What do the RMBS reinsurers look like? Here is snapshot of the statistics to look at before AGO's earnings are announced.
| Break-dwon of Net premium earned -AGO | ||
|
Public finance |
5.2 |
9.3% |
|
Structured finance |
26.5 |
47.2% |
|
Financial guaranty direct |
31.7 |
56.4% |
|
|
|
|
|
Public finance |
15.4 |
27.4% |
|
Structured finance |
6.2 |
11.0% |
|
Financial guaranty reinsurance |
21.6 |
38.4% |
|
|
|
|
|
Mortgage guaranty |
2.9 |
5.2% |
|
|
|
|
|
Net Premiums Earned |
56.2 |
100.0% |
| Assured Guaranty | XL Capital | Security Capital Assurance | Radian Group | MGIC Investment | The PMI | RAM Holdings | Old Republic International | CRM | Ambac Financial | MBIA | Triad Guaranty | |
| AGO | XL | SCA | RDN | MTG | PMI | RAMR | ORI | CRMH | ABK | MBI | TGIC | |
| Share price | 21.6 | 42.7 | 2.0 | 8.3 | 15.2 | 8.9 | 1.6 | 15.2 | 6.6 | 11.0 | 14.6 | 6.5 |
| Shares outstanding (mn) | 79.5 | 178.4 | 65.3 | 80.4 | 81.8 | 50.5 | 27.2 | 230.4 | 15.9 | 101.6 | 207.7 | 14.9 |
| 52 Week -High | 32.0 | 85.7 | 34.6 | 64.1 | 67.4 | 50.5 | 17.3 | 23.2 | 9.5 | 96.1 | 72.4 | 52.6 |
| 52 Week -Low | 13.3 | 36.3 | 1.5 | 5.4 | 10.4 | 5.4 | 0.8 | 12.2 | 5.0 | 4.5 | 6.8 | 5.3 |
| Price as % of 52-week high | 67% | 50% | 6% | 13% | 23% | 18% | 9% | 65% | 69% | 11% | 20% | 12% |
| 1 month return | -8% | -15% | -12% | -5% | -15% | 0% | -2% | 3% | -12% | -43% | 3% | -13% |
| 3 month return | 9% | -34% | -69% | -34% | -28% | -40% | -73% | 1% | -18% | -58% | -58% | -24% |
| 12 month return | -20% | -41% | -94% | -87% | -77% | -81% | -90% | -34% | -20% | -88% | -79% | -87% |
| Market Capitalization (mn) | 1715 | 7612 | 131 | 670 | 1247 | 450 | 43 | 3493 | 105 | 1116 | 3032 | 97 |
| Break-down of Net premium earned -XL Capital | Insurance | Reinsurance | Life Operations | Total | % break-up | |
| Casualty — professional lines | 354,622 | 66,140 | — | 420,762 | 24.3% | |
| Casualty — other lines | 186,190 | 139,224 | — | 325,414 | 18.8% | |
| Property catastrophe | 17,075 | 70,396 | — | 87,471 | 5.1% | |
| Other property | 165,725 | 205,967 | — | 371,692 | 21.5% | |
| Marine, energy, aviation and satellite | 141,262 | 35,110 | — | 176,372 | 10.2% | |
| Other specialty lines | 125,182 | — | — | 125,182 | 7.2% | |
| Other | 5,037 | 51,476 | — | 56,513 | 3.3% | |
| Structured Indemnity | 17,052 | 2,885 | — | 19,937 | 1.2% | |
| Total P&C Operations | 1,012,145 | 571,198 | 0 | 1,583,343 | 91.5% | |
| Life operations: | ||||||
| Other Life | — | — | 98,892 | 98,892 | 5.7% | |
| Annuity | — | — | 48,347 | 48,347 | 2.8% | |
| Total Life Operations | 0 | 0 | 147,239 | 147,239 | 8.5% | |
| Total | 1,012,145 | 571,198 | 147,239 | 1,730,582 | 100.0% | |
|
AGO |
XL |
|
| 3Q 2007 | ||
| Gross Premiums Written | $89 | $1,934 |
| $74 | $2,248 | |
| 21.3% | -13.9% | |
| Net Premiums Written | $80 | $1,385 |
| $73 | $1,476 | |
| 9.9% | -6.1% | |
| Net Premiums Earned | $56 | $1,731 |
| $52 | $1,855 | |
| 8.3% | -6.7% | |
| Total investments (mn) | $2,614 | $42,751 |
| Cash and cash equivalents | $25 | $3,185 |
| Total Assets | $3,138 | $60,888 |
| Total Debt | $347 | $3,778 |
| Net Debt | $322 | $593 |
| Shareholders' equity | $1,604 | $11,432 |
| RMBS exposure (in millions as of September 30, 2007) | ||
| By type | ||
| Prime | $14,328 | |
| Sub-prime | $7,201 | |
| Total Net Par Outstanding | $21,529 | |
| Prime | 67% | |
| Sub-prime | 33% | |
| Total Net Par Outstanding | 100% | |
| By rating | ||
| AAA/Aaa | $15,679 | |
| AA/Aa | $719 | |
| A/A | $1,410 | |
| BBB/Baa | $3,629 | |
| Below investment grade | $92 | |
| Total Net Par Outstanding | $21,529 | |
| (percentage break-down) | ||
| AAA/Aaa | 73% | |
| AA/Aa | 3% | |
| A/A | 7% | |
| BBB/Baa | 17% | |
| Below investment grade | 0% | |
| Total Net Par Outstanding | 100% | |
| By year | ||
| 2000 and prior | $227 | |
| 2001 | $248 | |
| 2002 | $265 | |
| 2003 | $554 | |
| 2004 | $902 | |
| 2005 | $3,241 | |
| 2006 | $8,508 | |
| 2007 year to date | $7,584 | |
| $21,529 | ||
| (percentage break-down) | ||
| 2000 and prior | 1% | |
| 2001 | 1% | |
| 2002 | 1% | |
| 2003 | 3% | |
| 2004 | 4% | |
| 2005 | 15% | |
| 2006 | 40% | |
| 2007 year to date | 35% | |
| 100% | ||
| Sub prime | $7,200 | |
| -International Sub-prime | $40 | |
| -US Sub-prime | $7,160 | |
| -Financial Guaranty direct (a) | $6,880 | |
| -Financial Guaranty re-insurance (b) | $280 | |
| Financial Guaranty Direct (a) | $6,881 | |
| AAA/Aaa | $6,614 | |
| AA/Aa | $0 | |
| A/A | $6 | |
| BBB/Baa | $209 | |
| Below investment grade | $52 | |
| Financial Guaranty Re-insurance (b) | $280 | |
| AAA/Aaa | $194 | |
| AA/Aa | $15 | |
| A/A | $11 | |
| BBB/Baa | $21 | |
| Below investment grade | $39 | |
| Financial Guaranty Direct (a) | 96% | |
| AAA/Aaa | 92% | |
| AA/Aa | 0% | |
| A/A | 0% | |
| BBB/Baa | 3% | |
| Below investment grade | 1% | |
| Financial Guaranty Re-insurance (b) | 4% | |
| AAA/Aaa | 3% | |
| AA/Aa | 0% | |
| A/A | 0% | |
| BBB/Baa | 0% | |
| Below investment grade | 1% | |
| By rating | ||
| AAA/Aaa | $701 | |
| AA/Aa | $347 | |
| A/A | $941 | |
| BBB/Baa | $4,299 | |
| Below investment grade | $281 | |
| Total Net Par Outstanding | $6,569 | |
| (percentage break-down) | ||
| AAA/Aaa | 11% | |
| AA/Aa | 5% | |
| A/A | 14% | |
| BBB/Baa | 65% | |
| Below investment grade | 4% | |
| Total Net Par Outstanding | 100% | |
| Financial guaranty portfolio | ||
| International Finance | $3,357 | |
| Public Finance | $714 | |
| Structured Finance | $2,499 | |
| Total | $6,569 | |
| (percentage break-down) | ||
| International Finance | 51% | |
| Public Finance | 11% | |
| Structured Finance | 38% | |
| Total | 100% | |
| Company’s fixed income portfolio by credit rating | ||
| AAA | 53% | |
| AA | 17% | |
| A | 17% | |
| BBB | 11% | |
| BB & below | 2% | |
| Maturity profile of the fixed income securities | ||
| Less than 1 year remaining | $800 | |
| At least 1 year but less than 5 years remaining | $3,452 | |
| At least 5 years but less than 10 years remaining | $3,865 | |
| At least 10 years but less than 20 years remaining | $1,520 | |
| At least 20 years or more remaining | $3,613 | |
| Mortgage and asset-backed securities | $10,970 | |
| Total | $24,219 | |
| (percentage break-down) | ||
| Less than 1 year remaining | 3% | |
| At least 1 year but less than 5 years remaining | 14% | |
| At least 5 years but less than 10 years remaining | 16% | |
| At least 10 years but less than 20 years remaining | 6% | |
| At least 20 years or more remaining | 15% | |
| Mortgage and asset-backed securities | 45% | |
| Total | 100% | |
| Total exposure to sub-prime and related collateral in fixed income portfolio | ||
| Sub-prime first lien mortgages | $1,193 | |
| Alt-A mortgages | $992 | |
| Second lien mortgages (including sub-prime second lien mortgages) | $128 | |
| ABS CDOs with sub-prime collateral | $115 | |
| Total | $2,428 | |
| (percentage break-down) | ||
| Sub-prime first lien mortgages | 49% | |
| Alt-A mortgages | 41% | |
| Second lien mortgages (including sub-prime second lien mortgages) | 5% | |
| ABS CDOs with sub-prime collateral | 5% | |
| Total | 100% | |
