Assured Guaranty Ltd. Reports Results for Second Quarter 2021
GAAP Highlights
- Net income attributable to Assured Guaranty Ltd. was $98 million, or $1.29 per share,(1) for second quarter 2021.
- Shareholders’ equity attributable to Assured Guaranty Ltd. per share was $87.74 as of June 30, 2021, the highest ever reported.
Non-GAAP Highlights
- Adjusted operating income(2) was $120 million, or $1.59 per share, for second quarter 2021.
- Adjusted operating shareholders’ equity(2) per share and adjusted book value (ABV)(2) per share reached record highs of $81.81 and $119.72, respectively, as of June 30, 2021.
Return of Capital to Shareholders
- Second quarter 2021 capital returned to shareholders was $105 million, including share repurchases of $88 million, or 1.9 million shares, and dividends of $17 million.
- On August 4, 2021, the Board of Directors authorized an additional $350 million in share repurchases.
Debt Issuance and Redemptions
- Issued $500 million of 3.15% Senior Notes due in 2031.
- Redeemed $200 million of long-term debt on July 9, 2021: $100 million of 6 7/8% Quarterly Interest Bonds due in 2101 and $100 million of 6.25% Notes due in 2102.
Insurance Segment
- Insurance segment adjusted operating income was $152 million for second quarter 2021.
- Gross written premiums (GWP) were $84 million for second quarter 2021.
- Present value of new business production (PVP)(2) was $81 million for second quarter 2021.
Asset Management Segment
- Asset Management segment adjusted operating loss was $2 million for second quarter 2021.
- Gross inflows were $426 million for second quarter 2021.
HAMILTON, Bermuda–(BUSINESS WIRE)–Assured Guaranty Ltd. (NYSE: AGO) (AGL and, together with its consolidated entities, Assured Guaranty or the Company) announced today its financial results for the three-month period ended June 30, 2021 (second quarter 2021).
“At mid-year, our key measures of shareholder value – shareholders’ equity, adjusted operating shareholders’ equity and adjusted book value – stood at all-time highs on a per-share basis,” said President and CEO Dominic Frederico. “Our insurance production has been very strong, with total first-half gross premiums written and PVP reaching $171 million and $167 million, respectively. After a first quarter driven by exceptional new business production in U.S. public finance, second-quarter production was well distributed across our U.S. and international public finance and global structured finance businesses, illustrating again the advantage of what S&P Global Ratings recently described as our ‘well-defined, diverse underwriting strategy’ in their July report affirming our AA with Stable Outlook financial strength ratings.
“Assured Investment Management has continued its progress since the beginning of the year,” Mr. Frederico added, “increasing AUM to $17.6 billion, aided by the issuance of three CLOs, and bringing fee-earning AUM to 93% of the total. Fee-earning AUM on June 30, 2021 was $16.3 billion, a 64% increase over the $9.9 billion in fee-earning AUM a year earlier on June 30, 2020.”
| (1) |
| All per share information for net income and adjusted operating income is based on diluted shares. |
| (2) |
| Please see “Explanation of Non-GAAP Financial Measures.” |
| Summary Financial Results | |||||||
| (in millions, except per share amounts) | |||||||
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| Quarter Ended | ||||||
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| June 30, | ||||||
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| 2021 |
| 2020 | ||||
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| GAAP |
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| Net income (loss) attributable to AGL | $ | 98 |
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| $ | 183 |
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| Net income (loss) attributable to AGL per diluted share | $ | 1.29 |
|
| $ | 2.10 |
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| Weighted average diluted shares | 76.0 |
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| 87.0 |
| ||
| Non-GAAP |
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| ||||
| Adjusted operating income (loss) (1) | $ | 120 |
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| $ | 119 |
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| Adjusted operating income per diluted share(1) | $ | 1.59 |
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| $ | 1.36 |
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| Weighted average diluted shares | 76.0 |
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| 87.0 |
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| Components of total adjusted operating income |
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| Insurance segment | $ | 152 |
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| $ | 154 |
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| Asset Management segment | (2) |
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| (9) |
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| Corporate division | (34) |
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| (26) |
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| Other | 4 |
|
| — |
| ||
| Adjusted operating income (loss) | $ | 120 |
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| $ | 119 |
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| As of | ||||||||||||||
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| June 30, 2021 |
| December 31, 2020 | ||||||||||||
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| Amount |
| Per Share |
| Amount |
| Per Share | ||||||||
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| Shareholders’ equity attributable to AGL | $ | 6,503 |
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| $ | 87.74 |
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| $ | 6,643 |
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| $ | 85.66 |
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| Adjusted operating shareholders’ equity (1) | 6,063 |
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| 81.81 |
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| 6,087 |
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| 78.49 |
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| ABV (1) | 8,873 |
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| 119.72 |
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| 8,908 |
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| 114.87 |
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| Common Shares Outstanding | 74.1 |
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| 77.5 |
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| (1) |
| Please see “Explanation of Non-GAAP Financial Measures” at the end of this press release. |
As of June 30, 2021, on a per share basis, shareholders’ equity attributable to AGL, adjusted operating shareholders’ equity and ABV all reached record highs. See “Common Share Repurchases” on page 11. Shareholders’ equity attributable to AGL, adjusted operating shareholders’ equity and ABV declined, mainly due to share repurchases and dividends, offset in part by income earned, and in the case of ABV, net written premiums.
Insurance Segment
The Insurance segment primarily consists of the Company’s insurance subsidiaries that provide credit protection products to the United States (U.S.) and international public finance (including infrastructure) and structured finance markets. The Insurance segment is presented without giving effect to the consolidation of financial guaranty variable interest entities (FG VIEs) and consolidated investment vehicles (CIVs), which are primarily funds and collateralized loan obligations (CLOs) managed by Assured Investment Management LLC (AssuredIM LLC) and its investment management affiliates (together with AssuredIM LLC, AssuredIM). In the case of FG VIEs, the Insurance segment includes premiums and losses of the financial guaranty insurance policies associated with the FG VIEs’ debt. In the case of CIVs, the Insurance segment includes the insurance subsidiaries’ share of earnings from its investments in funds managed by AssuredIM (AssuredIM Funds).
| Insurance Results | |||||||
| (in millions) | |||||||
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| Quarter Ended | ||||||
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| June 30, | ||||||
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| 2021 |
| 2020 | ||||
| Revenues |
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| ||||
| Net earned premiums and credit derivative revenues | $ | 106 |
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| $ | 125 |
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| Net investment income | 71 |
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| 82 |
| ||
| Commutation gain (losses) | — |
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| 38 |
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| Other income (loss) | 5 |
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| 1 |
| ||
| Total revenues | 182 |
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| 246 |
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| Expenses |
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| Loss expense (benefit) | (12) |
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| 39 |
| ||
| Amortization of deferred acquisition costs (DAC) | 4 |
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| 4 |
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| Employee compensation and benefit expenses | 34 |
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| 29 |
| ||
| Other operating expenses | 21 |
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| 18 |
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| Total expenses | 47 |
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| 90 |
| ||
| Equity in earnings of investees | 48 |
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| 26 |
| ||
| Adjusted operating income (loss) before income taxes | 183 |
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| 182 |
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| Less: Provision (benefit) for income taxes | 31 |
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| 28 |
| ||
| Adjusted operating income (loss) | $ | 152 |
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| $ | 154 |
|
Insurance adjusted operating income for second quarter 2021 was $152 million, compared with $154 million for the three-month period ended June 30, 2020 (second quarter 2020). The decrease was mainly due to the following:
- The commutation of a previously ceded book of business resulted in a commutation gain of $38 million in second quarter 2020 that did not recur in 2021.
- Net earned premiums and credit derivative revenues were lower in second quarter 2021, compared with second quarter 2020 primarily due to lower accelerations from refundings as presented in the table below.
| Net Earned Premiums and Credit Derivative Revenues | |||||||
| (in millions) | |||||||
|
| Quarter Ended | ||||||
|
| June 30, | ||||||
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| 2021 |
| 2020 | ||||
| Scheduled net earned premiums and credit derivative revenues | $ | 91 |
|
| $ | 93 |
|
| Accelerations | 15 |
|
| 32 |
| ||
| Total | $ | 106 |
|
| $ | 125 |
|
The declines mentioned above were substantially offset by the following:
- Loss expense was a $12 million benefit in second quarter 2021, compared with an expense of $39 million in second quarter 2020. The benefit in second quarter 2021 was primarily attributable to U.S. residential mortgage-backed securities (RMBS) exposures. Loss expense in second quarter 2020 was primarily attributable to certain Puerto Rico exposures.
- The investments in the Insurance segment generated $119 million of income in second quarter 2021, compared with $108 million of income in second quarter 2020, as presented in the table below.
| Income from Investment Portfolio | |||||||
| (in millions) | |||||||
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| Quarter Ended | ||||||
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| June 30, | ||||||
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| 2021 |
| 2020 | ||||
| Net investment income | $ | 71 |
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| $ | 82 |
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| Equity in earnings of investees: |
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| AssuredIM Funds | 37 |
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| 26 |
| ||
| Other alternative investments | 11 |
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| — |
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| Total | $ | 119 |
|
| $ | 108 |
|
The decrease in net investment income was primarily due to lower average balances in the fixed-maturity investment portfolio and lower reinvestment yields on short-term investments. The fixed-maturity investment portfolio declined mainly due to dividends paid by the insurance subsidiaries that were used for AGL share repurchases.
In the Insurance segment, investments in AssuredIM Funds are recorded at net asset value (NAV), with the change in NAV recorded in the line item “equity in earnings of investees.” The AssuredIM Funds include healthcare, CLOs, municipal bond and asset-based funds. Equity in earnings of investees also includes the Company’s proportionate interests in other alternative investments managed by third parties. To the extent additional fixed-maturity securities are shifted to AssuredIM Funds and other alternative investments, the corresponding income will also shift from net investment income to equity in earnings of investees.
Equity in earnings of AssuredIM Funds in second quarter 2021 was a gain of $37 million, compared with a gain of $26 million in second quarter 2020. In both periods, gains were mainly generated by the healthcare and CLO funds. In addition, alternative investments managed by third parties generated gains of $11 million in second quarter 2021.
The Insurance segment is authorized to invest up to $750 million into AssuredIM Funds. As of June 30, 2021, the Insurance segment had total commitments to AssuredIM Funds of $587 million of which $366 million represented net invested capital and $221 million was undrawn. The Insurance segment’s interest in AssuredIM Funds was valued at $433 million as of June 30, 2021.
Economic Loss Development
The net economic benefit of $20 million in second quarter 2021 primarily consists of a $28 million benefit on U.S. RMBS, attributable to higher excess spread, higher recoveries received for charged-off loans, and improved performance in certain transactions, partially offset by changes in discount rates. Certain U.S. RMBS transactions with insured floating-rate debt are supported by large portions of fixed-rate assets. When the interest rates on floating-rate debt decrease, as they generally did in second quarter 2021, excess spread increases. The economic loss development attributable to changes in discount rates for all transactions was a loss of $15 million for second quarter 2021.
| Roll Forward of Net Expected Loss to be Paid (Recovered)(1) | |||||||||||||||
| (in millions) | |||||||||||||||
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| Net Expected |
| Economic Loss |
| Losses (Paid) |
| Net Expected | ||||||||
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| Public finance | $ | 252 |
|
| $ | — |
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| $ | (9) |
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| $ | 243 |
|
| U.S. RMBS | 181 |
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| (28) |
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| 25 |
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| 178 |
| ||||
| Other structured finance | 39 |
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| 8 |
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| (2) |
|
| 45 |
| ||||
| Total | $ | 472 |
|
| $ | (20) |
|
| $ | 14 |
|
| $ | 466 |
|
| (1) |
| Economic loss development (benefit) represents the change in net expected loss to be paid (recovered) attributable to the effects of changes in assumptions based on observed market trends, changes in discount rates, accretion of discount and the economic effects of loss mitigation efforts, each net of reinsurance. Economic loss development (benefit) is the principal measure that the Company uses to evaluate the loss experience in its insured portfolio. Expected loss to be paid (recovered) includes all transactions insured by the Company, whether written in insurance or credit derivative form, regardless of the accounting model prescribed under accounting principles generally accepted in the United States of America (GAAP). |
New Business Production
GWP relates to both financial guaranty insurance and specialty insurance and reinsurance contracts. Financial guaranty GWP includes: (1) amounts collected upfront on new business written, (2) the present value of future contractual or expected premiums on new business written (discounted at risk free rates), and (3) the effects of changes in the estimated lives of certain transactions in the in-force book of business. Specialty insurance and reinsurance GWP is recorded as premiums are due. Credit derivatives are accounted for at fair value and therefore are not included in GWP.
The non-GAAP measure PVP includes upfront premiums and the present value of expected future installments on new business at the time of issuance (discounted at the approximate average pre-tax book yield of fixed-maturity securities purchased during the prior calendar year), for all contracts whether in insurance or credit derivative form. See “Explanation of Non-GAAP Financial Measures” at the end of this press release.
| New Business Production | |||||||||||||||||||||||
| (in millions) | |||||||||||||||||||||||
|
| Quarter Ended June 30, | ||||||||||||||||||||||
|
| 2021 |
| 2020 | ||||||||||||||||||||
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| GWP |
| PVP (1) |
| Gross Par |
| GWP |
| PVP (1) |
| Gross Par | ||||||||||||
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| Public finance – U.S. | $ | 29 |
|
| $ | 29 |
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| $ | 4,716 |
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| $ | 60 |
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| $ | 60 |
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| $ | 5,282 |
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| Public finance – non-U.S. | 44 |
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| 43 |
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| 961 |
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| 81 |
|
| 28 |
|
| 557 |
| ||||||
| Structured finance – U.S. | 11 |
|
| 9 |
|
| 460 |
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| 8 |
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| 8 |
|
| 173 |
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| Structured finance – non-U.S. | — |
|
| — |
|
| — |
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| — |
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| — |
|
| — |
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| Total (2) | $ | 84 |
|
| $ | 81 |
|
| $ | 6,137 |
|
| $ | 149 |
|
| $ | 96 |
|
| $ | 6,012 |
|
| (1) |
| PVP and Gross Par Written in the table above are based on “close date,” when the transaction settles. Please see “Explanation of Non-GAAP Financial Measures” at the end of this press release. |
| (2) |
| While PVP includes the present value of only the premiums the Company estimates it will receive over the expected term of the transaction, under GAAP the Company is required, for certain transactions, to include contractual premiums through the date of legal maturity in GWP. |
U.S. public finance GWP and PVP in second quarter 2021 both decreased, compared with second quarter 2020, when the COVID-19 pandemic generated a significant increase in demand for insurance, particularly in the secondary market. The average rating of U.S. public finance par written in second quarter 2021 was A. The Company’s gross par written represented 52% of the total U.S. municipal market insured issuance in second quarter 2021.
In second quarter 2021, non-U.S. GWP and PVP was primarily attributable to several large transactions. Non-U.S. GWP decreased 46%, while non-U.S. PVP increased 54%. Excluding amounts relating to one large long-dated policy written in second quarter 2020, for which GWP includes the present value of all contractual future premiums, while PVP includes the present value of only expected future premiums, non-U.S. GWP and PVP both increased, by 91% and 96%, respectively.
Asset Management Segment
The Asset Management segment consists of AssuredIM, which provides asset management services to third party investors as well as to the Insurance segment.
| Asset Management Results | |||||||
| (in millions) | |||||||
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| Quarter Ended | ||||||
|
| June 30, | ||||||
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| 2021 |
| 2020 | ||||
| Revenues |
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| ||||
| Management fees: |
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| CLOs (1) | $ | 12 |
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| $ | 2 |
|
| Opportunity funds and liquid strategies | 5 |
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| 3 |
| ||
| Wind-down funds | 2 |
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| 7 |
| ||
| Total management fees | 19 |
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| 12 |
| ||
| Other income | 2 |
|
| 1 |
| ||
| Total revenues | 21 |
|
| 13 |
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| Expenses |
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| Employee compensation and benefit expenses | 15 |
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| 14 |
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| Amortization of intangible assets | 3 |
|
| 3 |
| ||
| Other operating expenses | 6 |
|
| 7 |
| ||
| Total expenses | 24 |
|
| 24 |
| ||
| Adjusted operating income (loss) before income taxes | (3) |
|
| (11) |
| ||
| Less: Provision (benefit) for income taxes | (1) |
|
| (2) |
| ||
| Adjusted operating income (loss) | $ | (2) |
|
| $ | (9) |
|
| (1) |
| CLO fees are the net management fees that AssuredIM retains after rebating the portion of these fees that pertains to the CLO equity that is held directly by AssuredIM Funds. |
Management fees in second quarter 2021 increased by 58% compared with second quarter 2020, primarily due to an increase in CLO fees as a result of (i) higher fee-earning CLO assets under management (AUM) due to the sale to third-parties of CLO equity from legacy funds and the issuance of new CLOs, and (ii) the deferral of CLO fees in second quarter 2020 that did not recur in second quarter 2021. As of June 30, 2021 substantially all of the CLO equity held by legacy funds has been sold to third parties, which ends the fee rebates made back to these funds. In addition, the COVID-19 pandemic and downgrades in loan markets had triggered over-collateralization provisions in CLOs in the second and third quarters of 2020, resulting in the deferral of CLO management fees. As of June 30, 2021, there were no CLOs triggering over-collateralization provisions.
The increase in fees from opportunity funds and liquid strategies was mainly attributable to funds created since the Company established AssuredIM, while fees from the wind-down funds decreased as distributions to investors continued.
While total AUM increased slightly in second quarter 2021 from $17.5 billion as of March 31, 2021 to $17.6 billion as of June 30, 2021, fee-earning AUM rose by 13% over the same period, from $14.4 billion to $16.3 billion. Compared with June 30, 2020, fee-earning AUM increased 64% from $9.9 billion.
| Roll Forward of | |||||||||||||||||||
| Assets Under Management | |||||||||||||||||||
| (in millions) | |||||||||||||||||||
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| CLOs |
| Opportunity |
| Liquid |
| Wind-Down |
| Total | ||||||||||
| AUM, March 31, 2021 | $ | 14,331 |
|
| $ | 1,513 |
|
| $ | 384 |
|
| $ | 1,297 |
|
| $ | 17,525 |
|
|
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| Inflows-third party | 400 |
|
| 26 |
|
| — |
|
| — |
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| 426 |
| |||||
| Inflows-intercompany | — |
|
| — |
|
| — |
|
| — |
|
| — |
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| Outflows: |
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| Redemptions | — |
|
| — |
|
| — |
|
| — |
|
| — |
| |||||
| Distributions | (227) |
|
| (157) |
|
| — |
|
| (98) |
|
| (482) |
| |||||
| Total outflows | (227) |
|
| (157) |
|
| — |
|
| (98) |
|
| (482) |
| |||||
| Net flows | 173 |
|
| (131) |
|
| — |
|
| (98) |
|
| (56) |
| |||||
| Change in value | 58 |
|
| 81 |
|
| 4 |
|
| (20) |
|
| 123 |
| |||||
| AUM, June 30, 2021 | $ | 14,562 |
|
| $ | 1,463 |
|
| $ | 388 |
|
| $ | 1,179 |
|
| $ | 17,592 |
|
As of June 30, 2020, total AUM was $17.0 billion, consisting of $13.2 billion in CLOs, $1.3 billion in opportunity funds and liquid strategies, and $2.5 billion in wind-down funds.
| Components of | |||||||
| Assets Under Management (1) | |||||||
| (in millions) | |||||||
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| As of | ||||||
|
| June 30, |
| March 31, | ||||
|
|
|
|
| ||||
| Funded AUM | $ | 16,984 |
|
| $ | 16,863 |
|
| Unfunded AUM | 608 |
|
| 662 |
| ||
|
|
|
|
| ||||
| Fee-earning AUM (3) | $ | 16,303 |
|
| $ | 14,412 |
|
| Non-fee earning AUM | 1,289 |
|
| 3,113 |
| ||
|
|
|
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| Intercompany AUM |
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|
| ||||
| Funded AUM (2) | $ | 1,003 |
|
| $ | 933 |
|
| Unfunded AUM | 221 |
|
| 253 |
| ||
| (1) |
| Please see “Definitions” at the end of this press release. |
| (2) |
| Includes assets managed by AssuredIM under an Investment Management Agreement with its insurance affiliates of $570 million in investment-grade CLO and liquid municipal strategies as of June 30, 2021 and of $565 million in investment-grade CLO and liquid municipal strategies as of March 31, 2021. |
| (3) | As of June 30, 2020, fee-earning AUM was $9.9 billion, consisting of $6.5 billion in CLOs, $1.2 billion in opportunity funds and liquid strategies, and $2.2 billion in wind-down funds. |
Corporate Division
The Corporate division primarily consists of interest expense on the debt of Assured Guaranty US Holdings Inc. (AGUS) and Assured Guaranty Municipal Holdings Inc. (AGMH), as well as other operating expenses attributed to holding company activities such as Board of Directors’ expenses and administrative services performed by the operating subsidiaries.
| Corporate Results | |||||||
| (in millions) | |||||||
|
| Quarter Ended | ||||||
|
| June 30, | ||||||
|
| 2021 |
| 2020 | ||||
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|
|
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| ||||
| Revenues | $ | — |
|
| $ | — |
|
|
|
|
|
| ||||
| Expenses |
|
|
| ||||
| Interest expense | 26 |
|
| 23 |
| ||
| Employee compensation and benefit expenses | 5 |
|
| 3 |
| ||
| Other operating expenses | 5 |
|
| 6 |
| ||
| Total expenses | 36 |
|
| 32 |
| ||
| Equity in earnings of investees | — |
|
| — |
| ||
| Adjusted operating income (loss) before income taxes | (36) |
|
| (32) |
| ||
| Less: Provision (benefit) for income taxes | (2) |
|
| (6) |
| ||
| Adjusted operating income (loss) | $ | (34) |
|
| $ | (26) |
|
The Corporate division loss in second quarter 2021 increased compared to second quarter 2020 primarily due to the interest expense associated with the May 26, 2021 issuance of $500 million in 3.15% Senior Notes due in 2031, as well as higher state and local income tax expense. On July 9, 2021, a portion of the proceeds of the debt issuance was used to redeem the following AGMH debt: $100 million of 6 7/8% Quarterly Interest Bonds due in 2101, and $100 million of 6.25% Notes due in 2102. In the third quarter of 2021, the Company will recognize a pre-tax loss of approximately $66 million ($52 million after-tax) associated with the redemption of AGMH debt, which represents the difference between the amount paid to redeem AGMH’s debt and the carrying value of the debt. The carrying value of the debt included the unamortized fair value adjustments that were recorded upon the acquisition of AGMH in 2009.
Other Items
Other items primarily consist of intersegment eliminations, reclassifications of the reimbursement of fund expenses to revenue, and consolidation adjustments, including the effect of consolidating FG VIEs and AssuredIM investment vehicles. The majority of the economic effect of the Company’s interest in consolidated AssuredIM Funds, as well as the premiums, investment income and losses associated with consolidated FG VIEs, are presented in the Insurance segment. On a consolidated basis, the ownership interests of the consolidated AssuredIM Funds to which it has no economic rights, are reflected as either redeemable or nonredeemable noncontrolling interests in the Company’s condensed consolidated financial statements.
Reconciliation to GAAP
The following table presents a reconciliation of net income (loss) attributable to AGL to adjusted operating income.
| Reconciliation of Net Income (Loss) Attributable to AGL to | |||||||||||||||
| Adjusted Operating Income (Loss) | |||||||||||||||
| (in millions, except per share amounts) | |||||||||||||||
|
| Quarter Ended | ||||||||||||||
|
| June 30, | ||||||||||||||
|
| 2021 |
| 2020 | ||||||||||||
|
| Total |
| Per Diluted |
| Total |
| Per Diluted | ||||||||
| Net income (loss) attributable to AGL | $ | 98 |
|
| $ | 1.29 |
|
| $ | 183 |
|
| $ | 2.10 |
|
| Less pre-tax adjustments: |
|
|
|
|
|
|
| ||||||||
| Realized gains (losses) on investments | 4 |
|
| 0.05 |
|
| 4 |
|
| 0.05 |
| ||||
| Non-credit-impairment unrealized fair value gains (losses) on credit derivatives | (31) |
|
| (0.40) |
|
| 97 |
|
| 1.11 |
| ||||
| Fair value gains (losses) on committed capital securities (CCS) | (6) |
|
| (0.08) |
|
| (25) |
|
| (0.28) |
| ||||
| Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and loss adjustment expense (LAE) reserves | 5 |
|
| 0.06 |
|
| 2 |
|
| 0.02 |
| ||||
| Total pre-tax adjustments | (28) |
|
| (0.37) |
|
| 78 |
|
| 0.90 |
| ||||
| Less tax effect on pre-tax adjustments | 6 |
|
| 0.07 |
|
| (14) |
|
| (0.16) |
| ||||
| Adjusted operating income (loss) | $ | 120 |
|
| $ | 1.59 |
|
| $ | 119 |
|
| $ | 1.36 |
|
| (1) |
| Foreign exchange gains (losses) in both periods primarily relate to remeasurement of premiums receivable and are mainly due to changes in the exchange rate of the pound sterling and euro relative to the U.S. dollar. |
Non-credit impairment unrealized fair value losses on credit derivatives in second quarter 2021 were generated primarily as a result of the tightening of Assured Guaranty Corp. (AGC) spreads; these losses were partially offset by general price improvements of the underlying collateral. In second quarter 2020, non-credit impairment unrealized fair value gains on credit derivatives were generated primarily as a result of price improvements of the underlying collateral, partially offset by losses due to the tightening of AGC spreads. Except for underlying credit impairment, which is recognized as loss expense in the Insurance segment, the fair value adjustments on credit derivatives in the insured portfolio are non-economic adjustments that reverse to zero over the remaining term of that portfolio.
Fair value losses on CCS in second quarter 2021 were primarily due to a tightening in market spreads during the quarter. Fair value losses on CCS in second quarter 2020 were caused by the steep reduction in LIBOR during the period. Fair value of CCS is heavily affected by, and in part fluctuates with, changes in market interest rates, credit spreads and other market factors and are not expected to result in an economic gain or loss.
Common Share Repurchases
| Summary of Share Repurchases | |||||||||||
| (in millions, except per share amounts) | |||||||||||
|
| Amount |
| Number of Shares |
| Average Price Per | ||||||
|
|
|
|
|
|
| ||||||
| 2021 (January 1 – March 31) | $ | 77 |
|
| 2.0 |
|
| $ | 38.83 |
| |
| 2021 (April 1 – June 30) | 88 |
|
| 1.9 |
|
| 46.63 |
| |||
| 2021 (July 1 – August 5) | 58 | 1.2 | 47.02 | ||||||||
| Total 2021 | $ | 223 | 5.1 | 43.69 | |||||||
Contacts
Robert Tucker
Senior Managing Director, Investor Relations and Corporate Communications
212-339-0861
[email protected]
Ashweeta Durani
Vice President, Corporate Communications
212-408-6042
[email protected]
