EX-99.2 3 a05-13953_1ex99d2.htm EX-99.2

 

Exhibit 99.2

 

 

Assured Guaranty Ltd.

Financial Supplement

Second Quarter 2005

June 30, 2005

 

Table of Contents

 

 

Assured Guaranty Ltd.

 

 

 

Selected Financial Highlights

 

 

 

Consolidated GAAP Income Statements

 

 

 

Consolidated GAAP Balance Sheets

 

 

 

Segment Consolidation

 

 

 

Financial Guaranty Direct Segment

 

 

 

Financial Guaranty Reinsurance Segment

 

 

 

Mortgage Guaranty Segment

 

 

 

Other Segment

 

 

 

Loss and LAE Reserves

 

 

 

Investment Portfolio

 

 

 

Financial Guaranty Profile

 

 

 

Non-Investment Grade Exposures

 

 

 

Closely Monitored Credits

 

 

 

Largest Exposures by Sector

 

 

 

Consolidated Capital and Claims Paying Resources

 

 

 

Summary Financial and Statistical Data

 

 

 

This supplement should be read in conjunction with documents filed by Assured Guaranty Ltd. (the “Company”) with the Securities and Exchange Commission, including our IPO prospectus dated April 22, 2004, our 10-Q’s dated March 31, 2004, June 30, 2004, September 30, 2004 and March 31, 2005 and our 10-K for the year ended December 31, 2004.

 

Cautionary Statement Regarding Forward-Looking Statements:

 

Any forward-looking statements made in this supplement reflect the Company’s current views with respect to future events and financial performance and are made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995.

 

Such statements involve risks and uncertainties that may cause actual results to differ materially from those set forth in these statements.  For example, the Company’s forward-looking statements, such as its statements regarding PVP and present value of estimated installment premiums in force, could be affected by a significant reduction in the amount of reinsurance ceded by one or more of our principal ceding companies, rating agency action such as a ratings downgrade, difficulties with the execution of the Company’s business strategy, contract cancellations, developments in the world’s financial and capital markets, more severe losses or more frequent losses associated with products affecting the adequacy of the Company’s loss reserve, changes in regulation or tax laws, the Company’s dependence on customers, decreased demand or increased competition, loss of key personnel, the effects of mergers, acquisitions and divestitures, changes in accounting policies or practices, and changes in general economic conditions, as well as management’s response to these factors, and other risk factors identified in the Company’s filings with the Securities and Exchange Commission.

 

1


 

Assured Guaranty Ltd.

Selected Financial Highlights

(dollars and shares in millions except per share amounts)

 

 

 

Quarter Ended
June 30,

 

% Change
versus

 

Six Months Ended
June 30,

 

% Change
versus

 

 

 

2005

 

2004

 

2Q-04

 

2005

 

2004

 

YTD 2004

 

Gross written premiums (GWP) analysis:

 

 

 

 

 

 

 

 

 

 

 

 

 

Present value of financial guaranty & mortgage guaranty GWP (PVP) (a)

 

$

57.9

 

$

54.4

 

6

%

$

146.2

 

$

159.5

 

-8

%

Less: Installment premium PVP

 

38.3

 

31.6

 

21

%

91.8

 

88.3

 

4

%

Upfront financial guaranty & mortgage guaranty GWP

 

19.6

 

22.9

 

-14

%

54.4

 

71.3

 

-24

%

Plus: Upfront premium due to novations

 

(18.4

)

—

 

NMF

 

(18.4

)

—

 

NMF

 

Plus: Installment GWP

 

29.8

 

31.5

 

-6

%

72.2

 

75.1

 

-4

%

Financial guaranty & mortgage guaranty GWP

 

31.0

 

54.4

 

-43

%

108.2

 

146.4

 

-26

%

Plus: Other segment GWP

 

9.5

 

10.0

 

-5

%

10.4

 

(83.6

)

NMF

 

Total GWP

 

$

40.5

 

$

64.4

 

-37

%

$

118.6

 

$

62.8

 

89

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income

 

$

66.8

 

$

43.1

 

55

%

$

111.1

 

$

90.0

 

23

%

Less: After-tax realized gains on investments

 

1.2

 

6.3

 

-81

%

2.7

 

6.3

 

-57

%

Less: After-tax unrealized (losses) gains on derivatives

 

(9.7

)

9.0

 

NMF

 

(8.1

)

12.1

 

NMF

 

Operating income (b)

 

$

75.2

 

$

27.9

 

170

%

$

116.6

 

$

71.6

 

63

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Book value

 

$

1,619.5

 

$

1,421.9

 

14

%

$

1,619.5

 

$

1,421.9

 

14

%

Plus: Net unearned premium reserve less DAC, after-tax (1)

 

304.2

 

245.1

 

24

%

304.2

 

245.1

 

24

%

Plus: Net present value of installment premiums in-force, after-tax

 

300.6

 

261.8

 

15

%

300.6

 

261.8

 

15

%

Adjusted book value (c)

 

$

2,224.3

 

$

1,928.8

 

15

%

$

2,224.3

 

$

1,928.8

 

15

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ROE, excluding AOCI

 

17.7

%

12.4

%

 

 

14.9

%

13.2

%

 

 

Less: After-tax realized gains on investments

 

0.3

%

1.8

%

 

 

0.4

%

0.9

%

 

 

Less: After-tax unrealized (losses) gains on derivatives

 

-2.6

%

2.6

%

 

 

-1.1

%

1.8

%

 

 

Operating ROE, excluding AOCI (b)

 

19.9

%

8.0

%

 

 

15.6

%

10.5

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per diluted share:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income

 

$

0.90

 

$

0.57

 

58

%

$

1.49

 

$

1.20

 

24

%

Less: After-tax realized gains on investments

 

0.02

 

0.08

 

-75

%

0.04

 

0.08

 

-50

%

Less: After-tax unrealized gains on derivatives

 

(0.13

)

0.12

 

NMF

 

(0.11

)

0.16

 

NMF

 

Operating income (b)

 

$

1.02

 

$

0.37

 

176

%

$

1.56

 

$

0.95

 

64

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Book value

 

$

21.63

 

$

18.73

 

15

%

$

21.63

 

$

18.73

 

15

%

Plus: Net unearned premium reserve less DAC, after-tax (1)

 

4.06

 

3.23

 

26

%

4.06

 

3.23

 

26

%

Plus: Net present value of installment premiums in-force, after-tax

 

4.01

 

3.45

 

16

%

4.01

 

3.45

 

16

%

Adjusted book value (c)

 

$

29.71

 

$

25.40

 

17

%

$

29.71

 

$

25.40

 

17

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Additional information:

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares outstanding at the end of period

 

74.9

 

75.9

 

—

 

74.9

 

75.9

 

—

 

Weighted average basic shares outstanding

 

73.8

 

75.0

 

-2

%

74.1

 

75.0

 

-1

%

Weighted average diluted shares outstanding

 

74.1

 

75.0

 

-1

%

74.5

 

75.0

 

-1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated net debt service outstanding

 

$

137,104

 

$

132,527

 

3

%

$

137,104

 

$

132,527

 

3

%

Consolidated net par outstanding

 

94,867

 

91,350

 

4

%

94,867

 

91,350

 

4

%

Consolidated claims-paying resources

 

3,028

 

2,745

 

10

%

3,028

 

2,745

 

10

%

 

(1)  Unearned premium reserve (UPR) less pre-paid reinsurance premiums and deferred acquisition costs (DAC), all after-tax

 

Note: Please refer to endnotes for explanation of non-GAAP financial measures [PVP (a), operating income and operating ROE (b), and adjusted book value (c)].

 

2


 

Assured Guaranty Ltd.

Consolidated GAAP Income Statements

(in millions, except per share amounts)

 

 

 

Quarter Ended
June 30,

 

% Change
versus

 

Six Months Ended
June 30,

 

% Change
versus

 

 

 

2005

 

2004

 

2Q-04

 

2005

 

2004

 

YTD 2004

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Revenues

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross written premiums

 

$

40.5

 

$

64.4

 

-37

%

$

118.6

 

$

62.8

 

89

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net written premiums

 

30.2

 

(29.9

)

NMF

 

106.6

 

(36.8

)

NMF

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premiums

 

48.3

 

(9.3

)

NMF

 

96.4

 

77.3

 

25

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

23.7

 

23.5

 

1

%

46.8

 

47.8

 

-2

%

Other income

 

(0.2

)

—

 

NMF

 

0.1

 

0.5

 

-80

%

Total revenues

 

$

71.8

 

$

14.2

 

406

%

$

143.3

 

$

125.6

 

14

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expenses

 

(59.1

)

(60.0

)

-2

%

(68.5

)

(36.3

)

89

%

Profit commission expense

 

3.3

 

4.8

 

-31

%

4.3

 

10.3

 

-58

%

Acquisition costs

 

11.7

 

8.4

 

39

%

21.9

 

21.5

 

2

%

Other operating expenses

 

14.5

 

26.6

 

-45

%

29.0

 

39.2

 

-26

%

Other expenses

 

5.9

 

2.5

 

136

%

9.2

 

5.6

 

64

%

Total expenses

 

$

(23.7

)

$

(17.6

)

35

%

$

(4.1

)

$

40.4

 

NMF

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income before provision for income taxes

 

95.5

 

31.8

 

200

%

147.4

 

85.3

 

73

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total provision for income taxes

 

20.3

 

3.9

 

425

%

30.8

 

13.8

 

124

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operating income (b)

 

$

75.2

 

$

27.9

 

170

%

$

116.6

 

$

71.6

 

63

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

After-tax net realized gains on investments

 

1.2

 

6.3

 

-81

%

2.7

 

6.3

 

-57

%

After-tax unrealized (losses) gains on derivative instruments

 

(9.7

)

9.0

 

NMF

 

(8.1

)

12.1

 

NMF

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income

 

$

66.8

 

$

43.1

 

55

%

$

111.1

 

$

90.0

 

23

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per diluted share

 

 

 

 

 

 

 

 

 

 

 

 

 

Operating income (b)

 

$

1.02

 

$

0.37

 

176

%

$

1.56

 

$

0.95

 

64

%

After-tax net realized gains on investments

 

0.02

 

0.08

 

-75

%

0.04

 

0.08

 

-50

%

After-tax unrealized (losses) gains on derivative instruments

 

(0.13

)

0.12

 

NMF

 

(0.11

)

0.16

 

NMF

 

Net income

 

$

0.90

 

$

0.57

 

58

%

$

1.49

 

$

1.20

 

24

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding (in millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

Basic shares outstanding

 

73.8

 

75.0

 

-2

%

74.1

 

75.0

 

-1

%

Plus: effect of options

 

0.2

 

—

 

NMF

 

0.1

 

—

 

NMF

 

Plus: effect of restricted stock

 

0.1

 

—

 

NMF

 

0.2

 

—

 

NMF

 

Diluted shares outstanding

 

74.1

 

75.0

 

-1

%

74.5

 

75.0

 

-1

%

 

Note: Please refer to endnotes for explanation of non-GAAP financial measures [PVP (a), operating income and operating ROE (b), and adjusted book value (c)].

 

3


 

Assured Guaranty Ltd.

Consolidated GAAP Balance Sheets

(dollars in millions)

 

 

 

As of :

 

 

 

June 30,
2005

 

December 31,
2004

 

 

 

 

 

 

 

Assets

 

 

 

 

 

Fixed maturity securities, at fair value

 

$

2,076.8

 

$

1,965.1

 

Short-term investments, at cost which approximates fair value

 

121.1

 

175.8

 

Total investments

 

2,197.9

 

2,140.9

 

 

 

 

 

 

 

Cash and cash equivalents

 

4.7

 

17.0

 

Accrued investment income

 

21.4

 

21.9

 

Deferred acquisition costs

 

188.2

 

186.4

 

Prepaid reinsurance premiums

 

13.8

 

15.2

 

Reinsurance recoverable on ceded losses

 

112.4

 

120.2

 

Loss recovery receivable

 

63.7

 

—

 

Premiums receivable

 

28.5

 

40.8

 

Goodwill

 

85.4

 

85.4

 

Unrealized gains on derivative financial instruments

 

34.5

 

43.9

 

Other assets

 

21.0

 

22.3

 

Total assets

 

$

2,771.6

 

$

2,694.0

 

 

 

 

 

 

 

Liabilities and shareholders’ equity

 

 

 

 

 

Liabilities

 

 

 

 

 

Unearned premium reserves

 

$

530.2

 

$

521.3

 

Reserves for losses and loss adjustment expenses

 

206.4

 

226.5

 

Profit commissions payable

 

45.4

 

61.7

 

Reinsurance balances payable

 

21.9

 

25.1

 

Current income taxes

 

28.4

 

—

 

Deferred income taxes

 

18.2

 

40.1

 

Funds held by Company under reinsurance contracts

 

53.8

 

50.8

 

Long-term debt

 

197.3

 

197.4

 

Other liabilities

 

50.5

 

43.7

 

Total liabilities

 

1,152.1

 

1,166.4

 

 

 

 

 

 

 

Shareholders’ equity

 

 

 

 

 

Common stock

 

0.7

 

0.8

 

Treasury stock

 

(7.9

)

(7.9

)

Additional paid-in capital

 

884.4

 

894.2

 

Unearned stock grant compensation

 

(10.1

)

(6.7

)

Retained earnings

 

674.8

 

568.3

 

Accumulated other comprehensive income

 

77.5

 

79.0

 

Total shareholders’ equity

 

1,619.5

 

1,527.6

 

 

 

 

 

 

 

Total liabilities and shareholders’ equity

 

$

2,771.6

 

$

2,694.0

 

 

4


 

Assured Guaranty Ltd.

Segment Consolidation (1 of 2)

(dollars in millions)

 

 

 

Quarter Ended June 30, 2005

 

 

 

Financial
Guaranty
Direct

 

Financial
Guaranty
Reinsurance(1)

 

Mortgage
Guaranty

 

Total
Financial
Guaranty

 

Other

 

Total

 

Present value of financial guaranty gross written premiums (PVP): (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

Public finance

 

$

6.3

 

$

15.8

 

$

—

 

$

22.1

 

 

 

$

22.1

 

Structured finance

 

16.4

 

19.4

 

—

 

35.8

 

 

 

35.8

 

Total PVP

 

$

22.7

 

$

35.2

 

$

—

 

$

57.9

 

 

 

$

57.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income statement:

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross written premiums

 

$

20.9

 

$

8.2

 

$

1.9

 

$

31.0

 

$

9.5

 

$

40.5

 

Net written premiums

 

20.4

 

8.0

 

1.9

 

30.2

 

—

 

30.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premiums

 

16.0

 

27.2

 

5.1

 

48.3

 

—

 

48.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expenses

 

5.0

 

(64.1

)

—

 

(59.1

)

—

 

(59.1

)

Profit commission expense

 

—

 

2.3

 

1.0

 

3.3

 

—

 

3.3

 

Acquisition costs

 

1.6

 

9.5

 

0.6

 

11.7

 

—

 

11.7

 

Operating expenses

 

8.4

 

5.7

 

0.4

 

14.5

 

—

 

14.5

 

Total underwriting expenses

 

$

15.0

 

$

(46.6

)

$

2.0

 

$

(29.6

)

$

—

 

$

(29.6

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting gain

 

$

1.1

 

$

73.8

 

$

3.1

 

$

77.9

 

$

—

 

$

77.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expense ratio

 

31.3

%

-235.7

%

—

 

-122.4

%

 

 

-122.4

%

Expense ratio

 

62.2

%

64.3

%

39.6

%

61.0

%

 

 

61.0

%

Combined ratio

 

93.5

%

-171.4

%

39.6

%

-61.4

%

 

 

-61.4

%

 

 

 

Quarter Ended June 30, 2004

 

 

 

Financial
Guaranty
Direct

 

Financial
Guaranty
Reinsurance(1)

 

Mortgage
Guaranty

 

Total
Financial
Guaranty

 

Other

 

Total

 

PVP:

 

 

 

 

 

 

 

 

 

 

 

 

 

Public finance

 

$

2.9

 

$

31.2

 

$

—

 

$

34.1

 

 

 

$

34.1

 

Structured finance

 

11.4

 

8.9

 

—

 

20.3

 

 

 

20.3

 

Total PVP

 

$

14.4

 

$

40.1

 

$

—

 

$

54.4

 

 

 

$

54.4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income statement:

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross written premiums

 

$

17.7

 

$

35.8

 

$

0.9

 

$

54.4

 

$

10.0

 

$

64.4

 

Net written premiums

 

17.3

 

35.8

 

0.9

 

54.0

 

(84.0

)

(29.9

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premiums

 

16.1

 

25.6

 

15.0

 

56.7

 

(66.0

)

(9.3

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expenses

 

1.6

 

(0.9

)

(3.3

)

(2.6

)

(57.4

)

(60.0

)

Profit commission expense

 

—

 

0.3

 

4.3

 

4.6

 

0.2

 

4.8

 

Acquisition costs

 

0.1

 

6.6

 

1.7

 

8.4

 

—

 

8.4

 

Operating expenses (2)

 

9.1

 

5.0

 

1.1

 

15.3

 

—

 

15.3

 

Total underwriting expenses

 

$

10.8

 

$

11.0

 

$

3.8

 

$

25.7

 

$

(57.2

)

$

(31.5

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting gain (loss)

 

$

5.3

 

$

14.6

 

$

11.2

 

$

31.0

 

$

(8.8

)

$

22.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expense ratio

 

9.9

%

-3.5

%

-22.0

%

-4.6

%

87.0

%

645.2

%

Expense ratio

 

57.1

%

46.5

%

47.5

%

50.0

%

-0.3

%

-306.8

%

Combined ratio

 

67.0

%

43.0

%

25.5

%

45.4

%

86.7

%

338.4

%

 

(1) Due to the timing of receipts of reports prepared by our ceding companies, present value of financial guaranty gross written premiums (PVP) for installment premiums, par written and par outstanding in our Financial Guaranty Reinsurance segment are reported on a one-quarter lag.

 

(2) Excludes $11.3 million of operating expenses, related to accelerated vesting of stock awards at the IPO date.

 

Note: Please refer to endnotes for explanation of non-GAAP financial measures [PVP (a), operating income and operating ROE (b), and adjusted book value (c)].

 

5


 

Assured Guaranty Ltd.

Segment Consolidation (2 of 2)

(dollars in millions)

 

 

 

Six Months Ended June 30, 2005

 

 

 

Financial
Guaranty
Direct

 

Financial
Guaranty
Reinsurance(1)

 

Mortgage
Guaranty

 

Total
Financial
Guaranty

 

Other

 

Total

 

Present value of financial guaranty gross written premiums (PVP): (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

Public finance

 

$

7.9

 

$

50.5

 

$

—

 

$

58.4

 

 

 

$

58.4

 

Structured finance

 

52.2

 

22.5

 

13.1

 

87.8

 

 

 

87.8

 

Total PVP

 

$

60.1

 

$

73.0

 

$

13.1

 

$

146.2

 

 

 

$

146.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income statement:

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross written premiums

 

$

44.7

 

$

42.2

 

$

21.3

 

$

108.2

 

$

10.4

 

$

118.6

 

Net written premiums

 

43.5

 

42.0

 

21.3

 

106.6

 

—

 

106.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premiums

 

36.4

 

50.2

 

9.7

 

96.4

 

—

 

96.4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expenses

 

3.5

 

(71.2

)

0.2

 

(67.5

)

(1.1

)

(68.5

)

Profit commission expense

 

—

 

2.3

 

2.0

 

4.3

 

—

 

4.3

 

Acquisition costs

 

3.1

 

17.6

 

1.1

 

21.9

 

—

 

21.9

 

Operating expenses

 

17.8

 

10.1

 

1.1

 

29.0

 

—

 

29.0

 

Total underwriting expenses

 

$

24.3

 

$

(41.2

)

$

4.4

 

$

(12.4

)

$

(1.1

)

$

(13.4

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting gain

 

$

12.1

 

$

91.4

 

$

5.3

 

$

108.8

 

$

1.1

 

$

109.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expense ratio

 

9.7

%

-141.8

%

2.1

%

-70.0

%

 

 

-71.1

%

Expense ratio

 

57.1

%

59.8

%

43.3

%

57.2

%

 

 

57.2

%

Combined ratio

 

66.8

%

-82.0

%

45.4

%

-12.8

%

 

 

-13.9

%

 

 

 

Six Months Ended June 30, 2004

 

 

 

Financial
Guaranty
Direct

 

Financial
Guaranty
Reinsurance(1)

 

Mortgage
Guaranty

 

Total
Financial
Guaranty

 

Other

 

Total

 

PVP:

 

 

 

 

 

 

 

 

 

 

 

 

 

Public finance

 

$

2.9

 

$

77.0

 

$

—

 

$

79.9

 

 

 

$

79.9

 

Structured finance

 

19.3

 

41.2

 

19.2

 

79.6

 

 

 

79.6

 

Total PVP

 

$

22.2

 

$

118.2

 

$

19.2

 

$

159.5

 

 

 

$

159.5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income statement:

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross written premiums

 

$

43.3

 

$

88.2

 

$

14.9

 

$

146.4

 

$

(83.6

)

$

62.8

 

Net written premiums

 

42.6

 

88.2

 

14.9

 

145.7

 

(182.5

)

(36.8

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premiums

 

56.8

 

46.0

 

23.4

 

126.2

 

(48.9

)

77.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expenses

 

15.0

 

3.0

 

(4.5

)

13.5

 

(49.9

)

(36.3

)

Profit commission expense

 

—

 

0.4

 

9.3

 

9.7

 

0.6

 

10.3

 

Acquisition costs

 

1.5

 

13.7

 

2.6

 

17.8

 

3.7

 

21.5

 

Operating expenses (2)

 

14.6

 

8.0

 

1.8

 

24.4

 

3.5

 

27.9

 

Total underwriting expenses

 

$

31.1

 

$

25.1

 

$

9.2

 

$

65.4

 

$

(42.0

)

$

23.4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting gain (loss)

 

$

25.7

 

$

20.9

 

$

14.3

 

$

60.9

 

$

(7.1

)

$

53.8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expense ratio

 

26.4

%

6.5

%

-19.2

%

10.7

%

102.0

%

-47.0

%

Expense ratio

 

28.3

%

48.0

%

58.3

%

41.1

%

-16.1

%

77.2

%

Combined ratio

 

54.7

%

54.5

%

39.1

%

51.8

%

85.9

%

30.2

%

 

(1)  Due to the timing of receipts of reports prepared by our ceding companies, present value of financial guaranty gross written premiums (PVP) for installment premiums, par written and par outstanding in our Financial Guaranty Reinsurance segment are reported on a one-quarter lag.

 

(2)  Excludes $11.3 million of operating expenses, related to accelerated vesting of stock awards at the IPO date.

 

Note: Please refer to endnotes for explanation of non-GAAP financial measures [PVP (a), operating income and operating ROE (b), and adjusted book value (c)].

 

6


 

Assured Guaranty Ltd.

Financial Guaranty Direct Segment (1 of 2)

(dollars in millions)

 

 

 

1Q-04

 

2Q-04

 

3Q-04

 

4Q-04

 

1Q-05

 

2Q-05

 

YTD 2004

 

YTD 2005

 

Present value of gross written premiums (PVP) (a)

 

$

7.9

 

$

14.4

 

$

7.9

 

$

39.6

 

$

37.5

 

$

22.7

 

$

22.2

 

$

60.1

 

less: Present value of installment premiums (a)

 

(7.9

)

(14.4

)

(7.9

)

(33.9

)

(35.8

)

(17.6

)

(22.2

)

(53.4

)

Upfront gross written premiums (GWP)

 

—

 

—

 

—

 

5.7

 

1.7

 

5.1

 

—

 

6.8

 

plus: Installment GWP

 

25.6

 

17.7

 

16.2

 

15.6

 

22.1

 

15.8

 

43.3

 

37.9

 

Financial guaranty direct GWP

 

$

25.6

 

$

17.7

 

$

16.2

 

$

21.3

 

$

23.8

 

$

20.9

 

$

43.3

 

$

44.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income statement:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross written premiums

 

$

25.6

 

$

17.7

 

$

16.2

 

$

21.3

 

$

23.8

 

$

20.9

 

$

43.3

 

$

44.7

 

Net written premiums

 

25.3

 

17.3

 

14.2

 

20.9

 

23.1

 

20.4

 

42.6

 

43.5

 

Net earned premiums:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Public finance

 

—

 

—

 

—

 

0.1

 

0.1

 

0.4

 

—

 

0.5

 

Structured finance

 

40.7

 

16.1

 

16.5

 

15.4

 

20.3

 

15.6

 

56.8

 

35.9

 

Total net earned premiums

 

40.7

 

16.1

 

16.5

 

15.5

 

20.4

 

16.0

 

56.8

 

36.4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expenses

 

13.4

 

1.6

 

(1.2

)

1.0

 

(1.5

)

5.0

 

15.0

 

3.5

 

Profit commission expense

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Acquisition costs

 

1.4

 

0.1

 

1.4

 

1.6

 

1.5

 

1.6

 

1.5

 

3.1

 

Operating expenses (1)

 

5.5

 

9.1

 

8.5

 

8.6

 

9.4

 

8.4

 

14.6

 

17.8

 

Total expenses

 

$

20.3

 

$

10.8

 

$

8.7

 

$

11.3

 

$

9.4

 

$

15.0

 

$

31.1

 

$

24.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting gain

 

$

20.4

 

$

5.3

 

$

7.8

 

$

4.2

 

$

11.0

 

$

1.1

 

$

25.7

 

$

12.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expense ratio

 

32.9

%

9.9

%

-7.3

%

6.5

%

-7.1

%

31.3

%

26.4

%

9.7

%

Expense ratio

 

17.0

%

57.1

%

59.8

%

66.3

%

53.1

%

62.2

%

28.3

%

57.1

%

Combined ratio

 

49.9

%

67.0

%

52.5

%

72.8

%

46.0

%

93.5

%

54.7

%

66.8

%

 

(1)  2Q-04 excludes the allocation of $11.3 million of consolidated operating expenses related to the accelerated vesting of stock awards at the IPO date.

 

Note: Please refer to endnotes for explanation of non-GAAP financial measures [PVP (a), operating income and operating ROE (b), and present value of installment premiums in force adjusted book value (c)].

 

7


 

Assured Guaranty Ltd.

Financial Guaranty Direct Segment (2 of 2)

(dollars in millions)

 

 

 

1Q-04

 

2Q-04

 

3Q-04

 

4Q-04

 

1Q-05

 

2Q-05

 

YTD 2004

 

YTD 2005

 

PVP (a):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Public finance

 

$

—

 

$

2.9

 

$

—

 

$

5.7

 

$

1.6

 

$

6.3

 

$

2.9

 

$

7.9

 

Structured finance

 

7.9

 

11.4

 

7.9

 

33.9

 

35.9

 

16.4

 

19.3

 

52.2

 

Total

 

$

7.9

 

$

14.4

 

$

7.9

 

$

39.6

 

$

37.5

 

$

22.7

 

$

22.2

 

$

60.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S.

 

$

4.2

 

$

11.1

 

$

7.9

 

$

34.6

 

$

32.5

 

$

21.2

 

$

15.3

 

$

53.7

 

Non-U.S.

 

3.7

 

3.2

 

—

 

5.0

 

4.9

 

1.5

 

6.9

 

6.4

 

Total

 

$

7.9

 

$

14.4

 

$

7.9

 

$

39.6

 

$

37.5

 

$

22.7

 

$

22.2

 

$

60.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Par written:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Public finance

 

$

—

 

$

246

 

$

508

 

$

194

 

$

77

 

$

386

 

$

246

 

$

463

 

Structured finance

 

1,488

 

2,444

 

854

 

7,263

 

1,438

 

2,137

 

3,932

 

3,575

 

Total

 

$

1,488

 

$

2,691

 

$

1,361

 

$

7,457

 

$

1,515

 

$

2,524

 

$

4,178

 

$

4,038

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S.

 

$

1,435

 

$

2,397

 

$

854

 

$

7,357

 

$

1,250

 

$

2,422

 

$

3,832

 

$

3,672

 

International

 

53

 

293

 

508

 

100

 

265

 

102

 

346

 

367

 

Total

 

$

1,488

 

$

2,691

 

$

1,361

 

$

7,457

 

$

1,515

 

$

2,524

 

$

4,178

 

$

4,038

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Par outstanding:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Public finance

 

$

2,112

 

$

2,321

 

$

2,852

 

$

3,144

 

$

3,146

 

$

3,463

 

$

2,321

 

$

3,463

 

Structured finance

 

21,737

 

23,454

 

23,605

 

28,468

 

27,444

 

26,556

 

23,454

 

26,556

 

Total

 

$

23,849

 

$

25,775

 

$

26,457

 

$

31,612

 

$

30,590

 

$

30,019

 

$

25,775

 

$

30,019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Present value of installment premiums in force: (a)

 

$

220.6

 

$

219.7

 

$

218.9

 

$

231.0

 

$

238.3

 

$

216.4

 

$

219.7

 

$

216.4

 

Unearned premium reserve net of ceded reinsurance

 

16.0

 

17.1

 

14.7

 

20.3

 

23.0

 

27.0

 

17.1

 

27.0

 

 

Note: Please refer to endnotes for explanation of non-GAAP financial measures [PVP (a), operating income and operating ROE (b), and present value of installment premiums in force adjusted book value (c)].

 

8


 

Assured Guaranty Ltd.

Financial Guaranty Reinsurance Segment (1)(1 of 2)

(dollars in millions)

 

 

 

1Q-04

 

2Q-04

 

3Q-04

 

4Q-04

 

1Q-05

 

2Q-05

 

YTD 2004

 

YTD 2005

 

Present value of gross written premiums (PVP) (a)

 

$

78.1

 

$

40.1

 

$

38.9

 

$

35.7

 

$

37.7

 

$

35.2

 

$

118.2

 

$

73.0

 

less: Present value of installment premiums (a)

 

(40.0

)

(17.2

)

(14.5

)

(11.6

)

(17.8

)

(20.7

)

(57.2

)

(38.4

)

Upfront gross written premiums (GWP)

 

38.1

 

22.9

 

24.5

 

24.1

 

20.0

 

14.6

 

61.0

 

34.5

 

plus: Upfront premium due to novations (4)

 

—

 

—

 

—

 

—

 

—

 

(18.4

)

—

 

(18.4

)

plus: Installment GWP (2)

 

14.3

 

12.9

 

11.1

 

12.4

 

14.0

 

12.0

 

27.2

 

26.1

 

Financial guaranty reinsurance GWP

 

$

52.4

 

$

35.8

 

$

35.6

 

$

36.5

 

$

34.0

 

$

8.2

 

$

88.2

 

$

42.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income statement:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross written premiums

 

$

52.4

 

$

35.8

 

$

35.6

 

$

36.5

 

$

34.0

 

$

8.2

 

$

88.2

 

$

42.2

 

Net written premiums

 

52.4

 

35.8

 

35.6

 

36.3

 

34.0

 

8.0

 

88.2

 

42.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premiums:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Scheduled net earned premiums

 

17.5

 

21.2

 

26.7

 

31.5

 

21.6

 

23.6

 

38.7

 

45.2

 

Net premiums earned from refundings

 

2.9

 

4.4

 

5.2

 

5.0

 

1.4

 

3.6

 

7.3

 

5.0

 

Total net earned premiums

 

20.4

 

25.6

 

31.9

 

36.5

 

23.0

 

27.2

 

46.0

 

50.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expenses

 

3.9

 

(0.9

)

10.8

 

1.6

 

(7.1

)

(64.1

)

3.0

 

(71.2

)

Profit commission expense

 

0.1

 

0.3

 

(0.2

)

0.9

 

—

 

2.3

 

0.4

 

2.3

 

Acquisition costs

 

7.1

 

6.6

 

12.1

 

13.0

 

8.1

 

9.5

 

13.7

 

17.6

 

Operating expenses (3)

 

3.0

 

5.0

 

4.7

 

4.8

 

4.4

 

5.7

 

8.0

 

10.1

 

Total expenses

 

$

14.1

 

$

11.0

 

$

27.4

 

$

20.2

 

$

5.4

 

$

(46.6

)

$

25.1

 

$

(41.2

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting gain

 

$

6.3

 

$

14.6

 

$

4.5

 

$

16.2

 

$

17.6

 

$

73.8

 

$

20.9

 

$

91.4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expense ratio

 

19.1

%

-3.5

%

33.9

%

4.4

%

-30.9

%

-235.7

%

6.5

%

-141.8

%

Expense ratio

 

50.0

%

46.5

%

51.9

%

51.1

%

54.3

%

64.3

%

48.0

%

59.8

%

Combined ratio

 

69.1

%

43.0

%

85.8

%

55.5

%

23.4

%

-171.4

%

54.5

%

-82.0

%

 

(1)  Due to the timing of receipts of reports prepared by our ceding companies, present value of financial guaranty gross installment premiums written (PVP), par written and par outstanding in our Financial Guaranty Reinsurance segment are reported on a one-quarter lag.

 

(2)  Installment gross written premiums includes the reclassification of certain deals originally recorded as installment that were discovered during 3Q-04 to be upfront premiums.  As a result, prior period amounts have been restated.  This reclass had an immaterial impact on our QTD and YTD results of operations and financial condition.

 

(3)  2Q-04 excludes the allocation of $11.3 million of consolidated operating expenses related to the accelerated vesting of stock awards at the IPO date.

 

(4)  Relates to reassumption by FSA of approximately $820 million par value of healthcare related business.

 

Note: Please refer to endnotes for explanation of non-GAAP financial measures [PVP (a), operating income and operating ROE (b), and present value of installment premiums in force adjusted book value (c)].

 

9


 

Assured Guaranty Ltd.

Financial Guaranty Reinsurance Segment (1)(2 of 2)

(dollars in millions)

 

 

 

1Q-04

 

2Q-04

 

3Q-04

 

4Q-04

 

1Q-05

 

2Q-05

 

YTD 2004

 

YTD 2005

 

PVP  (a):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Public finance

 

$

45.8

 

$

31.2

 

$

33.9

 

$

26.4

 

$

34.7

 

$

15.8

 

$

77.0

 

$

50.5

 

Structured finance

 

32.3

 

8.9

 

5.0

 

9.3

 

3.1

 

19.4

 

41.2

 

22.5

 

Total

 

$

78.1

 

$

40.1

 

$

38.9

 

$

35.7

 

$

37.7

 

$

35.2

 

$

118.2

 

$

73.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Par written:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Public finance

 

$

1,932

 

$

1,590

 

$

2,262

 

$

1,443

 

$

2,206

 

$

98

 

$

3,522

 

$

2,304

 

Structured finance

 

1,154

 

629

 

507

 

861

 

1,718

 

893

 

1,783

 

2,611

 

Total

 

$

3,086

 

$

2,219

 

$

2,769

 

$

2,304

 

$

3,924

 

$

991

 

$

5,305

 

$

4,915

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Par outstanding:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Public finance

 

$

51,806

 

$

52,061

 

$

52,926

 

$

51,324

 

$

52,579

 

$

51,039

 

$

52,061

 

$

51,039

 

Structured finance

 

13,935

 

13,514

 

13,084

 

12,656

 

13,225

 

13,809

 

13,514

 

13,809

 

Total

 

$

65,741

 

$

65,575

 

$

66,010

 

$

63,980

 

$

65,804

 

$

64,848

 

$

65,575

 

$

64,848

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Present value of installment premiums in force (a)

 

$

140.3

 

$

147.2

 

$

138.0

 

$

138.9

 

$

146.9

 

$

152.3

 

$

147.2

 

$

152.3

 

Unearned premium reserve net of ceded reinsurance

 

436.4

 

441.0

 

444.2

 

443.8

 

454.8

 

435.6

 

441.0

 

435.6

 

 

(1)  Due to the timing of receipts of reports prepared by our ceding companies, present value of financial guaranty gross installment premiums written (PVP), par written and par outstanding in our Financial Guaranty Reinsurance segment are reported on a one-quarter lag.

 

Note: Please refer to endnotes for explanation of non-GAAP financial measures [PVP (a), operating income and operating ROE (b), and present value of installment premiums in force adjusted book value (c)].

 

10


 

Assured Guaranty Ltd.

Mortgage Guaranty Segment

(dollars in millions)

 

 

 

1Q-04

 

2Q-04

 

3Q-04

 

4Q-04

 

1Q-05

 

2Q-05

 

YTD 2004

 

YTD 2005

 

Present value of gross written premiums (PVP) (a)

 

$

19.2

 

$

—

 

$

1.1

 

$

6.9

 

$

13.1

 

$

—

 

$

19.2

 

$

13.1

 

less: Present value of installment premiums (a)

 

(8.9

)

—

 

(1.1

)

(6.9

)

—

 

—

 

(8.9

)

—

 

Upfront gross written premiums (GWP)

 

10.3

 

—

 

—

 

—

 

13.1

 

—

 

10.3

 

13.1

 

plus: Installment GWP

 

3.7

 

0.9

 

5.3

 

4.2

 

6.3

 

1.9

 

4.6

 

8.2

 

Mortgage guaranty GWP

 

$

14.0

 

$

0.9

 

$

5.3

 

$

4.2

 

$

19.4

 

$

1.9

 

$

14.9

 

$

21.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income statement:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross written premiums

 

$

14.0

 

$

0.9

 

$

5.3

 

$

4.2

 

$

19.4

 

$

1.9

 

$

14.9

 

$

21.3

 

Net written premiums

 

14.0

 

0.9

 

5.3

 

4.2

 

19.4

 

1.9

 

14.9

 

21.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premiums

 

8.4

 

15.0

 

5.1

 

5.2

 

4.6

 

5.1

 

23.4

 

9.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expenses

 

(1.2

)

(3.3

)

(5.4

)

(2.0

)

0.2

 

—

 

(4.5

)

0.2

 

Profit commission expense

 

5.0

 

4.3

 

1.3

 

3.5

 

1.0

 

1.0

 

9.3

 

2.0

 

Acquisition costs

 

0.9

 

1.7

 

0.5

 

0.6

 

0.5

 

0.6

 

2.6

 

1.1

 

Operating expenses (1)

 

0.6

 

1.1

 

1.0

 

1.0

 

0.7

 

0.4

 

1.8

 

1.1

 

Total expenses

 

$

5.3

 

$

3.8

 

$

(2.6

)

$

3.2

 

$

2.4

 

$

2.0

 

$

9.2

 

$

4.4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting gain

 

$

3.1

 

$

11.2

 

$

7.7

 

$

2.0

 

$

2.2

 

$

3.1

 

$

14.3

 

$

5.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expense ratio

 

-14.3

%

-22.0

%

-105.9

%

-37.8

%

4.3

%

—

 

-19.2

%

2.1

%

Expense ratio

 

77.6

%

47.5

%

55.5

%

98.5

%

47.4

%

39.6

%

58.3

%

43.3

%

Combined ratio

 

63.3

%

25.5

%

-50.4

%

60.7

%

51.7

%

39.6

%

39.1

%

45.4

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk in force

 

$

2,201

 

$

2,394

 

$

2,437

 

$

2,325

 

$

2,582

 

$

2,547

 

$

2,394

 

$

2,547

 

Risk written

 

237

 

—

 

136

 

271

 

419

 

—

 

237

 

419

 

Unearned premium reserve net of ceded reinsurance

 

57.6

 

43.5

 

43.7

 

42.7

 

57.5

 

54.2

 

43.5

 

54.2

 

 

(1).  2Q-04 excludes the allocation of $11.3 million of consolidated operating expenses related to the accelerated vesting of stock awards at the IPO date.

 

Note: Please refer to endnotes for explanation of non-GAAP financial measures [PVP (a), operating income and operating ROE (b), and adjusted book value (c)].

 

11


 

Assured Guaranty Ltd.

Other Segment

(dollars in millions)

 

 

 

1Q-04

 

2Q-04

 

3Q-04

 

4Q-04

 

1Q-05

 

2Q-05

 

YTD 2004

 

YTD 2005

 

Income statement:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross written premiums

 

$

(93.6

)

$

10.0

 

$

5.2

 

$

3.8

 

$

0.9

 

$

9.5

 

$

(83.6

)

$

10.4

 

Net written premiums

 

(98.5

)

(84.0

)

—

 

—

 

—

 

—

 

(182.5

)

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premiums

 

17.2

 

(66.0

)

—

 

—

 

—

 

—

 

(48.9

)

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expenses

 

7.5

 

(57.4

)

—

 

(0.4

)

(1.1

)

—

 

(49.9

)

(1.1

)

Profit commission expense

 

0.4

 

0.2

 

—

 

—

 

—

 

—

 

0.6

 

—

 

Acquisition costs

 

3.6

 

—

 

—

 

—

 

—

 

—

 

3.7

 

—

 

Operating expenses (1)

 

3.5

 

—

 

—

 

—

 

—

 

—

 

3.5

 

—

 

Total expenses

 

$

15.1

 

$

(57.2

)

$

—

 

$

(0.4

)

$

(1.1

)

$

—

 

$

(42.0

)

$

(1.1

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting gain (loss)

 

$

2.1

 

$

(8.8

)

$

—

 

$

0.4

 

$

1.1

 

$

—

 

$

(7.1

)

$

1.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expense ratio

 

43.6

%

87.0

%

—

 

—

 

—

 

—

 

102.0

%

—

 

Expense ratio

 

44.0

%

-0.3

%

—

 

—

 

—

 

—

 

-16.1

%

—

 

Combined ratio

 

87.6

%

86.7

%

—

 

—

 

—

 

—

 

85.9

%

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premiums:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity layer credit protection

 

$

5.4

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

5.4

 

$

—

 

Trade credit reinsurance

 

9.3

 

(34.6

)

—

 

—

 

—

 

—

 

(25.3

)

—

 

Title reinsurance

 

2.5

 

0.8

 

—

 

—

 

—

 

—

 

3.3

 

—

 

Auto residual value reinsurance

 

—

 

(32.2

)

—

 

—

 

—

 

—

 

(32.2

)

—

 

Total net earned premiums

 

$

17.2

 

$

(66.0

)

$

—

 

$

—

 

$

—

 

$

—

 

$

(48.9

)

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting gain (loss): (1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity layer credit protection

 

$

2.5

 

$

0.5

 

$

—

 

$

0.4

 

$

1.1

 

$

—

 

$

3.0

 

$

1.1

 

Trade credit reinsurance

 

1.4

 

(4.2

)

—

 

—

 

—

 

—

 

(2.8

)

—

 

Title reinsurance

 

0.7

 

0.3

 

—

 

—

 

—

 

—

 

1.0

 

—

 

Auto residual value reinsurance

 

(2.5

)

(5.4

)

—

 

—

 

—

 

—

 

(7.9

)

—

 

Total underwriting gain (loss)

 

$

2.1

 

$

(8.8

)

$

—

 

$

0.4

 

$

1.1

 

$

—

 

$

(7.1

)

$

1.1

 

 

(1).  2Q-04 excludes the allocation of $11.3 million of consolidated operating expenses related to the accelerated vesting of stock awards at the IPO date.

 

12


 

Assured Guaranty Ltd.

Loss and LAE Reserves by Segment, Type of Reserve and by Segment and Type of Reserve

(dollars in millions)

 

 

 

As of
June 30,
2005

 

As of
December 31,
2004

 

 

 

 

 

 

 

 

 

Loss and LAE reserves by segment:

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial guaranty direct

 

$

22.6

 

$

19.9

 

 

 

 

 

 

 

 

 

Financial guaranty reinsurance

 

74.0

 

78.8

 

 

 

 

 

 

 

 

 

Mortgage guaranty

 

11.2

 

11.2

 

 

 

 

 

 

 

 

 

Other

 

98.6

 

116.6

 

 

 

 

 

 

 

 

 

Total

 

$

206.4

 

$

226.5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of
June 30,
2005

 

As of
December 31,
2004

 

 

 

 

 

 

 

 

 

Loss and LAE reserves by type:

 

 

 

 

 

 

 

 

 

 

 

 

 

Case

 

$

51.7

 

$

53.5

 

 

 

 

 

 

 

 

 

IBNR

 

91.2

 

105.8

 

 

 

 

 

 

 

 

 

Portfolio

 

63.5

 

67.2

 

 

 

 

 

 

 

 

 

Total

 

$

206.4

 

$

226.5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of June 30, 2005

 

 

 

Financial
Guaranty
Direct

 

Financial
Guaranty
Reinsurance

 

Mortgage
Guaranty

 

Total
Financial
Guaranty

 

Other

 

Total

 

Reserves by segment and type:

 

 

 

 

 

 

 

 

 

 

 

 

 

Case

 

$

7.9

 

$

27.6

 

$

0.6

 

$

36.1

 

$

15.6

 

$

51.7

 

IBNR

 

—

 

—

 

8.2

 

8.2

 

83.0

 

91.2

 

Portfolio

 

14.7

 

46.4

 

2.4

 

63.5

 

—

 

63.5

 

Total

 

$

22.6

 

$

74.0

 

$

11.2

 

$

107.8

 

$

98.6

 

$

206.4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31, 2004

 

 

 

Financial
Guaranty
Direct

 

Financial
Guaranty
Reinsurance

 

Mortgage
Guaranty

 

Total
Financial
Guaranty

 

Other

 

Total

 

Reserves by segment and type:

 

 

 

 

 

 

 

 

 

 

 

 

 

Case

 

$

4.3

 

$

29.1

 

$

0.8

 

$

34.2

 

$

19.3

 

$

53.5

 

IBNR

 

—

 

—

 

8.5

 

8.5

 

97.3

 

105.8

 

Portfolio

 

15.6

 

49.7

 

1.9

 

67.2

 

—

 

67.2

 

Total

 

$

19.9

 

$

78.8

 

$

11.2

 

$

109.9

 

$

116.6

 

$

226.5

 

 

13


 

Assured Guaranty Ltd.

Investment Portfolio

as of June 30, 2005

(dollars in millions)

 

 

 

Amortized
Cost

 

Pre-Tax
Book
Yield

 

Fair Value

 

Annualized
Investment
Income

 

Fixed maturity securities available for sale:

 

 

 

 

 

 

 

 

 

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

 

$

158.5

 

3.9

%

$

162.4

 

$

6.2

 

Agency obligations

 

192.8

 

5.2

%

201.4

 

10.0

 

Foreign government securities

 

17.6

 

4.9

%

18.0

 

0.9

 

Obligations of states and political subdivisions

 

298.2

 

4.8

%

318.5

 

14.2

 

Insured obligations of state and political subdivisions

 

519.4

 

4.9

%

560.2

 

25.2

 

Corporate securities

 

139.0

 

5.6

%

147.5

 

7.8

 

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

Pass-thrus

 

477.4

 

5.0

%

485.2

 

23.7

 

PACs

 

76.7

 

4.6

%

77.0

 

3.6

 

Asset-backed securities

 

106.2

 

3.9

%

106.6

 

4.1

 

Total fixed maturity securities available for sale

 

1,985.8

 

4.8

%

2,076.8

 

95.7

 

Short-term investments

 

121.1

 

2.9

%

121.1

 

3.5

 

Total investments

 

$

2,106.9

 

4.7

%

$

2,197.9

 

$

99.1

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value

 

%

 

 

 

 

 

Ratings distribution(1):

 

 

 

 

 

 

 

 

 

Treasury and U.S. government obligations

 

$

162.4

 

7.8

%

 

 

 

 

Agency obligations

 

201.4

 

9.7

%

 

 

 

 

AAA/Aaa

 

1,376.1

 

66.3

%

 

 

 

 

AA/Aa

 

234.3

 

11.3

%

 

 

 

 

A/A

 

102.6

 

4.9

%

 

 

 

 

BBB/Baa

 

—

 

—

 

 

 

 

 

Total

 

$

2,076.8

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Duration of investment portfolio (in years):

 

 

 

4.2

 

 

 

 

 

 

(1). Ratings are represented by the lower of the Moody’s Investor Services and Standard & Poor’s classifications.

 

14


 

Assured Guaranty Ltd.

Financial Guaranty Profile (1 of 3)

(dollars in millions)

 

 

 

Gross Par Written

 

As of June 30, 2005:

 

Sector

 

2Q 2005

 

2Q 2004

 

Net Par
Outstanding

 

%

 

Avg. Rating (7)

 

U.S. public finance

 

 

 

 

 

 

 

 

 

 

 

General obligation

 

$

176

 

$

517

 

$

11,898

 

12.5

%

A+

 

Municipal utilities

 

43

 

82

 

10,813

 

11.4

%

A+

 

Tax backed

 

319

 

128

 

10,604

 

11.2

%

A+

 

Transportation

 

217

 

85

 

5,937

 

6.3

%

A

 

Healthcare

 

(564

)

335

 

5,742

 

6.1

%

A

 

Investor-owned utilities

 

24

 

29

 

1,284

 

1.4

%

A-

 

Housing

 

(11

)

21

 

1,160

 

1.2

%

AA-

 

Higher education

 

114

 

10

 

1,080

 

1.1

%

A

 

Structured municipal (1)

 

—

 

—

 

1,050

 

1.1

%

AAA

 

Other public finance (2)

 

19

 

131

 

731

 

0.8

%

A+

 

Total public finance

 

$

338

 

$

1,337

 

$

50,299

 

53.0

%

A+

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. structured finance

 

 

 

 

 

 

 

 

 

 

 

CDOs (3)

 

$

1,514

 

$

1,056

 

$

15,811

 

16.7

%

AA+

 

Mortgage-backed and home equity

 

268

 

1,092

 

10,030

 

10.6

%

AA

 

Commercial receivables (4)

 

600

 

192

 

4,401

 

4.6

%

AA-

 

Consumer receivables (5)

 

30

 

23

 

2,426

 

2.6

%

A-

 

Other structured finance (6)

 

56

 

129

 

1,509

 

1.6

%

AA

 

Single name corporate CDS

 

—

 

—

 

21

 

0.0

%

A+

 

Total structured finance

 

$

2,467

 

$

2,492

 

$

34,198

 

36.0

%

AA

 

 

 

 

 

 

 

 

 

 

 

 

 

International

 

 

 

 

 

 

 

 

 

 

 

Structured finance

 

$

563

 

$

581

 

$

6,167

 

6.5

%

AA-

 

Project finance/PFI/PPP

 

146

 

253

 

3,176

 

3.3

%

BBB+

 

Public finance

 

—

 

245

 

1,026

 

1.1

%

A-

 

Total international

 

$

709

 

$

1,080

 

$

10,370

 

10.9

%

A+

 

 

 

 

 

 

 

 

 

 

 

 

 

Total exposures

 

$

3,515

 

$

4,910

 

$

94,867

 

100.0

%

AA-

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage guaranty risk in force

 

$

—

 

$

—

 

$

2,547

 

NA

 

NA

 

 

(1).  Structured municipal: includes excess of loss reinsurance on portfolios of municipal credits where the Company attached in excess of the AAA rating level.

 

(2).  Other public finance: primarily includes student loans and government-sponsored project finance.

 

(3).  Collateralized debt obligations (CDOs) are structured financings backed by a pool of debt obligations. These financings are typically structured in multiple tranches (layers) from equity (first loss) through super senior (high excess). Losses on defaulted pool assets are allocated successively first to the equity tranche then to higher rated tranches.

 

(4).  Commercial receivables: principally includes equipment leases and commercial mortgage-backed securities.

 

(5).  Consumer receivables: principally includes auto loan receivables and credit card receivables.

 

(6).  Other structured finance: predominantly trade receivable securitization, secured structured lending, and future flow transactions.

 

(7).  Assured Guaranty internal rating. Our scale is comparable to that of the nationally recognized rating agencies.

 

15


 

Assured Guaranty Ltd.

Financial Guaranty Profile (2 of 3)

(dollars in millions)

 

Distribution by ratings of financial guaranty portfolio

 

 

 

June 30, 2005

 

December 31, 2004

 

Ratings (1)

 

Net Par
Outstanding

 

%

 

Net Par
Outstanding

 

%

 

AAA/Aaa

 

$

28,291

 

29.8

%

$

29,696

 

31.1

%

AA/Aa

 

20,486

 

21.6

%

19,856

 

20.8

%

A/A

 

31,051

 

32.7

%

31,393

 

32.8

%

BBB/Baa

 

13,709

 

14.5

%

13,137

 

13.7

%

Below investment grade

 

1,330

 

1.4

%

1,509

 

1.6

%

Total exposures

 

$

94,867

 

100

%

$

95,592

 

100

%

 

Distribution by ratings of CDO exposure

 

 

 

June 30, 2005

 

December 31, 2004

 

 

 

Net Par

 

 

 

Net Par

 

 

 

Ratings (1)

 

Outstanding

 

%

 

Outstanding

 

%

 

AAA/Aaa

 

$

12,646

 

70.4

%

$

12,975

 

75.2

%

AA/Aa

 

3,972

 

22.1

%

2,784

 

16.1

%

A/A

 

1,035

 

5.8

%

1,155

 

6.7

%

BBB/Baa

 

198

 

1.1

%

216

 

1.3

%

Below investment grade

 

117

 

0.7

%

116

 

0.7

%

Total exposures

 

$

17,968

 

100

%

$

17,246

 

100

%

 

Distribution of CDOs by year of issue as of June 30, 2005

 

 

 

Net Par
Outstanding

 

%

 

 

 

 

 

1999 and prior

 

50

 

0.3

%

 

 

 

 

2000

 

1,098

 

6.1

%

 

 

 

 

2001

 

4,251

 

23.7

%

 

 

 

 

2002

 

3,562

 

19.8

%

 

 

 

 

2003

 

3,583

 

19.9

%

 

 

 

 

2004

 

1,578

 

8.8

%

 

 

 

 

2005 year to date

 

3,847

 

21.4

%

 

 

 

 

 

 

$

17,968

 

100.0

%

 

 

 

 

 

(1) Assured Guaranty internal rating. Our scale is comparable to that of the nationally recognized rating agencies.

 

16


 

Assured Guaranty Ltd.

Financial Guaranty Profile (3 of 3)

(dollars in millions)

 

Geographic distribution of financial guaranty portfolio, as of June 30, 2005

 

U.S.:

 

Net Par
Outstanding

 

%

 

California

 

$

7,332

 

7.7

%

New York

 

5,730

 

6.0

%

Texas

 

3,462

 

3.6

%

Florida

 

2,694

 

2.8

%

Illinois

 

2,693

 

2.8

%

Massachusetts

 

2,318

 

2.4

%

New Jersey

 

2,206

 

2.3

%

Pennsylvania

 

2,152

 

2.3

%

Puerto Rico

 

1,773

 

1.9

%

Washington

 

1,710

 

1.8

%

Other states

 

18,229

 

19.2

%

Mortgage and structured (multiple states)

 

34,198

 

36.0

%

Total U.S.

 

$

84,497

 

89.1

%

 

 

 

 

 

 

International:

 

 

 

 

 

United Kingdom

 

$

5,529

 

5.8

%

Germany

 

863

 

0.9

%

Australia

 

780

 

0.8

%

Italy

 

386

 

0.4

%

Brazil

 

347

 

0.4

%

Other

 

2,465

 

2.6

%

Total International

 

$

10,370

 

10.9

%

 

 

 

 

 

 

Total exposures

 

$

94,867

 

100

%

 

17


 

Assured Guaranty Ltd.

Non-Investment Grade Exposures

as of June 30, 2005

(dollars in millions)

 

 

Asset Type

 

Weighted Average
Remaining Life

 

Net Par
Outstanding

 

Average
Rating (6)

 

 

 

 

 

 

 

 

 

Public finance

 

 

 

 

 

 

 

Transportation

 

18.4

 

$

408.0

 

BB-

 

Healthcare

 

12.7

 

51.2

 

BB-

 

General obligation

 

8.6

 

1.0

 

BB+

 

Other public finance (1)

 

17.3

 

3.5

 

D

 

Investor-owned utilities

 

16.2

 

15.2

 

BB-

 

Municipal utilities

 

11.2

 

13.5

 

C

 

Tax backed

 

10.0

 

7.4

 

BB-

 

Housing

 

8.6

 

3.1

 

B

 

Higher education

 

12.0

 

1.0

 

BB+

 

Total public finance

 

17.3

 

$

503.8

 

BB-

 

 

 

 

 

 

 

 

 

Structured finance

 

 

 

 

 

 

 

Consumer receivables (2)

 

4.3

 

$

273.1

 

BB

 

Mortgage-backed and home equity

 

6.9

 

151.4

 

CCC+

 

Commercial receivables (3)

 

8.4

 

278.9

 

BB-

 

CDOs (4)

 

2.3

 

117.0

 

B+

 

Other structured finance (5)

 

4.9

 

6.2

 

CCC-

 

Total structured finance

 

5.9

 

$

826.6

 

B+

 

 

 

 

 

 

 

 

 

Total non-investment grade exposures

 

10.2

 

$

1,330.4

 

B+

 

 

(1).  Other public finance: primarily includes student loans and government-sponsored project finance.

 

(2).  Consumer receivables: principally includes auto loan receivables and credit card receivables.

 

(3).  Commercial receivables: principally includes equipment leases and commercial mortgage-backed securities.

 

(4).  Collateralized debt obligations (CDOs) are structured financings backed by a pool of debt obligations. These financings are typically structured in multiple tranches (layers) from equity (first loss) through super senior (high excess). Losses on defaulted pool assets are allocated successively first to the equity tranche then to higher rated tranches.

 

(5).  Other structured finance: predominantly trade receivable securitization, secured structured lending, and future flow transactions.

 

(6).  Assured Guaranty internal rating. Our scale is comparable to that of the nationally recognized rating agencies.

 

18


 

Assured Guaranty Ltd.

Closely Monitored Credits (“CMC”)

(dollars in millions)

 

Net par outstanding by credit monitoring category (1)

 

 

 

June 30, 2005

 

Description

 

Net Par
Outstanding

 

%

 

Number of
credits in
category

 

Fundamentally sound, normal risk

 

$

93,507

 

98.6

%

 

 

 

 

 

 

 

 

 

 

Closely monitored:

 

 

 

 

 

 

 

Category 1

 

922

 

1.0

%

25

 

Category 2

 

295

 

0.3

%

10

 

Category 3

 

131

 

0.1

%

17

 

Category 4

 

12

 

—

 

9

 

CMC Total

 

1,360

 

1.4

%

61

 

Total

 

$

94,867

 

100

%

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2004

 

Description

 

Net Par Outstanding

 

%

 

Number of
credits in
category

 

Fundamentally sound, normal risk

 

$

93,855

 

98.2

%

 

 

 

 

 

 

 

 

 

 

Closely monitored:

 

 

 

 

 

 

 

Category 1

 

1,490

 

1.6

%

35

 

Category 2

 

165

 

0.2

%

9

 

Category 3

 

70

 

0.1

%

16

 

Category 4

 

12

 

—

 

8

 

CMC Total

 

1,737

 

1.8

%

68

 

Total

 

$

95,592

 

100

%

 

 

 

 

 

 

 

 

 

 

Top Ten Non-Investment Grade Exposures as of June 30, 2005

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Name or description

 

Average Rating

 

Weighted
Average
Remaining Life

 

Net Par
Outstanding

 

Public Finance Domestic Project Finance Transaction

 

BB

 

21.9

 

$

176

 

Public Finance International Project Finance Transaction

 

B

 

17.8

 

170

 

Structured Finance Domestic Credit Card Transaction

 

BB

 

3.0

 

163

 

Structured Finance Domestic EETC Transaction

 

B+

 

8.8

 

147

 

Structured Finance Domestic Credit Card Transaction

 

BB+

 

3.4

 

79

 

Structured Finance Domestic Manufactured Housing Transaction

 

CCC+

 

6.6

 

78

 

Structured Finance Domestic EETC Transaction

 

BB

 

9.8

 

67

 

Structured Finance Domestic Securitized Franchise Receivables

 

B

 

4.8

 

41

 

International Airport Facility

 

BB

 

7.8

 

34

 

Structured Finance Domestic Residential Mortgage Transaction

 

B-

 

4.2

 

29

 

Total

 

BB-

 

11.7

 

$

983

 

 

(1)  Our risk management department is responsible for monitoring our portfolio of credits and maintains a list of closely monitored credits. The closely monitored credits are divided into four categories: Category 1 (low priority; fundamentally sound, greater than normal risk); Category 2 (medium priority; weakening credit profile, may result in loss); Category 3 (high priority; claim/default probable, case reserve established); Category 4 (claim paid, case reserve established for future payments). Credits that are not included in the closely monitored credit list are categorized as fundamentally sound, normal risk.

 

19


 

Assured Guaranty Ltd.

Largest Exposures by Sector (Part 1 of 2)

as of June 30, 2005

(dollars in millions)

 

10 Largest U.S. Public Finance Exposures

 

Revenue Source

 

Net Par
Outstanding

 

Rating(1)

 

California State General Obligation & Leases

 

$

802

 

A-

 

Massachusetts State General Obligation & Bay

 

712

 

AA-

 

Long Island Power Authority

 

711

 

A-

 

New Jersey State General Obligation & Leases

 

687

 

AA-

 

New York City General Obligation & Leases

 

686

 

A

 

Jefferson County Alabama Sewer

 

660

 

A

 

New York City Municipal Water Finance Authority

 

634

 

AA+

 

Denver Colorado Airport System

 

626

 

A

 

Houston Texas Water & Sewer System

 

563

 

A+

 

New York State Metro Trans Auth - Transportation Revenue

 

535

 

A

 

Total top 10 public finance exposures

 

$

6,617

 

 

 

 

10 Largest U.S. Structured Finance Exposures

 

Revenue Source

 

Net Par
Outstanding

 

Rating(1)

 

Park Place (Ameriquest) PPSI 2004-MHQ1 Class A-1

 

$

1,311

 

AAA

 

Ameriquest Mortgage Securities Inc. 2004-R10 A-1

 

850

 

AAA

 

Argent Securities Inc. 2004-W11 Class A-1

 

811

 

AAA

 

Structured Finance Corporate Pool

 

781

 

AA

 

Synthetic CDO - IG Corporate

 

740

 

AAA

 

Synthetic CDO - IG ABS

 

594

 

AAA

 

Synthetic CDO - IG ABS

 

579

 

AAA

 

Synthetic CDO - IG Corporate

 

567

 

A+

 

Bear Stearns ABS I Trust 2004-FR3 2-A

 

565

 

AAA

 

Synthetic Credit Card Master Trust

 

550

 

AAA

 

Total top 10 structured finance exposures

 

$

7,349

 

 

 

 

(1)  Assured Guaranty internal rating. Our scale is comparable to that of the nationally recognized rating agencies.

 

20


 

Assured Guaranty Ltd.

Largest Exposures by Sector (Part 2 of 2)

as of June 30, 2005

(dollars in millions)

 

10 Largest Healthcare Exposures

 

Revenue Source

 

Net Par
Outstanding

 

Rating(1)

 

Public Finance Domestic Hospital System

 

$

205

 

A-

 

Public Finance Domestic Hospital System

 

194

 

AAA(2)

 

Public Finance Domestic Hospital System

 

186

 

A+

 

Public Finance Domestic Hospital System

 

158

 

AA

 

Public Finance Domestic Hospital - Stand Alone

 

148

 

AAA(2)

 

Public Finance Domestic Hospital System

 

131

 

AA-

 

Public Finance Domestic Hospital System

 

113

 

A+

 

Public Finance Domestic Hospital System

 

111

 

BBB

 

Public Finance Domestic Hospital System

 

108

 

BBB+

 

Public Finance Domestic Hospital - Stand Alone

 

102

 

AA

 

Total top 10 healthcare exposures

 

$

1,455

 

 

 

 

10 Largest International Exposures

 

Revenue Source

 

Net Par
Outstanding

 

Rating(1)

 

Synthetic CDO - IG ABS

 

$

579

 

AAA

 

Synthetic CDO - IG Corporate

 

500

 

AAA

 

Structured Finance - Whole Business Securitization

 

276

 

BBB+

 

Structured Finance - Equipment Leasing Receivables

 

231

 

A

 

Synthetic CDO - IG Corporate

 

200

 

AAA

 

Structured Finance - Whole Business Securitization

 

189

 

BBB+

 

Public Finance International Project Finance Transaction

 

170

 

B

 

Private UK RMBS

 

166

 

A+

 

Synthetic CDO - IG ABS

 

153

 

AAA

 

International PFI Transportation Authority

 

142

 

BBB

 

Total top 10 international exposures

 

$

2,606

 

 

 

 

(1) Assured Guaranty internal rating. Our scale is comparable to that of the nationally recognized rating agencies.

 

21


 

Assured Guaranty Ltd.

Consolidated Capital and Claims Paying Resources

(dollars in millions)

 

 

 

As of June 30, 2005

 

As of December 31, 2004

 

 

 

AGC

 

AG Re (1)

 

Consolidated

 

AGC

 

AG Re (1)

 

Consolidated

 

Statutory surplus and reserves

 

 

 

 

 

 

 

 

 

 

 

 

 

Unearned premium reserve (2)

 

$

227

 

$

347

 

$

574

 

$

406

 

$

186

 

$

592

 

Contingency reserve

 

543

 

—

 

543

 

518

 

—

 

518

 

Policyholders’ surplus

 

277

 

655

 

932

 

237

 

596

 

833

 

Loss & loss adjustment expense reserves

 

12

 

118

 

130

 

32

 

103

 

135

 

Total policyholders’ surplus & reserves

 

$

1,059

 

$

1,120

 

$

2,179

 

$

1,193

 

$

885

 

$

2,078

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Claims paying resources

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholders’ surplus

 

$

277

 

$

655

 

$

932

 

$

237

 

$

596

 

$

833

 

Contingency reserve

 

543

 

—

 

543

 

518

 

—

 

518

 

Qualified statutory capital

 

820

 

655

 

1,475

 

755

 

596

 

1,351

 

Unearned premium reserve (2)

 

227

 

347

 

574

 

406

 

186

 

592

 

Loss & loss adjustment expense reserves

 

12

 

118

 

130

 

32

 

103

 

135

 

Total policyholders’ surplus & reserves

 

1,059

 

1,120

 

2,179

 

1,193

 

885

 

2,078

 

Present value of installment premium

 

233

 

161

 

394

 

268

 

132

 

400

 

Standby line of credit/stop loss

 

455

 

—

 

455

 

255

 

—

 

255

 

Total claims paying resources

 

$

1,747

 

$

1,281

 

$

3,028

 

$

1,716

 

$

1,017

 

$

2,734

 

Net par insured outstanding

 

$

52,051

 

$

42,816

 

$

94,867

 

$

74,001

 

$

21,590

 

$

95,592

 

Net debt service outstanding

 

$

71,101

 

$

66,004

 

$

137,104

 

$

105,831

 

$

30,288

 

$

136,120

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net par insured to statutory capital

 

63.5

 

65.4

 

64.3

 

98.0

 

36.2

 

70.8

 

Capital ratio(3)

 

86.7

 

100.8

 

92.9

 

140.2

 

50.8

 

100.7

 

Financial resources ratio(4)

 

40.7

 

51.5

 

45.3

 

61.7

 

29.8

 

49.8

 

 

(1)  AG Re numbers are our estimate of US statutory as the company files Bermuda statutory financial statements.

(2)  Unearned premium reserve for AG Re is U.S. GAAP based and net of prepaid reinsurance premiums.

(3)  Capital ratio is net par and interest insured divided by qualified statutory capital.

(4)  Financial resources ratio is calculated by dividing net par and interest insured by total claims paying resources.

 

22


 

Assured Guaranty Ltd.

Summary Financial and Statistical Data

(dollars in millions, except per share amounts)

 

 

 

YTD 2005

 

2004

 

2003

 

2002

 

2001

 

2000

 

GAAP Summary Income Statement Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross premiums written

 

$

118.6

 

$

190.9

 

$

349.2

 

$

417.2

 

$

442.9

 

$

206.0

 

Net earned premiums

 

96.4

 

187.9

 

310.9

 

247.4

 

293.5

 

140.7

 

Net investment income

 

46.8

 

94.8

 

96.3

 

97.2

 

99.5

 

98.1

 

Total expenses

 

(4.1

)

114.6

 

266.1

 

218.8

 

282.8

 

131.8

 

Income before provision for income taxes

 

141.4

 

233.3

 

246.2

 

83.2

 

110.1

 

118.1

 

Net income

 

111.1

 

182.8

 

214.5

 

72.6

 

63.8

 

93.2

 

Operating income

 

116.6

 

141.1

 

127.3

 

115.7

 

96.1

 

87.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income per diluted share

 

$

1.49

 

$

2.44

 

$

2.86

 

$

0.97

 

$

0.85

 

$

1.24

 

Operating income per diluted share

 

$

1.56

 

$

1.88

 

$

1.70

 

$

1.54

 

$

1.28

 

$

1.17

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Ratios

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and LAE ratio

 

-71.1

%

-17.0

%

46.5

%

48.6

%

60.5

%

21.6

%

Expense ratio

 

57.2

%

65.4

%

37.2

%

35.5

%

30.6

%

61.2

%

Combined ratio

 

-13.9

%

48.4

%

83.7

%

84.1

%

91.1

%

82.8

%

GAAP Summary Balance Sheet Data (end of period)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total investments and cash

 

$

2,202.6

 

$

2,157.9

 

$

2,222.1

 

$

2,061.9

 

$

1,710.8

 

$

1,549.6

 

Total assets

 

2,771.6

 

2,694.0

 

2,857.9

 

2,719.9

 

2,322.1

 

1,913.7

 

Unearned premium reserves

 

530.2

 

521.3

 

625.4

 

613.3

 

500.3

 

444.6

 

Loss and LAE reserves

 

206.4

 

226.5

 

522.6

 

458.8

 

401.1

 

171.0

 

Long-term debt

 

197.3

 

197.4

 

75.0

 

75.0

 

150.0

 

150.0

 

Shareholders’ equity

 

1,619.5

 

1,527.6

 

1,437.6

 

1,257.2

 

1,061.6

 

994.5

 

Book value per share

 

$

21.63

 

$

20.19

 

$

19.17

 

$

16.76

 

$

14.15

 

$

13.26

 

Other Financial Information

 

 

 

 

 

 

 

 

 

 

 

 

 

Net debt service outstanding (end of period)

 

$

137,104

 

$

136,120

 

$

130,047

 

$

124,082

 

$

117,909

 

$

102,744

 

Net par outstanding (end of period)

 

94,867

 

95,592

 

87,524

 

80,394

 

75,249

 

65,756

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated qualified statutory capital

 

1,475

 

1,351

 

1,216

 

1,133

 

1,095

 

1,004

 

Consolidated policyholders’ surplus & reserves

 

2,179

 

2,078

 

1,145

 

2,041

 

1,744

 

1,482

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios:

 

 

 

 

 

 

 

 

 

 

 

 

 

Par insured to statutory capital

 

64.3

 

70.8

 

72.0

 

71.0

 

68.7

 

65.5

 

Capital ratio(1)

 

92.9

 

100.7

 

106.9

 

109.5

 

107.7

 

102.3

 

Financial resources ratio(2)

 

45.3

 

49.8

 

43.4

 

39.8

 

50.1

 

56.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Debt service written:

 

 

 

 

 

 

 

 

 

 

 

 

 

Public finance

 

$

1,029

 

$

14,493

 

$

12,130

 

$

14,312

 

$

8,694

 

$

7,385

 

Structured finance

 

3,525

 

16,477

 

11,038

 

13,210

 

12,627

 

9,054

 

Total debt service written

 

$

4,554

 

$

30,970

 

$

23,168

 

$

27,522

 

$

21,321

 

$

16,439

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S.

 

$

3,129

 

$

27,073

 

$

19,346

 

$

25,453

 

$

19,196

 

$

15,451

 

International

 

1,426

 

3,897

 

3,822

 

2,069

 

2,125

 

988

 

Total debt service written

 

$

4,554

 

$

30,970

 

$

23,168

 

$

27,522

 

$

21,321

 

$

16,439

 

 

(1).  Capital ratio is net par and interest insured divided by qualified statutory capital.

(2).  Financial resources ratio is calculated by dividing net par and interest insured by total claims paying resources.

 

23


 

Endnotes related to non-GAAP financial measures discussed in the operating supplement:

 

(a) PVP, which is a non-GAAP financial measure, represents gross premiums and fees related to financial guaranty and mortgage guaranty contracts written in the current period, including upfront and installment premiums received on contracts written in the current period and the present value of estimated future installment premiums, discounted at 6% per year.   We use 6% as the present value discount because it is the approximate taxable equivalent yield on our investment portfolio for the periods presented.  Present value of installment premiums in-force, which is a non-GAAP financial measure, represents our future premiums on our in-force book of installment premium business in our financial guaranty direct and financial guaranty reinsurance segments. It is calculated net of reinsurance ceded and using a discount rate of 6%. We believe PVP and Present value of installment premiums in-force are useful measures for management, equity analysts and investors because they permit the evaluation of the value of new business production for Assured Guaranty by taking into account the value of installment premiums on new contracts underwritten in a reporting period, which the GAAP gross premiums written does not adequately measure.

 

(b) Operating income, which is a non-GAAP financial measure, is defined as net income excluding after-tax realized gains (losses) on investments and after-tax unrealized gains (losses) on derivative financial instruments.  Operating ROE represents operating income as a percentage of average shareholder’s equity, excluding accumulated other comprehensive income (AOCI).  We believe the presentation of operating income and operating ROE enhances the understanding of our results of operations by highlighting the underlying profitability of our insurance business.  We exclude net realized gains (losses) on investments and net unrealized gains (losses) on derivative financial instruments because the amount of these gains (losses) is heavily influenced by, and fluctuates in part according to, the market interest rates, credit spreads and other factors that management cannot control or predict.  This measure should not be viewed as a substitute for net income determined in accordance with GAAP.

 

(c) Adjusted book value, which is a non-GAAP financial measure, is derived by beginning with shareholder’s equity (book value) and adding or subtracting the after-tax value of: the financial guaranty and mortgage guaranty net unearned premium reserve; deferred acquisition costs and the present value of estimated net future installment premiums (discounted at 6%).  The adjustments described above will not be realized until future periods and may differ materially from the amounts used in determining adjusted book value.  Management, investors and analysts use the calculation of adjusted book value to evaluate the net present value of the Company’s in-force premium and capital base.

 

24


 

 

 

 

Contacts:

 

 

 

 

 

 

 

 

 

Equity investors and media

 

 

 

 

Sabra Purtill

 

 

 

 

Managing Director, Investor Relations

 

 

 

 

(212) 408-6044

 

 

 

 

spurtill@assuredguaranty.com

 

 

 

 

 

 

 

 

 

Chris McNamee

 

 

 

 

Assistant Vice President, Investor Relations

 

 

 

 

(212) 261-5509

 

 

 

 

cmcnamee@assuredguaranty.com

 

 

 

 

 

 

 

 

 

Fixed income investors

 

 

Assured Guaranty Ltd.

 

Patrick Early

 

 

30 Woodbourne Avenue

 

Director, Fixed Income Investor Relations

 

 

Hamilton HM 08 Bermuda

 

(212) 408 6043

 

 

www.assuredguaranty.com

 

pearly@assuredguaranty.com

 

 

 

25