Exhibit 99.2
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Assured Guaranty Ltd.
Supplemental Information Regarding Residential Mortgage
Backed Securities (RMBS), Subprime RMBS, and
Collateralized Debt Obligations of Asset Backed Securities
(CDOs of ABS) Exposures as of June 30, 2007
Table of Contents | | Page |
Assured Guaranty Ltd. | | |
RMBS and Subprime RMBS Profile | | 1-2 |
Financial Guaranty Direct US Subprime RMBS Deals Originated Since January 1, 2004 | | 3-5 |
CDO of ABS Profile | | 6 |
This disclosure should be read in conjunction with documents filed by Assured Guaranty Ltd. (the “Company”) with the Securities and Exchange Commission, including our 10-Q’s dated March 31, 2006, June 30, 2006, September 30, 2006 and March 31, 2007 and our 10-K for the year ended December 31, 2006.
Some amounts in this disclosure may not add due to rounding.
Cautionary Statement Regarding Forward-Looking Statements:
Any forward-looking statements made in this disclosure reflect the Company’s current views 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. For example, the Company’s forward looking statements, including its statements regarding exposure to residential mortgage backed securities and CDOs of ABS, could be affected by rating agency action such as a ratings downgrade, difficulties with the execution of the Company’s business strategy, contract cancellations, a significant reduction in the amount of reinsurance ceded by one or more of our principal ceding companies, developments or volatility in the world’s financial and capital markets, more severe or frequent losses associated with products affecting the adequacy of the Company’s loss reserve, changes in regulation or tax laws, governmental actions, natural catastrophes, the Company’s dependence on customers, decreased demand or increased competition, loss of key personnel, technological developments, the effects of mergers, acquisitions and divestitures, changes in accounting policies or practices, changes in general economic conditions, other risks and uncertainties that have not been identified at this time, management’s response to these factors, and other risk factors identified in the Company’s filings with the Securities and Exchange Commission. 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. The Company 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 Ltd.
Residential Mortgage Backed Securities (RMBS) Profile (Part 1 of 2)
As of June 30, 2007
(dollars in millions)
Distribution by Ratings(1) of RMBS by Category as of June 30, 2007
| | June 30, 2007 | |
| | US | | International | | Total Net Par | | | |
Ratings (1) | | Prime | | Subprime | | Prime | | Subprime | | Outstanding | | % of Total | |
AAA/Aaa | | $ | 1,484 | | $ | 6,332 | | $ | 4,093 | | $ | 28 | | $ | 11,937 | | 66.6 | % |
AA/Aa | | 233 | | 19 | | 172 | | 27 | | 451 | | 2.5 | % |
A/A | | 1,271 | | 33 | | 192 | | — | | 1,496 | | 8.3 | % |
BBB/Baa | | 3,590 | | 263 | | 97 | | — | | 3,951 | | 22.0 | % |
Below investment grade | | — | | 100 | | — | | — | | 100 | | 0.6 | % |
Total exposures | | $ | 6,578 | | $ | 6,746 | | $ | 4,554 | | $ | 55 | | $ | 17,933 | | 100.0 | % |
Distribution of RMBS by Category and By Year Insured as of June 30, 2007
| | US | | International | | Total Net Par | | | |
| | Prime | | Subprime(2) | | Prime | | Subprime | | Outstanding | | % of Total | |
2000 and prior | | $ | 106 | | $ | 59 | | $ | 67 | | $ | — | | $ | 232 | | 1.3 | % |
2001 | | 17 | | 19 | | 208 | | — | | 244 | | 1.4 | % |
2002 | | 52 | | 20 | | 286 | | — | | 359 | | 2.0 | % |
2003 | | 120 | | 376 | | 104 | | 48 | | 648 | | 3.6 | % |
2004 | | 711 | | 458 | (2) | 63 | | 6 | | 1,238 | | 6.9 | % |
2005 | | 1,989 | | 109 | (2) | 1,264 | | 1 | | 3,363 | | 18.8 | % |
2006 | | 1,384 | | 4,623 | (2) | 2,561 | | — | | 8,568 | | 47.8 | % |
2007 year to date | | 2,200 | | 1,081 | (2) | — | | — | | 3,281 | | 18.3 | % |
| | $ | 6,578 | | $ | 6,746 | | $ | 4,554 | | $ | 55 | | $ | 17,933 | | 100.0 | % |
Distribution of U.S. Subprime RMBS by Rating(1) and by Financial Guaranty Segment as of June 30, 2007
| | Direct | | | | Reinsurance | | | | Total | | | |
| | Net Par | | % of Direct | | Net Par | | % of Reins. | | Net Par | | | |
Ratings (1) | | Outstanding | | Segment | | Outstanding | | Segment | | Outstanding | | % of Total | |
AAA/Aaa | | $ | 6,112 | | 95.3 | % | $ | 220 | | 66.4 | % | $ | 6,332 | | 93.9 | % |
AA/Aa | | — | | — | | 19 | | 5.6 | % | 19 | | 0.3 | % |
A/A | | 8 | | 0.1 | % | 25 | | 7.5 | % | 33 | | 0.5 | % |
BBB/Baa | | 237 | | 3.7 | % | 26 | | 7.9 | % | 263 | | 3.9 | % |
Below investment grade | | 58 | | 0.9 | % | 42 | | 12.7 | % | 100 | | 1.5 | % |
| | $ | 6,414 | | 100.0 | % | $ | 332 | | 100.0 | % | $ | 6,746 | | 100.0 | % |
(1). Assured Guaranty internal rating. Our scale is comparable to that of the nationally recognized rating agencies.
(2). 100% of the $6.0 billion in U.S. subprime RMBS exposure insured by Assured Guaranty Ltd.’s Financial Guaranty Direct segment in 2004, 2005, 2006, and YTD 2007 is rated AAA/Aaa.
1
Assured Guaranty Ltd.
Residential Mortgage Backed Securities (RMBS) Profile (Part 2 of 2)
As of June 30, 2007
(dollars in millions)
Distribution of U.S. Subprime RMBS by Rating and Year Insured as of June 30, 2007
Consolidated Assured Guaranty Ltd.
Consolidated Net Par Outstanding by Rating(1) and Year Insured as of June 30, 2007
Year | | Super | | AAA | | AA | | A | | BBB | | BIG | | | |
Insured | | Senior | | Rated | | Rated | | Rated | | Rated | | Rated | | Total | |
2000 and prior | | $ | — | | $ | 2 | | $ | 1 | | $ | 7 | | $ | 14 | | $ | 35 | | $ | 59 | |
2001 | | — | | 1 | | 0 | | 0 | | 2 | | 16 | | 19 | |
2002 | | — | | 8 | | — | | 0 | | 9 | | 3 | | 20 | |
2003 | | — | | 84 | | — | | 10 | | 237 | | 45 | | 376 | |
2004 | | — | | 455 | | 1 | | 3 | | — | | — | | 458 | |
2005 | | — | | 109 | | 0 | | 0 | | 0 | | — | | 109 | |
2006 | | 3,000 | | 1,620 | | — | | 1 | | 1 | | — | | 4,623 | |
2007 YTD | | — | | 1,052 | | 17 | | 12 | | 0 | | — | | 1,081 | |
| | $ | 3,000 | | $ | 3,332 | | $ | 19 | | $ | 33 | | $ | 263 | | $ | 100 | | $ | 6,746 | |
% of total | | 44.5 | % | 49.4 | % | 0.3 | % | 0.5 | % | 3.9 | % | 1.5 | % | 100.0 | % |
Financial Guaranty Direct
Financial Guaranty Direct Net Par Outstanding by Rating(1) and Year Insured as of June 30, 2007
Year | | Super | | AAA | | AA | | A | | BBB | | BIG | | | |
Insured | | Senior | | Rated | | Rated | | Rated | | Rated | | Rated | | Total | |
2000 and prior | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
2001 | | — | | — | | — | | — | | — | | 9 | | 9 | |
2002 | | — | | — | | — | | — | | — | | 3 | | 3 | |
2003 | | — | | 79 | | — | | 8 | | 237 | | 45 | | 369 | |
2004 | | — | | 300 | | — | | — | | — | | — | | 300 | |
2005 | | — | | 88 | | — | | — | | — | | — | | 88 | |
2006 | | 3,000 | | 1,600 | | — | | — | | — | | — | | 4,600 | |
2007 YTD | | — | | 1,044 | | — | | — | | — | | — | | 1,044 | |
| | $ | 3,000 | | $ | 3,111 | | $ | — | | $ | 8 | | $ | 237 | | $ | 58 | | $ | 6,414 | |
% of total | | 46.8 | % | 48.5 | % | 0.0 | % | 0.1 | % | 3.7 | % | 0.9 | % | 100.0 | % |
Financial Guaranty Reinsurance
Financial Guaranty Reinsurance Net Par Outstanding by Rating(1) and Year Insured as of June 30, 2007
Year | | Super | | AAA | | AA | | A | | BBB | | BIG | | | |
Insured | | Senior | | Rated | | Rated | | Rated | | Rated | | Rated | | Total | |
2000 and prior | | $ | — | | $ | 2 | | $ | 1 | | $ | 7 | | $ | 14 | | $ | 35 | | $ | 59 | |
2001 | | — | | 1 | | 0 | | 0 | | 2 | | 7 | | 10 | |
2002 | | — | | 8 | | — | | 0 | | 9 | | — | | 17 | |
2003 | | — | | 5 | | — | | 2 | | — | | 0 | | 7 | |
2004 | | — | | 155 | | 1 | | 3 | | — | | — | | 158 | |
2005 | | — | | 21 | | 0 | | 0 | | 0 | | — | | 21 | |
2006 | | — | | 20 | | — | | 1 | | 1 | | — | | 22 | |
2007 YTD | | — | | 8 | | 17 | | 12 | | 0 | | — | | 37 | |
| | $ | — | | $ | 220 | | $ | 19 | | $ | 25 | | $ | 26 | | $ | 42 | | $ | 332 | |
% of total | | 0.0 | % | 66.4 | % | 5.6 | % | 7.5 | % | 7.9 | % | 12.7 | % | 100.0 | % |
(1) Assured Guaranty internal rating. Our scale is comparable to that of the nationally recognized rating agencies.
2
Assured Guaranty Ltd.
Financial Guaranty Direct Segment
Subprime RMBS Deals Originated Since January 1, 2004 (Part 1 of 3)
(dollars in millions)
Financial Guaranty Direct Segment Originated U.S. Subprime RMBS Net Par Outstanding by Year Insured from January 1, 2004 to June 30, 2007:
| | | | | | Ratings as of June 30, 2007 | | Subordination (1) | |
| | | | Net Par | | | | | | | | Original Sub- | | Current Sub- | |
| | | | Outstanding, | | | | | | Original AAA | | ordination | | ordination | |
| | | | as of June 30, | | | | Sub- | | Below | | Below | |
Year Insured | | Year Issued | | 2007 | | S&P | | Moody’s | | ordination | | Assured | | Assured | |
| | | | | | | | | | | | | | | |
2004 | | 2004 | | $ | 139.4 | | AAA | | Aaa | | 21.5 | % | 21.5 | % | 74.6 | % |
2004 | | 2004 | | 115.0 | | AAA | | Aaa | | 17.1 | % | 17.1 | % | 70.3 | % |
2004 | | 2004 | | 45.8 | | AAA | | Aaa | | 23.3 | % | 23.3 | % | 88.3 | % |
2004 par insured: | | | | $ | 300.3 | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
2005 | | 2005 | | 88.1 | | AAA | | Aaa | | 23.0 | % | 23.0 | % | 43.3 | % |
2005 par insured: | | | | $ | 88.1 | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
2006 | | 2005 | | $ | 100.0 | | AAA | | Aaa | | 24.2 | % | 34.2 | % | 46.9 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 19.0 | % | 29.0 | % | 41.8 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 20.1 | % | 30.1 | % | 44.8 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 25.5 | % | 35.5 | % | 51.0 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 20.7 | % | 30.7 | % | 46.8 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 22.1 | % | 32.1 | % | 39.9 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 24.6 | % | 34.6 | % | 56.9 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 26.5 | % | 36.5 | % | 50.4 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 21.2 | % | 31.2 | % | 43.9 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 21.9 | % | 31.9 | % | 67.0 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 22.6 | % | 32.6 | % | 58.4 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 20.1 | % | 30.1 | % | 39.0 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 21.8 | % | 31.8 | % | 57.0 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 21.7 | % | 31.7 | % | 49.3 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 22.9 | % | 32.9 | % | 50.8 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 23.6 | % | 33.6 | % | 45.6 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 20.6 | % | 30.6 | % | 41.3 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 23.6 | % | 33.6 | % | 48.9 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 25.7 | % | 35.7 | % | 50.8 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 18.2 | % | 28.2 | % | 45.7 | % |
2006 | | 2005 | | 100.0 | | AAA | | Aaa | | 17.6 | % | 27.6 | % | 39.2 | % |
2006 | | 2006 | | 100.0 | | AAA | | Aaa | | 22.5 | % | 32.5 | % | 46.6 | % |
2006 | | 2006 | | 100.0 | | AAA | | Aaa | | 21.4 | % | 31.4 | % | 38.8 | % |
2006 | | 2006 | | 100.0 | | AAA | | Aaa | | 26.0 | % | 36.0 | % | 47.0 | % |
2006 | | 2006 | | 100.0 | | AAA | | Aaa | | 20.6 | % | 30.6 | % | 37.6 | % |
2006 | | 2006 | | 100.0 | | AAA | | Aaa | | 22.6 | % | 32.6 | % | 37.4 | % |
2006 | | 2006 | | 100.0 | | AAA | | Aaa | | 21.7 | % | 31.7 | % | 40.7 | % |
2006 | | 2006 | | 100.0 | | AAA | | Aaa | | 21.0 | % | 31.0 | % | 42.0 | % |
2006 | | 2006 | | 100.0 | | AAA | | Aaa | | 25.7 | % | 35.7 | % | 45.1 | % |
(1) Subordination refers to the level of credit protection provided by subordinate tranches within the deal structure. Total credit enhancement includes both subordination and the benefit from excess spread.
3
Assured Guaranty Ltd.
Financial Guaranty Direct Segment
Subprime RMBS Deals Originated Since January 1, 2004 (Part 2 of 3)
As of June 30, 2007
(dollars in millions)
Financial Guaranty Direct Segment Originated U.S. Subprime RMBS Net Par Outstanding by Year Insured from January 1, 2004 to June 30, 2007 (continued):
| | | | | | Ratings as of June 30, 2007 | | | | Subordination (1) | | | |
| | | | | | | | | | | | Original Sub- | | Current Sub- | |
| | | | Net Par | | | | Original AAA | | ordination | | ordination | |
Year Insured | | Year Issued | | Outstanding | | S&P | | Moody’s | | Sub-ordination | | Below Assured | | Below Assured | |
| | | | | | | | | | | | | | | |
2006 | | 2006 | | $ | 100.0 | | AAA | | Aaa | | 16.4 | % | 26.4 | % | 34.5 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 24.2 | % | 24.2 | % | 36.9 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 19.0 | % | 19.0 | % | 31.8 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 20.1 | % | 20.1 | % | 34.8 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 25.5 | % | 25.5 | % | 41.0 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 20.7 | % | 20.7 | % | 36.8 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 22.1 | % | 22.1 | % | 29.9 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 24.6 | % | 24.6 | % | 46.9 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 21.2 | % | 21.2 | % | 33.9 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 21.9 | % | 21.9 | % | 57.0 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 22.6 | % | 22.6 | % | 48.4 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 20.1 | % | 20.1 | % | 29.0 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 21.8 | % | 21.8 | % | 47.0 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 21.7 | % | 21.7 | % | 39.3 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 22.9 | % | 22.9 | % | 40.8 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 23.6 | % | 23.6 | % | 35.6 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 20.6 | % | 20.6 | % | 31.3 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 23.6 | % | 23.6 | % | 38.9 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 25.7 | % | 25.7 | % | 40.8 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 18.2 | % | 18.2 | % | 35.7 | % |
2006 | | 2005 | | 80.0 | | AAA | | Aaa | | 17.6 | % | 17.6 | % | 29.2 | % |
2006 par insured: | | | | $ | 4,600.2 | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
2007 | | 2005 | | $ | 25.0 | | AAA | | Aaa | | 18.7 | % | 18.7 | % | 21.3 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 21.5 | % | 21.5 | % | 32.5 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 18.6 | % | 18.6 | % | 21.1 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 22.7 | % | 22.7 | % | 33.9 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 21.2 | % | 21.2 | % | 25.6 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 23.9 | % | 23.9 | % | 26.1 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 25.3 | % | 25.3 | % | 38.0 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 23.5 | % | 23.5 | % | 33.5 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 26.0 | % | 26.0 | % | 30.3 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 21.5 | % | 21.5 | % | 27.1 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 21.7 | % | 21.7 | % | 25.2 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 20.2 | % | 20.2 | % | 23.1 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 19.8 | % | 19.8 | % | 24.4 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 19.7 | % | 19.7 | % | 28.0 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 20.2 | % | 20.2 | % | 23.2 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 19.2 | % | 19.2 | % | 21.4 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 20.2 | % | 20.2 | % | 27.3 | % |
(1) Subordination refers to the level of credit protection provided by subordinate tranches within the deal structure. Total credit enhancement includes both subordination and the benefit from excess spread.
4
Assured Guaranty Ltd.
Financial Guaranty Direct Segment
Subprime RMBS Deals Originated Since January 1, 2004 (Part 3 of 3)
As of June 30, 2007
(dollars in millions)
Financial Guaranty Direct Segment Originated U.S. Subprime RMBS Net Par Outstanding by Year Insured from January 1, 2004 to June 30, 2007 (continued):
| | | | | | Ratings as of June 30, 2007 | | Subordination (1) | |
| | | | | | | | | | | | | | Current Sub- | |
| | | | | | | | | | Original | | Original Sub- | | ordination | |
| | | | Net Par | | | | | | AAA Sub- | | ordination | | Below | |
Year Insured | | Year Issued | | Outstanding | | S&P | | Moody’s | | ordination | | Below Assured | | Assured | |
| | | | | | | | | | | | | | | |
2007 | | 2006 | | $ | 25.0 | | AAA | | Aaa | | 21.8 | % | 21.8 | % | 27.1 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 24.9 | % | 24.9 | % | 33.5 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 23.4 | % | 23.4 | % | 28.5 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 17.6 | % | 17.6 | % | 19.5 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 25.2 | % | 25.2 | % | 39.9 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 20.7 | % | 20.7 | % | 30.1 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 21.4 | % | 21.4 | % | 25.6 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 23.2 | % | 23.2 | % | 25.6 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 21.0 | % | 21.0 | % | 31.8 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 26.0 | % | 26.0 | % | 37.0 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 22.1 | % | 22.1 | % | 25.4 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 20.5 | % | 20.5 | % | 27.5 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 21.7 | % | 21.7 | % | 24.8 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 18.7 | % | 18.7 | % | 22.6 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 19.5 | % | 19.5 | % | 28.6 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 22.3 | % | 22.3 | % | 31.6 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 21.6 | % | 21.6 | % | 23.7 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 22.0 | % | 22.0 | % | 27.4 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 17.4 | % | 17.4 | % | 29.5 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 22.5 | % | 22.5 | % | 26.4 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 22.1 | % | 22.1 | % | 30.0 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 17.4 | % | 17.4 | % | 23.0 | % |
2007 | | 2006 | | 25.0 | | AAA | | Aaa | | 22.1 | % | 22.1 | % | 30.2 | % |
2007 | | 2007 | | 44.0 | | AAA | | Aaa | | 20.3 | % | 20.3 | % | 22.8 | % (3) |
YTD 2007 par insured: | | | | $ | 1,044.0 | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total | | | | $ | 6,032.6 | | | | | | | | | | | |
Financial Guaranty Direct U.S. Subprime RMBS Net Par Outstanding Underwritten Since January 1, 2004 by Rating(2) and Year of Issue as of June 30, 2007
Vintage | | Super | | AAA | | AA | | A | | BBB | | BIG | | | |
Year | | Senior | | Rated | | Rated | | Rated | | Rated | | Rated | | Total | |
| | | | | | | | | | | | | | | |
2004 | | $ | — | | $ | 300.3 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 300.3 | |
2005 | | 2,100.2 | | 1,713.1 | | — | | — | | — | | — | | 3,813.3 | |
2006 | | 900.1 | | 950.0 | | — | | — | | — | | — | | 1,850.1 | |
2007 | | — | | 69.0 | | — | | — | | — | | — | | 69.0 | |
| | $ | 3,000.2 | | $ | 3,032.4 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 6,032.6 | |
| | | | | | | | | | | | | | | |
% of total | | 49.7 | % | 50.3 | % | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | 100.0 | % |
(1) Subordination refers to the level of credit protection provided by subordinate tranches within the deal structure. Total credit enhancement includes both subordination and the benefit from excess spread.
(2) Assured Guaranty internal rating. Our scale is comparable to that of the nationally recognized rating agencies.
(3) This transaction is a secondary market execution on a deal that is wrapped by another AAA-rated financial guarantor. The underlying security is also rated AAA/Aaa.
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Assured Guaranty Ltd.
CDOs of ABS Exposure
Financial Guaranty Direct Segment
(dollars in millions)
Financial Guaranty Direct CDOs of ABS(1) Net Par Outstanding By Type of CDO, by Year Insured and by Collateral:
| | | | | | | | | | | | | | | | | | | | Ratings as of June | | | | | | | |
| | | | | | Type of Collateral as a Percent of Total Pool | | 30, 2007 | | | | | | | |
| | | | | | | | | | | | CDOs of | | | | | | | | | | | | | | | | | |
| | Legal | | | | | | RMBS | | | | Investment | | | | Total | | U.S. | | | | | | Original | | Original Sub- | | Current Sub- | |
Year | | Final | | Net Par | | | | (Includes | | Comm. MBS | | Grade | | CDOs of | | Collateral | | Subprime | | | | | | AAA Sub- | | ordination | | ordination | |
Insured | | Maturity(2) | | Outstanding | | ABS | | Subprime) | | (CMBS) | | Corporate | | ABS | | Pool | | RMBS | | S&P | | Moody’s | | ordination | | Below Assured | | Below Assured | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CDOs of Mezzanine ABS(3): | | | | | | | | | | | | | | | | | | | | | | | | | |
2001 | | 2017 | | $ | 120.6 | | 0 | % | 0 | % | 100 | % | 0 | % | 0 | % | 100 | % | 0 | % | AAA | | Aaa | | 25.1 | % | 25.1 | % | 29.4 | % |
2001 | | 2016 | | 64.1 | | 0 | % | 0 | % | 100 | % | 0 | % | 0 | % | 100 | % | 0 | % | AAA | | Aaa | | 28.1 | % | 28.1 | % | 37.8 | % |
2002 | | 2017 | | 159.8 | | 0 | % | 0 | % | 100 | % | 0 | % | 0 | % | 100 | % | 0 | % | AAA | | Aaa | | 24.6 | % | 24.6 | % | 29.0 | % |
2002 | | 2017 | | 133.4 | | 0 | % | 0 | % | 100 | % | 0 | % | 0 | % | 100 | % | 0 | % | AAA | | Aaa | | 22.1 | % | 22.1 | % | 24.4 | % |
2002 | | 2017 | | 111.0 | | 0 | % | 0 | % | 100 | % | 0 | % | 0 | % | 100 | % | 0 | % | AAA | | Aaa | | 35.0 | % | 35.0 | % | 42.1 | % |
2002 | | 2017 | | 81.3 | | 0 | % | 0 | % | 100 | % | 0 | % | 0 | % | 100 | % | 0 | % | AAA | | Aaa | | 24.0 | % | 24.0 | % | 29.4 | % |
2003 | | 2018 | | 142.8 | | 0 | % | 0 | % | 100 | % | 0 | % | 0 | % | 100 | % | 0 | % | AAA | | Aaa | | 20.0 | % | 20.0 | % | 23.6 | % |
2003 | | 2038 | | 84.6 | | 0 | % | 0 | % | 100 | % | 0 | % | 0 | % | 100 | % | 0 | % | AAA | | Aaa | | 23.0 | % | 38.0 | % | 46.2 | % |
2003 | | 2018 | | 52.8 | | 0 | % | 0 | % | 100 | % | 0 | % | 0 | % | 100 | % | 0 | % | AAA | | Aaa | | 63.0 | % | 63.0 | % | 66.0 | % |
2004 | | No CDO of ABS business written | | | | | | | | | | | | | | | | | | | | | | | |
2005 | | No CDO of ABS business written | | | | | | | | | | | | | | | | | | | | | | | |
2006 | | No CDO of ABS business written | | | | | | | | | | | | | | | | | | | | | | | |
2007 YTD | | No CDO of ABS business written | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Subtotal: | | $ | 950.4 | | 0 | % | 0 | % | 100 | % | 0 | % | 0 | % | 100 | % | 0 | % | AAA | | Aaa | | 27.0 | % | 28.4 | % | 33.3 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CDOs of High Grade ABS(4): | | | | | | | | | | | | | | | | | | | | | | | | | |
2003 | | 2008 | | 280.8 | | 0 | % | 0 | % | 0 | % | 100 | % | 0 | % | 100 | % | 0 | % | AAA | | Aaa | | 7.0 | % | 45.0 | % | 45.0 | % |
2004 | | No CDO of ABS business written | | | | | | | | | | | | | | | | | | | | | | | |
2005 | | No CDO of ABS business written | | | | | | | | | | | | | | | | | | | | | | | |
2006 | | No CDO of ABS business written | | | | | | | | | | | | | | | | | | | | | | | |
2007 YTD | | No CDO of ABS business written | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Subtotal: | | $ | 280.8 | | 0 | % | 0 | % | 0 | % | 100 | % | 0 | % | 100 | % | 0 | % | AAA | | Aaa | | 7.0 | % | 45.0 | % | 45.0 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CDOs of Pooled AAA ABS(5): | | | | | | | | | | | | | | | | | | | | | | | | | |
2003 | | 2010 | | 640.1 | | 35 | % | 34 | % | 26 | % | 5 | % | 0 | % | 100 | % | 0 | % | AAA | | Aaa | | 0.0 | % | 12.5 | % | 12.5 | % |
2003 | | 2008 | | 594.0 | | 37 | % | 57 | % | 6 | % | 0 | % | 0 | % | 100 | % | 32 | % | AAA | | Aaa | | 0.0 | % | 10.0 | % | 10.0 | % |
2004 | | No CDO of ABS business written | | | | | | | | | | | | | | | | | | | | | | | |
2005 | | No CDO of ABS business written | | | | | | | | | | | | | | | | | | | | | | | |
2006 | | No CDO of ABS business written | | | | | | | | | | | | | | | | | | | | | | | |
2007 YTD | | No CDO of ABS business written | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Subtotal: | | $ | 1,234.1 | | 36 | % | 45 | % | 16 | % | 3 | % | 0 | % | 100 | % | 15 | % | AAA | | Aaa | | 0.0 | % | 11.3 | % | 11.3 | % |
| | | | | | | �� | | | | | | | | | | | | | | | | | | | | | | |
Total: | | | | $ | 2,465.2 | | 18 | % | 23 | % | 47 | % | 13 | % | 0 | % | 100 | % | 8 | % | AAA | | Aaa | | 11.2 | % | 21.7 | % | 23.6 | % |
(1) A CDO of ABS is a collateralized debt obligation (CDO) transaction whose collateral pool consists primarily of asset backed securities (ABS), including mortgage backed securities (MBS). ABS transactions securities generally represent an ownership interest in a trust that contains collateral supporting the notes. Those interests are divided into several tranches that can have varying levels of subordination, credit protection triggers and credit ratings.
(2) “Legal Final Maturity” represents the final date for payment specified in the transaction documents and does not take into account prepayments that shorten the expected maturity and weighted average life.
(3) “CDOs of Mezzanine ABS” is a market term that refers to transactions where the underlying collateral at issuance is comprised of mezzanine tranches rated BBB or lower. The collateral underlying Assured’s exposure to CDOs of mezzanine ABS had weighted average ratings, based on rating information as of June 30, 2007, as follows: 17% AAA, 6% AA, 13% A, 46% BBB and 18% below investment grade (BIG).
(4) “CDOs of High Grade ABS” is a market term that refers to transactions where the underlying collateral at issuance is comprised of mezzanine tranches rated single A or higher. The collateral underlying Assured’s exposure to CDOs of High Grade ABS had weighted average ratings, based on rating information, as of June 30, 2007 as follows: 31% AAA, 25% AA, 23% A, 21% BBB and 0% below investment grade (BIG).
(5) “CDOs of Pooled AAA ABS” is a market term that refers to transactions where the underlying collateral at issuance is comprised of the senior-most AAA rated securities. Assured’s exposure to CDOs of Pooled AAA was rated, based on rating information as of June 30, 2007: 100% AAA/Aaa.
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