Good morning, and welcome to the Ambac Financial Group, First Quarter 2020 Earnings Call [Operator Instructions]. As a reminder, this conference is being recorded. It is now my pleasure to introduce your host, Ms. Lisa Kampf, Head of Investor Relations; Claude LeBlanc, Chief Executive Officer; and David Trick, Chief Financial Officer. I will now turn the call over to Lisa.

Thank you. Good morning and thank you all for joining today's conference call to discuss Ambac Financial Group's first quarter 2020 financial results. We hope everyone is doing well. We'd like to remind you that today's presentation may contain forward-looking statements, which are based on management's current expectations and are subject to uncertainty and changes in circumstances. Any forward-looking statements are not guarantees of future performance of events. Actual performance and events may differ possibly materially from such forward-looking statements. Factors that could cause this include the factors described in our most recent SEC filed quarterly or annual reports under Management's Discussion and Analysis of Financial Condition and Results of Operation and under Risk Factors. Ambac is not under any obligation and expressly disclaims any obligation to update any forward-looking statements, whether as a result of new information, future events or otherwise. Today's presentation contains non-GAAP financial measures. The reconciliations of such measures to the most comparable GAAP figures are included in our earnings press release, which is available on our website at ambac.com. Please note that presentations have been posted to the Events and Presentations section of our IR website, which support our comments today. Due to shelter in place restrictions, management is participating in this call, from remote location. If technical difficulties occur and we have to terminate the call, you will be able to read the transcript of our prepared remarks, which we posted on the Investor Relations section of our website. In addition, management will be available to address any questions that remain unanswered. Please feel free to contact me, via the contact information in our press release to schedule a call. I would now like to turn the call over to Mr. Claude LeBlanc.

Thank you, Lisa. For those of you joining us on today’s call, we hope that you and your families are managing through this unprecedented crisis and keeping safe. We would first like to express our gratitude to all the first responders who have been risking their lives on the frontlines, fighting with the COVID-19 pandemic. Our thoughts are with those directly impacted by this crisis. With regards to Ambac, we are currently working remotely, to protect the health and wellbeing of all our employees and colleagues. Thanks to the efforts of all our employees, our business continues to operate without interruption. The fast moving and evolving nature of COVID-19 has created significant economic uncertainty with global and U.S. GDP forecast showing sharp declines. In the U.S. monitoring fiscal policies, particularly the CARES Act has help to moderate some of the negative economic impact. However, credit remains a big concern given the uncertainty as to the severity and duration of COVID-19 related disruptions. Financial markets and economic volatility resulting from the COVID pandemic have impacted or insured and investment portfolios as reflected in our financial results released yesterday. We reported a net loss of $280 million or $6.07 per diluted share for the first quarter of 2020 and an adjusted loss of $265 million or $5.75 per diluted share. At March 31, 2020, our book value and adjusted book value were $21.88 and $22.11 per share, respectively. This quarter's results were primarily driven by the steep decline in the forward rate curve, impacting the discount rate on our GAAP reserves. Mark-to-market losses on our investment and derivative portfolios as well as losses on our macro hatch. While we increased economic losses in our insured portfolio during the quarter, primarily tied to our municipal finance exposures, this was more than offset by…

Thank you, Claude, and good morning everyone. As Claude commented, the main contributor to our results for the first quarter of 2020 was the impact of the COVID-19 pandemic on the economy and financial markets. Lower interest rates, higher market risk premiums, and the expected financial impact on certain insured transactions were the primary drivers to the first quarter net loss on derivatives, investments in our insured portfolio. During the first quarter of 2020 Ambac reported a net loss of $280 million or $6.07 per diluted share compared to a net loss of $110 million or $2.40 per diluted share in the fourth quarter of 2019. Adjusted loss for the first quarter was $265 million or $5.75 per diluted share compared to adjusted loss of $88 million or a $1.91 per diluted share in the fourth quarter. The principle variance between adjusted and net loss for the first quarter was $13 million of insurance intangible amortization. Touching on some specifics, premiums earned were $10 million in the first quarter versus $20 million during the fourth quarter. In addition to continue to run off of the portfolio, the decrease was mainly due to an improvement in the allowance for premium receivable credit losses in the fourth quarter versus an increase in the allowance in the first quarter. Investments excluding realized gains produced a net loss for the first quarter of $21 million down from net income of $42 million in the fourth quarter of 2019. Mark-to-market losses on limited partnership in other pooled investments are $52 million accounted for the first quarter net investment loss. Despite some de-risking of exposure to these asset classes towards the end of February, significant declines in asset values due to the drastically higher risk premiums associated with the market dislocation that occurred in March related…

Thank you, David. While we are in a period of great volatility, and the severity and duration of the pandemic will ultimately determine our success in mitigating any potential losses. We are in a better position today to face these challenges based on the actions taken today. Our value drivers and fundamentals remain strong, including one, we have no debt and $482 million of net assets at AFG our holding company. Two, our claims paying resources of $5.2 billion and the timely payment of all our claims in full. Three, our consolidated investment portfolio of $3.4 billion in assets, with historically strong market performance. Four, our gross rent and warranty receivable of approximately $1.8 billion. Five, a total of $3.7 billion of NOLs available to shelter future taxable income at both AFG and AAC. And lastly, our significant expertise and resources that we will bring to bear to navigate through this period of uncertainty in order to maximize shareholder value. I would like to conclude by thanking our shareholders for your ongoing support, and our employees for their incredible effort and unwavering commitment to ensure the continued uninterrupted operation of our business. I would now like to turn the call back to the operator for questions.

Thank you. We will now be conducting the question and answer session. [Operator Instructions] Thank you. Our first question comes from the line of Giuliano Bologna with BTIG. Please proceed with your question.

Good morning, and thanks for taking my questions. I guess, starting off if - you had mentioned that there were some opportunities to buy Ambac rep securities at the end of the first quarter. I'd be curious if you still see opportunities out there and that there are also potentially opportunities to buy back some of Ambac's debt at a discount to par.

Yeah, hi, Giuliano. Thanks for the call and the question. So yes, we did have the opportunity to buy some Ambac securities later in the third quarter. And, in particular, the beginning of third quarter - excuse me first quarter. And in particular in the early part of the second quarter. So, there are opportunities out there to buy back Ambac secured and other debt as well. There are certain restrictions that we have to operate under based on some of the governing guidelines of those instruments, particularly when it comes to liquidity management. But we did buy some actually Ambac LSNI notes during the quarter at our holding company at a reasonable discount to par and to take advantage of some of the trading opportunities there. But there are other capital and liquidity considerations that we need to manage when looking at opportunities to buy different parts of our capital structure.

That makes a lot of sense. And then thinking about the discussion around potentially buying a business or building a business with the holding company capital I know you've said that you've looked at many opportunities over the years. I'd be curious if you're seeing some opportunities come up, and if there's any shift in the industry is in sectors that are kind of the sub sectors that you might be looking at, given the volatility?

Actually, I think the answer is yes, there are certainly more opportunities that we are seeing any broader set of industries. Clearly, there's also a lot of uncertainty in the markets in some of the industries that we are focused on and insurance and credit as well. So, I think while there are more options, there's also more challenges in evaluating the risk associated with certain opportunities, but we have identified and are seeing some that are interesting, and we'll be continuing our active exploration of these opportunities.

That sounds good. Thank you for taking my questions. I appreciate it and I will jump back in the queue.

Thanks, Giuliano.

[Operator Instructions] Thank you. There are no further questions at this time. This will conclude today's conference. Thank you for your participation. You may disconnect your lines at this time.