EX-99.2 3 agl1q15supplement.htm AGL FINANCIAL SUPPLEMENT AGL 1Q'15 Supplement



Assured Guaranty Ltd.
March 31, 2015
Financial Supplement

Table of Contents
 
 
Page
 
Selected Financial Highlights
1
 
Consolidated Balance Sheets (unaudited)
2
 
Consolidated Statements of Operations (unaudited)
3
 
Net Income (Loss) Reconciliation to Operating Income
4
 
Adjusted Book Value
5
 
Claims-Paying Resources
6
 
New Business Production
7
 
Gross Par Written
8
 
New Business Production by Quarter
9
 
Available-for-Sale Investment Portfolio and Cash
10
 
Estimated Net Exposure Amortization and Estimated Future Net Premium and Credit Derivative Revenues
11
 
Expected Amortization of Net Par Outstanding
12
 
Present Value of Financial Guaranty Insurance Net Expected Loss to be Expensed
13
 
Financial Guaranty Profile
14
 
Exposure to Puerto Rico
18
 
Direct Pooled Corporate Obligations Profile
21
 
U.S. RMBS Profile
22
 
Direct U.S. Commercial Real Estate Profile
23
 
Below Investment Grade Exposures
24
 
Largest Exposures by Sector
29
 
Rollforward of Net Expected Loss and Loss Adjustment Expenses to be Paid
33
 
Financial Guaranty Insurance and Credit Derivative U.S. RMBS Representations and Warranties Benefit Development
34
 
Losses Incurred
35
 
Summary Financial and Statistical Data
36
 
Glossary
37
 
Non-GAAP Financial Measures
40

This financial supplement should be read in conjunction with documents filed by Assured Guaranty Ltd. (‘‘AGL’’ and, together with its subsidiaries, ‘‘Assured Guaranty’’ or the ‘‘Company’’) with the Securities and Exchange Commission ("SEC"), including its Annual Report on Form 10-K for the year ended December 31, 2014 and its Quarterly Report on Form 10-Q for the quarterly periods ended March 31, 2015.

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, a change in outlook, the placement of ratings on watch for downgrade, or a change in rating criteria, at any time, of AGL or any of its subsidiaries, and/or of any securities AGL or any of its subsidiaries have issued, and/or of transactions that AGL’s subsidiaries have insured; (2) reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty's insurance; (3) developments in the world’s financial and capital markets that adversely affect obligors’ payment rates, Assured Guaranty’s loss experience, or its exposure to refinancing risk in transactions (which could result in substantial liquidity claims on its guarantees); (4) the possibility that budget shortfalls or other factors will result in credit losses or impairments on obligations of state and local governments and their related authorities and public corporations that Assured Guaranty insures or reinsures; (5) the failure of Assured Guaranty to realize loss recoveries that are assumed in its expected loss estimates; (6) deterioration in the financial condition of Assured Guaranty’s reinsurers, the amount and timing of reinsurance recoverables actually received and the risk that reinsurers may dispute amounts owed to Assured Guaranty under its reinsurance agreements; (7) increased competition, including from new entrants into the financial guaranty industry; (8) rating agency action on obligors, including sovereign debtors, resulting in a reduction in the value of securities in Assured Guaranty’s investment portfolio and in collateral posted by and to Assured Guaranty; (9) the inability of Assured Guaranty to access external sources of capital on acceptable terms; (10) changes in the world’s credit markets, segments thereof, interest rates or general economic conditions; (11) the impact of market volatility on the mark-to-market of Assured Guaranty’s contracts written in credit default swap form; (12) changes in applicable accounting policies or practices; (13) changes in applicable laws or regulations, including insurance and tax laws, or other governmental actions; (14) difficulties with the execution of Assured Guaranty’s business strategy; (15) loss of key personnel; (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 AGL’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 update publicly or review any forward looking statement, whether as a result of new information, future developments or otherwise, except as required by law.






Assured Guaranty Ltd.
Selected Financial Highlights
(dollars in millions, except per share amounts)
 
 
Three Months Ended
 
 
March 31,
 
 
2015
 
2014
Operating income reconciliation:
 
 
 
 
Operating income
 
$
140

 
$
132

Plus after-tax adjustments:
 
 
 
 
Realized gains (losses) on investments
 
9

 
(1
)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives
 
66

 
(171
)
Fair value gains (losses) on committed capital securities
 
1

 
(5
)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and loss adjustment expense (LAE) reserves
 
(9
)
 
0

Effect of consolidating financial guaranty variable interest entities (FG VIEs)
 
(6
)
 
87

Net income (loss)
 
$
201

 
$
42

 
 
 
 
 
Earnings per diluted share:
 
 
 
 
Operating income
 
$
0.89

 
$
0.72

Plus after-tax adjustments:
 
 
 
 
Realized gains (losses) on investments
 
0.06

 
(0.01
)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives
 
0.42

 
(0.93
)
Fair value gains (losses) on committed capital securities
 
0.01

 
(0.03
)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves
 
(0.06
)
 
0.00

Effect of consolidating FG VIEs
 
(0.04
)
 
0.48

Net income (loss)
 
$
1.28


$
0.23

 
 
 
 
 
Weighted average shares outstanding
 
 
 
 
Basic shares outstanding
 
155.8

 
182.1

Diluted shares outstanding (1)
 
156.8

 
183.1

Shares outstanding at the end of period
 
152.8

 
181.2

 
 
 
 
 
Effect of refundings and terminations, net
 
 
 
 
Net earned premiums from refundings and terminations
 
$
41

 
$
29

Realized gains (losses) and other settlements from CDS terminations
 
11

 
0

Operating income effect
 
35

 
20

Operating income per diluted share effect
 
0.22

 
0.11

 
 
 
 
 
Effective tax rate on operating income
 
22.1
%
 
26.7
%
Effective tax rate on net income
 
24.2
%
 
38.8
%
 
 
 
 
 
Return on equity (ROE) calculations (2):
 
 
 
 
ROE, excluding unrealized gain (loss) on investment portfolio
 
15.0
%
 
34.3
%
Operating ROE
 
9.5
%
 
8.5
%
 
 
 
 
 
New business:
 
 
 
 
Gross par written
 
$
2,708

 
$
1,869

Present value of new business production (PVP) (3)   
 
$
36

 
$
31

 
 
 
 
 
 
 
As of
 
 
March 31,
 
December 31,
Other information:
 
2015
 
2014
Net debt service outstanding
 
$
584,659

 
$
609,622

Net par outstanding
 
389,099

 
403,729

Claims-paying resources (4)
 
12,012

 
12,189


1)
Non-GAAP diluted shares outstanding were the same as GAAP diluted shares.

2) Quarterly ROE calculations represent annualized returns.

3) Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

4) See page 6 for additional detail on claims-paying resources.

Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.
Please refer to the Glossary for an explanation of changes in the presentation of net debt service and net par outstanding.

1



Assured Guaranty Ltd.
Consolidated Balance Sheets (unaudited)
(dollars in millions)

 
 
As of:
 
 
March 31,
 
December 31,
 
 
2015
 
2014
Assets:
 
 
 
 
Investment portfolio:
 
 
 
 
Fixed maturity securities, available-for-sale, at fair value
 
$
9,833

 
$
10,491

Short-term investments, at fair value
 
349

 
767

Other invested assets
 
132

 
126

Total investment portfolio
 
10,314

 
11,384

 
 
 
 
 
Cash
 
885

 
75

Premiums receivable, net of commissions payable
 
700

 
729

Ceded unearned premium reserve
 
365

 
381

Deferred acquisition costs
 
120

 
121

Reinsurance recoverable on unpaid losses
 
77

 
78

Salvage and subrogation recoverable
 
128

 
151

Credit derivative assets
 
77

 
68

Deferred tax asset, net
 
218

 
260

FG VIE assets, at fair value
 
1,499

 
1,402

Other assets
 
294

 
276

Total assets
 
$
14,677

 
$
14,925

 
 
 
 
 
Liabilities and shareholders' equity:
 
 
 
 
Liabilities:
 
 
 
 
Unearned premium reserve
 
$
4,127

 
$
4,261

Loss and loss adjustment expense reserve
 
787

 
799

Reinsurance balances payable, net
 
74

 
107

Long-term debt
 
1,304

 
1,303

Credit derivative liabilities
 
859

 
963

Current income tax payable
 

 
5

FG VIE liabilities with recourse, at fair value
 
1,278

 
1,277

FG VIE liabilities without recourse, at fair value
 
145

 
142

Other liabilities
 
317

 
310

Total liabilities
 
8,891

 
9,167

 
 
 
 
 
Shareholders' equity:
 
 
 
 
Common stock
 
2

 
2

Additional paid-in capital
 
1,733

 
1,887

Retained earnings
 
3,676

 
3,494

Accumulated other comprehensive income
 
370

 
370

Deferred equity compensation
 
5

 
5

Total shareholders' equity
 
5,786

 
5,758

Total liabilities and shareholders' equity
 
$
14,677

 
$
14,925





2



Assured Guaranty Ltd.
Consolidated Statements of Operations (unaudited)
(dollars in millions, except per share amounts)

 
 
 
Three Months Ended
 
 
 
March 31,
 
 
 
2015
 
2014
Revenues:
 
 
 
 
 
Net earned premiums
 
$
142

 
$
132

 
Net investment income
 
101

 
103

 
Net realized investment gains (losses)
 
16

 
2

 
Net change in fair value of credit derivatives:
 
 
 
 
 
 
 Realized gains (losses) and other settlements
 
21

 
19

 
 
 Net unrealized gains (losses)
 
103

 
(230
)
 
 
 
Net change in fair value of credit derivatives
 
124

 
(211
)
 
Fair value gains (losses) on committed capital securities
 
2

 
(9
)
 
Fair value gains (losses) on FG VIEs
 
(7
)
 
157

 
Other income (loss)
 
(9
)
 
21

 
 
Total revenues
 
369

 
195

 
 
 
 
 
 
Expenses:
 
 
 
 
 
Loss and loss adjustment expenses
 
18

 
41

 
Amortization of deferred acquisition costs
 
4

 
5

 
Interest expense
 
25

 
20

 
Other operating expenses
 
56

 
60

 
 
Total expenses
 
103

 
126

 
 
 
 
 
 
Income (loss) before income taxes
 
266

 
69

 
Provision (benefit) for income taxes
 
65

 
27

Net income (loss)
 
$
201

 
$
42

 
 
 
 
 
 
Earnings per share:
 
 
 
 
 
Basic
 
$
1.29

 
$
0.23

 
Diluted
 
$
1.28

 
$
0.23

 
 
 
 
 
 
 
 
 


3



Assured Guaranty Ltd.
Net Income (Loss) Reconciliation to Operating Income (1 of 2)
(dollars in millions)

 
 
Three Months Ended
 
Three Months Ended
 
 
March 31, 2015
 
March 31, 2014
 
 
GAAP Income Statement Line Items As Reported
 
Less: Operating Income Adjustments
 
Non-GAAP Operating Income Components
 
GAAP Income Statement Line Items As Reported
 
Less: Operating Income Adjustments
 
Non-GAAP Operating Income Components
Revenues:
 
 
 
 
 
 
 
 
 
 
 
 
Net earned premiums
 
$
142

 
$
(5
)
(1)
$
147

 
$
132

 
$
(17
)
(1)
$
149

Net investment income
 
101

 
(1
)
(1)
102

 
103

 
4

(1)
99

Net realized investment gains (losses)
 
16

 
16

(2)
0

 
2

 

(2)
2

Net change in fair value of credit derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
Realized gains (losses) and other settlements
 
21

 
21

 

 
19

 
19

 

Net unrealized gains (losses)
 
103

 
103

 

 
(230
)
 
(230
)
 

Credit derivative revenues
 

 
(24
)
 
24

 

 
(20
)
 
20

Net change in fair value of credit derivatives
 
124

 
100

(3)
24

 
(211
)
 
(231
)
(3)
20

Fair value gains (losses) on committed capital securities
 
2

 
2

(4)

 
(9
)
 
(9
)
(4)

Fair value gains (losses) on FG VIEs
 
(7
)
 
(7
)
(1)

 
157

 
157

(1)

Other income (loss)
 
(9
)
 
(13
)
(1)(5)
4

 
21

 
(6
)
(1)(5)
27

Total revenues
 
369

 
92

 
277

 
195

 
(102
)
 
297

 
 
 
 
 
 
 
 
 
 
 
 
 
Expenses:
 
 
 
 
 
 
 
 
 
 
 
 
Loss and loss adjustment expenses:
 
 
 
 
 
 
 
 
 
 
 
 
Financial guaranty insurance
 
18

 
(6
)
(1)
24

 
41

 
1

(1)
40

Credit derivatives
 

 
12

(3)
(12
)
 

 
8

(3)
(8
)
Amortization of deferred acquisition costs
 
4

 

 
4

 
5

 

 
5

Interest expense
 
25

 

 
25

 
20

 

 
20

Other operating expenses
 
56

 

 
56

 
60

 

 
60

Total expenses
 
103

 
6

 
97

 
126

 
9

 
117

 
 
 
 
 
 
 
 
 
 
 
 
 
Income (loss) before income taxes
 
266

 
86

 
180

 
69

 
(111
)
 
180

Provision (benefit) for income taxes
 
65

 
25

(6)
40

 
27

 
(21
)
(6)
48

Net income (loss)
 
$
201

 
$
61

 
$
140

 
$
42

 
$
(90
)
 
$
132


1)
Include adjustments related to elimination of the effects of consolidating FG VIEs.

2)
Adjustments to eliminate realized gains (losses) on available-for-sale investments.

3)
Adjustments to eliminate non-economic fair value gains (losses) on credit derivatives and reclassification to revenues and loss expense.

4)
Adjustments to eliminate fair value gain (loss) on committed capital securities.

5)
Include adjustments related to elimination of foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves.

6)
Tax effect of the above adjustments.

Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.




4



Assured Guaranty Ltd.
Adjusted Book Value
(dollars in millions, except per share amounts)


 
 
As of:
 
 
March 31, 2015
 
December 31, 2014
 
 
Total
 
Per Share
 
Total
 
Per Share
Reconciliation of shareholders' equity to adjusted book value:
 
 
 
 
 
 
 
 
Shareholders' equity
 
$
5,786

 
$
37.86

 
$
5,758

 
$
36.37

Less after-tax adjustments:
 
 
 
 
 
 
 
 
Effect of consolidating FG VIEs
 
(49
)
 
(0.32
)
 
(44
)
 
(0.28
)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives
 
(460
)
 
(3.01
)
 
(527
)
 
(3.33
)
Fair value gains (losses) on committed capital securities
 
24

 
0.16

 
23

 
0.14

Unrealized gain (loss) on investment portfolio excluding foreign exchange effect
 
395

 
2.58

 
373

 
2.36

Operating shareholders' equity
 
5,876

 
38.45

 
5,933

 
37.48

After-tax adjustments:
 
 
 
 
 
 
 
 
Less: Deferred acquisition costs
 
155

 
1.02

 
156

 
0.99

Plus: Net present value of estimated net future credit derivative revenue
 
99

 
0.65

 
109

 
0.69

Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed
 
2,534

 
16.58

 
2,609

 
16.48

Adjusted book value
 
$
8,354

 
$
54.66

 
$
8,495

 
$
53.66



Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.



5



Assured Guaranty Ltd.
Claims-Paying Resources
(dollars in millions)
 
 
As of March 31, 2015
 
 
Assured Guaranty Municipal Corp.
 
Assured Guaranty Corp.
 
Municipal Assurance Corp.
 
Assured Guaranty Re Ltd. (10)
 
Eliminations(4)
 
Consolidated
Claims-paying resources
 
 
 
 
 
 
 
 
 
 
 
 
Policyholders' surplus
 
$
2,211

 
$
1,098

 
$
618

 
$
1,054

 
$
(878
)
 
$
4,103

Contingency reserve(1)
 
1,519

 
839

 
311

 

 
(311
)
 
2,358

Qualified statutory capital
 
3,730

 
1,937

 
929

 
1,054

 
(1,189
)
 
6,461

Unearned premium reserve(1)
 
1,702

 
624

 
558

 
857

 
(558
)
 
3,183

Loss and LAE reserves (1) (2)
 
483

 
84

 

 
274

 

 
841

Total policyholders' surplus and reserves
 
5,915

 
2,645

 
1,487

 
2,185

 
(1,747
)
 
10,485

Present value of installment premium(1)
 
289

 
218

 
3

 
170

 
(3
)
 
677

Committed Capital Securities
 
200

 
200

 

 

 

 
400

Excess of loss reinsurance facility (3)
 
450

 
450

 
450

 

 
(900
)
 
450

Total claims-paying resources (including proportionate MAC ownership for AGM and AGC)
 
6,854

 
3,513

 
1,940

 
2,355

 
(2,650
)
 
12,012

Adjustment for MAC (5)
 
944

 
546

 

 

 
(1,490
)
 

Total claims-paying resources (excluding proportionate MAC ownership for AGM and AGC)
 
$
5,910

 
$
2,967

 
$
1,940

 
$
2,355

 
$
(1,160
)
 
$
12,012

 
 
 
 
 
 
 
 
 
 
 
 
 
Statutory net par outstanding (6)                     
 
$
145,064

 
$
43,536

 
$
77,249

 
$
97,896

 
$
(1,445
)
 
$
362,300

Equity method adjustment (7)
 
46,890

 
30,359

 

 

 
(77,249
)
 

Adjusted statutory net par outstanding (1)
 
$
191,954

 
$
73,895

 
$
77,249

 
$
97,896

 
$
(78,694
)
 
$
362,300

 
 
 
 
 
 
 
 
 
 
 
 
 
Net debt service outstanding (6) 
 
$
224,249

 
$
64,641

 
$
115,083

 
$
154,625

 
$
(3,053
)
 
$
555,545

Equity method adjustment (7)
 
69,855

 
45,228

 

 

 
(115,083
)
 

Adjusted net debt service outstanding (1)
 
$
294,104

 
$
109,869

 
$
115,083

 
$
154,625

 
$
(118,136
)
 
$
555,545

Ratios:
 
 
 
 
 
 
 
 
 
 
 
 
Adjusted net par outstanding to qualified statutory capital
 
51:1
 
38:1
 
83:1
 
93:1
 

 
56:1
Capital ratio (8)
 
79:1
 
57:1
 
124:1
 
147:1
 

 
86:1
Financial resources ratio (9)
 
43:1
 
31:1
 
59:1
 
66:1
 

 
46:1
1)
The numbers shown for Assured Guaranty Municipal Corp. (AGM) and Assured Guaranty Corp. (AGC) have been adjusted to include (i) their 100% share of their respective U.K. insurance subsidiaries and (ii) their indirect share of Municipal Assurance Corp. (MAC). AGM and AGC own 60.7% and 39.3%, respectively, of the outstanding stock of Municipal Assurance Holdings Inc., which owns 100% of the outstanding common stock of MAC. Amounts include financial guaranty insurance and credit derivatives.
2)
Reserves are reduced by approximately $0.2 billion for benefit related to representation and warranty recoverables.
3)
Represents an aggregate $450 million excess-of-loss reinsurance facility for the benefit of AGC, AGM and MAC, which became effective January 1, 2014. The facility terminates on January 1, 2016, unless AGC, AGM and MAC choose to extend it.
4)
Eliminations are primarily for (i) intercompany surplus notes between AGM and AGC, and between AGM and MAC, and (ii) MAC amounts, whose proportionate share are included in AGM and AGC based on ownership percentages. Net par and net debt service outstanding eliminations relate to second-to-pay policies under which an Assured Guaranty insurance subsidiary guarantees an obligation already insured by another Assured Guaranty insurance subsidiary, and net par related to intercompany cessions from AGM and AGC to MAC.
5)
Represents adjustment for AGM's and AGC's interest and indirect ownership of MAC's total policyholders' surplus, unearned premium reserve, and loss reserves and present value of installment premium.
6)
Net par outstanding and net debt service outstanding are presented on a separate company statutory basis. Under statutory accounting, such amounts would be reduced both when an outstanding issue is legally defeased (i.e., an issuer has legally discharged its obligations with respect to a municipal security by satisfying conditions set forth in defeasance provisions contained in transaction documents and is no longer responsible for the payment of debt service with respect to such obligations) and when such issue is economically defeased (i.e., transaction documents for a municipal security do not contain defeasance provisions but the issuer establishes an escrow account with U.S. government securities in amounts sufficient to pay the refunded bonds when due; the refunded bonds are not considered paid and continue to be outstanding under the transaction documents and the issuer remains responsible to pay debt service when due to the extent monies on deposit in the escrow account are insufficient for such purpose).
7)
Equity method adjustment is an adjustment made to reflect AGM's and AGC's net exposure to MAC, as determined by their indirect equity ownership, and 100% ownership of their U.K. subsidiaries.
8)
The capital ratio is calculated by dividing adjusted net debt service outstanding by qualified statutory capital.
9)
The financial resources ratio is calculated by dividing adjusted net debt service outstanding by total claims-paying resources (including MAC adjustment for AGM and AGC).
10)
Assured Guaranty Re Ltd. (AG Re) numbers represent the Company's estimate of U.S. statutory accounting practices prescribed or permitted by insurance regulatory authorities.


6



Assured Guaranty Ltd.
New Business Production
(dollars in millions)

 
 
Three Months Ended
 
 
March 31,
 
 
2015
 
2014
New business production analysis:
 
 
 
 
PVP:
 
 
 
 
Public finance - U.S.
 
$
13

 
$
23

Public finance - non-U.S.
 

 
7

Structured finance - U.S.
 
18

 
1

Structured finance - non-U.S.
 
5

 

Total PVP

$
36

 
$
31

 
 
 
 
 
Reconciliation of PVP to gross written premiums (GWP):
 
 
 
 
 
 
 
 
 
Total PVP
 
$
36


$
31

Less: PVP of non-financial guaranty insurance
 
6



PVP of financial guaranty insurance
 
30

 
31

Less: Financial guaranty installment premium PVP
 
17


10

Total: Financial guaranty upfront GWP
 
13

 
21

Plus: Installment GWP and other GAAP adjustments (1)
 
19

 
9

Total GWP
 
$
32

 
$
30

 
 
 
 
 
Gross par written:
 
 
 
 
Public finance - U.S.
 
$
2,441

 
$
1,737

Public finance - non-U.S.
 

 
128

Structured finance - U.S.
 
261

 
4

Structured finance - non-U.S.
 
6

 

Total

$
2,708

 
$
1,869



1)
Includes present value of new business on installment policies plus GWP adjustment on existing installment policies due to changes in assumptions and any cancellations of assumed reinsurance contracts and other GAAP adjustments.

Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.



7



Assured Guaranty Ltd.
Gross Par Written
(dollars in millions)



Gross Par Written by Asset Type

 
 
Three Months Ended
 
 
March 31, 2015
 
 
Gross Par Written
 
Avg. Internal Rating
Sector:
 
 
 
 
U.S. public finance
 
 
 
 
General obligation
 
$
1,331

 
A-
Tax backed
 
569

 
A
Municipal utilities
 
287

 
A-
Transportation
 
158

 
BBB
Higher education
 
96

 
A
Total U.S. public finance
 
2,441

 
A-
Non-U.S. public finance:
 
 
 
 
Total non-U.S. public finance
 

 
Total public finance
 
$
2,441

 
A-
 
 
 
 
 
U.S. structured finance:
 
 
 
 
Insurance securitization
 
$
250

 
AA
Other structure finance
 
11

 
A
Total U.S. structured finance
 
261

 
AA
Non-U.S. structured finance:
 
 
 
 
Other structure finance
 
6

 
AA-
Total non-U.S. structured finance
 
6

 
AA-
Total structured finance
 
$
267

 
AA
 
 
 
 
 
Total gross par written
 
$
2,708

 
A


Please refer to the Glossary for a description of internal ratings and sectors.




8



Assured Guaranty Ltd.
New Business Production by Quarter
(dollars in millions)


 
 
 
 
 
 
 
 
 
 
 
 
 
1Q-14
 
2Q-14
 
3Q-14
 
4Q-14
 
1Q-15
PVP:
 
 
 
 
 
 
 
 
 
 
Public finance - U.S.
 
$
23

 
$
16

 
$
51

 
$
38

 
$
13

Public finance - non-U.S.
 
7

 

 

 

 

Structured finance - U.S.
 
1

 
6

 
1

 
16

 
18

Structured finance - non-U.S.
 

 
5

 
4

 

 
5

Total PVP
 
$
31

 
$
27

 
$
56

 
$
54

 
$
36

 
 
 
 
 
 
 
 
 
 
 
Reconciliation of PVP to GWP:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total PVP
 
$
31

 
$
27

 
$
56

 
$
54

 
$
36

Less: PVP of non-financial guaranty insurance
 

 

 

 

 
6

PVP of financial guaranty insurance
 
31

 
27

 
56

 
54

 
30

Less: Financial guaranty installment premium PVP
 
10

 
11

 
4

 
17

 
17

Total: Financial guaranty upfront GWP
 
21

 
16

 
52

 
37

 
13

Plus: Installment GWP and other GAAP adjustments
 
9

 
1

 
(5
)
 
(27
)
 
19

Total GWP
 
$
30

 
$
17

 
$
47

 
$
10

 
$
32

 
 
 
 
 
 
 
 
 
 
 
Gross par written:
 
 
 
 
 
 
 
 
 
 
Public finance - U.S.
 
$
1,737

 
$
2,453

 
$
4,018

 
$
4,067

 
$
2,441

Public finance - non-U.S.
 
128

 

 

 

 

Structured finance - U.S.
 
4

 
5

 
9

 
400

 
261

Structured finance - non-U.S.
 

 
200

 
150

 

 
6

Total
 
$
1,869

 
$
2,658

 
$
4,177

 
$
4,467

 
$
2,708



Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.


9



Assured Guaranty Ltd.
Available-for-Sale Investment Portfolio and Cash
As of March 31, 2015
(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:
 
 
 
 
 
 
 
 
 
 
 
Obligations of states and political subdivisions
 
$
4,412

 
3.87
%
 
3.64
%
 
$
4,700

 
$
171

 
Insured obligations of state and political subdivisions (2)(4)
 
687

 
4.82
%
 
4.54
%
 
758

 
33

 
U.S. Treasury securities and obligations of U.S. government agencies
 
297

 
1.73
%
 
1.22
%
 
310

 
5

 
Agency obligations
 
167

 
4.31
%
 
3.57
%
 
187

 
7

 
Corporate securities
 
1,340

 
3.65
%
 
2.89
%
 
1,399

 
49

 
Mortgage-backed securities (MBS) (3):
 
 
 
 
 
 
 
 
 
 
 
 
Residential MBS (RMBS) (4)
 
1,433

 
4.73
%
 
3.51
%
 
1,481

 
67

 
 
Commercial MBS (CMBS)
 
573

 
3.71
%
 
3.13
%
 
600

 
21

 
Asset-backed securities
 
394

 
3.93
%
 
2.71
%
 
401

 
16

 
Foreign government securities
 
295

 
2.39
%
 
1.57
%
 
293

 
7

 
 
Total fixed maturity securities
 
9,598

 
3.92
%
 
3.37
%
 
10,129

 
376

Short-term investments
 
343

 
0.04
%
 
0.03
%
 
343

 
0

Cash (5)
 
885

 
%
 
%
 
885

 

 
 
Total
 
$
10,826

 
3.79
%
 
3.26
%
 
$
11,357

 
$
376

 
 
 
 
 
 
 
 
 
 
 
 
Less: FG VIEs
 
282

 
4.64
%
 
3.02
%
 
290

 
13

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total
 
$
10,544

 
3.76
%
 
3.26
%
 
$
11,067

 
$
363

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Ratings (6):
 
Fair Value
 
% of Portfolio
 
 
 

 
 
 
U.S. Treasury securities and obligations of U.S. government agencies
 
$
310

 
3.1
%
 
 
 

 
 
 
Agency obligations
 
187

 
1.8
%
 
 
 
 
 
 
 
AAA/Aaa
 
1,347

 
13.3
%
 
 
 
 
 
 
 
AA/Aa
 
5,377

 
53.1
%
 
 
 
 
 
 
 
A/A
 
2,056

 
20.3
%
 
 
 
 
 
 
 
BBB
 
54

 
0.5
%
 
 
 
 
 
 
 
Below investment grade (BIG) (7)
 
798

 
7.9
%
 
 
 
 
 
 
 
 
Total fixed maturity securities, available-for-sale
 
10,129

 
100.0
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Less: FG VIEs
 
296

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total fixed maturity securities, available-for-sale
 
$
9,833

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Duration of fixed maturity securities and short-term investments (in years):
 
 
 
5.2
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Average ratings of fixed maturity securities and short-term investments
 
 
 
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 other financial guarantors. The underlying ratings of these bonds, after giving effect to the lower of the rating assigned by Standard & Poor's Ratings Services (S&P) or Moody's Investors Service, Inc. (Moody's), average A+. Includes fair value of $188 million insured by AGC and AGM.
3)
Includes fair value of $349 million in subprime RMBS, which has an average rating of BIG.
4)
Includes securities purchased or obtained as part of loss mitigation or other risk management strategies.
5)
Represents operating cash and is not included in yield calculations.
6)
Ratings are represented by the lower of the Moody's and S&P classifications except for bonds purchased for loss mitigation (loss mitigation bonds) or other risk management strategies which use internal ratings classifications.
7)
Includes below investment grade securities that were purchased or obtained as part of loss mitigation or other risk management strategies of $1,634 million in par with carrying value of $797 million.


10



Assured Guaranty Ltd.
Estimated Net Exposure Amortization(1) and Estimated Future Net Premium
and Credit Derivative Revenues
(dollars in millions)

 
 
 
 
 
 
Financial Guaranty Insurance (2)
 
 
 
 
 
 
Estimated Net Debt Service Amortization
 
Estimated Ending Net Debt Service Outstanding
 
Expected PV Net Earned Premiums
 
Accretion of Discount
 
Future Net Premiums Earned (3)
 
Future Credit Derivative Revenues (4)
 
Total
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2015 (as of March 31)
 
 
$
584,659

 
 
 
 
 

 
 
 

2015 Q2
 
$
15,617

 
569,042

 
$
96

 
$
5

 
$
101

 
$
11

 
$
112

2015 Q3
 
16,507

 
552,535

 
94

 
5

 
99

 
10

 
109

2015 Q4
 
12,962

 
539,573

 
91

 
5

 
96

 
9

 
105

2016
 
46,495

 
493,078

 
351

 
18

 
369

 
31

 
400

2017
 
44,389

 
448,689

 
308

 
17

 
325

 
20

 
345

2018
 
31,394

 
417,295

 
278

 
16

 
294

 
11

 
305

2019
 
29,369

 
387,926

 
253

 
15

 
268

 
10

 
278

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2015-2019
 
196,733

 
387,926

 
1,471

 
81

 
1,552

 
102

 
1,654

2020-2024
 
130,598

 
257,328

 
981

 
56

 
1,037

 
40

 
1,077

2025-2029
 
103,467

 
153,861

 
624

 
35

 
659

 
27

 
686

2030-2034
 
72,947

 
80,914

 
384

 
19

 
403

 
22

 
425

After 2034
 
80,914

 

 
332

 
14

 
346

 
18

 
364

 
Total
 
$
584,659

 
 
 
$
3,792

 
$
205

 
$
3,997

 
$
209

 
$
4,206


1)
Represents the future expected amortization of current debt service outstanding (principal and interest), assuming no advance refundings, as of March 31, 2015. Actual amortization differs from expected maturities because borrowers may have the right to call or prepay guaranteed obligations and because of management's assumptions on structured finance amortization.

2)
See page 13 for ‘‘Present Value of Financial Guaranty Insurance Net Expected Loss to be Expensed.’’

3)
Includes $131 million in future net premiums earned related to FG VIEs.

4)
Excludes contracts with credit impairment.


Please refer to the Glossary for an explanation of changes in the presentation of net debt service outstanding.



11



Assured Guaranty Ltd.
Expected Amortization of Net Par Outstanding
(dollars in millions)

Structured Finance
 
 
 
Estimated Net Par Amortization
 
 
 
 
 
U.S. and Non-U.S. Pooled Corporate
 
U.S. RMBS
 
Financial Products
 
Other Structured Finance
 
Total
 
Estimated Ending Net Par Outstanding
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2015 (as of March 31)
 
 
 
 
 
 
 
 
 

 
$
46,036

2015 Q2
 
$
3,789

 
$
440

 
$
133

 
$
345

 
$
4,707

 
41,329

2015 Q3
 
1,507

 
373

 
103

 
742

 
2,725

 
38,604

2015 Q4
 
1,267

 
343

 
6

 
669

 
2,285

 
36,319

2016
 
5,194

 
1,325

 
140

 
1,196

 
7,855

 
28,464

2017
 
8,103

 
1,171

 
56

 
719

 
10,049

 
18,415

2018
 
850

 
1,004

 
(22
)
 
653

 
2,485

 
15,930

2019
 
571

 
969

 
9

 
650

 
2,199

 
13,731

 
 
 
 
 
 
 
 
 
 
 
 
 

2015-2019
 
21,281

 
5,625

 
425

 
4,974

 
32,305

 
13,731

2020-2024
 
450

 
2,227

 
140

 
2,572

 
5,389

 
8,342

2025-2029
 
415

 
645

 
524

 
1,196

 
2,780

 
5,562

2030-2034
 
675

 
149

 
792

 
754

 
2,370

 
3,192

After 2034
 
1,151

 
432

 
266

 
1,343

 
3,192

 

 
Total structured finance
 
$
23,972

 
$
9,078

 
$
2,147

 
$
10,839

 
$
46,036

 


Public Finance
 
 
 
Estimated Net Par Amortization
 
Estimated Ending Net Par Outstanding
 
 
 
 
 
 
2015 (as of March 31)
 
 
 
$
343,063

2015 Q2
 
$
6,615

 
336,448

2015 Q3
 
9,655

 
326,793

2015 Q4
 
6,603

 
320,190

2016
 
23,128

 
297,062

2017
 
20,038

 
277,024

2018
 
15,532

 
261,492

2019
 
14,546

 
246,946

 
 
 
 
 
 
2015-2019
 
96,117

 
246,946

2020-2024
 
72,620

 
174,326

2025-2029
 
65,209

 
109,117

2030-2034
 
49,373

 
59,744

After 2034
 
59,744

 

 
Total public finance
 
$
343,063

 



Net par outstanding (end of period)
 
 
 
1Q-14
 
2Q-14
 
3Q-14
 
4Q-14
 
1Q-15
Public finance - U.S.
 
$
346,428

 
$
338,956

 
$
329,225

 
$
322,123

 
$
313,444

Public finance - non-U.S.
 
34,826

 
35,408

 
33,487

 
31,359

 
29,619

Structured finance - U.S.
 
55,393

 
51,442

 
44,874

 
41,171

 
38,430

Structured finance - non-U.S.
 
12,978

 
11,770

 
10,429

 
9,076

 
7,606

 
Net par outstanding
 
449,625

 
437,576

 
418,015

 
403,729

 
389,099


Please refer to the Glossary for an explanation of changes in the presentation of net par outstanding and of the various sectors.

12



Assured Guaranty Ltd.
Present Value (PV) of Financial Guaranty Insurance Net Expected Loss to be Expensed
As of March 31, 2015
(dollars in millions)


 
 
 
Net Expected Loss to be Expensed (1)
 
 
 
Operating(2)
 
GAAP(2)
 
 
 
 
 
 
2015 Q2
 
$
11

 
$
7

2015 Q3
 
12

 
9

2015 Q4
 
14

 
11

2016
 
46

 
36

2017
 
37

 
27

2018
 
33

 
25

2019
 
29

 
23

 
 
 
 
 
 
2015-2019
 
182

 
138

2020-2024
 
95

 
77

2025-2029
 
54

 
45

2030-2034
 
43

 
34

After 2034
 
27

 
21

 
Total expected PV of net expected loss to be expensed
 
401

 
315

Discount
 
422

 
389

 
Total expected future loss and LAE
 
$
823

 
$
704



1)
The present value of net expected loss to be paid is discounted using weighted-average risk free rates ranging from 0.0% to 2.89% for U.S. dollar denominated obligations.

2)
Operating income includes net expected loss to be expensed on consolidated FG VIEs. Losses on consolidated FG VIEs are eliminated for GAAP.



13



Assured Guaranty Ltd.
Financial Guaranty Profile (1 of 4)
(dollars in millions)


Net Par Outstanding and Average Rating by Asset Type

 
 
 
March 31, 2015
 
December 31, 2014
 
 
 
Net Par Outstanding
 
Avg. Internal Rating
 
Net Par Outstanding
 
Avg. Internal Rating
U.S. public finance:
 
 
 
 
 
 
 
 
 
General obligation
 
$
136,833

 
A
 
$
140,276

 
A
 
Tax backed
 
60,686

 
A
 
62,525

 
A
 
Municipal utilities
 
50,542

 
A
 
52,090

 
A
 
Transportation
 
26,309

 
A
 
27,823

 
A
 
Healthcare
 
14,805

 
A
 
14,848

 
A
 
Higher education
 
13,010

 
A
 
13,099

 
A
 
Infrastructure finance
 
4,171

 
BBB
 
4,181

 
BBB
 
Housing
 
2,645

 
A+
 
2,779

 
A+
 
Investor-owned utilities
 
922

 
A-
 
944

 
A-
 
Other public finance
 
3,521

 
A
 
3,558

 
A
 
 
Total U.S. public finance
 
313,444

 
A
 
322,123

 
A
Non-U.S. public finance:
 
 
 
 
 
 
 
 
 
Infrastructure finance
 
11,913

 
BBB
 
12,808

 
BBB
 
Regulated utilities
 
10,377

 
BBB+
 
10,914

 
BBB+
 
Pooled infrastructure
 
2,284

 
AA
 
2,420

 
AA
 
Other public finance
 
5,045

 
A
 
5,217

 
A
 
 
Total non-U.S. public finance
 
29,619

 
BBB+
 
31,359

 
BBB+
Total public finance
 
$
343,063

 
A
 
$
353,482

 
A
 
 
 
 
 
 
 
 
 
 
U.S. structured finance:
 
 
 
 
 
 
 
 
 
Pooled corporate obligations
 
$
18,683

 
AAA
 
$
20,646

 
AAA
 
RMBS
 
9,078

 
BBB-
 
9,417

 
BBB-
 
Insurance securitizations
 
3,383

 
A-
 
3,433

 
A-
 
Financial products
 
2,147

 
AA-
 
2,276

 
AA-
 
Consumer receivables
 
2,069

 
BBB+
 
2,099

 
BBB+
 
CMBS and other commercial real estate related exposures
 
1,788

 
AAA
 
1,957

 
AAA
 
Commercial receivables
 
526

 
BBB+
 
560

 
BBB+
 
Structured credit
 
69

 
BB
 
69

 
BB
 
Other structured finance
 
687

 
AA
 
714

 
AA
 
 
Total U.S. structured finance
 
38,430

 
AA-
 
41,171

 
AA-
 
 
 
 
 
 
 
 
 
 
Non-U.S. structured finance:
 
 
 
 
 
 
 
 
 
Pooled corporate obligations
 
5,289

 
AA+
 
6,604

 
AA+
 
Commercial receivables
 
877

 
BBB
 
944

 
BBB
 
RMBS
 
718

 
A
 
794

 
A
 
Structured credit
 
8

 
BBB+
 
9

 
BBB+
 
Other structured finance
 
714

 
AA
 
725

 
AA
 
 
Total non-U.S. structured finance
 
7,606

 
AA
 
9,076

 
AA
Total structured finance
 
$
46,036

 
AA-
 
$
50,247

 
AA-
 
 
 
 
 
 
 
 
 
 
Total
 
$
389,099

 
A
 
$
403,729

 
A


Please refer to the Glossary for an explanation of changes in the presentation of net par outstanding and in the Company's internal rating approach, and of the various sectors.



14



Assured Guaranty Ltd.
Financial Guaranty Profile (2 of 4)
As of March 31, 2015
(dollars in millions)


Distribution by Ratings of Financial Guaranty Portfolio

 
 
 
Public Finance - U.S.
 
Public Finance - Non-U.S.
 
Structured Finance - U.S.
 
Structured Finance - Non-U.S.
 
Total
Ratings:
 
Net Par Outstanding
%
 
Net Par Outstanding
%
 
Net Par Outstanding
%
 
Net Par Outstanding
%
 
Net Par Outstanding
%
AAA
 
$
3,563

1.1
%
 
$
613

2.1
%
 
$
18,176

47.3
%
 
$
4,397

57.8
%
 
$
26,749

6.9
%
AA
 
86,521

27.6

 
2,650

9.0

 
8,360

21.7

 
377

5.0

 
97,908

25.2

A
 
171,308

54.7

 
7,091

23.9

 
2,228

5.8

 
365

4.7

 
180,992

46.4

BBB
 
44,110

14.1

 
17,891

60.4

 
1,843

4.8

 
1,746

23.0

 
65,590

16.9

BIG
 
7,942

2.5

 
1,374

4.6

 
7,823

20.4

 
721

9.5

 
17,860

4.6

 
Net Par Outstanding (1)
 
$
313,444

100.0
%
 
$
29,619

100.0
%
 
$
38,430

100.0
%
 
$
7,606

100.0
%
 
$
389,099

100.0
%

1)
Excludes $1.3 billion of loss mitigation bonds insured and held by the Company as of March 31, 2015 which are primarily in the BIG category.


Please refer to the Glossary for an explanation of changes in the presentation of net par outstanding and in the Company's internal rating approach, and of the various sectors.





15



Assured Guaranty Ltd.
Financial Guaranty Profile (3 of 4)
As of March 31, 2015
(dollars in millions)


Geographic Distribution of Financial Guaranty Portfolio

 
 
 
Net Par Outstanding
 
% of Total
U.S.:
 
 
 
 
U.S. public finance:
 
 
 
 
 
California
 
$
50,574

 
13.0
%
 
New York
 
25,635

 
6.6

 
Pennsylvania
 
25,625

 
6.6

 
Texas
 
24,692

 
6.3

 
Illinois
 
22,243

 
5.7

 
Florida
 
18,662

 
4.8

 
New Jersey
 
13,049

 
3.4

 
Michigan
 
12,705

 
3.3

 
Ohio
 
7,706

 
2.0

 
Georgia
 
7,349

 
1.9

 
Other states and U.S. territories
 
105,204

 
27.0

 
 
Total public finance
 
313,444

 
80.6

U.S. structured finance:
 
38,430

 
9.9

 
 
Total U.S.
 
351,874

 
90.5

 
 
 
 
 
 
Non-U.S.:
 
 
 
 
 
United Kingdom
 
18,649

 
4.8

 
Australia
 
3,837

 
1.0

 
Canada
 
3,413

 
0.9

 
France
 
2,469

 
0.6

 
Italy
 
1,337

 
0.3

 
Other
 
7,520

 
1.9

 
 
Total non-U.S.
 
37,225

 
9.5

 
 
 
 
 
 
Total net par outstanding
 
$
389,099

 
100.0
%

Please refer to the Glossary for an explanation of changes in the presentation of net par outstanding and of the various sectors.



16



Assured Guaranty Ltd.
Financial Guaranty Profile (4 of 4)
As of March 31, 2015
(dollars in millions)


Net Direct Economic Exposure to Selected European Countries

 
 
 
Hungary
 
Italy
 
Portugal
 
Spain
 
Total
Sovereign and sub-sovereign exposure:
 
 
 
 
 
 
 
 
 
 
 
Non-infrastructure public finance
 
$

 
$
779

 
$
91

 
$
211

 
$
1,081

 
Infrastructure finance
 
265

 
11

 
11

 
120

 
407

 
 
Total sovereign and sub-sovereign exposure
 
265

 
790

 
102

 
331

 
1,488

Non-sovereign exposure:
 
 
 
 
 
 
 
 
 
 
 
Regulated utilities
 

 
210

 

 

 
210

 
RMBS
 
174

 
234

 

 

 
408

 
 
Total non-sovereign exposure
 
174

 
444

 

 

 
618

 
 
Total
 
$
439

 
$
1,234

 
$
102

 
$
331

 
$
2,106

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total BIG
 
$
370

 
$

 
$
102

 
$
331

 
$
803



Note: While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros. One of the residential mortgage-backed securities included in the table above includes residential mortgages in both Italy and Germany, and only the portion of the transaction equal to the portion of the original mortgage pool in Italian mortgages is shown in the table.

Please refer to the Glossary for an explanation of the Company's net par outstanding, internal rating approach and of the various sectors.


17



Assured Guaranty Ltd.
Exposure to Puerto Rico (1 of 3)
As of March 31, 2015
(dollars in millions)

Gross Par and Gross Debt Service Outstanding of Puerto Rico

 
Gross Par Outstanding
 
Gross Debt Service Outstanding
Subject to the Now Voided Puerto Rico Public Corporation Debt Enforcement and Recovery Act (the "Recovery Act") (1)
$
3,059

 
$
5,252

Not subject to the Now Voided Recovery Act
2,977

 
4,675

   Total
$
6,036

 
$
9,927


1)
On February 6, 2015, the U.S. District Court for the District of Puerto Rico ruled that the Recovery Act is preempted by the Federal Bankruptcy Code and is therefore void. On February 19, 2015, the Commonwealth appealed the ruling to the U.S. Court of Appeals for the First Circuit.

Net Exposure to Puerto Rico by Risk
 
 
Net Par Outstanding
 
 
 
 
 
 
AGM Consolidated
 
AGC Consolidated
 
AG Re Consolidated
 
Eliminations(1)
 
Total Net Par Outstanding
 
Gross Par Outstanding
 
Internal Rating
Exposures subject to the Now Voided Recovery Act:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Puerto Rico Highways and Transportation Authority (Transportation revenue)
 
$
303

 
$
392

 
$
229

 
$
(80
)
 
$
844

 
$
912

 
BB-
Puerto Rico Electric Power Authority
 
464

 
53

 
256

 

 
773

 
1,007

 
B-
Puerto Rico Aqueduct and Sewer Authority
 

 
288

 
96

 

 
384

 
384

 
BB-
Puerto Rico Highways and Transportation Authority (Highway revenue)
 
197

 
24

 
52

 

 
273

 
582

 
BB
Puerto Rico Convention Center District Authority
 

 
87

 
87

 

 
174

 
174

 
BB-
Total
 
964

 
844

 
720

 
(80
)
 
2,448

 
3,059

 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Exposures not subject to the Now Voided Recovery Act:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Commonwealth of Puerto Rico - General Obligation Bonds
 
749

 
417

 
506

 

 
1,672

 
1,844

 
BB
Puerto Rico Municipal Finance Agency
 
223

 
44

 
132

 

 
399

 
656

 
BB-
Puerto Rico Sales Tax Financing Corporation
 
261

 

 
8

 

 
269

 
269

 
BBB
Puerto Rico Public Buildings Authority
 
18

 
41

 
41

 

 
100

 
156

 
BB
Government Development Bank for Puerto Rico
 

 
33

 

 

 
33

 
33

 
BB
Puerto Rico Infrastructure Financing Authority
 

 
10

 
8

 

 
18

 
18

 
BB-
University of Puerto Rico
 

 
1

 

 

 
1

 
1

 
BB-
Total
 
1,251

 
546

 
695

 

 
2,492

 
2,977

 

Total net exposure to Puerto Rico
 
$
2,215

 
$
1,390

 
$
1,415

 
$
(80
)
 
$
4,940

 
$
6,036

 


1)
Net par outstanding eliminations relate to second-to-pay policies under which an Assured Guaranty insurance subsidiary guarantees an obligation already insured by another Assured Guaranty insurance subsidiary.




18



Assured Guaranty Ltd.
Exposure to Puerto Rico (2 of 3)
As of March 31, 2015
(dollars in millions)

Amortization Schedule of Net Par Outstanding of Puerto Rico
 
 
Scheduled Net Par Amortization
 
2015 (2Q)
2015 (3Q)
2015 (4Q)
2016
2017
2018
2019
2020
2021
2022
2023
2024
2025 -2029
2030 -2034
2035 -2039
2040 -2044
2045 -2047
Total
 
(in millions)
Exposures subject to the Now Voided Recovery Act:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Puerto Rico Highways and Transportation Authority (Transportation revenue)
$
0

$
22

$
0

$
29

$
32

$
39

$
26

$
21

$
16

$
17

$
17

$
1

$
128

$
137

$
281

$
78

$

$
844

Puerto Rico
Electric Power Authority
0

73

0

19

4

4

24

40

20

20

78

74

300

113

4



773

Puerto Rico Aqueduct and Sewer Authority

14


15









109




246

384

Puerto Rico Highways and Transportation Authority (Highway revenue)

6


10

5

5

11

12

15

6

7

7

20

114

55



273

Puerto Rico Convention Center District Authority

11


11









19

76

57



174

Total
0

126

0

84

41

48

61

73

51

43

102

82

576

440

397

78

246

2,448

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Exposures not subject to the Now Voided Recovery Act:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Commonwealth of Puerto Rico - General Obligation Bonds
0

109

0

127

95

64

82

137

16

37

14

66

278

381

266



1,672

Puerto Rico Municipal Finance Agency

51


48

41

43

39

35

30

30

16

12

52

2




399

Puerto Rico Sales Tax Financing Corporation
0

(1
)
0

(1
)
(1
)
(1
)
(1
)
(1
)
(2
)
(2
)
1

0

(10
)
34

(1
)
255


269

Puerto Rico Public Buildings Authority

11


8

30


5

10

12

0

7

0

10

3

4



100

Government Development Bank for Puerto Rico


33















33

Puerto Rico Infrastructure Financing Authority





2





2




2

12


18

University of Puerto Rico

0


0

0

0

0

0

0

0

0

0

0

1




1

Total
0

170

33

182

165

108

125

181

56

65

40

78

330

421

271

267


2,492

Total net par for Puerto Rico
$
0

$
296

$
33

$
266

$
206

$
156

$
186

$
254

$
107

$
108

$
142

$
160

$
906

$
861

$
668

$
345

$
246

$
4,940



19



Assured Guaranty Ltd.
Exposure to Puerto Rico (3 of 3)
As of March 31, 2015
(dollars in millions)

Amortization Schedule of Net Debt Service Outstanding of Puerto Rico
 
 
Scheduled Net Debt Service Amortization
 
2015 (2Q)
2015 (3Q)
2015 (4Q)
2016
2017
2018
2019
2020
2021
2022
2023
2024
2025 -2029
2030 -2034
2035 -2039
2040 -2044
2045 -2047
Total
 
 
(in millions)
Exposures subject to the Now Voided Recovery Act:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Puerto Rico Highways and Transportation Authority (Transportation revenue)
$

$
44

$

$
72

$
73

$
79

$
64

$
57

$
51

$
51

$
51

$
34

$
280

$
257

$
339

$
83

$

$
1,535

Puerto Rico
Electric Power Authority
2

89

2

51

36

35

55

70

48

47

104

97

365

125

4



1,130

Puerto Rico Aqueduct and Sewer Authority

24


34

18

18

18

18

18

18

18

18

186

63

63

63

272

849

Puerto Rico Highways and Transportation Authority (Highway revenue)

14


24

19

19

24

24

27

17

18

17

68

148

59



478

Puerto Rico Convention Center District Authority

15


19

7

7

7

7

7

7

7

7

52

103

60



305

Total
2

186

2

200

153

158

168

176

151

140

198

173

951

696

525

146

272

4,297

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Exposures not subject to the Now Voided Recovery Act:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Commonwealth of Puerto Rico - General Obligation Bonds
1

151

1

208

170

133

149

200

71

91

67

119

492

530

295



2,678

Puerto Rico Municipal Finance Agency

61


66

57

56

50

44

37

36

20

15

59

3




504

Puerto Rico Sales Tax Financing Corporation

6


13

13

13

13

13

13

13

16

15

64

107

64

283


646

Puerto Rico Public Buildings Authority

14


12

34

3

7

13

14

1

9

1

12

5

4



129

Government Development Bank for Puerto Rico

1

34















35

Puerto Rico Infrastructure Financing Authority

0


1

1

3

1

1

1

1

3

1

3

3

5

13


37

University of Puerto Rico
0

0

0

0

0

0

0

0

0

0

0

0

0

1




1

Total
1

233

35

300

275

208

220

271

136

142

115

151

630

649

368

296


4,030

Total net debt service for Puerto Rico
$
3

$
419

$
37

$
500

$
428

$
366

$
388

$
447

$
287

$
282

$
313

$
324

$
1,581

$
1,345

$
893

$
442

$
272

$
8,327



20



Assured Guaranty Ltd.
Direct Pooled Corporate Obligations Profile
As of March 31, 2015
(dollars in millions)


Distribution of Direct Pooled Corporate Obligations by Ratings
 
 
 
Net Par Outstanding
 
% of Total
 
Avg. Initial Credit Enhancement
 
Avg. Current Credit Enhancement
Ratings:
 
 
 
 
 
 
 
 
 
AAA
 
$
17,830

 
74.9
%
 
26.8
%
 
30.5
%
 
AA
 
2,411

 
10.1

 
42.0

 
42.1

 
A
 
589

 
2.5

 
50.9

 
53.0

 
BBB
 
1,365

 
5.7

 
41.0

 
37.6

 
BIG
 
1,608

 
6.8

 
44.3

 
23.8

 
 
Total exposures
 
$
23,803

 
100.0
%
 
30.6
%
 
32.2
%


Distribution of Direct Pooled Corporate Obligations by Asset Class
 
 
 
Net Par Outstanding
 
% of Total
 
Avg. Initial Credit Enhancement
 
Avg. Current Credit Enhancement
 
Avg. Rating
Asset class:
 
 
 
 
 
 
 
 
 
 
 
CBOs/CLOs
 
$
11,623

 
48.8
%
 
31.1
%
 
37.1
%
 
AAA
 
Synthetic investment grade pooled corporates
 
6,363

 
26.7

 
22.3

 
20.2

 
AAA
 
Market value CDOs of corporates
 
1,053

 
4.4

 
17.0

 
15.7

 
AAA
 
Trust preferred
 
 
 


 
 
 
 
 
 
 
 
Banks and insurance
 
2,149

 
9.0

 
45.2

 
43.0

 
A-
 
 
U.S. mortgage and real estate investment trusts
 
1,313

 
5.5

 
49.7

 
41.5

 
BB+
 
 
European mortgage and real estate investment trusts
 
612

 
2.6

 
36.6

 
32.4

 
BBB-
 
Other pooled corporates
 
690

 
3.0

 

 

 
BBB
 
 
Total exposures
 
$
23,803

 
100.0
%
 
30.6
%
 
32.2
%
 
AAA

Please refer to the Glossary for an explanation of internal ratings, performance indicators and sectors.




21



Assured Guaranty Ltd.
U.S. RMBS Profile
As of March 31, 2015
(dollars in millions)

                
Distribution of Consolidated U.S. RMBS by Rating and Type of Exposure
Ratings:
 
Prime First Lien
 
Closed-End Second Lien
 
HELOC
 
Alt-A First Lien
 
Option ARMs
 
Subprime First Lien
 
Total Net Par Outstanding
 
AAA
 
$
0

 
$

 
$
0

 
$
301

 
$
52

 
$
1,382

 
$
1,736

 
AA
 
81

 
80

 
58

 
353

 
118

 
865

 
1,555

 
A
 
5

 
0

 

 
3

 
28

 
34

 
71

 
BBB
 
19

 

 
91

 
13

 
4

 
116

 
244

 
BIG
 
349

 
132

 
1,504

 
1,778

 
170

 
1,538

 
5,472

 
 
Total exposures
 
$
454

 
$
212

 
$
1,654

 
$
2,449

 
$
374

 
$
3,935

 
$
9,078



Distribution of U.S. RMBS by Year Insured and Type of Exposure
 
Year
insured:
 
Prime First Lien
 
Closed-End Second Lien
 
HELOC
 
Alt-A First Lien
 
Option ARMs
 
Subprime First Lien
 
Total Net Par Outstanding
2004 and prior
 
$
16

 
$
0

 
$
139

 
$
64

 
$
20

 
$
1,061

 
$
1,301

2005
 
147

 

 
446

 
464

 
39

 
189

 
1,286

2006
 
78

 
51

 
479

 
284

 
46

 
887

 
1,825

2007
 
213

 
161

 
589

 
1,225

 
227

 
1,728

 
4,143

2008
 

 

 

 
413

 
40

 
70

 
523

  Total exposures
 
$
454

 
$
212

 
$
1,654

 
$
2,449

 
$
374

 
$
3,935

 
$
9,078




Please refer to the Glossary for an explanation of changes in the Company's presentation of net par outstanding and a description of performance indicators and sectors.

























22



Assured Guaranty Ltd.
Direct U.S. Commercial Real Estate Profile
As of March 31, 2015
(dollars in millions)


Distribution of Direct U.S. CMBS Insured January 1, 2005 or Later by Exposure Type, Internal Rating, Average Pool Factor, Subordination, Cumulative Losses and 60+ Day Delinquencies
                                                                                                                                                                                                 
U.S. CMBS
Rating:
 
Net Par Outstanding
 
Pool Factor
 
Subordination
 
Cumulative Losses
 
60+ Day Delinquencies
 
Number of Transactions
 
AAA
 
$
1,581

 
62.5
%
 
42.8
%
 
4.9
%
 
6.3
%
 
125

 
AA
 

 

 

 

 

 

 
A
 

 

 

 

 

 

 
BBB
 

 

 

 

 

 

 
BIG
 

 

 

 

 

 

 
 
Total exposures
 
$
1,581

 
62.5
%
 
42.8
%
 
4.9
%
 
6.3
%
 
$
125


CDOs of U.S. Commercial Real Estate(1) 
 
 
Net Par Outstanding
 
Avg. Initial Credit Enhancement
 
Avg. Current Credit Enhancement
CDOs of commercial real estate
 
$
192

 
53.4
%
 
57.9
%


1)
Represents other U.S. Commercial Real Estate not included in the table above.

Please refer to the Glossary for a description of net par outstanding, performance indicators and sectors.



23



Assured Guaranty Ltd.
Below Investment Grade Exposures (1 of 5)
(dollars in millions)

BIG Exposures by Asset Exposure Type
                                                                
 
 
 
BIG Net Par Outstanding
 
 
 
March 31, 2015
 
December 31, 2014
U.S. public finance:
 
 
 
 
 
General obligation
 
$
2,622

 
$
2,537

 
Tax backed
 
2,032

 
2,033

 
Infrastructure finance
 
1,795

 
1,795

 
Municipal utilities
 
1,258

 
1,236

 
Transportation
 
76

 
75

 
Healthcare
 
54

 
57

 
Higher education
 
14

 
14

 
Housing
 
2

 
2

 
Other public finance
 
89

 
101

 
 
Total U.S. public finance
 
7,942

 
7,850

Non-U.S. public finance:
 
 
 
 
 
Infrastructure finance
 
1,072

 
1,074

 
Other public finance
 
302

 
330

 
 
Total non-U.S. public finance
 
1,374

 
1,404

Total public finance
 
$
9,316

 
$
9,254

 
 
 
 
 
 
U.S. structured finance:
 
 
 
 
 
RMBS
 
$
5,472

 
$
5,643

 
Pooled corporate obligations
 
1,155

 
1,333

 
Insurance securitizations
 
598

 
598

 
Consumer receivables
 
348

 
356

 
Commercial receivables
 
87

 
94

 
Structured credit
 
69

 
69

 
Other structured finance
 
94

 
93

 
 
Total U.S. structured finance
 
7,823

 
8,186

Non-U.S. structured finance:
 
 
 
 
 
Pooled corporate obligations
 
546

 
623

 
RMBS
 
105

 
112

 
Commercial receivables
 
70

 
72

 
 
Total non-U.S. structured finance
 
721

 
807

Total structured finance
 
$
8,544

 
$
8,993

Total BIG net par outstanding
 
$
17,860

 
$
18,247



Please refer to the Glossary for an explanation of the Company's presentation of net par outstanding and a description of various sectors.



24



Assured Guaranty Ltd.
Below Investment Grade Exposures (2 of 5)
(dollars in millions)


Net Par Outstanding by BIG Category(1)  
 
 
 
Financial Guaranty Insurance and Credit Derivatives Surveillance Categories
 
 
 
March 31, 2015
 
December 31, 2014
Category 1
 
 
 
 
 
U.S. public finance
 
$
6,669

 
$
6,577

 
Non-U.S. public finance
 
863

 
1,402

 
U.S. structured finance
 
3,130

 
3,124

 
Non-U.S. structured finance
 
676

 
762

 
 
Total Category 1
 
11,338

 
11,865

Category 2
 
 
 
 
 
U.S. public finance
 
1,156

 
1,156

 
Non-U.S. public finance
 
511

 
2

 
U.S. structured finance
 
1,317

 
1,486

 
Non-U.S. structured finance
 
45

 
45

 
 
Total Category 2
 
3,029

 
2,689

Category 3
 
 
 
 
 
U.S. public finance
 
117

 
117

 
Non-U.S. public finance
 

 

 
U.S. structured finance
 
3,376

 
3,576

 
Non-U.S. structured finance
 

 

 
 
Total Category 3
 
3,493

 
3,693

 
 
 
BIG Total
 
$
17,860

 
$
18,247



1)
Assured Guaranty's surveillance department is responsible for monitoring our portfolio of credits and maintains a list of BIG credits. BIG Category 1: Below-investment-grade transactions showing sufficient deterioration to make future losses possible, but for which none are currently expected. BIG Category 2: Below-investment-grade transactions for which future losses are expected but for which no claims (other than liquidity claims which is a claim that the Company expects to be reimbursed within one year) have yet been paid. BIG Category 3: Below-investment-grade transactions for which future losses are expected and on which claims (other than liquidity claims) have been paid.

Please refer to the Glossary for an explanation of the Company's internal rating approach, presentation of net par outstanding and a description of various sectors.




25



Assured Guaranty Ltd.
Below Investment Grade Exposures (3 of 5)
As of March 31, 2015
(dollars in millions)


Public Finance BIG Exposures with Revenue Sources Greater Than $50 Million

 
 
 
Net Par Outstanding
 
Internal Rating
Name or description
 
 
 
 
U.S. public finance:
 
 
 
 
 
 
 
Puerto Rico General Obligation, Appropriations and Guarantees of the Commonwealth
 
$
1,823

 
BB
 
 
 
Skyway Concession Company LLC
 
1,177

 
BB
 
 
 
Puerto Rico Highway and Transportation Authority
 
1,117

 
BB-
 
 
 
Puerto Rico Electric Power Authority
 
773

 
B-
 
 
 
Puerto Rico Municipal Finance Agency
 
399

 
BB-
 
 
 
Puerto Rico Aqueduct & Sewer Authority
 
384

 
BB-
 
 
 
Louisville Arena Authority Inc.
 
336

 
BB
 
 
 
GMAC Military Housing Trust XVIII (Hickam Air Force Base)
 
213

 
BB
 
 
 
Puerto Rico Convention Center District Authority
 
174

 
BB-
 
 
 
Lackawanna County, Pennsylvania
 
174

 
BB-
 
 
 
Woonsocket (City of), Rhode Island
 
144

 
BB
 
 
 
Orlando Tourist Development Tax - Florida
 
118

 
B+
 
 
 
Stockton City, California
 
117

 
D
 
 
 
Fresno (City of), California
 
116

 
BB+
 
 
 
Wayne County, Michigan
 
102

 
BB-
 
 
 
City of Atlantic City, Atlantic County, New Jersey General Obligation Bonds
 
88

 
BB
 
 
 
Xenia Rural Water District, Iowa
 
78

 
B
 
 
 
Knox Hills, LLC (Certificates of Participation; Fort Knox Military Housing Privatization Project, Class 1-A and Class 1-B)
 
64

 
B
 
 
 
Pennsylvania Economic Development Financing Authority (Capitol Region Parking System)
 
54

 
BB
 
 
Total
 
$
7,451

 
 
 
 
 
 
 
 
Non-U.S. public finance:
 
 
 
 
 
 
 
Reliance Rail Finance Pty. Limited
 
$
509

 
BB
 
 
 
M6 Duna Autopalya Koncesszios Zartkoruen Mukodo Reszvenytarsasag
 
265

 
BB-
 
 
 
Valencia Fair
 
202

 
BB-
 
 
 
Autovia de la Mancha, S.A.
 
113

 
BB-
 
 
 
CountyRoute (A130) plc
 
110

 
BB-
 
 
 
Metropolitano de Porto Lease and Sublease of Railroad Equipment
 
56

 
B+
 
 
 
Alte Liebe I Limited (Wind Farm)
 
52

 
BB
 
 
Total
 
$
1,307

 
 
Total
 
$
8,758

 
 



Please refer to the Glossary for an explanation of the Company's internal rating approach, presentation of net par outstanding and a description of various sectors.



26



Assured Guaranty Ltd.
Below Investment Grade Exposures (4 of 5)
As of March 31, 2015
(dollars in millions)

Structured Finance BIG Exposures Greater Than $50 Million
 
 
BIG Net Par Outstanding
 
Internal Rating
 
Current Credit Enhancement
 
60+ Day Delinquencies
Name or description
 
 
 
 
 
 
 
 
U.S. structured finance:
 
 
 
 
 
 
 
 
RMBS:
 
 
 
 
 
 
 
 
Option One 2007-FXD2
 
$
296

 
CCC
 
0.0%
 
22.6%
Deutsche Alt-A Securities Mortgage Loan 2007-2
 
279

 
BB
 
0.0%
 
22.9%
Countrywide HELOC 2006-I
 
257

 
BB
 
0.0%
 
3.0%
MABS 2007-NCW
 
256

 
CCC
 
6.7%
 
45.7%
Private Residential Mortgage Transaction
 
223

 
CCC
 
9.8%
 
23.3%
MortgageIT Securities Corp. Mortgage Loan 2007-2
 
213

 
B
 
0.0%
 
15.7%
Nomura Asset Accept. Corp. 2007-1
 
206

 
CCC
 
0.0%
 
33.0%
Soundview 2007-WMC1
 
171

 
CCC
 
—%
 
51.2%
Countrywide Home Equity Loan Trust 2007-D
 
158

 
BB
 
0.0%
 
2.6%
Countrywide HELOC 2005-D
 
156

 
BB
 
0.0%
 
4.0%
Countrywide Home Equity Loan Trust 2005-J
 
148

 
BB
 
0.1%
 
3.7%
Private Residential Mortgage Transaction
 
141

 
CCC
 
5.5%
 
23.8%
Countrywide HELOC 2006-F
 
139

 
BB
 
0.0%
 
5.4%
New Century 2005-A
 
136

 
CCC
 
9.9%
 
26.0%
Countrywide HELOC 2007-A
 
123

 
BB
 
0.0%
 
3.3%
Countrywide HELOC 2007-B
 
123

 
BB
 
0.0%
 
2.8%
Deutsche Alt-A Securities Mortgage Loan 2007-2
 
119

 
BB
 
0.0%
 
22.9%
GMACM 2004-HE3
 
107

 
CCC
 
0.0%
 
5.3%
CSAB 2006-3
 
104

 
CCC
 
0.0%
 
42.9%
IndyMac 2007-H1 HELOC
 
96

 
BB
 
0.0%
 
1.9%
Deutsche Alt-A Securities Mortgage Loan 2007-2
 
71

 
BB
 
0.0%
 
22.9%
Countrywide HELOC 2005-C
 
70

 
CCC
 
0.1%
 
5.1%
Soundview Home Loan Trust 2008-1
 
70

 
CCC
 
9.2%
 
27.1%
IMPAC CMB Trust Series 2007-A Class M-1
 
61

 
BB
 
9.6%
 
18.3%
MASTR Asset-Backed Securities Trust 2005-NC2
 
56

 
CCC
 
—%
 
23.1%
CSAB 2006-2
 
53

 
CCC
 
0.0%
 
38.4%
Terwin Mortgage Trust 2005-16HE
 
51

 
CCC
 
—%
 
22.0%
Total RMBS
 
$
3,883

 

 
 
 
 


Please refer to the Glossary for the Company's internal rating approach, presentation of net par outstanding and a description of performance indicators and sectors.

27



Assured Guaranty Ltd.
Below Investment Grade Exposures (5 of 5)
As of March 31, 2015
(dollars in millions)

Structured Finance BIG Exposures Greater Than $50 Million (continued)
 
 
BIG Net Par Outstanding
 
Internal Rating
 
Current Credit Enhancement
Name or description
 
 
 
 
 
 
U.S. structured finance:
 
 
 
 
 
 
Non-RMBS:
 
 
 
 
 
 
Orkney Re II, Plc
 
$
423

 
CCC
 
N/A
Taberna Preferred Funding III, Ltd.
 
243

 
B
 
25.7%
Taberna Preferred Funding IV, Ltd.
 
242

 
BB-
 
32.1%
ALESCO Preferred Funding XVI, Ltd.
 
215

 
BB
 
18.6%
Taberna Preferred Funding II, Ltd.
 
193

 
CCC
 
25.6%
Ballantyne Re Plc
 
175

 
CC
 
N/A
US Capital Funding IV, LTD
 
134

 
CCC
 
11.1%
Taberna Preferred Funding VI, Ltd.
 
127

 
B
 
23.6%
NRG Peaker(1)
 
84

 
BB
 
N/A
National Collegiate Trust Series 2006-2
 
68

 
CCC
 
N/A
National Collegiate Trust Series 2007-4
 
68

 
CCC
 
N/A
CAPCO - Excess SIPC Excess of Loss Reinsurance
 
63

 
BB
 
N/A
Conseco Finance Manufactured Housing Series 2001-2
 
56

 
CCC
 
15.2%
Subtotal non-RMBS
 
$
2,091

 
 
 
 
Subtotal U.S. structured finance
 
$
5,974

 
 
 
 
 
 
 
 
 
 
 
Non-U.S. structured finance:
 
 
 
 
 
 
Gleneagles Funding Ltd. (1st Issue)
 
$
229

 
BB
 
N/A
Private Pooled Corporate Transaction
 
81

 
BB
 
N/A
Babcock & Brown Air Funding I Ltd. Series 2007-1
 
64

 
BB
 
N/A
Private Pooled Corporate Transaction
 
64

 
BB
 
N/A
FHB 8.95% 2016 MBIA Wrap
 
56

 
BB-
 
N/A
Subtotal Non-U.S. structured finance
 
$
494

 
 
 
 
Total
 
$
6,468

 
 
 
 


1)
In accordance with the terms of certain credit derivative contracts, the referenced obligations in such contracts have been delivered to the Company and therefore are included in the investment portfolio. Net par shown is net of $52 million of ceded par. The Company holds 100% of the bonds referenced in this transaction and reports them in the investment portfolio.



Please refer to the Glossary for the Company's internal rating approach, presentation of net par outstanding and a description of performance indicators and sectors.

28



Assured Guaranty Ltd.
Largest Exposures by Sector (1 of 4)
As of March 31, 2015
(dollars in millions)

50 Largest U.S. Public Finance Exposures by Revenue Source
                                                                                          
Credit names:
 
Net Par Outstanding
 
Internal Rating
New Jersey (State of)
 
$
3,944

 
A-
California (State of)
 
3,080

 
A-
New York (City of) New York
 
2,468

 
AA-
Illinois (State of)
 
2,136

 
A-
New York (State of)
 
2,059

 
A+
Chicago (City of) Illinois
 
2,019

 
BBB+
Massachusetts (Commonwealth of)
 
1,839

 
AA
Puerto Rico General Obligation, Appropriations and Guarantees of the Commonwealth
 
1,823

 
BB
Miami-Dade County Florida Aviation Authority - Miami International Airport
 
1,815

 
A
Los Angeles, California Unified School District
 
1,769

 
AA-
Houston, Texas Water and Sewer Authority
 
1,756

 
AA-
Wisconsin (State of)
 
1,742

 
A+
New York Metropolitan Transportation Authority
 
1,684

 
A
Philadelphia (City of) Pennsylvania
 
1,659

 
BBB+
Port Authority of New York and New Jersey
 
1,567

 
AA-
Chicago, Illinois Public Schools
 
1,451

 
BBB+
Chicago-O'Hare International Airport
 
1,447

 
A-
Pennsylvania (Commonwealth of)
 
1,432

 
A
Illinois Toll Highway Authority
 
1,413

 
AA
Miami-Dade County Florida School Board
 
1,354

 
A-
Georgia Board of Regents
 
1,345

 
A
Washington (State of)
 
1,299

 
AA
Massachusetts (Commonwealth of) Water Resources
 
1,274

 
AA
Arizona (State of)
 
1,229

 
A+
Michigan (State of)
 
1,226

 
A+
Philadelphia School District, Pennsylvania
 
1,196

 
A
Long Island Power Authority
 
1,186

 
A-
Skyway Concession Company LLC
 
1,177

 
BB
Pennsylvania Turnpike Commission
 
1,167

 
A-
New York City Municipal Water Finance Authority
 
1,164

 
AA
North Texas Tollway Authority
 
1,145

 
A
Puerto Rico Highway and Transportation Authority
 
1,117

 
BB-
District of Columbia
 
1,049

 
AA-
Detroit Michigan Sewer
 
1,048

 
BBB
Los Angeles, California Department of Water & Power - Electric Revenue Bonds
 
1,028

 
AA-
Louisiana (State of) Gas and Fuel Tax
 
971

 
AA
San Diego County, California Water
 
963

 
AA
Garden State Preservation Trust, New Jersey Open Space & Farmland
 
917

 
AA
Detroit Michigan Water Supply System
 
878

 
BBB
Kentucky (Commonwealth of)
 
861

 
A+
San Diego Unified School District, California
 
860

 
AA
Orlando-Orange County Expressway Authority, Florida
 
854

 
A+
Atlanta Georgia Water & Sewer System
 
853

 
A-
University of California Board of Regents
 
829

 
A+
California State University System Trustee
 
811

 
A+
Miami-Dade County, Florida Water & Sewer
 
809

 
A+
New York State Thruway Authority
 
789

 
A
Broward County Florida School Board
 
779

 
A+
Puerto Rico Electric Power Authority
 
773

 
B-
Metro Washington Airport Authority
 
772

 
A+
   Total top 50 U.S. public finance exposures
 
$
68,826

 
 

Please refer to the Glossary for an explanation of net par outstanding, internal ratings and sectors.

29



Assured Guaranty Ltd.
Largest Exposures by Sector (2 of 4)
As of March 31, 2015
(dollars in millions)

50 Largest U.S. Structured Finance Exposures
Credit Name
 
Net Par Outstanding
 
Internal Rating
 
Credit Enhancement
Fortress Credit Opportunities I, LP.
 
$
1,136

 
AA
 
32.9%
Private Other Structured Finance Transaction
 
800

 
AA
 
N/A
Stone Tower Credit Funding
 
789

 
AAA
 
15.7%
Synthetic Investment Grade Pooled Corporate CDO
 
767

 
AAA
 
14.8%
Synthetic Investment Grade Pooled Corporate CDO
 
758

 
AAA
 
28.7%
Synthetic Investment Grade Pooled Corporate CDO
 
744

 
AAA
 
26.7%
Synthetic Investment Grade Pooled Corporate CDO
 
655

 
AAA
 
14.9%
Synthetic Investment Grade Pooled Corporate CDO
 
516

 
AAA
 
14.3%
Private US Insurance Securitization
 
500

 
AA
 
N/A
Shenandoah Trust Capital I Term Securities
 
484

 
A+
 
N/A
Denali CLO VII, LTD.
 
452

 
AAA
 
21.3%
SLM Private Credit Student Trust 2007-A
 
450

 
A-
 
18.1%
Eastland CLO, LTD
 
441

 
AAA
 
43.5%
LIICA Holdings, LLC
 
428

 
AA
 
N/A
Orkney Re II, Plc
 
423

 
CCC
 
N/A
SLM Private Credit Student Loan Trust 2007-6
 
392

 
AAA
 
4.4%
Synthetic Investment Grade Pooled Corporate CDO
 
380

 
AAA
 
29.2%
Churchill Financial Cayman
 
380

 
AAA
 
41.3%
SLM Private Credit Student Loan Trust 2006-C
 
356

 
A-
 
18.1%
Synthetic Investment Grade Pooled Corporate CDO
 
343

 
AAA
 
16.3%
Grayson CLO
 
307

 
AAA
 
34.7%
Cent CDO 15 Limited
 
305

 
AAA
 
18.4%
KKR Financial CLO 2007-1
 
303

 
AAA
 
56.1%
Synthetic Investment Grade Pooled Corporate CDO
 
301

 
AAA
 
14.2%
Option One 2007-FXD2
 
296

 
CCC
 
0.0%
Synthetic Investment Grade Pooled Corporate CDO
 
283

 
AAA
 
30.3%
Cent CDO 12 Limited
 
280

 
AAA
 
24.7%
Deutsche Alt-A Securities Mortgage Loan 2007-2
 
279

 
BB
 
0.0%
Synthetic Investment Grade Pooled Corporate CDO
 
270

 
AAA
 
26.9%
Countrywide HELOC 2006-I
 
257

 
BB
 
0.0%
MABS 2007-NCW
 
256

 
CCC
 
6.7%
Phoenix CLO II
 
254

 
AAA
 
31.0%
Bergen, LLC
 
250

 
AA
 
N/A
Centurion CDO 9
 
246

 
AAA
 
28.6%
Taberna Preferred Funding III, Ltd.
 
243

 
B
 
25.7%
Taberna Preferred Funding IV, Ltd.
 
242

 
BB-
 
32.1%
ALESCO Preferred Funding XIV
 
240

 
BBB+
 
41.3%
Private Residential Mortgage Transaction
 
223

 
CCC
 
9.8%
Muir Grove CLO
 
222

 
AAA
 
30.0%
Symphony CLO IV, LTD.
 
220

 
AAA
 
28.0%
Kingsland V
 
219

 
AAA
 
30.5%
Timberlake Financial, LLC Floating Insured Notes
 
217

 
BBB-
 
N/A
ALESCO Preferred Funding XVI, Ltd.
 
215

 
BB
 
18.6%
MortgageIT Securities Corp. Mortgage Loan 2007-2
 
213

 
B
 
0.0%
Private Other Structured Finance Transaction
 
213

 
AAA
 
N/A
Nomura Asset Accept. Corp. 2007-1
 
206

 
CCC
 
0.0%
Kingsland IV
 
206

 
AAA
 
27.8%
CWALT Alternative Loan Trust 2007-HY9
 
193

 
A
 
0.5%
Synthetic Investment Grade Pooled Corporate CDO
 
193

 
AAA
 
15.6%
Taberna Preferred Funding II, Ltd.
 
193

 
CCC
 
25.6%
   Total top 50 U.S. structured finance exposures
 
$
18,539

 
 
 
 


Please refer to the Glossary for the Company's internal rating approach, presentation of net par outstanding and a description of various sectors.

30



Assured Guaranty Ltd.
Largest Exposures by Sector (3 of 4)
As of March 31, 2015
(dollars in millions)

25 Largest Non-U.S. Exposures by Revenue Source
Credit Name
Country
 
Net Par Outstanding
 
Internal Rating
Quebec Province
Canada
 
$
2,331

 
A+
Thames Water Utility Finance PLC
United Kingdom
 
1,368

 
A-
Southern Gas Networks PLC
United Kingdom
 
858

 
BBB
Channel Link Enterprises Finance PLC
France, United Kingdom
 
855

 
BBB
Capital Hospitals (Issuer) PLC
United Kingdom
 
749

 
BBB-
Societe des Autoroutes du Nord et de l'Est de France S.A.
France
 
732

 
BBB+
Sydney Airport Finance Company
Australia
 
696

 
BBB
International Infrastructure Pool
United Kingdom
 
693

 
AA
Southern Water Services Limited
United Kingdom
 
658

 
A-
International Infrastructure Pool
United Kingdom
 
623

 
AA
International Infrastructure Pool
United Kingdom
 
623

 
AA
Campania Region - Healthcare receivable
Italy
 
573

 
BBB-
Verbund - Lease and Sublease of Hydro-Electric equipment
Austria
 
545

 
AAA
Reliance Rail Finance Pty. Limited
Australia
 
509

 
BB
Central Nottinghamshire Hospitals PLC
United Kingdom
 
506

 
BBB
Scotland Gas Networks Plc (A2)
United Kingdom
 
476

 
BBB
NewHospitals (St Helens & Knowsley) Finance PLC
United Kingdom
 
463

 
BBB
The Hospital Company (QAH Portsmouth) Limited
United Kingdom
 
446

 
BBB
Integrated Accomodation Services PLC
United Kingdom
 
428

 
BBB+
Envestra Limited
Australia
 
413

 
BBB
A28 Motorway
France
 
394

 
BBB-
Dali Capital PLC-Northumbrian Water (Swap)
United Kingdom
 
393

 
BBB+
Octagon Healthcare Funding PLC
United Kingdom
 
389

 
BBB
Yorkshire Water Services Finance Plc
United Kingdom
 
372

 
A-
Private Other Structured Finance Transaction
Cayman Islands
 
372

 
AAA
Total top 25 non-U.S. exposures
 
 
$
16,465

 
 


Please refer to the Glossary for an explanation of net par outstanding, internal ratings and sectors.



31



Assured Guaranty Ltd.
Largest Exposures by Sector (4 of 4)
As of March 31, 2015
(dollars in millions)

10 Largest U.S. Residential Mortgage Servicer Exposures
Servicer:
 
Net Par Outstanding
Ocwen Loan Servicing, LLC1
 
$
2,399

Specialized Loan Servicing, LLC
 
1,832

Bank of America, N.A.2
 
1,820

Wells Fargo Bank NA
 
1,566

Select Portfolio Servicing, Inc.
 
352

JPMorgan Chase Bank
 
325

Nationstar Mortgage LLC
 
160

Residential Credit Solutions, Inc.
 
122

Carrington Mortgage Services, LLC
 
78

Doral Bank
 
78

Total top 10 U.S. residential mortgage servicer exposures
 
$
8,732


1) Includes Homeward Residential Inc.

2)
Includes Countrywide Home Loans Servicing LP.


10 Largest U.S. Healthcare Exposures
Credit Name:
 
Net Par Outstanding
 
Internal Rating
 
State
MultiCare Health System
 
$
471

 
AA-
 
WA
Methodist Healthcare
 
439

 
A+
 
TN
CHRISTUS Health
 
356

 
A+
 
TX
Children's National Medical Center
 
348

 
A-
 
DC
Catholic Health Initiatives
 
332

 
A+
 
CO
Carolina HealthCare System
 
319

 
AA-
 
NC
Bon Secours Health System Obligated Group
 
308

 
A-
 
MD
Catholic Health Partners
 
298

 
A+
 
OH
Dignity Health, California
 
283

 
A
 
CA
Palmetto Health Alliance
 
279

 
A-
 
SC
Total top 10 U.S. healthcare exposures
 
$
3,433

 
 
 
 


Please refer to the Glossary for the Company's internal rating approach and presentation of net par outstanding.





32



Assured Guaranty Ltd.
Rollforward of Net Expected Loss and LAE to be Paid
(dollars in millions)

Rollforward of Net Expected Loss and LAE to be Paid for the Three Months Ended March 31, 2015
Financial Guaranty Insurance Contracts and Credit Derivatives
 
Net Expected Loss to be Paid at December 31, 2014
 
Economic Loss Development During 1Q-15(1)
 
(Paid) Recovered Losses During 1Q-15
 
Net Expected Loss to be Paid at March 31, 2015
Public Finance:
 
 
 
 
 
 
 
 
U.S. public finance
 
$
303

 
$
9

 
$
(2
)
 
$
310

Non-U.S public finance
 
45

 
(3
)
 

 
42

Public Finance
 
348

 
6

 
(2
)
 
352

 
 
 
 
 
 
 
 
 
U.S. RMBS
 
 
 
 
 
 
 
 
First lien:
 
 
 
 
 
 
 
 
Prime first lien
 
4

 
0

 
(1
)
 
3

Alt-A first lien
 
304

 
(5
)
 
(10
)
 
289

Option ARMs
 
(16
)
 
4

 
(4
)
 
(16
)
Subprime first lien
 
303

 
(1
)
 
(9
)
 
293

Total first lien
 
595

 
(2
)
 
(24
)
 
569

Second lien:
 
 
 
 
 
 
 
 
Closed-end second lien
 
8

 
1

 
2

 
11

HELOC
 
(19
)
 
5

 
4

 
(10
)
Total second lien
 
(11
)
 
6

 
6

 
1

Total U.S. RMBS
 
584

 
4

 
(18
)
 
570

Triple-X life insurance transactions
 
161

 
5

 
(1
)
 
165

TruPS
 
23

 
(9
)
 

 
14

Other structured finance
 
57

 
(8
)
 
3

 
52

Structured Finance
 
825

 
(8
)
 
(16
)
 
801

Subtotal
 
1,173

 
(2
)
 
(18
)
 
1,153

Other
 
(4
)
 
(1
)
 
6

 
1

Total
 
$
1,169

 
$
(3
)
 
$
(12
)
 
$
1,154




1)
Includes the effect of changes in the Company's estimate of future recovery on representations and warranties (R&W).


33



Assured Guaranty Ltd.
Financial Guaranty Insurance and Credit Derivative U.S. RMBS R&W Benefit Development
(dollars in millions)
 
Financial Guaranty Insurance and Credit Derivatives U.S. RMBS Benefit Development for the Three Months Ended March 31, 2015
 
 
Future Net R&W Benefit at December 31 , 2014
 
R&W Economic Loss Development During 1Q-15
 
R&W (Recovered) During 1Q-15
 
Future Net R&W Benefit at March 31, 2015
Financial guaranty insurance:
 
 
 
 
 
 
 
 
Prime first lien
 
$
2

 
$
(1
)
 
$

 
$
1

Alt-A first lien
 
20

 

 
(1
)
 
19

Option ARMs
 
15

 
(20
)
 
(15
)
 
(20
)
Subprime first lien
 
109

 
(19
)
 
(3
)
 
87

Closed-end second lien
 
85

 
(1
)
 
(1
)
 
83

Subtotal
 
231

 
(41
)
 
(20
)
 
170

 
 
 
 
 
 
 
 
 
Credit derivatives:
 
 
 
 
 
 
 
 
Alt-A first lien
 
86

 
(10
)
 
(1
)
 
75

Subtotal
 
86

 
(10
)
 
(1
)
 
75

 
 
 
 
 
 
 
 
 
Total
 
$
317

 
$
(51
)
 
$
(21
)
 
$
245


1)
The number of risks subject to R&W recovery is 30, with related net debt service of $2.1 billion billion as of March 31, 2015 compared to 29 with net debt service of $2.1 billion as of December 31, 2014. Included in these amounts is net debt service related to transactions not yet subject to an agreement. A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments.


Please refer to the Glossary for an explanation of the presentation of net debt service outstanding and of the various sectors.

34



Assured Guaranty Ltd.
Losses Incurred
As of March 31, 2015
(dollars in millions)


Financial Guaranty Insurance Contracts and Credit Derivatives
 
 Total Net Par Outstanding for BIG Transactions
 
1Q-15 Losses Incurred
 
Net Expected Loss to be Expensed
Public Finance:
 
 
 
 
 
 
U.S. public finance
 
$
7,942

 
$
13

 
$
72

Non-U.S public finance
 
1,374

 
5

 
14

Public Finance
 
9,316

 
18

 
86

Structured Finance:
 
 
 
 
 
 
U.S. RMBS:
 
 
 
 
 
 
First lien:
 
 
 
 
 
 
Prime first lien
 
349

 
1

 
0

Alt-A first lien
 
1,778

 
(9
)
 
44

Option ARM
 
170

 
2

 
23

Subprime
 
1,539

 
(1
)
 
78

Total first lien
 
3,836

 
(7
)
 
145

Second lien:
 
 
 
 
 
 
Closed-end second lien
 
132

 
1

 
42

HELOCs
 
1,504

 
9

 
105

Total second lien
 
1,636

 
10

 
147

Total U.S. RMBS
 
5,472

 
3

 
292

Triple-X life insurance transactions
 
598

 
6

 
14

TruPS
 
1,155

 
(7
)
 
0

Other structured finance
 
1,319

 
(7
)
 
9

Structured Finance
 
8,544

 
(5
)
 
315

Subtotal
 
17,860

 
13

 
401

Other
 

 
(1
)
 

Subtotal
 
17,860

 
12

 
401

Effect of consolidating FG VIEs
 

 
(6
)
 
(86
)
Total
 
$
17,860

 
$
6

 
$
315



Please refer to the Glossary for an explanation of the presentation of net par outstanding and of the various sectors.



35



Assured Guaranty Ltd.
Summary Financial and Statistical Data
(dollars in millions, except per share amounts)
 
 
As of and for Three Months Ended March 31, 2015
 
Year Ended December 31,
 
 
 
2014
 
2013
 
2012
 
2011
GAAP Summary Income Statement Data
 
 
 
 
 
 
 
 
 
 
 
Net earned premiums
 
$
142

 
$
570

 
$
752

 
$
853

 
$
920

 
Net investment income
 
101

 
403

 
393

 
404

 
396

 
Realized gains and other settlements on credit derivatives
 
21

 
23

 
(42
)
 
(108
)
 
6

 
Total expenses
 
103

 
463

 
466

 
822

 
776

 
Income (loss) before income taxes
 
266

 
1,531

 
1,142

 
132

 
1,029

 
Net income (loss)
 
201

 
1,088

 
808

 
110

 
773

 
Net income (loss) per diluted share
 
1.28

 
6.26

 
4.30

 
0.57

 
4.16

 
 
 
 
 
 
 
 
 
 
 
 
GAAP Summary Balance Sheet Data
 
 
 
 
 
 
 
 
 
 
 
Total investments and cash
 
$
11,199

 
$
11,459

 
$
10,969

 
$
11,223

 
$
11,314

 
Total assets
 
14,677

 
14,925

 
16,287

 
17,242

 
17,709

 
Unearned premium reserve
 
4,127

 
4,261

 
4,595

 
5,207

 
5,963

 
Loss and LAE reserve
 
787

 
799

 
592

 
601

 
679

 
Long-term debt
 
1,304

 
1,303

 
816

 
836

 
1,038

 
Shareholders’ equity
 
5,786

 
5,758

 
5,115

 
4,994

 
4,652

 
Shareholders’ equity per share
 
37.86

 
36.37

 
28.07

 
25.74

 
25.52

 
 
 
 
 
 
 
 
 
 
 
 
Non-GAAP Financial Measures
 
 
 
 
 
 
 
 
 
 
 
Operating income
 
$
140

 
$
491

 
$
609

 
$
535

 
$
601

 
Operating income per diluted share
 
0.89

 
2.83

 
3.25

 
2.81

 
3.24

 
Operating shareholder's equity
 
5,876

 
5,933

 
6,164

 
5,830

 
5,201

 
Operating shareholder's equity per share
 
38.45

 
37.48

 
33.83

 
30.05

 
28.54

 
Adjusted book value
 
8,354

 
8,495

 
9,033

 
9,151

 
8,987

 
PVP
 
36

 
168

 
141

 
210

 
243

 
 
 
 
 
 
 
 
 
 
 
 
Other Financial Information (GAAP Basis)
 
 
 
 
 
 
 
 
 
 
 
Net debt service outstanding (end of period)
 
$
584,659

 
$
609,622

 
$
690,535

 
$
780,356

 
$
844,447

 
Gross debt service outstanding (end of period)
 
619,932

 
646,722

 
737,380

 
833,098

 
934,914

 
Net par outstanding (end of period)
 
389,099

 
403,729

 
459,107

 
518,772

 
556,830

 
Gross par outstanding (end of period)
 
411,086

 
426,705

 
487,895

 
550,908

 
613,124

 
 
 
 
 
 
 
 
 
 
 
 
Other Financial Information (Statutory Basis)(1)
 
 
 
 
 
 
 
 
 
 
 
Net debt service outstanding (end of period)
 
$
555,545

 
$
583,598

 
$
663,797

 
$
756,044

 
$
828,327

 
Gross debt service outstanding (end of period)
 
589,566

 
619,475

 
709,000

 
807,420

 
916,501

 
Net par outstanding (end of period)
 
362,300

 
379,714

 
434,597

 
496,237

 
541,882

 
Gross par outstanding (end of period)
 
383,123

 
401,552

 
461,845

 
527,126

 
593,072

 
 
 
 
 
 
 
 
 
 
 
 
 
Consolidated qualified statutory capital
 
6,461

 
6,472

 
6,136

 
5,943

 
5,688

 
Consolidated policyholders' surplus and reserves
 
10,485

 
10,623

 
10,454

 
10,288

 
10,626

 
 
 
 
 
 
 
 
 
 
 
 
 
Ratios:
 
 
 
 
 
 
 
 
 
 
 
 
Net par outstanding to qualified statutory capital
 
56
:1
 
59
:1
 
71
:1
 
83:1

 
95:1

 
 
Capital ratio(2)
 
86
:1
 
90
:1
 
108
:1
 
127:1

 
145:1

 
 
Financial resources ratio(2)
 
46
:1
 
48
:1
 
55
:1
 
61:1

 
65:1

 
 
 
 
 
 
 
 
 
 
 
 
 
Gross debt service written:
 
 
 
 
 
 
 
 
 
 
 
 
Public finance - U.S.
 
$
3,691

 
$
20,804

 
$
15,559

 
$
25,252

 
$
26,630

 
 
Public finance - non-U.S.
 

 
233

 
674

 
40

 
208

 
 
Structured finance - U.S.
 
263

 
423

 
297

 
623

 
1,731

 
 
Structured finance - non-U.S.
 
6

 
387

 

 

 

 
Total gross debt service written
 
$
3,960

 
$
21,847

 
$
16,530

 
$
25,915

 
$
28,569

 
 
 
 
 
 
 
 
 
 
 
 
 
Net debt service written
 
$
3,960

 
$
21,847

 
$
16,497

 
$
25,915

 
$
28,569

 
Net par written
 
2,708

 
13,171

 
9,331

 
16,816

 
16,892

 
Gross par written
 
2,708

 
13,171

 
9,350

 
16,816

 
16,892

1) Statutory amounts prepared on a consolidated basis. The NAIC Annual Statements for U.S. Domiciled Insurance Subsidiaries are prepared on a stand-alone basis.
2)
See page 6 for additional detail on claims-paying resources.

Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.
Please refer to the Glossary for an explanation of the presentation of net debt service and net par outstanding and of the various sectors.

36



Glossary

Net Par Outstanding and Internal Ratings
Net par outstanding is insured par exposure, net of reinsurance cessions. Unless otherwise indicated, GAAP net par outstanding amounts exclude amounts related to securities the Company has purchased for loss mitigation purposes.

Internal Rating utilizes the Company’s ratings scale, which is similar to that used by the nationally recognized statistical rating organizations; however, the ratings in the tables may not be the same as ratings assigned by any such rating agency.

Performance Indicators
The performance information described below is obtained from third parties and/or provided by the trustee and may be subject to revision as updated or additional information are obtained:

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 divided by current collateral balance.

Average Credit Enhancement is intended to provide a measure of the amount of equity and/or subordinated tranches that are junior in the capital structure to Assured Guaranty’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 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. Some asset classes may not have subordinated tranches so they are excluded from the weighted averages.

Cumulative Losses are defined as net charge-offs on the underlying loan collateral divided by the original collateral balance.

Pool Factor is the percentage of the current collateral balance divided by the original collateral balance of the transactions at inception.

Subordination represents the sum of subordinate tranches and overcollateralization, expressed as a percentage of total transaction size, and does not include any benefit from excess spread collections that may be used to absorb losses. Many of the closed-end second lien RMBS 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 undercollateralized, 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 undercollateralization into account when estimating expected losses for these transactions.

Sectors
Below are brief descriptions of selected types of public and 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, 2014.

Public Finance:
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.


37



Glossary (continued)

Sectors (continued)

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.

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.

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.

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 United Kingdom.

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 such obligations, with a defined deductible to cover credit risks associated with the referenced obligations.

Other Public Finance primarily includes government insured student loans, government-sponsored project finance and structured municipal transactions, which includes excess of loss reinsurance on portfolios of municipal credits.

Structured Finance:
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) are obligations backed by closed-end and open-end first and second lien mortgage loans on one-to-four family residential properties, including condominiums and cooperative apartments. First lien 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.

Additional insured obligations within RMBS include Home Equity Lines of Credit (HELOCs), which refers to a type of residential mortgage-backed transaction backed by second-lien loan collateral consisting of home equity lines of credit. U.S. Prime First Lien is a type of residential mortgage-backed securities transaction backed primarily by prime first-lien loan collateral plus an insignificant amount of other miscellaneous RMBS transactions.

CBOs/CLOs (collateralized bond obligations and collateralized loan obligations) are asset-backed securities largely backed by non-investment grade/high yield collateral.

Commercial Mortgage-Backed Securities (CMBS) are obligations backed by pools of commercial mortgages. The collateral supporting CMBS include office, multifamily, retail, hotel, industrial and other specialized or mixed-use properties.

Financial Products is the way in which the Company refers to the guaranteed investment contracts (GICs) portion of a line of business previously conducted by AGMH that the Company did not acquire when it purchased AGMH in 2009. That line of business, which the Company refers to as the former "Financial Products Business" of AGMH, was comprised of its guaranteed investment contracts business, its medium term notes business and the equity payment agreements associated with AGMH's leveraged lease business. When AGMH was still conducting Financial Products Business, AGM issued financial guaranty insurance policies on GICs and in respect of the GIC business; those policies cannot be revoked or canceled. Assured Guaranty is indemnified by Dexia against loss from the former Financial Products Business. The Financial Products Business is currently being run off.

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Glossary (continued)

Sectors (continued)
Consumer Receivables Securities are obligations backed by non-mortgage consumer receivables, such as student loans, automobile loans and leases, manufactured home loans and other consumer receivables.

Commercial Receivables Securities are obligations backed by equipment loans or leases, aircraft and aircraft engine 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. One such type of asset is a tax benefit to be realized by an investor in one of the Federal or state programs that permit such investor to receive a credit against taxes (such as Federal corporate income tax or state insurance premium tax) for making qualified investments in specified enterprises, typically located in designated low-income areas.


39



Non-GAAP Financial Measures
 
The Company references financial measures that are not in accordance with accounting principles generally accepted in the United States of America (GAAP).
 
Management and the board of directors utilize non-GAAP financial measures in evaluating the Company’s financial performance and as a basis for determining senior management incentive compensation. By providing these non-GAAP financial measures, the Company gives investors, analysts and financial news reporters access to the same information that management reviews internally. In addition, Assured Guaranty’s presentation of non-GAAP financial measures is consistent with how analysts calculate their estimates of Assured Guaranty’s financial results in their research reports on Assured Guaranty and with how investors, analysts and the financial news media evaluate Assured Guaranty’s financial results.
 
The following paragraphs define each non-GAAP financial measure and describe why it is useful. A reconciliation of the non-GAAP financial measure and the most directly comparable GAAP financial measure, is presented within this financial supplement. Non-GAAP financial measures should not be viewed as substitutes for their most directly comparable GAAP measures.

Operating Income: Management believes that operating income is a useful measure because it clarifies the understanding of the underwriting results of the Company’s financial guaranty business, and also includes financing costs and net investment income, and enables investors and analysts to evaluate the Company’s financial results as compared with the consensus analyst estimates distributed publicly by financial databases. Operating income is defined as net income (loss) attributable to Assured Guaranty Ltd., as reported under GAAP, adjusted for the following:

1) Elimination of the after-tax realized gains (losses) on the Company’s investments, except for gains and losses on securities classified as trading. The timing of realized gains and losses, which depends largely on market credit cycles, can vary considerably across periods. The timing of sales is largely subject to the Company’s discretion and influenced by market opportunities, as well as the Company’s tax and capital profile. Trends in the underlying profitability of the Company’s business can be more clearly identified without the fluctuating effects of these transactions.

2) Elimination of the after-tax non-credit-impairment unrealized fair value gains (losses) on credit derivatives, which is the amount in excess of the present value of the expected estimated economic credit losses and non-economic payments. Such fair value adjustments are heavily affected by, and in part fluctuate with, changes in market interest rates, credit spreads and other market factors and are not expected to result in an economic gain or loss. Additionally, such adjustments present all financial guaranty contracts on a more consistent basis of accounting, whether or not they are subject to derivative accounting rules.

3) Elimination of the after-tax fair value gains (losses) on the Company’s committed capital securities. Such amounts are heavily affected by, and in part fluctuate with, changes in market interest rates, credit spreads and other market factors and are not expected to result in an economic gain or loss.

4) Elimination of the after-tax foreign exchange gains (losses) on remeasurement of net premium receivables and loss and LAE reserves. Long-dated receivables constitute a significant portion of the net premium receivable balance and represent the present value of future contractual or expected collections. Therefore, the current period’s foreign exchange remeasurement gains (losses) are not necessarily indicative of the total foreign exchange gains (losses) that the Company will ultimately recognize.

5) Elimination of the effects of consolidating FG VIEs in order to present all financial guaranty contracts on a more consistent basis of accounting, whether or not GAAP requires consolidation. GAAP requires the Company to consolidate certain VIEs that have issued debt obligations insured by the Company even though the Company does not own such VIEs.

Operating Shareholders’ Equity: Management believes that operating shareholders’ equity is a useful measure because it presents the equity of Assured Guaranty Ltd. with all financial guaranty contracts accounted for on a more consistent basis and excludes fair value adjustments that are not expected to result in economic loss. Many investors, analysts and financial news reporters use operating shareholders’ equity as the principal financial measure for valuing Assured Guaranty Ltd.’s current share price or projected share price and also as the basis of their decision to recommend buy or sell Assured Guaranty Ltd.’s common shares. Many of the Company’s fixed income investors also use operating shareholders’ equity to evaluate the Company’s capital adequacy. Operating shareholders’ equity is the basis of the calculation of adjusted book value (see below). Operating shareholders’ equity is defined as shareholders’ equity attributable to Assured Guaranty Ltd., as reported under GAAP, adjusted for the following:

1) Elimination of the effects of consolidating FG VIEs in order to present all financial guaranty contracts on a more consistent basis of accounting, whether or not GAAP requires consolidation. GAAP requires the Company to consolidate certain VIEs that have issued debt obligations insured by the Company even though the Company does not own such VIEs.

2) Elimination of the after-tax non-credit-impairment unrealized fair value gains (losses) on credit derivatives, which is the amount in excess of the present value of the expected estimated economic credit losses and non-economic payments. Such fair value adjustments are heavily affected by, and in part fluctuate with, changes in market interest rates, credit spreads and other market factors and are not expected to result in an economic gain or loss.

40



Non-GAAP Financial Measures (continued)

Operating Shareholders’ Equity (continued):
3) Elimination of the after-tax fair value gains (losses) on the Company’s committed capital securities. Such amounts are heavily affected by, and in part fluctuate with, changes in market interest rates, credit spreads and other market factors and are not expected to result in an economic gain or loss.

4) Elimination of the after-tax unrealized gains (losses) on the Company’s investments, that are recorded as a component of accumulated other comprehensive income (AOCI) (excluding foreign exchange remeasurement). The AOCI component of the fair value adjustment on the investment portfolio is not deemed economic because the Company generally holds these investments to maturity and therefore should not recognize an economic gain or loss.

Operating return on equity (Operating ROE): Operating ROE represents operating income for a specified period divided by the average of operating shareholders’ equity at the beginning and the end of that period. Management believes that operating ROE is a useful measure to evaluate the Company’s return on invested capital. Many investors, analysts and members of the financial news media use operating ROE to evaluate Assured Guaranty Ltd.’s share price and as the basis of their decision to recommend, buy or sell the Assured Guaranty Ltd. common shares. Quarterly and year-to-date operating ROE are calculated on an annualized basis.

Adjusted Book Value: Management believes that adjusted book value is a useful measure because it enables an evaluation of the net present value of the Company’s in-force premiums and revenues in addition to operating shareholders’ equity. The premiums and revenues included in adjusted book value will be earned in future periods, but actual earnings may differ materially from the estimated amounts used in determining current adjusted book value due to changes in foreign exchange rates, prepayment speeds, terminations, credit defaults and other factors. Many investors, analysts and financial news reporters use adjusted book value to evaluate Assured Guaranty Ltd.’s share price and as the basis of their decision to recommend, buy or sell the Assured Guaranty Ltd. common shares. Adjusted book value is operating shareholders’ equity, as defined above, further adjusted for the following:

1) Elimination of after-tax deferred acquisition costs, net. These amounts represent net deferred expenses that have already been paid or accrued and will be expensed in future accounting periods.

2) Addition of the after-tax net present value of estimated net future credit derivative revenue. See below.

3) Addition of the after-tax value of the unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed, net of reinsurance. This amount represents the expected future net earned premiums, net of expected losses to be expensed, which are not reflected in GAAP equity.

Net present value of estimated net future credit derivative revenue: Management believes that this amount is a useful measure because it enables an evaluation of the value of future estimated credit derivative revenue. There is no corresponding GAAP financial measure. This amount represents the present value of estimated future revenue from the Company’s credit derivative in-force book of business, net of reinsurance, ceding commissions and premium taxes for contracts without expected economic losses, and is discounted at 6%. Estimated net future credit derivative revenue may change from period to period due to changes in foreign exchange rates, prepayment speeds, terminations, credit defaults or other factors that affect par outstanding or the ultimate maturity of an obligation.

PVP or present value of new business production: Management believes that PVP is a useful measure because it enables the evaluation of the value of new business production for Assured Guaranty by taking into account the value of estimated future installment premiums on all new contracts underwritten in a reporting period as well as premium supplements and additional installment premium on existing contracts as to which the issuer has the right to call the insured obligation but has not exercised such right,  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 settlements on credit derivatives (Credit Derivative Revenues) do not adequately measure. PVP in respect of financial guaranty contracts written in a specified period is defined as gross upfront and installment premiums received and the present value of gross estimated future installment premiums, in each case, discounted at 6%. 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, changes in foreign exchange rates, prepayment speeds, terminations, credit defaults, or other factors that affect par outstanding or the ultimate maturity of an obligation.


41








Assured Guaranty Ltd.                        
30 Woodbourne Avenue
Hamilton HM 08
Bermuda
(441) 279-5705
www.assuredguaranty.com


 



Contacts:

Equity and Fixed Income Investors:
Robert Tucker
Managing Director, Investor Relations and Corporate Communications
(212) 339-0861
rtucker@assuredguaranty.com

Michael Walker
Managing Director, Fixed Income Investor Relations
(212) 261-5575
mwalker@assuredguaranty.com

Andre Thomas
Managing Director, Equity Investor Relations
(212) 339-3551
athomas@assuredguaranty.com

Glenn Alterman
Associate, Investor Relations
(212) 339-0854
galterman@assuredguaranty.com

Katie-May Gordon
Associate, Investor Relations
(212) 339-0898
kgordon@assuredguaranty.com

Media:
Ashweeta Durani
Vice President, Corporate Communications
(212) 408-6042
adurani@assuredguaranty.com