ASSURED GUARANTY LTD
For the period ended Dec 31, 2024. Filed Feb 28, 2025.
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FY2024 · Filed Feb 28, 2025
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Insured Portfolio
Financial Guaranty Exposure
The following tables present information in respect of the financial guaranty insured portfolio to supplement the disclosures and discussion provided in Item 8, Financial Statements and Supplementary Data, Note 3, Outstanding Exposure.
The tables below show the Company’s ten largest U.S. public finance, U.S. structured finance and non-U.S. exposures by revenue source, excluding related authorities and public corporations, as of December 31, 2024.
Ten Largest U.S. Public Finance Exposures by Revenue Source
| Net Par Outstanding | Percent of Total U.S. Public Finance Net Par Outstanding | Rating | |
|---|---|---|---|
| (dollars in millions) | |||
| New Jersey (State of) | $2,362 | 1.2% | BBB |
| Pennsylvania (Commonwealth of) | 2,132 | 1.1 | BBB+ |
| Lower Colorado River Authority | 1,642 | 0.8 | A |
| Metro Washington Airports Authority (Dulles Toll Road) | 1,631 | 0.8 | BBB+ |
| JFK New Terminal One, New York | 1,600 | 0.8 | BBB- |
| Alameda Corridor Transportation Authority, California | 1,373 | 0.7 | BBB |
| North Texas Tollway Authority | 1,355 | 0.7 | A+ |
| New York Power Authority | 1,334 | 0.7 | AA- |
| New York Metropolitan Transportation Authority | 1,314 | 0.7 | A- |
| Foothill/Eastern Transportation Corridor Agency, California | 1,269 | 0.5 | BBB+ |
| Total of top ten U.S. public finance exposures | $16,012 | 8.0% | |
Ten Largest U.S. Structured Finance Exposures
| Net Par Outstanding | Percent of Total U.S. Structured Finance Net Par Outstanding | Rating | |
|---|---|---|---|
| (dollars in millions) | |||
| Private US Insurance Securitization | $1,196 | 14.1% | AA- |
| Private US Insurance Securitization | 1,100 | 13.0 | AA- |
| Private US Insurance Securitization | 1,100 | 13.0 | AA |
| Private US Insurance Securitization | 414 | 4.9 | AA- |
| Private US Insurance Securitization | 398 | 4.7 | AA- |
| Private Middle Market CLO | 167 | 2.0 | A |
| DB Master Finance LLC | 165 | 2.0 | BBB |
| Private Middle Market CLO | 125 | 1.5 | BBB |
| SLM Student Loan Trust 2007-A | 123 | 1.5 | AA |
| Private US Insurance Securitization | 120 | 1.4 | AA |
| Total of top ten U.S. structured finance exposures | $4,908 | 58.1% | |
Ten Largest Non-U.S. Exposures
| Country | Net Par Outstanding | Percent of Total Non-U.S. Net Par Outstanding | Rating | |
|---|---|---|---|---|
| (dollars in millions) | ||||
| Southern Water Services Limited | United Kingdom | $2,611 | 5.0% | BB |
| Thames Water Utilities Finance Plc | United Kingdom | 2,133 | 4.1 | B |
| Southern Gas Networks PLC | United Kingdom | 2,082 | 4.0 | BBB+ |
| Dwr Cymru Financing Limited | United Kingdom | 1,838 | 3.5 | A- |
| Anglian Water Services Financing PLC | United Kingdom | 1,746 | 3.4 | A- |
| National Grid Gas PLC | United Kingdom | 1,657 | 3.2 | A- |
| Yorkshire Water Services Finance Plc | United Kingdom | 1,243 | 2.4 | BBB |
| Channel Link Enterprises Finance PLC | France, United Kingdom | 1,214 | 2.3 | BBB |
| Quebec Province | Canada | 1,021 | 2.0 | AA- |
| Capital Hospitals (Issuer) PLC | United Kingdom | 980 | 1.9 | BBB- |
| Total of top ten non-U.S. exposures | $16,525 | 31.8% | ||
Financial Guaranty Portfolio by Issue Size
The Company seeks broad coverage of the market by insuring and reinsuring small and large issues alike. The following tables set forth the distribution of the Company’s portfolio by original size of the Company’s exposure.
Public Finance Portfolio by Issue Size
| Original Par Amount Per Issue | Number ofIssues | Net ParOutstanding | % of PublicFinanceNet ParOutstanding |
|---|---|---|---|
| (dollars in millions) | |||
| Less than $10 million | 9,725 | $30,434 | 12.2% |
| $10 million through $50 million | 3,688 | 64,488 | 25.8 |
| $50 million through $100 million | 666 | 39,195 | 15.7 |
| $100 million through $200 million | 365 | 44,094 | 17.6 |
| $200 million or greater | 237 | 72,164 | 28.7 |
| Total | 14,681 | $250,375 | 100.0% |
Structured Finance Portfolio by Issue Size
| Original Par Amount Per Issue | Number ofIssues | Net ParOutstanding | % of StructuredFinanceNet ParOutstanding |
|---|---|---|---|
| (dollars in millions) | |||
| Less than $10 million | 91 | $99 | 0.9% |
| $10 million through $50 million | 120 | 876 | 7.8 |
| $50 million through $100 million | 53 | 1,485 | 13.3 |
| $100 million through $200 million | 52 | 2,345 | 21.0 |
| $200 million or greater | 84 | 6,372 | 57.0 |
| Total | 400 | $11,177 | 100.0% |
Exposure to Puerto Rico
All of the Company’s insured exposure to various authorities and public corporations of the Commonwealth of Puerto Rico (Puerto Rico or the Commonwealth) is rated BIG. Puerto Rico net par and net debt service outstanding as of December 31, 2024 were $637 million and $756 million respectively, compared with net par and net debt service outstanding as of December 31, 2023 of $1,105 million and $1,508 million, respectively.
As of December 31, 2024, the Company’s only remaining outstanding insured Puerto Rico exposure subject to a payment default was PREPA, which had net par and debt service outstanding of $532 million and $629 million, respectively. As of December 31, 2023, PREPA net par and debt service outstanding were $624 million and $751 million, respectively. See “—Liquidity and Capital Resources—Insurance Subsidiaries, Financial Guaranty Policies” below and Item 8, Financial Statements and Supplementary Data, Note 4, Expected Loss to be Paid (Recovered), for more information.
The following table shows the scheduled amortization for PREPA. The Company guarantees payment of interest and principal when those amounts are scheduled to be paid and cannot be required to pay on an accelerated basis, although in certain circumstances it may elect to do so. When obligors default on their obligations, the Company is only required to pay the shortfall between the debt service due in any given period and the amount paid by the obligors.
Amortization Schedule of PREPA
Net Par Outstanding and Net Debt Service Outstanding
| Scheduled Net Par Amortization · Scheduled Net Debt Service Amortization | ||
|---|---|---|
| (in millions) | ||
| 2025 (January 1 - March 31) | $— | $10 |
| 2025 (April 1 - June 30) | — | 3 |
| 2025 (July 1 - September 30) | 68 | 78 |
| 2025 (October 1 - December 31) | — | 2 |
| Subtotal 2025 | 68 | 93 |
| 2026 | 106 | 126 |
| 2027 | 106 | 122 |
| 2028 | 68 | 80 |
| 2029 | 39 | 47 |
| 2030-2034 | 141 | 157 |
| 2035-2037 | 4 | 4 |
| Total | $532 | $629 |
The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.