent and all loans that are in foreclosure, bankruptcy or REO divided by net par outstanding.
25
Assured Guaranty Municipal Corp.
Below Investment Grade Exposures (Continued)
As of March 31, 2010
(dollars in millions)
Structured Finance BIG Exposures Greater Than $50 Million
Name or Description | Net Par Outstanding | Internal Rating(1) | Current Credit Enhancement | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Structured Finance: | ||||||||||||
Other: | ||||||||||||
NRG Peaker | $ | 119 | B | N/A | ||||||||
Synthetic High Yield Pooled Corporate CDO | 113 | CCC | 9.7 | % | ||||||||
Conseco Finance MH Series 2001-2 | 97 | BB | 17.6 | % | ||||||||
Greenpoint 2000-4 | 76 | BB | 15.2 | % | ||||||||
Total other | $ | 405 | ||||||||||
Total | $ | 9,662 | ||||||||||
Non-U.S. Structured Finance: | ||||||||||||
Synthetic High Yield Pooled Corporate CDO | 75 | CCC | 9.7 | % | ||||||||
Total | $ | 75 | ||||||||||
Total | $ | 9,737 | ||||||||||
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies.
26
Assured Guaranty Municipal Corp.
Largest Exposures by Sector
As of March 31, 2010
(in millions)
50 Largest U.S. Public Finance Exposures
| Net Par Outstanding | Internal Rating(1) | ||||
---|---|---|---|---|---|---|
Credit Name: | ||||||
New Jersey (State of) | $ | 2,908 | AA- | |||
Massachusetts (Commonwealth of) | 2,054 | AA | ||||
New York (State of) | 2,022 | AA | ||||
Chicago (City of) Illinois | 1,690 | AA- | ||||
New York (City of) New York | 1,521 | AA- | ||||
Massachusetts (Commonwealth of) State Sales Tax | 1,472 | AA | ||||
Houston Texas Water and Sewer | 1,461 | A+ | ||||
University of California Board of Regents | 1,413 | AA | ||||
Wisconsin (State of) | 1,401 | A+ | ||||
New York City Municipal Water Finance Authority | 1,394 | AA+ | ||||
Washington (State of) | 1,379 | AA | ||||
Illinois (State of) | 1,358 | A+ | ||||
Pennsylvania (Commonwealth of) | 1,322 | AA- | ||||
Port Authority of New York and New Jersey | 1,294 | AA- | ||||
California (State of) | 1,280 | A- | ||||
Illinois Toll Highway Authority | 1,260 | AA | ||||
Los Angeles California Unified School District | 1,254 | AA | ||||
Atlanta Georgia Water & Sewer System | 1,241 | BBB+ | ||||
California (State of) Department of Water Resources | 1,209 | A- | ||||
New York MTA Dedicated Tax | 1,134 | AA- | ||||
Broward County Florida School Board | 1,101 | AA- | ||||
New York MTA Transportation Authority | 1,086 | A | ||||
Arizona (State of) | 1,060 | AA- | ||||
Puerto Rico (Commonwealth of) | 1,027 | BBB- | ||||
Denver (City and County of) Colorado School District No.1 | 1,015 | A+ | ||||
Massachusetts (Commonwealth of) Water Resources | 992 | AA | ||||
Los Angeles Department of Water & Power—Electric Revenue Bonds | 980 | AA- | ||||
Long Island Power Authority | 956 | A- | ||||
Chicago-O'Hare International Airport | 908 | A | ||||
Connecticut (State of) | 906 | AA- | ||||
San Diego (County of) California Water | 901 | AA | ||||
Kentucky (Commonwealth of) | 882 | AA- | ||||
Michigan (State of) | 879 | A+ | ||||
New Jersey Turnpike Authority | 874 | A | ||||
Louisiana (State of) Gas and Fuel Tax | 864 | A | ||||
Michigan (State of) Gas and Motor Vehicle Tax | 843 | AA | ||||
Chicago Illinois Public Schools | 839 | A+ | ||||
Detroit (City of) Michigan Sewer | 835 | A | ||||
Oregon (State of) | 834 | AA- | ||||
San Diego California Unified School District | 832 | AA | ||||
California State University System | 819 | AA- | ||||
Skyway Concession Company LLC | 806 | BBB | ||||
Metro Washington Airport | 803 | AA- | ||||
Miami International Airport Miami-Dade County Florida | 796 | A+ | ||||
New York State Thruway Highway Trust Fund | 782 | AA- | ||||
Hawaii (State of) Department of Hawaiian Home Lands | 781 | AA | ||||
Philadelphia (City of) Pennsylvania | 775 | BBB- | ||||
Florida (State of) | 772 | AA+ | ||||
District of Columbia | 770 | A+ | ||||
Austin Texas Combined Utility System | 757 | AA- | ||||
Total top 50 U.S. public finance exposures | $ | 56,542 | ||||
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies.
27
Assured Guaranty Municipal Corp.
Largest Exposures by Sector (Continued)
As of March 31, 2010
(dollars in millions)
50 Largest U.S. Structured Finance Exposures
| Net Par Outstanding | Internal Rating(1) | Current Credit Enhancement | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Credit Name: | ||||||||||
Fortress Credit Opportunities I, LP. | $ | 1,268 | AA | 28.6 | % | |||||
Synthetic Investment Grade Pooled Corporate CDO | 1,126 | AAA | 13.3 | % | ||||||
Stone Tower Credit Funding | 1,119 | AAA | 35.2 | % | ||||||
Synthetic High Yield Pooled Corporate CDO | 973 | AA- | 42.2 | % | ||||||
Synthetic Investment Grade Pooled Corporate CDO | 763 | Super Senior | 14.7 | % | ||||||
Synthetic Investment Grade Pooled Corporate CDO | 754 | Super Senior | 29.4 | % | ||||||
Synthetic Investment Grade Pooled Corporate CDO | 745 | Super Senior | 23.4 | % | ||||||
Mizuho II Synthetic CDO | 735 | A | 30.7 | % | ||||||
Synthetic High Yield Pooled Corporate CDO | 730 | AA- | 40.0 | % | ||||||
Synthetic High Yield Pooled Corporate CDO | 723 | AAA | 25.0 | % | ||||||
Synthetic Investment Grade Pooled Corporate CDO | 652 | AAA | 17.7 | % | ||||||
MABS 2007-NCW | 637 | BB | 34.6 | % | ||||||
Countrywide HELOC 2006-I | 616 | CCC | 0.0 | % | ||||||
MASTR 2007-3 (NEGAM) G1A | 568 | CCC | 7.9 | % | ||||||
Countrywide HELOC 2006-F | 563 | CCC | 0.4 | % | ||||||
Synthetic High Yield Pooled Corporate CDO | 562 | Super Senior | 24.3 | % | ||||||
Synthetic High Yield Pooled Corporate CDO | 523 | Super Senior | 29.7 | % | ||||||
Synthetic High Yield Pooled Corporate CDO | 521 | Super Senior | 24.5 | % | ||||||
Synthetic Investment Grade Pooled Corporate CDO | 512 | Super Senior | 14.2 | % | ||||||
Eastland CLO, LTD | 499 | Super Senior | 31.8 | % | ||||||
Synthetic High Yield Pooled Corporate CDO | 492 | AA | 46.7 | % | ||||||
Denali CLO VII, LTD. | 462 | AAA | 20.2 | % | ||||||
Americredit 2007-B-F | 461 | A | 19.3 | % | ||||||
Avenue CLO V | 450 | AAA | 19.4 | % | ||||||
Synthetic Investment Grade Pooled Corporate CDO | 433 | AAA | 11.3 | % | ||||||
Synthetic High Yield Pooled Corporate CDO | 427 | Super Senior | 23.8 | % | ||||||
Synthetic Investment Grade Pooled Corporate CDO | 425 | Super Senior | 12.7 | % | ||||||
Synthetic High Yield Pooled Corporate CDO | 419 | AAA | 23.7 | % | ||||||
Churchill Financial Cayman | 415 | AAA | 33.3 | % | ||||||
Westchester CLO | 401 | Super Senior | 34.1 | % | ||||||
Grayson CLO | 399 | Super Senior | 23.2 | % | ||||||
Option One 2007-FXD2 | 399 | B | 19.3 | % | ||||||
Synthetic Investment Grade Pooled Corporate CDO | 399 | Super Senior | 14.0 | % | ||||||
Synthetic High Yield Pooled Corporate CDO | 395 | AAA | 36.0 | % | ||||||
Nomura Asset Accept. Corp. 2007-1 | 388 | CCC | 3.6 | % | ||||||
Synthetic High Yield Pooled Corporate CDO | 383 | Super Senior | 36.0 | % | ||||||
Stone Tower III | 381 | AA- | 21.1 | % | ||||||
Synthetic Investment Grade Pooled Corporate CDO | 377 | Super Senior | 11.0 | % | ||||||
Synthetic Investment Grade Pooled Corporate CDO | 374 | Super Senior | 13.9 | % | ||||||
Synthetic High Yield Pooled Corporate CDO | 369 | AAA | 29.5 | % | ||||||
Cent CDO 15 Limited | 360 | Super Senior | 16.4 | % | ||||||
Stone Tower CLO V | 357 | Super Senior | 27.7 | % | ||||||
Synthetic High Yield Pooled Corporate CDO | 351 | AAA | 34.0 | % | ||||||
Synthetic High Yield Pooled Corporate CDO | 349 | AAA | 24.7 | % | ||||||
Harborview 2006-12 (NEGAM) | 346 | BB | 11.7 | % | ||||||
Muir Grove CLO | 340 | AA+ | 20.8 | % | ||||||
KKR Financial CLO 2005-1 | 333 | AAA | 22.3 | % | ||||||
Synthetic High Yield Pooled Corporate CDO | 333 | Super Senior | 33.1 | % | ||||||
Monument Park CDO | 332 | A+ | 12.2 | % | ||||||
Madison Park Funding | 329 | AAA | 23.1 | % | ||||||
Total top 50 U.S. structured finance exposures | $ | 26,268 | ||||||||
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies. The super senior category, which is not generally used by rating agencies, is used by the Company in instances where Assured Guaranty's AAA-rated exposure has additional credit enhancement due to either (1) the existence of another security rated AAA that is subordinated to Assured Guaranty's exposure or (2) Assured Guaranty's exposure benefits from a different form of credit enhancement that would pay any claims first in the event that any of the exposures incurs a loss and such credit enhancement, in management's opinion, causes Assured Guaranty's attachment point to be materially above the AAA attachment point.
28
Assured Guaranty Municipal Corp.
Largest Exposures by Sector (Continued)
As of March 31, 2010
(in millions)
25 Largest Non-U.S. Exposures
| Net Par Outstanding | Rating(1) | ||||
---|---|---|---|---|---|---|
Credit Name: | ||||||
Channel Link Enterprises Finance Plc | $ | 858 | BBB | |||
Hydro-Quebec, Province of Quebec Guaranteed | 836 | A+ | ||||
International AAA Sovereign Debt Synthetic CDO | 821 | AAA | ||||
Sydney Airport | 701 | BBB | ||||
Synthetic Investment Grade Pooled Corporate CDO | 694 | Super Senior | ||||
Sydney Airport Finance Company Pty Limited | 586 | BBB | ||||
SYNTHETIC INVESTMENT GRADE POOLED CORPORATE CDO | 556 | Super Senior | ||||
Japan Expressway Holding and Debt Repayment Agency | 542 | AA | ||||
Thames Water Utilities Finance Plc | 534 | A- | ||||
Regional Aircraft Securitization Program "RASPRO" (guaranteed by Investissement Québec) an aircraft lease securitization | 484 | A | ||||
Artesian Finance II Plc (Southern)—Swap Policy | 482 | A- | ||||
Central Nottinghamshire Hospitals plc | 449 | BBB | ||||
Capital Hospitals (Issuer) plc | 438 | BBB- | ||||
Queen Street CLO I | 424 | Super Senior | ||||
Synthetic Investment Grade Pooled Corporate CDO | 416 | AAA | ||||
Province of Quebec | 416 | A+ | ||||
Southern Gas Networks PLC | 401 | BBB | ||||
Integrated Accomodation Services PLC | 392 | BBB+ | ||||
M6 Duna Autopalya Koncesszios Zartkoruen Mukodo Reszvenytarsasag | 383 | BBB | ||||
Synthetic Investment Grade Pooled Corporate CDO | 381 | Super Senior | ||||
A28 motorway | 380 | BBB | ||||
Synthetic Investment Grade Pooled Corporate CDO | 377 | Super Senior | ||||
Synthetic Investment Grade Pooled Corporate CDO | 375 | AAA | ||||
Stone Tower Credit Funding | 373 | AAA | ||||
Campania Region—Healthcare receivable | 371 | A- | ||||
Total top 25 non-U.S. exposures | $ | 12,670 | ||||
- (1)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies. The super senior category, which is not generally used by rating agencies, is used by the Company in instances where Assured Guaranty's AAA-rated exposure has additional credit enhancement due to either (1) the existence of another security rated AAA that is subordinated to Assured Guaranty's exposure or (2) Assured Guaranty's exposure benefits from a different form of credit enhancement that would pay any claims first in the event that any of the exposures incurs a loss and such credit enhancement, in management's opinion, causes Assured Guaranty's attachment point to be materially above the AAA attachment point.
29
Assured Guaranty Municipal Corp.
Largest Exposures by Sector (Continued)
As of March 31, 2010
(dollars in millions)
10 Largest Residential Mortgage Servicers Exposures
| Net Par Outstanding | ||||
---|---|---|---|---|---|
Servicer: | |||||
Bank of America N.A.(1) | $ | 5,863 | |||
American Home Mortgage Acceptance, Inc. | 1,722 | ||||
GMAC Mortgage Corporation | 1,092 | ||||
Specialized Loan Servicing, LLC | 887 | ||||
Ocwen Loan Servicing, LLC | 831 | ||||
Wells Fargo Bank N.A. | 749 | ||||
One West Bank Group LLC | 705 | ||||
First Tennessee Bank N.A. | 455 | ||||
Flagstar Bank, FSB | 287 | ||||
Litton Loan Servicing LP | 284 | ||||
Total top 10 residential mortgage servicers exposures | $ | 12,875 | |||
10 Largest Healthcare Exposures
| Net Par Outstanding | Internal Rating(2) | State | |||||
---|---|---|---|---|---|---|---|---|
Credit Name: | ||||||||
SSM Health Care | $ | 250 | A+ | MO | ||||
Asante Health System | 247 | A | OR | |||||
Hospital Sisters Health Services Inc Obligated Group | 203 | AA- | IL | |||||
MultiCare Health System | 198 | A+ | WA | |||||
CHRISTUS Health | 192 | A+ | TX | |||||
Clarian Health Partners | 177 | A+ | IN | |||||
Carolina HealthCare System | 176 | AA- | NC | |||||
Catholic Health Initiatives | 168 | AA | CO | |||||
Memorial Hermann Healthcare | 166 | A | TX | |||||
OSF HealthCare System | 163 | A | IL | |||||
Total top 10 healthcare exposures | $ | 1,940 | ||||||
- (1)
- Includes Countrywide Home Loans Servicing LP.
- (2)
- Assured Guaranty's internal rating. Assured Guaranty's scale is comparable to that of the nationally recognized rating agencies.
30
Assured Guaranty Municipal Corp.
Financial Guaranty Insurance and Credit Derivatives Surveillance Categories
(dollars in millions)
Net Par Outstanding by BIG Category(1)
| March 31, 2010 | December 31, 2009 | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Description: | ||||||||||
BIG: | ||||||||||
Category 1 | ||||||||||
U.S. public finance | $ | 664 | $ | 991 | ||||||
Non-U.S. public finance | 369 | 380 | ||||||||
U.S. structured finance | 1,889 | 1,775 | ||||||||
Non-U.S. structured finance | 2 | 2 | ||||||||
Total Category 1 | 2,924 | 3,148 | ||||||||
Category 2 | ||||||||||
U.S. public finance | 333 | 330 | ||||||||
Non-U.S. public finance | — | — | ||||||||
U.S. structured finance | 4,326 | 4,601 | ||||||||
Non-U.S. structured finance | 2 | 2 | ||||||||
Total Category 2 | 4,661 | 4,933 | ||||||||
Category 3 | ||||||||||
U.S. public finance | 179 | 186 | ||||||||
Non-U.S. public finance | — | — | ||||||||
U.S. structured finance | 4,042 | 3,895 | ||||||||
Non-U.S. structured finance | 76 | 77 | ||||||||
Total Category 3 | 4,297 | 4,158 | ||||||||
BIG Total | $ | 11,882 | $ | 12,239 | ||||||
- (1)
- Assured Guaranty's surveillance department is responsible for monitoring our portfolio of credits and maintains a list of BIG credits. The BIG credits are divided into three categories: BIG Category 1: BIG transactions showing sufficient deterioration to make material losses possible, but for which no losses have been incurred. Non-investment grade transactions on which liquidity claims have been paid are in this category. Intense monitoring and intervention is employed, with internal credit ratings reviewed quarterly. BIG Category 2: BIG transactions for which expected losses have been established but for which no unreimbursed claims have yet been paid. Intense monitoring and intervention is employed, with internal credit ratings reviewed quarterly. BIG Category 3: BIG transactions for which expected losses have been established and on which unreimbursed claims have been paid. Transactions remain in this category when claims have been paid and only a recoverable remains. Intense monitoring and intervention is employed, with internal credit ratings reviewed quarterly.
31
Assured Guaranty Municipal Corp.
Loss and Loss Adjustment Expense ("LAE") Reserves by Segment/Type
(in millions)
| As of March 31, 2010 | ||||
---|---|---|---|---|---|
Financial guaranty insurance reserves by segment and type: | |||||
Gross | $ | 100.6 | |||
Ceded | 17.5 | ||||
Net financial guaranty insurance reserves | $ | 83.1 | |||
Salvage and subrogation recoverable: | |||||
Gross | $ | 65.8 | |||
Ceded(1) | 13.9 | ||||
Net salvage and subrogation recoverable | $ | 51.9 | |||
Credit derivative reserves by segment and type(2): | |||||
Case gross | $ | 104.6 | |||
Case ceded | 10.8 | ||||
Case net credit derivative reserves | $ | 93.8 | |||
Net loss and LAE reserves on financial guaranty insurance and credit derivative contracts, net of reinsurance(3) | |||||
Net loss and LAE reserves on financial guaranty contracts net of ceded reinsurance | $ | 83.1 | |||
Credit impairment on credit derivative contracts | 93.8 | ||||
Net loss and LAE reserves | $ | 176.9 | |||
- (1)
- Recorded in "reinsurance balances payable, net" on the consolidated balance sheets.
- (2)
- Credit derivative assets and liabilities recorded on the balance sheet incorporate estimates of expected losses.
- (3)
- Gross of salvage and subrogation assets.
32
Assured Guaranty Municipal Corp.
Financial Guaranty Losses Incurred and Paid
As of March 31, 2010
(in millions)
Financial Guaranty Insurance Contracts and Credit Derivatives | Total Net Par Outstanding for BIG Transactions | 1Q-10 Incurred Losses | 1Q-10 Paid Losses | Net Loss and LAE Reserve | Net Salvage and Subrogation Assets | Net Loss and LAE Reserve(1) | Expected Loss to be Expensed | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
First lien: | ||||||||||||||||||||||||
Prime first lien | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Alt-A first lien | 1,411.7 | 4.2 | 14.8 | 0.7 | — | 0.7 | 178.2 | |||||||||||||||||
Alt-A option ARMs | 2,232.4 | 32.1 | 15.2 | 51.4 | 4.9 | 46.5 | 478.1 | |||||||||||||||||
Subprime first lien | 2,151.1 | 15.4 | 0.5 | 48.8 | 1.5 | 47.3 | 80.4 | |||||||||||||||||
Total first lien | 5,795.2 | 51.7 | 30.5 | 100.9 | 6.4 | 94.5 | 736.7 | |||||||||||||||||
Second lien: | ||||||||||||||||||||||||
CES | 930.7 | (6.7 | ) | 10.3 | 36.3 | — | 36.3 | 167.9 | ||||||||||||||||
HELOC | 3,080.2 | 10.0 | 112.2 | 3.9 | 45.5 | (41.6 | ) | 271.9 | ||||||||||||||||
Total second lien | 4,010.9 | 3.3 | 122.5 | 40.2 | 45.5 | (5.3 | ) | 439.8 | ||||||||||||||||
Total U.S. RMBS | 9,806.1 | 55.0 | 153.0 | 141.1 | 51.9 | 89.2 | 1,176.5 | |||||||||||||||||
Other structured finance | 531.2 | 3.8 | 0.5 | 26.6 | — | 26.6 | 7.6 | |||||||||||||||||
Public finance | 1,544.3 | 7.4 | 2.7 | 9.2 | — | 9.2 | 39.1 | |||||||||||||||||
Total including VIEs | $ | 11,881.6 | $ | 66.2 | $ | 156.2 | $ | 176.9 | $ | 51.9 | $ | 125.0 | $ | 1,223.2 | ||||||||||
Consoidation of VIEs | — | (10.0 | ) | (17.9 | ) | — | (89.0 | ) | ||||||||||||||||
Total | $ | 11,881.6 | $ | 56.2 | $ | 138.3 | $ | 125.0 | $ | 1,134.2 | ||||||||||||||
- (1)
- Includes credit impairment on credit derivative transactions. Net of reinsurance and salvage and subrogation recoverable.
33
Assured Guaranty Municipal Corp.
Summary of Statutory Financial and Statistical Data
(dollars in millions)
| | Year Ended December 31, | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Q1 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||
Statutory Data | |||||||||||||||||||||
Net income (loss) | $ | 0.5 | $ | 228.2 | $ | (1,376.7 | ) | $ | 312.9 | $ | 339.6 | $ | 293.5 | ||||||||
Policyholders' surplus | $ | 863 | $ | 909 | $ | 711 | $ | 1,609 | $ | 1,543 | $ | 1,511 | |||||||||
Contingency reserve | 1,357 | 1,323 | 1,282 | 1,094 | 1,011 | 907 | |||||||||||||||
Qualified statutory capital | 2,220 | 2,232 | 1,993 | 2,703 | 2,554 | 2,418 | |||||||||||||||
Unearned premium reserve | 2,229 | 2,392 | 2,520 | 2,275 | 2,071 | 1,850 | |||||||||||||||
Loss and LAE reserves | 1,252 | 1,236 | 1,688 | 98 | 53 | 54 | |||||||||||||||
Total policyholders' surplus and reserves | 5,701 | 5,860 | 6,201 | 5,076 | 4,678 | 4,322 | |||||||||||||||
Present value of installment premiums | 846 | 874 | 963 | 1,113 | 828 | 804 | |||||||||||||||
Standby line of credit/stop loss | 498 | 498 | 550 | 550 | 550 | 550 | |||||||||||||||
Total claims-paying resources | $ | 7,045 | $ | 7,232 | $ | 7,714 | $ | 6,739 | $ | 6,056 | $ | 5,676 | |||||||||
Statutory Financial Ratios | |||||||||||||||||||||
Loss and LAE ratio | 198.8 | % | 17.4 | % | 480.2 | % | 16.1 | % | 0.0 | % | 2.1 | % | |||||||||
Expense ratio | NM | 48.1 | % | 9.1 | % | 30.0 | % | 29.9 | % | 27.8 | % | ||||||||||
Combined ratio | NM | 65.5 | % | 489.3 | % | 46.1 | % | 29.9 | % | 29.9 | % | ||||||||||
Other Financial Information (Statutory basis): | |||||||||||||||||||||
Net debt service outstanding (end of period) | $ | 525,788 | $ | 568,594 | $ | 631,886 | $ | 623,158 | $ | 552,695 | $ | 497,625 | |||||||||
Gross debt service outstanding (end of period) | 745,139 | 755,360 | 834,426 | 858,458 | 765,632 | 686,134 | |||||||||||||||
Net par outstanding (end of period) | 352,809 | 381,148 | 424,393 | 426,512 | 376,456 | 351,398 | |||||||||||||||
Gross par outstanding (end of period) | 487,713 | 493,798 | 545,568 | 564,515 | 498,619 | 472,374 | |||||||||||||||
Ceded par to all Assured Guaranty companies | 65,017 | 32,501 | 32,927 | 30,872 | 37,590 | 44,599 | |||||||||||||||
Ceded par to other companies | 69,887 | 79,433 | 88,248 | 107,131 | 84,573 | 76,377 | |||||||||||||||
Ratios: | |||||||||||||||||||||
Net par insured to statutory capital | 159:1 | 171:1 | 213:1 | 158:1 | 147:1 | 145:1 | |||||||||||||||
Capital ratio(1) | 237:1 | 255:1 | 317:1 | 231:1 | 216:1 | 206:1 | |||||||||||||||
Financial resources ratio(2) | 75:1 | 79:1 | 82:1 | 92:1 | 91:1 | 88:1 | |||||||||||||||
Gross debt service written: | |||||||||||||||||||||
Public finance | $ | 8,600 | $ | 4,202 | $ | 85,666 | $ | 133,792 | $ | 127,294 | $ | 120,745 | |||||||||
Structured finance | — | — | 5,193 | 57,434 | 48,794 | 40,347 | |||||||||||||||
Total gross debt service written | $ | 8,600 | $ | 4,202 | $ | 90,859 | $ | 191,226 | $ | 176,088 | $ | 161,092 | |||||||||
- (1)
- The capital ratio is calculated by dividing net par and interest insured divided by qualified statutory capital.
- (2)
- The financial resources ratio is calculated by dividing net par and interest insured by total claims paying resources.
NM = Not meaningful
34
Below are the brief descriptions of selected types of U.S. public finance, non-U.S. public finance, U.S. structured finance and non-U.S. structured finance obligations that the Company insures and reinsures. For a more complete description, please refer to Assured Guaranty Ltd.'s Annual Report on Form 10-K for the year ended December 31, 2009.
General Obligation Bonds are full faith and credit bonds that are issued by states, their political subdivisions and other municipal issuers, and are supported by the general obligation of the issuer to pay from available funds and by a pledge of the issuer to levy ad valorem taxes in an amount sufficient to provide for the full payment of the bonds.
Tax-Backed Bonds are obligations that are supported by the issuer from specific and discrete sources of taxation. They include tax-backed revenue bonds, general fund obligations and lease revenue bonds. Tax-backed obligations may be secured by a lien on specific pledged tax revenues, such as a gasoline or excise tax, or incrementally from growth in property tax revenue associated with growth in property values. These obligations also include obligations secured by special assessments levied against property owners and often benefit from issuer covenants to enforce collections of such assessments and to foreclose on delinquent properties. Lease revenue bonds typically are general fund obligations of a municipality or other governmental authority that are subject to annual appropriation or abatement; projects financed and subject to such lease payments ordinarily include real estate or equipment serving an essential public purpose. Bonds in this category also include moral obligations of municipalities or governmental authorities.
Municipal Utility Bonds are obligations of all forms of municipal utilities, including electric, water and sewer utilities and resource recovery revenue bonds. These utilities may be organized in various forms, including municipal enterprise systems, authorities or joint action agencies.
Transportation Bonds include a wide variety of revenue-supported bonds, such as bonds for airports, ports, tunnels, municipal parking facilities, toll roads and toll bridges.
Healthcare Bonds are obligations of healthcare facilities, including community based hospitals and systems, as well as of health maintenance organizations and long-term care facilities.
Higher Education Bonds are obligations secured by revenue collected by either public or private secondary schools, colleges and universities. Such revenue can encompass all of an institution's revenue, including tuition and fees, or in other cases, can be specifically restricted to certain auxiliary sources of revenue.
Housing Revenue Bonds are obligations relating to both single and multi-family housing, issued by states and localities, supported by cash flow and, in some cases, insurance from entities such as the Federal Housing Administration.
Infrastructure Bonds include obligations issued by a variety of entities engaged in the financing of infrastructure projects, such as roads, airports, ports, social infrastructure and other physical assets delivering essential services supported by long-term concession arrangements with a public sector entity.
Investor-Owned Utility Bonds are obligations primarily backed by investor-owned utilities, first mortgage bond obligations of for-profit electric or water utilities providing retail, industrial and commercial service, and also include sale-leaseback obligation bonds supported by such entities.
Regulated Utilities Obligations are issued by government-regulated providers of essential services and commodities, including electric, water and gas utilities. The majority of the Company's international regulated utility business is conducted in the UK.
Pooled Infrastructure Obligations are synthetic asset-backed obligations that take the form of CDS obligations or credit-linked notes that reference either infrastructure finance obligations or a pool of
35
such obligations, with a defined deductible to cover credit risks associated with the referenced obligations.
Other Public Finance. Other domestic public finance obligations insured by AGM include bonds secured by revenues and guarantees from the Federal government, financings supported by specific state or local government entity revenues and stadium financings.
Pooled Corporate Obligations are securities primarily backed by various types of corporate debt obligations, such as secured or unsecured bonds, bank loans or loan participations and trust preferred securities. These securities are often issued in "tranches," with subordinated tranches providing credit support to the more senior tranches. The Company's financial guaranty exposures generally are to the more senior tranches of these issues.
Residential Mortgage-Backed Securities ("RMBS") and Home Equity Securities are obligations backed by closed-end first mortgage loans and closed- and open-end second mortgage loans or home equity loans on one-to-four family residential properties, including condominiums and cooperative apartments. First mortgage loan products in these transactions include fixed rate, adjustable rate ("ARM") and option adjustable-rate ("Option ARM") mortgages. The credit quality of borrowers covers a broad range, including "prime", "subprime" and "Alt-A". A prime borrower is generally defined as one with strong risk characteristics as measured by factors such as payment history, credit score, and debt-to-income ratio. A subprime borrower is a borrower with higher risk characteristics, usually as determined by credit score and/or credit history. An Alt-A borrower is generally defined as a prime quality borrower that lacks certain ancillary characteristics, such as fully documented income.
Financial Products is the guaranteed investment contracts ("GICs") portion of the former Financial Products Business of AGMH. AGM has issued financial guaranty insurance policies on the GICs and in respect of the GICs business that cannot be revoked or cancelled. Assured Guaranty is indemnified against exposure to the former Financial Products Business by Dexia. In addition, the French and Belgian governments have issued guaranties in respect of the GICs portion of the Financial Products Business. The Financial Products Business is currently being run off.
Structured Credit Securities include program-wide credit enhancement for commercial paper conduits in the U.S., and securities issued in whole business securitizations and intellectual property securitizations. Program-wide credit enhancement generally involves insuring against the default of ABS in a bank-sponsored commercial paper conduit. Securities issued in whole business and intellectual property securitizations are backed by revenue-producing assets sold to a limited-purpose company by an operating company, including franchise agreements, lease agreements, intellectual property and real property.
Consumer Receivables Securities are obligations backed by non-mortgage consumer receivables, such as automobile loans and leases, credit card receivables and other consumer receivables.
Commercial Mortgage-Backed Securities ("CMBS") are obligations backed by pools of commercial mortgages. The collateral supporting CMBS include office, multi-family, retail, hotel, industrial and other specialized or mixed-use properties.
Commercial Receivables Securities are obligations backed by equipment loans or leases, fleet auto financings, business loans and trade receivables. Credit support is derived from the cash flows generated by the underlying obligations, as well as property or equipment values as applicable.
Insurance Securitization Securities are obligations secured by the future earnings from pools of various types of insurance/reinsurance policies and income produced by invested assets.
Other Structured Finance Securities are obligations backed by assets not generally described in any of the other described categories.
36
Endnotes related to non-GAAP financial measures discussed in the financial supplement:
This Financial Supplement references financial measures that are not in accordance with U.S. generally accepted accounting principles ("GAAP"), which management uses in order to assist analysts and investors in evaluating the Company's financial results. These financial measures not in accordance with GAAP ("non-GAAP financial measures") are defined below. In each case, the most directly comparable financial measure under GAAP, if available, is presented and a reconciliation of the non-GAAP financial measure and GAAP financial measure is provided. This presentation is consistent with how Assured Guaranty's management, analysts and investors evaluate the Company's financial results and is comparable to estimates published by analysts in their research reports on AGM.
(a) 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 installment premiums, on insurance and credit derivative contracts written in the current period, discounted at 6%. Management believes that PVP is a useful measure for management, investors and analysts because it permits the evaluation of the value of new business production for AGM by taking into account the value of estimated future installment premiums on all new contracts underwritten in a reporting period, whether in insurance or credit derivative contract form, which GAAP gross premiums written and the net credit derivative premiums received and receivable portion of net realized gains and other settlement on credit derivatives ("Credit Derivative Revenues") do not adequately measure. For purposes of the PVP calculation, management discounts estimated future installment premiums on insurance contracts at 6%, while under GAAP, these amounts are discounted at a risk free rate. Additionally, under GAAP, management records future installment premiums on financial guaranty insurance contracts covering non-homogeneous pools of assets based on the contractual term of the transaction, whereas for PVP purposes, management records an estimate of the future installment premiums the Company expects to receive, which may be based upon a shorter period of time than the contractual term of the transaction. Actual future net earned or written premiums and Credit Derivative Revenues may differ from PVP due to factors including, but not limited to, prepayments, amortizations, refundings, contract terminations or defaults that may or may not result from changes in market interest rates, foreign exchange rates, refinancing or refundings, prepayment speeds, policy changes or terminations, credit defaults or other factors. PVP should not be viewed as a substitute for gross written premiums determined in accordance with GAAP.
(b) Operating income: Operating income is a non-GAAP financial measure defined as net income (loss) attributable to Assured Guaranty Municipal Corp. (which excludes noncontrolling interests in consolidated variable interest entities), adjusted for the following:
- 1)
- Elimination of the after-tax realized gains (losses) on the Company's investment portfolios;
- 2)
- Elimination of the after-tax non-credit impairment unrealized fair value gains (losses) on credit derivatives accounted for as derivatives, which is the amount in excess of the present value of the expected estimated economic credit losses;
- 3)
- Elimination of the after-tax fair value gains (losses) on the Company's committed capital securities;
- 4)
- Elimination gain on bargain purchase; and
- 5)
- Elimination of after-tax non-economic fair value adjustments and net interest margin of consolidated financial guaranty variable interest entities.
Management believes that operating income is a useful measure for management, investors and analysts because the presentation of operating income clarifies the understanding of the Company's results of operations by highlighting the underlying profitability of its business. Realized gains and losses on the Company's investment portfolios are excluded from operating income because the timing
37
and amount of realized gains and losses are not directly related to the Company's insurance businesses. Non-credit impairment unrealized fair value gains and losses on credit derivatives as well as fair value gains and losses on the Company's committed capital securities and fair value adjustments and net interest margin of financial guaranty VIEs are excluded from operating income because these gains and losses do not result in an economic gain or loss and are heavily affected by, and fluctuate, in part, according to changes in market interest rates, credit spreads and other factors. Operating income should not be viewed as a substitute for net income (loss) determined in accordance with GAAP.
(c) Operating shareholder's equity: Operating shareholder's equity is a non-GAAP financial measure calculated as shareholders' equity attributable to Assured Guaranty Municipal Corp. (which excludes noncontrolling interests in consolidated variable interest entities) reported under GAAP, adjusted for the following fair value adjustments deemed to be unrelated to credit impairment:
- 1)
- Elimination of the after-tax unrealized gains (losses) on the Company's investment portfolios, recorded as a component of accumulated comprehensive income, excluding foreign exchange revaluation;
- 2)
- Elimination of the after-tax non-credit impairment unrealized fair value gains (losses) on credit derivatives accounted for as derivatives, which is the amount in excess of the present value of the expected estimated economic credit losses;
- 3)
- Elimination of the after-tax fair value gains (losses) on the Company's committed capital securities; and
- 4)
- Elimination of after-tax non-economic fair-value adjustments of consolidated financial guaranty VIEs.
Management believes that operating shareholder's equity is a useful measure for management, investors and analysts because the presentation of this measure clarifies the understanding of the Company's results of operations by highlighting the underlying profitability of its business. Non-credit impairment unrealized fair value gains and losses on credit derivatives, fair value gains and losses on the Company's committed capital securities, non-economic fair value adjustments of consolidated financial guaranty VIEs and unrealized gains and losses on the Company's investment portfolios recorded in accumulated comprehensive income are excluded from operating shareholders' equity because these gains and losses do not result in an economic gain or loss and are heavily affected by, and fluctuate, in part, according to changes in market interest rates, credit spreads and other factors. Operating shareholders' equity should not be viewed as a substitute for shareholders' equity determined in accordance with GAAP.
(d) Operating return on equity ("Operating ROE"): Operating ROE is a non-GAAP financial measure that represents operating income for the specified period divided by the average of operating shareholders' equity at the beginning and the end of the specified period
(e) Adjusted Book Value: Adjusted book value is a non-GAAP financial measure calculated as shareholders' equity attributable to Assured Guaranty Municipal Corp. (which excludes noncontrolling interests in variable interest entities) adjusted for the following:
- 1)
- Elimination of after-tax non-economic fair-value adjustments of consolidated financial guaranty VIEs;
- 2)
- Elimination of the after-tax non-credit impairment unrealized fair value gains (losses) on credit derivatives accounted for as derivatives, which is the amount in excess of the present value of expected estimated economic credit losses;
- 3)
- Elimination of the after-tax fair value gains (losses) on the Company's committed capital securities;
38
- 4)
- Elimination of the after-tax unrealized gains (losses) on the Company's investment portfolios, recorded as a component of accumulated comprehensive income, excluding foreign exchange revaluation;
- 5)
- Elimination of after-tax deferred acquisition costs;
- 6)
- Addition of the after-tax net present value of estimated net future credit derivative revenue discounted at 6% and the addition of the after-tax value of net unearned revenue on credit derivatives; and
- 7)
- Addition of the after-tax value of the net unearned premium reserve on financial guaranty contracts in excess of net expected loss to be expensed.
Management believes that adjusted book value is a useful measure for management, investors and analysts because the calculation of adjusted book value permits an evaluation of the net present value of the Company's in force premiums and shareholders' equity. The premiums included in adjusted book value will be earned in future periods, but may differ materially from the estimated amounts used in determining current adjusted book value due to changes in market interest rates, foreign exchange rates, refinancing or refunding activity, prepayment speeds, policy changes or terminations, credit defaults and other factors. This measure should not be viewed as a substitute for shareholders' equity attributable to AGM determined in accordance with GAAP.
(e) Net present value of estimated net future credit derivative revenue: Net present value of estimated net future credit derivative revenue is a non-GAAP financial measure defined as the present value of estimated future revenue from our credit derivative in-force book of business, net of reinsurance, ceding commissions and premium taxes in excess of expected losses, and discounted at 6%. Management believes that net present value of estimated net future credit derivative revenue is a useful measure for management, investors and analysts because it permits an evaluation of the value of future estimated credit derivative revenue. Estimated net future credit derivative revenue may change from period to period due to changes in par outstanding, maturity, or other factors that result from market interest rates, foreign exchange rates, refinancing or refunding activity, prepayment speeds, policy changes or terminations, credit defaults or other factors. There is no comparable GAAP financial measure.
39
MUNICIPAL
Contacts: | ||
Equity Investors: Sabra Purtill Managing Director, Investor Relations (212) 408-6044 spurtill@assuredguaranty.com | ||
Ross Aron Assistant Vice President, Investor Relations (212) 261-5509 raron@assuredguaranty.com | ||
Assured Guaranty Municipal Corp. 31 West 52nd Street New York, NY 10019 (212) 974-0100 www.assuredguaranty.com | Fixed Income Investors: Robert Tucker Managing Director, Fixed Income Investor Relations (212) 339-0861 rtucker@assuredguaranty.com | |
Michael Walker Director, Fixed Income Investor Relations (212) 261-5575 mwalker@assuredguaranty.com | ||
Media: Betsy Castenir Managing Director, Corporate Communications (212) 339-3424 bcastenir@assuredguaranty.com | ||
Ashweeta Durani Vice President, Corporate Communications (212) 408-6042 adurani@assuredguaranty.com |
Assured Guaranty Municipal Corp. March 31, 2010 Financial Supplement
Assured Guaranty Municipal Corp. Selected Financial Highlights (dollars in millions)
Assured Guaranty Municipal Corp. Consolidated Statements of Operations (in millions)
Assured Guaranty Municipal Corp. Consolidated Balance Sheets (dollars in millions)
Assured Guaranty Municipal Corp. Claims Paying Resources and Statutory-basis Exposures(1) (dollars in millions)
Assured Guaranty Municipal Corp. New Business Production (dollars in millions)
Assured Guaranty Municipal Corp. Financial Guaranty Gross Par Written (in millions)
Assured Guaranty Municipal Corp. Underwriting Gain (Loss) (in millions)
Assured Guaranty Municipal Corp. Investment Portfolio As of March 31, 2010 (dollars in millions)
Assured Guaranty Municipal Corp. Present Value of Financial Guaranty Insurance Losses to be Expensed (in millions)
Assured Guaranty Municipal Corp. Financial Guaranty Profile (in millions)
Assured Guaranty Municipal Corp. Expected Amortization of U.S. and Non-U.S. Structured Finance Net Par Outstanding (in millions)
Assured Guaranty Municipal Corp. Pooled Corporate Obligations Profile (dollars in millions)
Assured Guaranty Municipal Corp. Consolidated U.S. Residential Mortgage-Backed Securities ("RMBS") Profile (dollars in millions)
Assured Guaranty Municipal Corp. U.S. Consumer Receivables Profile (dollars in millions)
Assured Guaranty Municipal Corp. Credit Derivative Net Par Outstanding Profile (dollars in millions)
Assured Guaranty Municipal Corp. Below Investment Grade Exposures As of March 31, 2010 (in millions)
Assured Guaranty Municipal Corp. Largest Exposures by Sector As of March 31, 2010 (in millions)
Assured Guaranty Municipal Corp. Financial Guaranty Insurance and Credit Derivatives Surveillance Categories (dollars in millions)
Assured Guaranty Municipal Corp. Loss and Loss Adjustment Expense ("LAE") Reserves by Segment/Type (in millions)
Assured Guaranty Municipal Corp. Financial Guaranty Losses Incurred and Paid As of March 31, 2010 (in millions)
Assured Guaranty Municipal Corp. Summary of Statutory Financial and Statistical Data (dollars in millions)
Glossary