Residential Mortgage-backed Securities in the Insured Portfolio

Transcription

1 Residential Mortgage-backed Securities in the Insured Portfolio Syncora Holdings Ltd. Q RMBS Exposure (as of June 30, 2008) and Updated RMBS Exposure (as of August 5, 2008)

2 Important notice This presentation contains statements about future results, plans and events that may constitute "forward-looking" statements within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of You are cautioned that these statements are not guarantees of future results, plans or events and such statements involve risks and uncertainties that may cause actual results to differ materially from those set forth in these statements. Forward-looking statements are subject to a number of risks and uncertainties, many of which are beyond the Company's control. These factors include, but are not limited to: higher risk of loss in connection with obligations guaranteed by the Company due to deterioration in the credit markets stemming from the poor performance of subprime residential mortgage loans; the outcome of our negotiations with the Financial Counterparties concerning the commutation, termination, amendment or otherwise restructuring of their credit default swap contracts; the decision by our regulators to take regulatory action with respect to Syncora Holdings' operating subsidiaries at any time; the availability of capital and liquidity; our assumptions concerning the tax treatment of the transactions contemplated by the [Agreements] and related transactions; the outcome of the efforts to refund Jefferson County, Alabama's outstanding sewer system debt; the performance of invested assets, losses on credit derivatives or changes in the fair value of credit derivatives; recent and future rating agency statements and ratings actions; the suspension of writing substantially all new business and the Company's ability to continue to operate its business in its historic form; the outcome of litigation; the timing of claims payments and the receipt of reinsurance recoverables; greater frequency or severity of claims and loss activity including in excess of the Company's loss reserves; the impact of provisions in business arrangements and agreements triggered by the ratings downgrades; the impact of other triggers in business arrangements including credit default swap contracts; developments in the world's financial and capital markets that adversely affect the performance of the Company's investments and its access to such markets; changes in regulation, tax laws, legislation or accounting policies or practices; changes in officers and key employees; general economic conditions; [changes in the availability, cost or quality of reinsurance or retrocessions]; [possible downgrade of the Company's reinsurers]; [possible default by the counterparties to the Company's reinsurance arrangements]; the Company's ability to compete; changes that may occur in Company operations and ownership as the Company matures; and other additional factors, risks or uncertainties described in Company filings with the Securities and Exchange Commission, including in the Company's Annual Report on Form 10-K for the fiscal year ended December 31,, and also disclosed from time to time in subsequent reports on Form 10-Q and Form 8-K. Readers are cautioned not to place undue reliance on forward-looking statements which speak only as of the date they are made. The Company does not undertake to update forward-looking statements to reflect the impact of circumstances or events that arise after the date the forward-looking statements are made. 1

3 RMBS Analysis $8.6 Billion Net Insured Par Outstanding as of 6/30/08 1 Subprime (2 nd Lien) $0.56, 6.5% Prime (1 st Lien)/Home Imp. $0.12, 1.4% Second Lien Alt-A $0.53, 6.2% Prime (2 nd Lien) $0.69, 8.0% Subprime (1 st Lien) $1.06, 12.3% Alt-A (First Lien) $2.90, 33.5% Prime (HELOC) $2.78, 32.1% Prime (2nd Lien) Alt-A (First Lien) Prime (HELOC) Subprime (1st Lien) Prime (1st Lien) / Home Imp. Subprime (2nd Lien) Second Lien Alt-A 1. Amounts shown in billions 2

4 RMBS Portfolio $8.6 Billion Net Insured Par Outstanding as of 6/30/08 1 U.S. Subprime RMBS by attachment point ($1.6 billion representing 16 deals insured) BBB-, $110.4, 6.8% A, $77.2, 4.8% BIG*, $58.0, 3.6% A-, $101.1, 6.2% AAA, $581.0, 35.8% AA-, $184.6, 11.4% AA, $510.1, 31.4% Ratings breakdown by S&P Weighted average credit rating: AA+ / AA 1. Amounts shown in millions * Below investment grade. 3

5 RMBS Portfolio Breakdown by Origination Vintage as of 6/30/08 1 $4,500 Other HELOC $4,000 CES First Lien Alt-A $4,045 $3,500 First Lien Subprime $3,259 $3,000 $2,500 $2,000 $1,500 $1,000 $888 $456 $500 $ First Lien Subprime $167 $249 $0 $645 First Lien Alt-A $0 $275 $800 $1,826 CES $0 $0 $695 $1,095 HELOC $240 $362 $1,764 $411 Other $49 $2 $0 $68 1. Amounts shown in millions 4

6 Subprime RMBS Portfolio Collateral Vintage Analysis Vintage Year Percent of Subprime Collateral Principal Amount (in millions) Weighted Average Credit Rating % $12.9 AAA % $72.1 AAA/AA % $222.5 AAA/AA % $471.7 AAA/AA % $604.0 AA/AA- 14.3% $239.3 A/A % $1, Based on S&P ratings if available and internal Syncora ratings if no S&P rating is available 5

7 RMBS Portfolio Breakdown by Originator as of 6/30/08 Ten Largest Originators Vintage Net Exposure (in millions) % of Total RMBS Countrywide 2004, 2005, 2006, $2.7 billion 31.5% Greenpoint 2006, $1.0 billion 11.5% IndyMac 2006, $1.0 billion 11.5% OptionOne 2006, $0.5 billion 5.9% Ameriquest 2004, % Washington Mutual 3.4% Sovereign Bank 3.1% First Franklin 2.8% Lehman Brothers Bank $0.2 billion 2.3% American Home Mortgage $0.2 billion 1.8% Total 77.5% 6

8 Updated Exposure The following slides represent the pro-forma impact of the closing of the Company s previously announced transactions with XL Capital Ltd and Merrill Lynch & Co. Inc. and Merrill Lynch International, as well as other related transactions that closed on or before August 5,

9 RMBS Analysis Pro forma 1 $9.4 Billion Net Insured Par Outstanding Subprime (2 nd Lien) $0.62, 6.6% Prime (1 st Lien)/Home Imp. $0.12, 1.3% Second Lien Alt-A $0.58, 6.2% Prime (2 nd Lien) $0.75, 8.1% Subprime (1 st Lien) $1.15, 12.2% Alt-A (First Lien) $3.06, 32.6% Prime (HELOC) $3.10, 33.0% Prime (2nd Lien) Alt-A (First Lien) Prime (HELOC) Subprime (1st Lien) Prime (1st Lien) / Home Imp. Subprime (2nd Lien) Second Lien Alt-A 1. Amounts shown in billions 8

10 RMBS Portfolio Pro forma 1 $9.4 Billion Net Insured Par Outstanding U.S. Subprime RMBS by attachment point ($1.8 billion representing 17 deals insured) BBB-, $124.4, 7.0% A, $77.2, 4.4% BIG*, $60.2, 3.4% A-, $114.4, 6.5% AAA, $606.0, 34.3% AA-, $208.0, 11.8% AA, $577.7, 32.7% Ratings breakdown by S&P Weighted average credit rating: AA+ 1. Amounts shown in millions * Below investment grade. 9

11 RMBS Portfolio Breakdown by Origination Vintage Pro forma 1 $5,000 Other HELOC $4,500 $4,380 CES First Lien Alt-A $4,000 First Lien Subprime $3,525 $3,500 $3,000 $2,500 $2,000 $1,500 $1,000 $888 $579 $500 $ First Lien Subprime $184 $249 $0 $713 First Lien Alt-A $0 $275 $826 $1,956 CES $0 $0 $755 $1,197 HELOC $344 $362 $1,944 $446 Other $51 $2 $0 $68 1. Amounts shown in millions 10

12 Subprime RMBS Portfolio Collateral Vintage Analysis (Pro forma) Vintage Year Percent of Subprime Collateral Principal Amount (in millions) Weighted Average Credit Rating % $2.2 BIG* % $13.8 AAA % $80.2 AAA/AA % $241.8 AAA/AA % $494.6 AAA/AA % $681.8 AA/AA- 14.5% $253.5 A/A % $1, Based on S&P ratings if available and internal Syncora ratings if no S&P rating is available * Below investment grade. 11

13 RMBS Portfolio Breakdown by Originator Pro forma Ten Largest Originators Vintage Net Exposure (in millions) % of Total RMBS Countrywide 2004, 2005, 2006, $2.9 billion 31.4% Greenpoint 2006, $1.2 billion 12.4% IndyMac 2006, $1.0 billion 10.6% OptionOne 2006, $0.6 billion 6.2% Ameriquest 2004, % Washington Mutual 3.3% Sovereign Bank 3.1% First Franklin 2.8% Lehman Brothers Bank $0.2 billion 2.1% American Home Mortgage $0.2 billion 1.8% Total 80.9% 12