NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) has assigned a AA+, Stable Outlook, insurance financial strength rating to Assured Guaranty Municipal Corp. (AGM). AGM demonstrates an ability to withstand KBRA’s conservative stress case loss assumptions and satisfy all claims in full and on time.
AGM has written primarily municipal business since the credit crisis (with a small amount of international infrastructure). While it retains a significant legacy exposure to structured finance, that exposure has been declining in absolute terms.
A major part of KBRA’s analysis of AGM is testing the company’s ability to provide for all claims under conservative stress case assumptions applied to different segments of the company’s insured portfolio. These stress case losses were developed to reflect KBRA’s best estimate of the level of losses for each segment that a AA+ rated entity should be able to cover so that an investor holding a bond insured by AGM would not suffer losses under these assumed conditions.
KBRA’s principal means to develop stress case losses is our Monte Carlo simulation model. In addition, as noted in KBRA’s methodology, we may substitute specific loss estimates for certain distressed sectors or exposures, and we did so for AGM’s portfolio. In KBRA’s view, this produces a more conservative and targeted outcome than solely using the Monte Carlo simulation to analyze the portfolio’s risk.
In KBRA’s opinion, AGM has a proven management team and a well-developed governance framework.
About Kroll Bond Rating Agency
KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).