Form 8-K - Current report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 8-K

Current Report

Pursuant to Section 13 or 15 (d) of the

Securities Exchange Act of 1934

Date of Report (Date of earliest event reported)—November 1, 2023

ASSURED GUARANTY LTD.

(Exact name of registrant as specified in its charter)


Bermuda	001-32141	98-0429991
(State or other jurisdiction of incorporation or organization)	(Commission File Number)	(I.R.S. Employer Identification No.)

30 Woodbourne Avenue

Hamilton HM 08 Bermuda

(Address of principal executive offices)

Registrant’s telephone number, including area code: (441) 279-5700

Not applicable

(Former name or former address, if changed since last report)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below):

☐ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

☐ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

☐ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

☐ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Securities registered pursuant to Section 12(b) of the Act:


Title of each class:		Trading Symbol(s)	Name of exchange on which registered
Common Shares	$0.01 par value per share	AGO	New York Stock Exchange
Assured Guaranty US Holdings Inc. 6.125% Senior Notes due 2028 (and the related guarantee of Registrant)		AGO/28	New York Stock Exchange
Assured Guaranty US Holdings Inc. 3.150% Senior Notes due 2031 (and the related guarantee of Registrant)		AGO/31	New York Stock Exchange
Assured Guaranty US Holdings Inc. 3.600% Senior Notes due 2051 (and the related guarantee of Registrant)		AGO/51	New York Stock Exchange

Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (17 CFR §230.405) or Rule 12b-2 of the Securities Exchange Act of 1934 (17 CFR §240.12b-2).

Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐


Item 2.02			Results of Operations and Financial Condition. On November 7, 2023 Assured Guaranty Ltd. issued a press release reporting its third quarter 2023 results and the availability of its September 30, 2023 financial supplement. The press release and the financial supplement are attached hereto as Exhibit 99.1 and Exhibit 99.2, respectively, and are incorporated by reference herein.

Item 5.02			Departure of Directors or Certain Officers; Election of Directors; Appointment of Certain Officers; Compensatory Arrangements of Certain Officers On November 1, 2023, AGL’s Board of Directors appointed Robert A. Bailenson, who is currently its Chief Financial Officer, to be its Chief Operating Officer and Benjamin G. Rosenblum, who is currently its Chief Actuary, to be its Chief Financial Officer. Both appointments are effective January 1, 2024. A copy of the press release announcing these events is attached hereto as Exhibit 99.3 and is hereby incorporated herein by reference. Mr. Bailenson, age 57, has been Chief Financial Officer of AGL and a number of its subsidiaries since June 2011. He joined a predecessor company of Assured Guaranty in 1990 and has held a number of leadership positions at the predecessor company and at Assured Guaranty since that time. Mr. Bailenson became Chief Accounting Officer of Assured Guaranty Corp. in 2003, of AGL in May 2005, and of Assured Guaranty Municipal Corp. (formerly Financial Security Assurance Inc.) in July 2009 upon its acquisition by Assured Guaranty, and served in such capacities until 2019. He was Chief Financial Officer and Treasurer of Assured Guaranty Re Ltd. from 1999 until 2003 and was previously the Assistant Controller of Capital Re Corp., a predecessor company of Assured Guaranty. Prior to joining Assured Guaranty, he worked at Ernst & Young LLP. Mr. Rosenblum, age 50, has been Chief Actuary of AGL since 2021. He joined Assured Guaranty in 2004 and has been the Chief Actuary of Assured Guaranty Municipal Corp. and Assured Guaranty Corp. since 2010, and responsible for the loss reserve function at Assured Guaranty Re Ltd. and Assured Guaranty Re Overseas Ltd. since 2004, at Assured Guaranty UK Limited since 2018 and at Assured Guaranty (Europe) SA since 2020. In 2015, he also became Senior Managing Director in charge of Insurance Accounting and Financial Reporting. In connection with his appointment, Mr. Rosenblum will be a participant in the Assured Guaranty Ltd. Executive Severance Plan and the Assured Guaranty Ltd. Perquisite Policy applicable to AGL’s executive officers, as they may be amended from time to time. He will also sign an Indemnification Agreement substantially in the form the Company signs with each of its executive officers and directors. Mr. Bailenson is already a participant in the Executive Severance Plan and the Perquisite Policy and is a party to an Indemnification Agreement. Mr. Bailenson is, and Mr. Rosenblum will be, subject to the Assured Guaranty Ltd. Executive Officer Recoupment Policy, as it may be amended from time to time, including amendments required by the New York Stock Exchange of its listed issuers.

Item 7.01			On November 7, 2023, AGL issued a press release announcing that Robert A. Bailenson, who is currently its Chief Financial Officer, has been appointed its Chief Operating Officer and Benjamin G. Rosenblum, who is currently its Chief Actuary, has been appointed its Chief Financial Officer, effective January 1, 2024. A copy of the press release announcing these events is attached hereto as Exhibit 99.3 and is hereby incorporated herein by reference.

Item 9.01			Financial Statements and Exhibits. (d) Exhibits

Exhibit Number			Description
99.1			Assured Guaranty Ltd. Press Release dated November 7, 2023 reporting third quarter 2023 results
99.2			September 30, 2023 Financial Supplement of Assured Guaranty Ltd.
99.3			Assured Guaranty Ltd. Press Release dated November 7, 2023 announcing the appointment of certain named executive officers
104.1			Cover Page Interactive Data File - the cover page XBRL tags are embedded within the Inline XBRL document

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.


			Assured Guaranty Ltd.


			By:			/s/ ROBERT A. BAILENSON
						Name: Robert A. Bailenson Title: Chief Financial Officer

DATE: November 7, 2023

Assured Guaranty Ltd. Reports Results for Third Quarter 2023

•GAAP Highlights:

•Net income attributable to Assured Guaranty Ltd. was $157 million, or $2.60 per share,(1) for third quarter 2023.

•Shareholders’ equity attributable to Assured Guaranty Ltd. per share was $90.84 as of September 30, 2023.

•Gross written premiums (GWP) were $40 million for third quarter 2023.

•Non-GAAP Highlights:

•Adjusted operating income(2) was $206 million, or $3.42 per share, for third quarter 2023.

•Adjusted operating shareholders’ equity(2) per share and adjusted book value (ABV)(2) per share were $99.18 and $148.03, respectively, as of September 30, 2023.

•Present value of new business production (PVP)(2) was $46 million for third quarter 2023.

•Sound Point and AHP Transaction Gain

•Gain on Sound Point and AHP transactions(3) of $241 million (pre-tax, net of transaction expenses).

•Return of Capital to Shareholders:

•Third quarter 2023 capital returned to shareholders was $80 million including share repurchases of $64 million and dividends of $16 million.

•Share repurchase authorization was increased by $300 million on November 1, 2023.

Hamilton, Bermuda, November 7, 2023 -- Assured Guaranty Ltd. (NYSE: AGO) (AGL and, together with its subsidiaries, Assured Guaranty or the Company) announced today its financial results for the three-month period ended September 30, 2023 (third quarter 2023).

“Assured Guaranty achieved important strategic objectives in asset management, new business production and capital management during the third quarter and first nine months of 2023,” said Dominic Frederico, President and CEO. “In July, we completed our transactions with Sound Point Capital Management and AHP, which resulted in a third quarter $241 million pre-tax gain, net of expenses. We now continue our asset management participation through our 30% ownership interest in Sound Point, furthering our strategy of generating fee-based earnings to complement our risk-based financial guaranty earnings. The earnings from that stake will be reflected for the first time in our fourth quarter reporting. We also expect enhanced returns on our investment portfolio based on a broader range of alternative investment options with Sound Point.

“In new business production year-to-date, we increased our municipal bond insurance market share, with a 62% share of insured par sold in the primary market. Additionally, increased production in global structured finance further validates our diversified underwriting strategy of U.S. public finance, international infrastructure, and global structured finance.

“In capital management during the third quarter, we refinanced $330 million of senior debt that was due to mature next year. We also picked up the pace of our share repurchases, buying $64 million of shares in the quarter, and in November, our board of directors increased our repurchase authorization by $300 million.”

(1) Per share information for net income and adjusted operating income is based on diluted shares.

(2) Please see “Explanation of Non-GAAP Financial Measures.”

(3) Sound Point Capital Management, LP (Sound Point) and Assured Healthcare Partners LLC (AHP).

Summary Financial Results

(in millions, except per share amounts)


	Quarter Ended
	September 30,
	2023		2022

GAAP (1)
Net income (loss) attributable to AGL	$	157	$	11
Net income (loss) attributable to AGL per diluted share	$	2.60	$	0.18
Weighted average diluted shares	59.6		62.9

Non-GAAP
Adjusted operating income (loss) (2)	$	206	$	133
Adjusted operating income per diluted share (2)	$	3.42	$	2.11
Weighted average diluted shares	59.6		62.9

Gain (loss) related to FG VIE and CIV consolidation (3) included in adjusted operating income	$	(8)	$	7
Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating income per share	$	(0.13)	$	0.12

Components of total adjusted operating income (loss)
Insurance segment	$	59	$	159
Asset Management segment	—		(3)
Corporate division	155		(30)
Other	(8)		7
Adjusted operating income (loss)	$	206	$	133


	As of
	September 30, 2023				December 31, 2022
	Amount		Per Share		Amount		Per Share

Shareholders’ equity attributable to AGL	$	5,252	$	90.84	$	5,064	$	85.80
Adjusted operating shareholders’ equity (3)	5,735		99.18		5,543		93.92
ABV (3)	8,559		148.03		8,379		141.98

Common Shares Outstanding	57.8				59.0

________________________________________________

(1) Generally accepted accounting principles in the United States of America.

(2) Please see “Explanation of Non-GAAP Financial Measures” at the end of this press release.

(3) The effect of consolidating financial guaranty variable interest entities (FG VIEs) and consolidated investment vehicles (CIVs).

GAAP net income increased primarily due to the gain associated with the Sound Point and AHP transactions, partially offset by higher loss and loss adjustment expense (LAE). On a per share basis, shareholders’ equity attributable to AGL increased to $90.84 as of September 30, 2023 from $85.80 as of December 31, 2022, primarily due to net income and share repurchases, partially offset by dividends and unrealized losses in the investment portfolio. On a per share basis, ABV increased to $148.03 as of September 30, 2023 from $141.98 as of December 31, 2022, primarily due to adjusted operating income, new business production and share repurchases, partially offset by loss development and dividends.

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 non-U.S. public finance (including infrastructure) and structured finance markets.

Insurance Segment Results

(in millions)


	Quarter Ended
	September 30,
	2023		2022
Segment revenues
Net earned premiums and credit derivative revenues	$	99	$	92
Net investment income	101		69
Fair value gains (losses) on trading securities	4		(8)
Foreign exchange gains (losses) on remeasurement and other income (loss)	4		(6)
Total segment revenues	208		147

Segment expenses
Loss expense (benefit)	101		(75)

Amortization of deferred acquisition costs (DAC)	4		4
Employee compensation and benefit expenses	37		34
Other operating expenses	23		21
Total segment expenses	165		(16)
Equity in earnings (losses) of investees	25		(11)
Segment adjusted operating income (loss) before income taxes	68		152
Less: Provision (benefit) for income taxes	9		(7)
Segment adjusted operating income (loss)	$	59	$	159

Insurance segment adjusted operating income decreased to $59 million in third quarter 2023, from $159 million in the three-month period ended September 30, 2022 (third quarter 2022). The decrease was primarily due to higher loss expense in third quarter 2023, partially offset by higher income from the investment portfolio in third quarter 2023. The components of premiums, losses and income from the investment portfolio are presented below.

Insurance Segment Net Earned Premiums and Credit Derivative Revenues

Insurance Segment

Net Earned Premiums and Credit Derivative Revenues

(in millions)


	Quarter Ended
	September 30,
	2023		2022
Scheduled net earned premiums and credit derivative revenues	$	84	$	80
Accelerations	15		12
Total	$	99	$	92

Insurance Segment Loss Expense (Benefit) and the Roll Forward of Expected Losses

Loss expense is a function of net economic loss development (benefit), as well as the amortization of deferred premium revenue.

Insurance Segment

Loss Expense (Benefit)

(in millions)


	Quarter Ended
	September 30,
	2023		2022
Public finance	$	138	$	4
U.S. residential mortgage-backed securities (RMBS)	(38)		(82)
Other structured finance	1		3
Total	$	101	$	(75)

The table below presents the roll forward of net expected losses for third quarter 2023.

Roll Forward of Net Expected Loss to be Paid (Recovered) (1)

(in millions)


	Net Expected Loss to be Paid (Recovered) as of June 30, 2023		Net Economic Loss Development (Benefit)		Net (Paid) Recovered Losses		Net Expected Loss to be Paid (Recovered) as of September 30, 2023

Public finance	$	443	$	134	$	(169)	$	408
U.S. RMBS	73		(48)		13		38
Other structured finance	44		1		(1)		44
Total	$	560	$	87	$	(157)	$	490

________________________________________________

(1) Net economic loss development (benefit) represents the change in net expected loss to be paid (recovered) attributable to the effects of changes in the economic performance of insured transactions, 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. Net 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, regardless of the accounting model prescribed under GAAP and without consideration of deferred premium revenue.

The net economic loss development in third quarter 2023 of $87 million was mainly attributable to insured exposure to Puerto Rico Electric Power Authority, partially offset by a benefit in RMBS which was primarily due to higher recovery assumptions. The effect of changes in risk-free rates used to discount expected losses was a benefit of $12 million.

Insurance Segment Income from Investment Portfolio

Insurance Segment

Income from Investment Portfolio

(in millions)


	Quarter Ended
	September 30,
	2023		2022
Net investment income	$	101	$	69
Fair value gains (losses) on trading securities (1)	4		(8)
Equity in earnings (losses) of investees (2)	25		(11)
Total	$	130	$	50

________________________________________________

(1) Represents contingent value instruments issued by Puerto Rico that are classified as trading securities with changes in fair value reported in the condensed consolidated statements of operations.

(2) Equity in earnings (losses) of investees relates to funds managed by Sound Point and AHP, and certain other managers, as well as, prior to July 1, 2023, AssuredIM. Investments in funds are generally reported on a one-quarter lag. The Company’s share of Sound Point earnings will be reported for the first time in the fourth quarter of 2023.

Net investment income, which represents interest income on fixed-maturity debt securities and short-term investments, was higher in third quarter 2023 compared with third quarter 2022 primarily due to higher short-term interest rates and average balances, and accelerated accretion on certain loss mitigation securities.

As of September 30, 2023, the Insurance segment had $620 million in alternative investments, which had a blended return of approximately 12% for the nine months ended September 30, 2023.

In the Insurance segment, alternative investments consist primarily of funds managed by Sound Point, AHP and other managers, and are generally recorded at net asset value (NAV), with changes in NAV reported in “equity in earnings (losses) of investees.” Equity in earnings of investees is more volatile than net investment income on fixed-maturity securities and short-term investments. To the extent that the amounts invested in alternative fund investments increase and available-for-sale fixed-maturity securities decrease, net investment income may decline and mark-to-market volatility related to equity in earnings of investees may increase.

Insurance Segment New Business Production

Insurance Segment

New Business Production

(in millions)


	Quarter Ended September 30,
	2023						2022
	GWP		PVP (1)		Gross Par Written (1)		GWP		PVP (1)		Gross Par Written (1)

Public finance - U.S.	$	29	$	30	$	5,098	$	54	$	57	$	3,622
Public finance - non-U.S.	(5)		2		61		44		37		194
Structured finance - U.S.	15		12		267		(2)		1		30
Structured finance - non-U.S.	1		2		522		(2)		—		—
Total	$	40	$	46	$	5,948	$	94	$	95	$	3,846

________________________________________________

(1) PVP, a non-GAAP financial measure, measures the value of the Insurance segment’s new business production for all contracts regardless of form or GAAP accounting model. See “Explanation of Non-GAAP Financial Measures” at the end of this press release. PVP and Gross Par Written in the table above are based on “close date,” when the transaction settles. GWP may be negative due to changes in debt service assumptions.

U.S. public finance GWP and PVP in third quarter 2023 were lower than the comparable GWP and PVP in third quarter 2022, due to a large transportation revenue transaction in third quarter 2022 that did not recur in third quarter 2023, and higher credit quality new business that carry lower premium rates in third quarter 2023, compared with third quarter 2022. The Company’s direct par written represented 61% of the total U.S. municipal market insured issuance in third quarter 2023, compared with 56% in third quarter 2022, and the Company’s penetration of all municipal issuance was 4.6% in third quarter 2023 compared with 3.2% in third quarter 2022.

Structured finance GWP and PVP in third quarter 2023 is primarily attributable to an insurance securitization.

Asset Management Segment

Upon the effective date of the Sound Point and AHP transactions in July 2023, the Company continues to participate in the asset management business through its ownership interest in Sound Point. The Company did not report any asset management income in third quarter 2023 because Sound Point’s results are reported on a one quarter lag. The Company will report its first quarter of earnings from its interest in Sound Point in the fourth quarter of 2023. In third quarter 2022, asset management adjusted operating loss was $3 million.

Corporate Division

Corporate Division Results

(in millions)


	Quarter Ended
	September 30,
	2023		2022
Revenues
Gain on sale of asset management subsidiaries	$	255	$	—
Other	4		1
Total revenues	259		1
Expenses
Interest expense	26		22
Employee compensation and benefit expenses	10		7
Other operating expenses	21		5
Total expenses	57		34
Equity in earnings (losses) of investees	—		—
Adjusted operating income (loss) before income taxes	202		(33)
Less: Provision (benefit) for income taxes	47		(3)
Adjusted operating income (loss)	$	155	$	(30)

Corporate division adjusted operating income in third quarter 2023 includes a pre-tax gain resulting from the Sound Point and AHP transactions in third quarter 2023 of $241 million, which is net of $14 million in transaction costs (primarily advisory and legal expenses reported in other operating expenses). The increase in interest expense in third quarter 2023 compared with third quarter 2022 is primarily due to interest expense on newly issued 6.125% Senior Notes in August 2023, whose proceeds were used to redeem 5% Senior Notes at the end of September 2023.

Other (Effect of FG VIE and CIV consolidation)

The effect of consolidating FG VIEs and CIVs was a loss of $8 million in third quarter 2023 compared with a gain of $7 million in third quarter 2022. Third quarter 2023 includes a $16 million loss on the deconsolidation of all the collateralized loan obligations (CLOs), CLO warehouses and an AHP fund. Upon closing of the Sound Point and AHP transactions, the Company was no longer the primary beneficiary of these vehicles under GAAP. The net effect of FG VIE consolidation is primarily a function of changes in fair value.

Reconciliation to GAAP

The following table presents a reconciliation of net income (loss) attributable to AGL to adjusted operating income (loss).

Reconciliation of Net Income (Loss) Attributable to AGL to

Adjusted Operating Income (Loss)

(in millions, except per share amounts)


	Quarter Ended
	September 30,
	2023				2022
	Total		Per Diluted Share		Total		Per Diluted Share
Net income (loss) attributable to AGL	$	157	$	2.60	$	11	$	0.18
Less pre-tax adjustments:
Realized gains (losses) on investments	(9)		(0.16)		(14)		(0.22)
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	6		0.12		(49)		(0.78)
Fair value gains (losses) on committed capital securities (CCS)	(20)		(0.33)		1		0.02
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	(37)		(0.61)		(78)		(1.25)
Total pre-tax adjustments	(60)		(0.98)		(140)		(2.23)
Less tax effect on pre-tax adjustments	11		0.16		18		0.30
Adjusted operating income (loss)	$	206	$	3.42	$	133	$	2.11

Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating income	$	(8)	$	(0.13)	$	7	$	0.12

Non-credit impairment-related unrealized fair value gains on credit derivatives in third quarter 2023 were primarily generated by lower collateral asset spreads. Non-credit impairment-related unrealized fair value losses on credit derivatives in third quarter 2022 were generated primarily as a result of wider asset spreads and a tightening of Assured Guaranty Corp. spreads. Except for credit impairment, 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 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. Fair value losses on CCS in third quarter 2023 were primarily due to a tightening in market spreads.

Foreign exchange gains (losses) in both periods primarily relate to remeasurement of premiums receivable and are mainly due to changes in the exchange rate relative to the U.S. dollar of the pound sterling and, to a lesser extent, the euro.

Common Share Repurchases

On November 1, 2023, the Board of Directors (the Board) authorized the repurchase of an additional $300 million of its common shares. From the beginning of the repurchase program in 2013 through November 7, 2023, the Company repurchased a total of 143 million common shares at an average price of $33.49, representing approximately 74% of the total shares outstanding. As of November 7, 2023, the Company was authorized to purchase $372 million of its common shares. These repurchases can be made from time to time in the open market or in privately negotiated transactions.

The following table summarizes share repurchase activity in 2023.

Summary of Share Repurchases

(in millions, except per share amounts)


	Amount		Number of Shares	Average Price Per Share

2023 (January 1 - March 31)	$	2	0.04	$	62.23
2023 (April 1 - June 30)	24		0.45	53.08
2023 (July 1 - September 30)	64		1.07	59.67
2023 (October 1 - November 7)	42		0.68	61.17
Total 2023	$	132	2.24	58.83

The timing, form and amount of the share repurchases under the program are at the discretion of management and will depend on a variety of factors, including funds available at the parent company, other potential uses for such funds, market conditions, the Company's capital position, legal requirements and other factors. The repurchase program may be modified, extended or terminated by the Board of Directors at any time. It does not have an expiration date.

Financial Statements

Condensed Consolidated Statements of Operations (unaudited)

(in millions)


	Quarter Ended
	September 30,
	2023		2022
Revenues
Net earned premiums	$	95	$	89
Net investment income	100		67
Asset management fees	—		16
Net realized investment gains (losses)	(9)		(14)
Fair value gains (losses) on credit derivatives	9		(48)
Fair value gains (losses) on CCS	(20)		1
Fair value gains (losses) on FG VIEs	6		11
Fair value gains (losses) on CIVs	(4)		8
Foreign exchange gain (loss) on remeasurement	(39)		(80)
Fair value gains (losses) on trading securities	4		(8)
Gain on sale of asset management subsidiaries	255		—
Other income (loss)	6		(1)
Total revenues	403		41
Expenses
Loss and LAE (benefit)	100		(75)
Interest expense	24		20
Amortization of DAC	4		4
Employee compensation and benefit expenses	47		57
Other operating expenses	44		37
Total expenses	219		43
Income (loss) before income taxes and equity in earnings (losses) of investees	184		(2)
Equity in earnings (losses) of investees	18		(20)
Income (loss) before income taxes	202		(22)
Less: Provision (benefit) for income taxes	43		(27)
Net income (loss)	159		5
Less: Noncontrolling interests	2		(6)
Net income (loss) attributable to AGL	$	157	$	11

Condensed Consolidated Balance Sheets (unaudited)

(in millions)


	As of
	September 30, 2023		December 31, 2022
Assets
Investments:
Fixed-maturity securities available-for-sale, at fair value	$	6,267	$	7,119
Fixed-maturity securities, trading, at fair value	350		303
Short-term investments, at fair value	1,426		810
Other invested assets	765		133
Total investments	8,808		8,365
Cash	108		107
Premiums receivable, net of commissions payable	1,376		1,298
DAC	158		147
Salvage and subrogation recoverable	282		257
FG VIEs’ assets	327		416
Assets of CIVs	330		5,493
Goodwill and other intangible assets	6		163
Other assets	549		597
Total assets	$	11,944	$	16,843

Liabilities
Unearned premium reserve	$	3,600	$	3,620
Loss and LAE reserve	361		296
Long-term debt	1,693		1,675
Credit derivative liabilities, at fair value	50		163
FG VIEs’ liabilities, at fair value	542		715
Liabilities of CIVs	4		4,625
Other liabilities	393		457
Total liabilities	6,643		11,551

Shareholders’ equity
Common shares	1		1
Retained earnings	5,815		5,577
Accumulated other comprehensive income (loss)	(565)		(515)
Deferred equity compensation	1		1
Total shareholders’ equity attributable to AGL	5,252		5,064
Nonredeemable noncontrolling interests	49		228
Total shareholders’ equity	5,301		5,292
Total liabilities and shareholders’ equity	$	11,944	$	16,843

Explanation of Non-GAAP Financial Measures

The Company discloses both: (i) financial measures determined in accordance with GAAP; and (ii) financial measures not determined in accordance with GAAP (non-GAAP financial measures). Financial measures identified as non-GAAP should not be considered substitutes for GAAP financial measures. The primary limitation of non-GAAP financial measures is the potential lack of comparability to financial measures of other companies, whose definitions of non-GAAP financial measures may differ from those of the Company.

The Company believes its presentation of non-GAAP financial measures provides information that is necessary for analysts to calculate their estimates of Assured Guaranty’s financial results in their research reports on Assured Guaranty and for investors, analysts and the financial news media to evaluate Assured Guaranty’s financial results.

GAAP requires the Company to consolidate entities where it is deemed to be the primary beneficiary which include:

•FG VIEs, which the Company does not own and where its exposure is limited to its obligation under the financial guaranty insurance contract, and

•CIVs in which certain subsidiaries invest.

The Company discloses the effect of FG VIE and CIV consolidation that is embedded in each non-GAAP financial measure, as applicable. The Company believes this information may also be useful to analysts and investors evaluating Assured Guaranty’s financial results. In the case of both the consolidated FG VIEs and the CIVs, the economic effect on the Company of each of the consolidated FG VIEs and CIVs is reflected primarily in the results of the Insurance segment.

Management of the Company and AGL’s Board of Directors use non-GAAP financial measures further adjusted to remove the effect of FG VIE and CIV consolidation (which the Company refers to as its core financial measures), as well as GAAP financial measures and other factors, to evaluate the Company’s results of operations, financial condition and progress towards long-term goals. The Company uses core financial measures in its decision-making process for and in its calculation of certain components of management compensation. The financial measures that the Company uses to help determine compensation are: (1) adjusted operating income, further adjusted to remove the effect of FG VIE and CIV consolidation; (2) adjusted operating shareholders’ equity, further adjusted to remove the effect of FG VIE and CIV consolidation; (3) adjusted book value per share, further adjusted to remove the effect of FG VIE and CIV consolidation; and (4) PVP.

Management believes that many investors, analysts and financial news reporters use adjusted operating shareholders’ equity and/or adjusted book value, each further adjusted to remove the effect of FG VIE and CIV consolidation, as the principal financial measures for valuing AGL’s current share price or projected share price and also as the basis of their decision to recommend, buy or sell AGL’s common shares. Management also believes that many of the Company’s fixed income investors also use adjusted operating shareholders’ equity, further adjusted to remove the effect of FG VIE and CIV consolidation, to evaluate the Company’s capital adequacy.

Adjusted operating income, further adjusted for the effect of FG VIE and CIV consolidation, enables investors and analysts to evaluate the Company’s financial results in comparison with the consensus analyst estimates distributed publicly by financial databases.

The following paragraphs define each non-GAAP financial measure disclosed by the Company and describe why it is useful. To the extent there is a directly comparable GAAP financial measure, a reconciliation of the non-GAAP financial measure and the most directly comparable GAAP financial measure is presented below.

Adjusted Operating Income

Management believes that adjusted operating income is a useful measure because it clarifies the understanding of the operating results of the Company. Adjusted operating income is defined as net income (loss) attributable to AGL, as reported under GAAP, adjusted for the following:

1) Elimination of realized gains (losses) on the Company’s investments, except for gains and losses on securities classified as trading. The timing of realized gains and losses, which depends largely on market credit cycles, can vary considerably across periods. The timing of sales is largely subject to the Company’s discretion and influenced by market opportunities, as well as the Company’s tax and capital profile.

2) Elimination of non-credit impairment-related unrealized fair value gains (losses) on credit derivatives that are recognized in net income, which is the amount of unrealized fair value gains (losses) in excess of the present value of the expected estimated economic credit losses, and non-economic payments. Such fair value adjustments are heavily affected by, and in part fluctuate with, changes in market interest rates, the Company’s credit spreads, and other market factors and are not expected to result in an economic gain or loss.

3) Elimination of fair value gains (losses) on the Company’s CCS that are recognized in net income. Such amounts are affected by changes in market interest rates, the Company’s credit spreads, price indications on the Company’s publicly traded debt and other market factors and are not expected to result in an economic gain or loss.

4) Elimination of foreign exchange gains (losses) on remeasurement of net premium receivables and loss and LAE reserves that are recognized in net income. Long-dated receivables and loss and LAE reserves represent the present value of future contractual or expected cash flows. Therefore, the current period’s foreign exchange remeasurement gains (losses) are not necessarily indicative of the total foreign exchange gains (losses) that the Company will ultimately recognize.

5) Elimination of the tax effects related to the above adjustments, which are determined by applying the statutory tax rate in each of the jurisdictions that generate these adjustments.

See “Reconciliation to GAAP” above for a reconciliation of net income (loss) attributable to AGL to adjusted operating income (loss).

Adjusted Operating Shareholders’ Equity and Adjusted Book Value

Management believes that adjusted operating shareholders’ equity is a useful measure because it excludes the fair value adjustments on investments, credit derivatives and CCS that are not expected to result in economic gain or loss.

Adjusted operating shareholders’ equity is defined as shareholders’ equity attributable to AGL, as reported under GAAP, adjusted for the following:

1) Elimination of non-credit impairment-related unrealized fair value gains (losses) on credit derivatives, which is the amount of unrealized fair value gains (losses) in excess of the present value of the expected estimated economic credit losses, and non-economic payments. Such fair value adjustments are heavily affected by, and in part fluctuate with, changes in market interest rates, credit spreads and other market factors and are not expected to result in an economic gain or loss.

2) Elimination of fair value gains (losses) on the Company’s CCS. Such amounts are affected by changes in market interest rates, the Company’s credit spreads, price indications on the Company’s publicly traded debt, and other market factors and are not expected to result in an economic gain or loss.

3) Elimination of unrealized gains (losses) on the Company’s investments that are recorded as a component of accumulated other comprehensive income (AOCI). The AOCI component of the fair value adjustment on the investment portfolio is not deemed economic because the Company generally holds these investments to maturity and therefore would not recognize an economic gain or loss.

4) Elimination of the tax effects related to the above adjustments, which are determined by applying the statutory tax rate in each of the jurisdictions that generate these adjustments.

Management uses adjusted book value, further adjusted to remove the effect of FG VIE and CIV consolidation, to measure the intrinsic value of the Company, excluding franchise value. Adjusted book value per share, further adjusted for FG VIE and CIV consolidation (core adjusted book value), is one of the key financial measures used in determining the amount of certain long-term compensation elements to management and employees and used by rating agencies and investors. Management believes that adjusted book value is a useful measure because it enables an evaluation of the Company’s in-force premiums and revenues net of expected losses. Adjusted book value is adjusted operating shareholders’ equity, as defined above, further adjusted for the following:

1) Elimination of deferred acquisition costs, net. These amounts represent net deferred expenses that have already been paid or accrued and will be expensed in future accounting periods.

2) Addition of the net present value of estimated net future revenue. See below.

3) Addition of the deferred premium revenue on financial guaranty contracts in excess of expected loss to be expensed, net of reinsurance. This amount represents the present value of the expected future net earned premiums, net of the present value of expected losses to be expensed, which are not reflected in GAAP equity.

4) Elimination of the tax effects related to the above adjustments, which are determined by applying the statutory tax rate in each of the jurisdictions that generate these adjustments.

The unearned premiums and revenues included in adjusted book value will be earned in future periods, but actual earnings may differ materially from the estimated amounts used in determining current adjusted book value due to changes in foreign exchange rates, prepayment speeds, terminations, credit defaults and other factors.

Reconciliation of Shareholders’ Equity Attributable to AGL to

Adjusted Operating Shareholders’ Equity and ABV

(in millions, except per share amounts)


	As of
	September 30, 2023				December 31, 2022
	Total		Per Share		Total		Per Share

Shareholders’ equity attributable to AGL	$	5,252	$	90.84	$	5,064	$	85.80
Less pre-tax adjustments:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	38		0.66		(71)		(1.21)
Fair value gains (losses) on CCS	12		0.21		47		0.80
Unrealized gain (loss) on investment portfolio	(609)		(10.52)		(523)		(8.86)
Less taxes	76		1.31		68		1.15
Adjusted operating shareholders’ equity	5,735		99.18		5,543		93.92
Pre-tax adjustments:
Less: DAC	158		2.73		147		2.48
Plus: Net present value of estimated net future revenue	190		3.28		157		2.66
Plus: Net deferred premium revenue on financial guaranty contracts in excess of expected loss to be expensed	3,404		58.88		3,428		58.10
Plus taxes	(612)		(10.58)		(602)		(10.22)
ABV	$	8,559	$	148.03	$	8,379	$	141.98

Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders’ equity	$	4	$	0.06	$	17	$	0.28
ABV	(2)		(0.03)		11		0.19

Shares outstanding at the end of the period	57.8				59.0

Net Present Value of Estimated Net Future Revenue

Management believes that this amount is a useful measure because it enables an evaluation of the present value of estimated net future revenue for non-financial guaranty insurance contracts. This amount represents the net present value of estimated future revenue from these contracts (other than credit derivatives with net expected losses), net of reinsurance, ceding commissions and premium taxes.

Future installment premiums are discounted at the approximate average pre-tax book yield of fixed-maturity securities purchased during the prior calendar year, other than Loss Mitigation Securities. The discount rate is recalculated annually and updated as necessary. Net present value of estimated future revenue for an obligation may change from period to period due to a change in the discount rate or due to a change in estimated net future revenue for the obligation, which may change due to changes in foreign exchange rates, prepayment speeds, terminations, credit defaults or other factors that affect par outstanding or the ultimate maturity of an obligation. There is no corresponding GAAP financial measure.

PVP or Present Value of New Business Production

Management believes that PVP is a useful measure because it enables the evaluation of the value of new business production in the Insurance segment by taking into account the value of estimated future installment premiums on all new contracts underwritten in a reporting period as well as additional installment premiums and fees on existing contracts (which may result from supplements or fees or from the issuer not calling an insured obligation the Company projected would be called), regardless of form, which management believes GAAP gross written

premiums and changes in fair value of credit derivatives do not adequately measure. PVP in respect of contracts written in a specified period is defined as gross upfront and installment premiums received and the present value of gross estimated future installment premiums.

Future installment premiums are discounted at the approximate average pre-tax book yield of fixed-maturity securities purchased during the prior calendar year, other than certain fixed-maturity securities such as Loss Mitigation Securities. The discount rate is recalculated annually and updated as necessary. Under GAAP, financial guaranty installment premiums are discounted at a risk-free rate. Additionally, under GAAP, management records future installment premiums on financial guaranty insurance contracts covering non-homogeneous pools of assets based on the contractual term of the transaction, whereas for PVP purposes, management records an estimate of the future installment premiums the Company expects to receive, which may be based upon a shorter period of time than the contractual term of the transaction.

Actual installment premiums may differ from those estimated in the Company’s PVP calculation due to factors including, but not limited to, changes in foreign exchange rates, prepayment speeds, terminations, credit defaults or other factors that affect par outstanding or the ultimate maturity of an obligation.

Reconciliation of GWP to PVP

(in millions)


	Quarter Ended
	September 30, 2023
	Public Finance				Structured Finance
	U.S.		Non - U.S.		U.S.		Non - U.S.		Total
GWP	$	29	$	(5)	$	15	$	1	$	40
Less: Installment GWP and other GAAP adjustments (1)	6		(5)		15		1		17
Upfront GWP	23		—		—		—		23
Plus: Installment premiums and other (2)	7		2		12		2		23
PVP	$	30	$	2	$	12	$	2	$	46


	Quarter Ended
	September 30, 2022
	Public Finance				Structured Finance
	U.S.		Non - U.S.		U.S.		Non - U.S.		Total
GWP	$	54	$	44	$	(2)	$	(2)	$	94
Less: Installment GWP and other GAAP adjustments (1)	—		44		(3)		(2)		39
Upfront GWP	54		—		1		—		55
Plus: Installment premiums and other (2)	3		37		—		—		40
PVP	$	57	$	37	$	1	$	—	$	95

________________________________________________

(1) Includes the present value of new business on installment policies discounted at the prescribed GAAP discount rates, GWP adjustments on existing installment policies due to changes in assumptions and other GAAP adjustments.

Conference Call and Webcast Information

The Company will host a conference call for investors at 7:00 a.m. Eastern Time (8:00 a.m. Atlantic Time) on Wednesday, November 8, 2023. The conference call will be available via live webcast in the Investor Information section of the Company’s website at AssuredGuaranty.com or by dialing 1-833-470-1428 (in the U.S.) or 1-404-975-4839 (International); the access code is 749082.

A replay of the conference call will be available approximately three hours after the call ends. The webcast replay will be available for 90 days in the Investor Information section of the Company’s website at AssuredGuaranty.com and the telephone replay will be available for 30 days by dialing 1-866-813-9403 (in the U.S.) or 1-929-458-6194 (International); the access code is 947645.

Please refer to Assured Guaranty’s September 30, 2023 Financial Supplement, which is posted on the Company's website at assuredguaranty.com/agldata, for more information on the Company’s financial guaranty portfolio, investment portfolio and other items. In addition, the Company is posting at assuredguaranty.com/presentations its “September 30, 2023 Equity Investor Presentation”.

The Company plans to post by early next week on its website at assuredguaranty.com/agldata the following:

•“Public Finance Transactions in 3Q 2023,” which lists the U.S. public finance new issues insured by the Company in third quarter 2023, and

•“Structured Finance Transactions at September 30, 2023,” which lists the Company’s structured finance exposure as of that date.

In addition, the Company will post on its website, when available, the Company’s separate-company subsidiary financial supplements and its “Fixed Income Presentation” for the current quarter. Those documents will be furnished to the Securities and Exchange Commission in a Current Report on Form 8-K.

# # #

Assured Guaranty Ltd. is a publicly traded (NYSE: AGO), Bermuda-based holding company. Through its subsidiaries, Assured Guaranty provides credit enhancement products to the U.S. and international public finance, infrastructure and structured finance markets. Assured Guaranty also participates in the asset management business through its ownership interest in Sound Point. More information on Assured Guaranty Ltd. and its subsidiaries can be found at AssuredGuaranty.com.

Cautionary Statement Regarding Forward-Looking Statements

Any forward-looking statements made in this press release reflect the Company’s current views with respect to future events and financial performance and are made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such statements involve risks and uncertainties that may cause actual results to differ materially from those set forth in these statements. Among factors that could cause actual results to differ adversely are: (1) significant changes in inflation, interest rates, the world’s credit markets or segments thereof, credit spreads, foreign exchange rates or general economic conditions, including the possibility of a recession or stagflation; (2) geopolitical risk, including Russia’s invasion of Ukraine and the resulting economic sanctions, volatility in energy prices, potential for increased cyberattacks, and risk of intentional or accidental escalation between The North Atlantic Treaty Organization (NATO) and Russia, conflict in the Middle East, confrontation over Iran’s nuclear program, and United States (U.S.) – China strategic competition and the pursuit of technological independence; (3) the possibility of a U.S. government shutdown, payment defaults on the debt of the U.S. government or instruments issued, insured or guaranteed by related institutions, agencies or instrumentalities, and downgrades to their credit ratings; (4) public health crises, including pandemics and endemics, and the governmental and private actions taken in response to such events; (5) developments in the world’s financial and capital markets, including stresses in the financial condition of banking institutions in the U.S., that adversely affect repayment rates related to commercial real estate, municipalities and other insured obligors, Assured Guaranty’s insurance loss or recovery experience, or investments of Assured Guaranty; (6) reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty’s insurance; (7) the possibility that budget or pension shortfalls or other factors will result in credit losses or impairments on obligations of state, territorial and local governments and their related authorities and public corporations that Assured Guaranty insures or reinsures; (8) insured losses, including losses with respect to related legal proceedings, in excess of those expected by Assured Guaranty or the failure of Assured Guaranty to realize loss recoveries that are assumed in its expected loss estimates for insurance exposures, including as a result of the final resolution of Assured Guaranty’s remaining Puerto Rico exposures or the amounts recovered on securities received in connection with the resolution of Puerto Rico exposures already resolved; (9) the impact of the Company satisfying its obligations under insurance policies with respect to legacy insured Puerto Rico bonds; (10) increased competition, including from new entrants into the financial guaranty industry, nonpayment insurance and other forms of capital saving or risk syndication available to banks and insurers; (11) the possibility that investments made by Assured Guaranty for its investment portfolio, including alternative investments and investments it manages, do not result in the benefits anticipated or subject Assured Guaranty to reduced liquidity at a time it requires liquidity, or to other negative or unanticipated consequences; (12) the impacts of the completion of Assured Guaranty’s transactions with Sound Point Capital Management, LP (Sound Point) and/or Assured Healthcare Partners LLC (AHP) on Assured Guaranty and its relationships with its shareholders, regulators, rating agencies, employees and the obligors it insures and on the asset management business contributed to Sound Point and on the business of AHP and their relationships with their respective clients and employees; (13) the possibility that strategic transactions made by Assured Guaranty, including the consummation of the transactions with Sound Point and/or AHP, do not result in the benefits anticipated or subject Assured Guaranty to negative consequences; (14) the inability to control the business, management or policies of entities in which the Company holds a minority interest; (15) the impact of market volatility on the mark-to-market of Assured Guaranty’s assets and liabilities subject to mark-to-market, including certain of its investments, contracts accounted for as derivatives, and certain consolidated variable interest entities (VIEs); (16) rating agency action, including a ratings downgrade, a change in outlook, the placement of ratings on watch for downgrade, or a change in rating criteria, at any time, of AGL or any of its insurance subsidiaries, and/or of any securities AGL or any of its subsidiaries have issued, and/or of transactions that AGL’s insurance subsidiaries have insured; (17) the inability of Assured Guaranty to access external sources of capital on acceptable terms; (18) changes in applicable accounting policies or practices; (19) changes in applicable laws or regulations, including insurance, bankruptcy and tax laws, or other governmental actions; (20) difficulties with the execution of Assured Guaranty’s business strategy; (21) loss of key personnel; (22) the effects of mergers, acquisitions and divestitures; (23) natural or man-made catastrophes or pandemics; (24) the impact of climate change on Assured Guaranty’s business and regulatory actions taken related to such risk; (25) other risk factors identified in AGL’s filings with the U.S. Securities and Exchange Commission (SEC); (26) other risks and uncertainties that have not been identified at this time; and (27) management’s response to these factors. Readers are cautioned not to place

undue reliance on these forward-looking statements. These forward-looking statements are made as of November 7, 2023, and Assured Guaranty undertakes no obligation to update publicly or review any forward-looking statement, whether as a result of new information, future developments or otherwise, except as required by law.

Contact Information

Robert Tucker

Senior Managing Director, Investor Relations and Corporate Communications

212-339-0861

rtucker@agltd.com

Ashweeta Durani

Vice President, Media Relations

212-408-6042

adurani@agltd.com

Assured Guaranty Ltd.

September 30, 2023

Financial Supplement


Table of Contents		Page
	Selected Financial Highlights	1
	Condensed Consolidated Statements of Operations (unaudited)	3
	Condensed Consolidated Balance Sheets (unaudited)	4
	Selected Financial Highlights GAAP to Non-GAAP Reconciliations	5
	Income Components	8
	Fixed-Maturity Securities, Short-Term Investments and Cash	12
	Investment Portfolio, Cash and CIVs	13
	Income from Investment Portfolio and CIVs	15
	Insurance Segment:	17
	Insurance Segment Results	18
	Claims-Paying Resources	19
	New Business Production	20
	Gross Par Written	21
	New Business Production by Quarter	23
	Estimated Net Exposure Amortization and Estimated Future Financial Guaranty Net Premium and Credit Derivative Revenues	24
	Roll Forward of Net Expected Loss and Loss Adjustment Expenses to be Paid	25
	Loss Measures	26
	Net Expected Loss to be Expensed	27
	Financial Guaranty Profile	28
	Specialty Business	31
	Expected Amortization of Net Par Outstanding	32
	Exposure to Puerto Rico	33
	U.S. RMBS Profile	35
	Direct Pooled Corporate Obligations Profile	36
	Below Investment Grade Exposures	37
	Largest Exposures by Sector	40
	Asset Management Segment	43
	Asset Management Results	44
	Corporate Division	45
	Corporate Results	46
	Other	47
	Other Results	48
	Summary	50
	Summary of Financial and Statistical Data	51
	Summary of GAAP to Non-GAAP Reconciliations	52
	Glossary	54
	Non-GAAP Financial Measures	57

This financial supplement should be read in conjunction with documents filed by Assured Guaranty Ltd. (AGL and, together with its subsidiaries, Assured Guaranty or the Company) with the United States (U.S.) Securities and Exchange Commission (SEC), including its Annual Report on Form 10-K for the year ended December 31, 2022 and its Quarterly Reports on Form 10-Q for the quarterly period ended March 31, 2023, June 30, 2023 and September 30, 2023.

Cautionary Statement Regarding Forward Looking Statements

Any forward looking statements made in this supplement reflect the current views of Assured Guaranty with respect to future events and financial performance and are made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such statements involve risks and uncertainties that may cause actual results to differ materially from those set forth in these statements. Assured Guaranty's forward looking statements could be affected by many events. These events include (1) significant changes in inflation, interest rates, the world’s credit markets or segments thereof, credit spreads, foreign exchange rates or general economic conditions, including the possibility of a recession or stagflation; (2) geopolitical risk, including Russia’s invasion of Ukraine and the resulting economic sanctions, volatility in energy prices, potential for increased cyberattacks, and risk of intentional or accidental escalation between The North Atlantic Treaty Organization (NATO) and Russia, conflict in the Middle East, confrontation over Iran’s nuclear program, and United States (U.S.) – China strategic competition and the pursuit of technological independence; (3) the possibility of a U.S. government shutdown, payment defaults on the debt of the U.S. government or instruments issued, insured or guaranteed by related institutions, agencies or instrumentalities, and downgrades to their credit ratings; (4) public health crises, including pandemics and endemics, and the governmental and private actions taken in response to such events; (5) developments in the world’s financial and capital markets, including stresses in the financial condition of banking institutions in the U.S., that adversely affect repayment rates related to commercial real estate, municipalities and other insured obligors, Assured Guaranty’s insurance loss or recovery experience, or investments of Assured Guaranty; (6) reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty’s insurance; (7) the possibility that budget or pension shortfalls or other factors will result in credit losses or impairments on obligations of state, territorial and local governments and their related authorities and public corporations that Assured Guaranty insures or reinsures; (8) insured losses, including losses with respect to related legal proceedings, in excess of those expected by Assured Guaranty or the failure of Assured Guaranty to realize loss recoveries that are assumed in its expected loss estimates for insurance exposures, including as a result of the final resolution of Assured Guaranty’s remaining Puerto Rico exposures or the amounts recovered on securities received in connection with the resolution of Puerto Rico exposures already resolved; (9) the impact of the Company satisfying its obligations under insurance policies with respect to legacy insured Puerto Rico bonds;(10) increased competition, including from new entrants into the financial guaranty industry, nonpayment insurance and other forms of capital saving or risk syndication available to banks and insurers; (11) the possibility that investments made by Assured Guaranty for its investment portfolio, including alternative investments and investments it manages, do not result in the benefits anticipated or subject Assured Guaranty to reduced liquidity at a time it requires liquidity, or to other negative or unanticipated consequences; (12) the impacts of the completion of Assured Guaranty’s transactions with Sound Point Capital Management, LP (Sound Point) and/or Assured Healthcare Partners LLC (AHP) on Assured Guaranty and its relationships with its shareholders, regulators, rating agencies, employees and the obligors it insures and on the asset management business contributed to Sound Point and on the business of AHP and their relationships with their respective clients and employees; (13) the possibility that strategic transactions made by Assured Guaranty, including the consummation of the transactions with Sound Point and/or AHP, do not result in the benefits anticipated or subject Assured Guaranty to negative consequences; (14) the inability to control the business, management or policies of entities in which the Company holds a minority interest; (15) the impact of market volatility on the mark-to-market of Assured Guaranty’s assets and liabilities subject to mark-to-market, including certain of its investments, contracts accounted for as derivatives, and certain consolidated variable interest entities (VIEs); (16) rating agency action, including a ratings downgrade, a change in outlook, the placement of ratings on watch for downgrade, or a change in rating criteria, at any time, of AGL or any of its insurance subsidiaries, and/or of any securities AGL or any of its subsidiaries have issued, and/or of transactions that AGL’s insurance subsidiaries have insured; (17) the inability of Assured Guaranty to access external sources of capital on acceptable terms; (18) changes in applicable accounting policies or practices; (19) changes in applicable laws or regulations, including insurance, bankruptcy and tax laws, or other governmental actions; (20) difficulties with the execution of Assured Guaranty’s business strategy; (21) loss of key personnel; (22) the effects of mergers, acquisitions and divestitures; (23) natural or man-made catastrophes or pandemics; (24) the impact of climate change on Assured Guaranty’s business and regulatory actions taken related to such risk; (25) other risk factors identified in AGL’s filings with the U.S. Securities and Exchange Commission (SEC); (26) other risks and uncertainties that have not been identified at this time; and (27) management’s response to these factors. Assured Guaranty undertakes no obligation to update publicly or review any forward looking statement, whether as a result of new information, future developments or otherwise, except as required by law.

Assured Guaranty Ltd.

Selected Financial Highlights (1 of 2)

(dollars in millions, except per share amounts)


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2023			2022			2023			2022
GAAP (1) Highlights
Net income (loss) attributable to AGL	$	157		$	11		$	363		$	30
Net income (loss) attributable to AGL per diluted share	$	2.60		$	0.18		$	5.99		$	0.46
Weighted average shares outstanding
Basic shares outstanding	58.5			61.7			58.9			63.9
Diluted shares outstanding	59.6			62.9			60.0			65.1
Effective tax rate on net income	21.4		%	123.5		%	18.1		%	(12.1)		%
GAAP return on equity (ROE) (4)	11.9		%	0.9		%	9.4		%	0.7		%

Non-GAAP Highlights (2)
Adjusted operating income (loss)	$	206		$	133		$	310		$	253
Adjusted operating income (loss) per diluted share (2)	$	3.42		$	2.11		$	5.12		$	3.88
Weighted average diluted shares outstanding	59.6			62.9			60.0			65.1
Effective tax rate on adjusted operating income (3)	20.4		%	(7.3)		%	18.4		%	8.1		%
Adjusted operating ROE (2)(4)	14.5		%	9.5		%	7.3		%	5.8		%

Components of adjusted operating income (loss) (2)
Insurance segment	$	59		$	159		$	282		$	347
Asset Management segment	—			(3)			(3)			(3)
Corporate division	155			(30)			61			(98)
Other (6)	(8)			7			(30)			7
Adjusted operating income (loss)	$	206		$	133		$	310		$	253

Insurance Segment
Gross written premiums (GWP)	$	40		$	94		$	221		$	229
Present value of new business production (PVP) (2)	46			95			249			240
Gross par written	5,948			3,846			20,285			15,012

Effect of refundings and terminations on GAAP measures:
Net earned premiums, pre-tax	$	14		$	12		$	26		$	145
Fair value gains (losses) of credit derivatives, pre-tax	1			—			1			2
Net income effect	11			9			21			115
Net income per diluted share	0.19			0.15			0.36			1.77

Effect of refundings and terminations on non-GAAP measures:
Operating net earned premiums and credit derivative revenues(5), pre-tax	$	15		$	12		$	27		$	147
Adjusted operating income(5) effect	11			9			21			115
Adjusted operating income per diluted share (5)	0.19			0.15			0.36			1.77

1) Accounting principles generally accepted in the United States of America (GAAP).

2) Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

3) Represents the ratio of adjusted operating provision for income taxes to adjusted operating income before income taxes.

4) Quarterly ROE calculations represent annualized returns. See page 6 for additional information on calculation.

5) Condensed consolidated statement of operations items mentioned in this Financial Supplement that are described as operating (i.e. operating net earned premiums) are non-GAAP measures and represent components of adjusted operating income. Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

6) Represents the effect of consolidating financial guaranty variable interest entities (FG VIEs) and consolidated investment vehicles (CIVs) (FG VIE and CIV consolidation).

Assured Guaranty Ltd.

Selected Financial Highlights (2 of 2)

(dollars in millions, except per share amounts)


	As of
	September 30, 2023				December 31, 2022
	Amount		Per Share		Amount		Per Share
Shareholders’ equity attributable to AGL	$	5,252	$	90.84	$	5,064	$	85.80
Adjusted operating shareholders’ equity (1)	5,735		99.18		5,543		93.92
Adjusted book value (1)	8,559		148.03		8,379		141.98
Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders’ equity	4		0.06		17		0.28
Adjusted book value	(2)		(0.03)		11		0.19

Shares outstanding at the end of period	57.8				59.0

Exposure
Financial guaranty net debt service outstanding	$	383,976			$	369,951
Financial guaranty net par outstanding:
Investment grade	$	236,659			$	227,366
Below-investment-grade (BIG)	5,174				5,892
Total	$	241,833			$	233,258

Claims-paying resources (2)	$	10,674			$	10,818

AUM	$	—			$	17,464

1) Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

2) See page 19 for additional detail on claims-paying resources.

Assured Guaranty Ltd.

Condensed Consolidated Statements of Operations (unaudited)

(dollars in millions, except per share amounts)


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2023		2022		2023		2022
Revenues
Net earned premiums	$	95	$	89	$	261	$	385
Net investment income	100		67		270		191
Asset management fees	—		16		53		71
Net realized investment gains (losses)	(9)		(14)		(20)		(39)
Fair value gains (losses) on credit derivatives	9		(48)		115		(42)
Fair value gains (losses) on committed capital securities (CCS)	(20)		1		(35)		12
Fair value gains (losses) on FG VIEs	6		11		(2)		27
Fair value gains (losses) on CIVs	(4)		8		60		25
Foreign exchange gains (losses) on remeasurement	(39)		(80)		9		(181)
Fair value gains (losses) on trading securities	4		(8)		42		(30)
Gain on sale of asset management subsidiaries	255		—		255		—
Other income (loss)	6		(1)		38		12
Total revenues	403		41		1,046		431
Expenses
Loss and loss adjustment expense (LAE) (benefit)	100		(75)		159		(29)
Interest expense	24		20		67		60
Amortization of deferred acquisition costs (DAC)	4		4		10		11
Employee compensation and benefit expenses	47		57		199		189
Other operating expenses	44		37		170		120
Total expenses	219		43		605		351
Income (loss) before income taxes and equity in earnings (losses) of investees	184		(2)		441		80
Equity in earnings (losses) of investees	18		(20)		25		(31)
Income (loss) before income taxes	202		(22)		466		49
Less: Provision (benefit) for income taxes	43		(27)		84		(6)
Net income (loss)	159		5		382		55
Less: Noncontrolling interests	2		(6)		$	19	$	25
Net income (loss) attributable to AGL	$	157	$	11	$	363	$	30

Earnings per share:
Basic	$	2.65	$	0.18	$	6.11	$	0.47
Diluted	$	2.60	$	0.18	$	5.99	$	0.46

Assured Guaranty Ltd.

Condensed Consolidated Balance Sheets (unaudited)

(dollars in millions)


	As of
	September 30,		December 31,
	2023		2022
Assets
Investments:
Fixed-maturity securities available-for-sale, at fair value	$	6,267	$	7,119
Fixed-maturity securities, trading, at fair value	350		303
Short-term investments, at fair value	1,426		810
Other invested assets	765		133
Total investments	8,808		8,365
Cash	108		107
Premiums receivable, net of commissions payable	1,376		1,298
DAC	158		147
Salvage and subrogation recoverable	282		257
FG VIEs’ assets	327		416
Assets of CIVs	330		5,493
Goodwill and other intangible assets	6		163
Other assets	549		597
Total assets	$	11,944	$	16,843

Liabilities
Unearned premium reserve	$	3,600	$	3,620
Loss and LAE reserve	361		296
Long-term debt	1,693		1,675
Credit derivative liabilities, at fair value	50		163
FG VIEs’ liabilities, at fair value	542		715
Liabilities of CIVs	4		4,625
Other liabilities	393		457
Total liabilities	6,643		11,551

Shareholders’ equity
Common shares	1		1
Retained earnings	5,815		5,577
Accumulated other comprehensive income (loss)	(565)		(515)
Deferred equity compensation	1		1
Total shareholders’ equity attributable to AGL	5,252		5,064
Nonredeemable noncontrolling interests	49		228
Total shareholders’ equity	5,301		5,292
Total liabilities and shareholders’ equity	$	11,944	$	16,843

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (1 of 3)

(dollars in millions, except per share amounts)


Adjusted Operating Income Reconciliation	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2023		2022		2023		2022

Net income (loss) attributable to AGL	$	157	$	11	$	363	$	30
Less pre-tax adjustments:
Realized gains (losses) on investments	(9)		(14)		(20)		(39)
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	6		(49)		109		(46)
Fair value gains (losses) on CCS	(20)		1		(35)		12
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	(37)		(78)		9		(180)
Total pre-tax adjustments	(60)		(140)		63		(253)
Less tax effect on pre-tax adjustments	11		18		(10)		30
Adjusted operating income (loss)	$	206	$	133	$	310	$	253

Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating income	$	(8)	$	7	$	(30)	$	7

Components of adjusted operating income:
Segments:
Insurance	$	59	159		$	282	$	347
Asset Management	—		(3)		(3)		(3)
Total segments	59		156		279		344
Corporate division	155		(30)		61		(98)
Other	(8)		7		(30)		7
Adjusted operating income (loss)	$	206	$	133	$	310	$	253


Per diluted share:
Net income (loss) attributable to AGL	$	2.60	$	0.18	$	5.99	$	0.46
Less pre-tax adjustments:
Realized gains (losses) on investments	(0.16)		(0.22)		(0.33)		(0.59)
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	0.12		(0.78)		1.81		(0.71)
Fair value gains (losses) on CCS	(0.33)		0.02		(0.58)		0.18
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	(0.61)		(1.25)		0.14		(2.77)
Total pre-tax adjustments	(0.98)		(2.23)		1.04		(3.89)
Less tax effect on pre-tax adjustments	0.16		0.30		(0.17)		0.47
Adjusted operating income (loss)	$	3.42	$	2.11	$	5.12	$	3.88

Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating income	$	(0.13)	$	0.12	$	(0.49)	$	0.11

Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (2 of 3)

(dollars in millions)


ROE Reconciliation and Calculation	As of
	September 30,		June 30,		December 31,			September 30,			June 30,			December 31,
	2023		2023		2022			2022			2022			2021
Shareholders’ equity attributable to AGL	$	5,252	$	5,276	$	5,064		$	4,929		$	5,304		$	6,292
Adjusted operating shareholders’ equity	5,735		5,628		5,543			5,575			5,634			5,991
Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating shareholders' equity	4		(3)		17			27			26			32

					Three Months Ended						Nine Months Ended
					September 30,						September 30,
					2023			2022			2023			2022
Net income (loss) attributable to AGL					$	157		$	11		$	363		$	30
Adjusted operating income (loss)					206			133			310			253

Average shareholders’ equity attributable to AGL					$	5,264		$	5,117		$	5,158		$	5,611
Average adjusted operating shareholders’ equity					5,682			5,605			5,639			5,783
Gain (loss) related to FG VIE and CIV consolidation included in average adjusted operating shareholders’ equity					1			27			11			30

GAAP ROE (1)					11.9		%	0.9		%	9.4		%	0.7		%
Adjusted operating ROE (1)					14.5		%	9.5		%	7.3		%	5.8		%

1) Quarterly ROE calculations represent annualized returns.

Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (3 of 3)

(dollars in millions)


	As of
	September 30,		June 30,		December 31,		September 30,		June 30,		December 31,
	2023		2023		2022		2022		2022		2021
Reconciliation of shareholders’ equity attributable to AGL to adjusted book value:
Shareholders’ equity attributable to AGL	$	5,252	$	5,276	$	5,064	$	4,929	$	5,304	$	6,292
Less pre-tax reconciling items:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	38		31		(71)		(101)		(51)		(54)
Fair value gains (losses) on CCS	12		32		47		35		34		23
Unrealized gain (loss) on investment portfolio	(609)		(463)		(523)		(672)		(359)		404
Less taxes	76		48		68		92		46		(72)
Adjusted operating shareholders' equity	5,735		5,628		5,543		5,575		5,634		5,991
Pre-tax reconciling items:
Less: Deferred acquisition costs	158		155		147		142		139		131
Plus: Net present value of estimated net future revenue	190		192		157		159		161		160
Plus: Net deferred premium revenue on financial guaranty contracts in excess of expected loss to be expensed	3,404		3,445		3,428		3,373		3,366		3,402
Plus taxes	(612)		(623)		(602)		(594)		(594)		(599)
Adjusted book value	$	8,559	$	8,487	$	8,379	$	8,371	$	8,428	$	8,823

Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders’ equity (net of tax (provision) benefit of $(1), $1, $(4), $(6), $(6), and $(5))	$	4	$	(3)	$	17	$	27	$	26	$	32
Adjusted book value (net of tax (provision) benefit of $1, $3, $(3), $(4), $(3), and $(3))	$	(2)	$	(7)	$	11	$	16	$	18	$	23

Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

Assured Guaranty Ltd.

Income Components (1 of 4)

(in millions)

Components of Income for the Three Months Ended September 30, 2023


	Segments				Corporate and Other
	Insurance		Asset Management		Corporate		Other (1)		Reconciling Items		Consolidated

Revenues
Net earned premiums	$	96	$	—	$	—	$	(1)	$	—	$	95
Net investment income	101		—		2		(3)		—		100
Asset management fees	—		—		—		—		—		—
Net realized investment gains (losses)	—		—		—		—		(9)		(9)
Fair value gains (losses) on credit derivatives (2)	3		—		—		—		6		9
Fair value gains (losses) on CCS	—		—		—		—		(20)		(20)
Fair value gains (losses) on FG VIEs	—		—		—		6		—		6
Fair value gains (losses) on CIVs	—		—		—		(4)		—		(4)
Foreign exchange gains (losses) on remeasurement	(2)		—		—		—		(37)		(39)
Fair value gains (losses) on trading securities	4		—		—		—		—		4
Gain on sale of asset management subsidiaries	—		—		255		—		—		255
Other income (loss)	6		—		2		(2)		—		6
Total revenues	208		—		259		(4)		(60)		403

Expenses
Loss and LAE (benefit) (3)	101		—		—		(1)		—		100
Interest expense	—		—		26		(2)		—		24
Amortization of DAC	4		—		—		—		—		4
Employee compensation and benefit expenses	37		—		10		—		—		47
Other operating expenses	23		—		21		—		—		44
Total expenses	165		—		57		(3)		—		219
Equity in earnings (losses) of investees	25		—		—		(7)		—		18
Less: Provision (benefit) for income taxes	9		—		47		(2)		(11)		43
Less: Noncontrolling interests	—		—		—		2		—		2
Total	$	59	$	—	$	155	$	(8)	$	(49)	$	157

1) Includes the consolidation of the FG VIEs and CIVs and intersegment eliminations.

2) Insurance segment balances for this line include only the credit derivative revenues component of realized gains (losses) on credit derivatives.

3) Insurance segment balances for this line item includes credit derivative impairment (recoveries).

Assured Guaranty Ltd.

Income Components (2 of 4)

(in millions)

Components of Income for the Three Months Ended September 30, 2022


	Segments				Corporate and Other
	Insurance		Asset Management		Corporate		Other (1)		Reconciling Items		Consolidated

Revenues
Net earned premiums	$	90	$	—	$	—	$	(1)	$	—	$	89
Net investment income	69		—		1		(3)		—		67
Asset management fees	—		20		—		(4)		—		16
Net realized investment gains (losses)	—		—		—		—		(14)		(14)
Fair value gains (losses) on credit derivatives (2)	2		—		—		—		(50)		(48)
Fair value gains (losses) on CCS	—		—		—		—		1		1
Fair value gains (losses) on FG VIEs	—		—		—		11		—		11
Fair value gains (losses) on CIVs	—		—		—		8		—		8
Foreign exchange gains (losses) on remeasurement	(3)		(1)		—		2		(78)		(80)
Fair value gains (losses) on trading securities	(8)		—		—		—		—		(8)
Other income (loss)	(3)		2		—		—		—		(1)
Total revenues	147		21		1		13		(141)		41

Expenses
Loss and LAE (benefit) (3)	(75)		—		—		1		(1)		(75)
Interest expense	—		—		22		(2)		—		20
Amortization of DAC	4		—		—		—		—		4
Employee compensation and benefit expenses	34		16		7		—		—		57
Other operating expenses	21		8		5		3		—		37
Total expenses	(16)		24		34		2		(1)		43
Equity in earnings (losses) of investees	(11)		—		—		(9)		—		(20)
Less: Provision (benefit) for income taxes	(7)		—		(3)		1		(18)		(27)
Less: Noncontrolling interests	—		—		—		(6)		—		(6)
Total	$	159	$	(3)	$	(30)	$	7	$	(122)	$	11

1) Includes the consolidation of the FG VIEs and CIVs and intersegment eliminations.

2) Insurance segment balances for this line include only the credit derivative revenues component of realized gains (losses) on credit derivatives.

3) Insurance segment balances for this line item includes credit derivative impairment (recoveries).

Assured Guaranty Ltd.

Income Components (3 of 4)

(in millions)

Components of Income for the Nine Months Ended September 30, 2023


	Segments				Corporate and Other
	Insurance		Asset Management		Corporate		Other (1)		Reconciling Items		Consolidated

Revenues
Net earned premiums	$	264	$	—	$	—	$	(3)	$	—	$	261
Net investment income	273		—		6		(9)		—		270
Asset management fees	—		64		—		(11)		—		53
Net realized investment gains (losses)	—		—		—		—		(20)		(20)
Fair value gains (losses) on credit derivatives (2)	7		—		—		—		108		115
Fair value gains (losses) on CCS	—		—		—		—		(35)		(35)
Fair value gains (losses) on FG VIEs	—		—		—		(2)		—		(2)
Fair value gains (losses) on CIVs	—		—		—		60		—		60
Foreign exchange gains (losses) on remeasurement	1		—		—		(1)		9		9
Fair value gains (losses) on trading securities	42		—		—		—		—		42
Gain on sale of asset management subsidiaries	—		—		255		—		—		255
Other income (loss)	35		7		2		(6)		—		38
Total revenues	622		71		263		28		62		1,046

Expenses
Loss and LAE (benefit)(3)	154		—		—		6		(1)		159
Interest expense	—		1		73		(7)		—		67

Amortization of DAC	10		—		—		—		—		10
Employee compensation and benefit expenses	112		59		28		—		—		199
Other operating expenses	78		15		64		13		—		170
Total expenses	354		75		165		12		(1)		605
Equity in earnings (losses) of investees	60		—		—		(35)		—		25
Less: Provision (benefit) for income taxes	46		(1)		37		(8)		10		84
Less: Noncontrolling interests	—		—		—		19		—		19
Total	$	282	$	(3)	$	61	$	(30)	$	53	$	363

1) Includes the consolidation of the FG VIEs and CIVs and intersegment eliminations.

2) Insurance segment balances for this line include only the credit derivative revenues component of realized gains (losses) on credit derivatives.

3) Insurance segment balances for this line item includes credit derivative impairment (recoveries).

Assured Guaranty Ltd.

Income Components (4 of 4)

(in millions)

Components of Income for the Nine Months Ended September 30, 2022


	Segments				Corporate and Other
	Insurance		Asset Management		Corporate		Other (1)		Reconciling Items		Consolidated

Revenues
Net earned premiums	$	388	$	—	$	—	$	(3)	$	—	$	385
Net investment income	198		—		3		(10)		—		191
Asset management fees	—		86		—		(15)		—		71
Net realized investment gains (losses)	—		—		—		—		(39)		(39)
Fair value gains (losses) on credit derivatives (2)	9		—		—		—		(51)		(42)
Fair value gains (losses) on CCS	—		—		—		—		12		12
Fair value gains (losses) on FG VIEs	—		—		—		27		—		27
Fair value gains (losses) on CIVs	—		—		—		25		—		25
Foreign exchange gains (losses) on remeasurement	(7)		(1)		—		7		(180)		(181)
Fair value gains (losses) on trading securities	(30)		—		—		—		—		(30)
Other income (loss)	6		3		—		3		—		12
Total revenues	564		88		3		34		(258)		431

Expenses
Loss and LAE (benefit)(3)	(32)		—		—		8		(5)		(29)
Interest expense	1		—		66		(7)		—		60
Amortization of DAC	11		—		—		—		—		11
Employee compensation and benefit expenses	107		62		20		—		—		189
Other operating expenses	60		29		18		13		—		120
Total expenses	147		91		104		14		(5)		351
Equity in earnings (losses) of investees	(46)		—		—		15		—		(31)
Less: Provision (benefit) for income taxes	24		—		(3)		3		(30)		(6)
Less: Noncontrolling interests	—		—		—		25		—		25
Total	$	347	$	(3)	$	(98)	$	7	$	(223)	$	30

1) Includes the consolidation of the FG VIEs and CIVs and intersegment eliminations.

2) Insurance segment balances for this line include only the credit derivative revenues component of realized gains (losses) on credit derivatives.

3) Insurance segment balances for this line item includes credit derivative impairment (recoveries).

Assured Guaranty Ltd.

Fixed-Maturity Securities, Short-Term Investments and Cash

As of September 30, 2023

(dollars in millions)


	Amortized Cost		Allowance for Credit Losses			Pre-Tax Book Yield		After-Tax Book Yield		Fair Value		Annualized Investment Income (1)
Fixed maturity securities, available-for-sale:
Obligations of states and political subdivisions(3)(6)	$	2,938	$	(14)		3.51	%	3.21	%	$	2,766	$	103
U.S. government and agencies	65		—			2.39		2.11		58		2
Corporate securities	2,321		(6)			2.98		2.63		2,009		69
Mortgage-backed securities:
Residential mortgage-backed securities (RMBS) (2)(3)	430		(20)			5.17		4.22		330		22
Commercial mortgage-backed securities	198		—			3.41		2.96		188		7
Asset-backed securities (ABS)
Collateralized loan obligation (CLOs)	463		—			7.72		5.99		454		35
Other ABS (3)	440		(46)			6.43		4.89		369		27
Non-U.S. government securities	116		—			1.10		1.09		93		1
Total fixed maturity securities, available-for-sale	6,971		(86)			3.83		3.81		6,267		266
Short-term investments	1,426		—			5.07		4.06		1,426		72
Cash (4)	108		—			—		—		108		—
Total	$	8,505	$	(86)		4.04	%	3.85	%	$	7,801	$	338

Fixed maturity securities, trading (7)										$	350


Ratings (5):	Fair Value		% of Portfolio
U.S. government and agencies	$	58	0.9		%
AAA/Aaa	862		13.8
AA/Aa	2,352		37.5
A/A	1,645		26.2
BBB	725		11.6
BIG	477		7.6
Not rated (6)	148		2.4
Total fixed maturity securities, available-for-sale	$	6,267	100.0		%


Duration of available-for-sale fixed maturity securities and short-term investments (in years):			3.3

1) Represents annualized investment income based on amortized cost and pre-tax book yields.

2) Includes fair value of $132 million in subprime RMBS, of which 91% were rated BIG.

3) Includes securities purchased or obtained as part of loss mitigation or other risk management strategies.

4) Cash is not included in the yield calculation.

5) Ratings are the lower of the Moody’s Investors Service, Inc. (Moody’s) or Standard & Poor's Financial Services LLC (S&P) classifications except for purchased securities that the Company has insured, and for which it had expected losses to be paid (Loss Mitigation Securities) and certain other securities, which use internal ratings classifications. Loss mitigation and other securities total $860 million in par with carrying value of $539 million and are primarily included in the BIG category.

6) Includes $78 million of new general obligation bonds and new bonds backed by toll revenue received in connection with the 2022 Puerto Rico Resolutions (see page 33).

7) Represents contingent value instruments received in connection with the 2022 Puerto Rico Resolutions (see page 33). These securities are not rated.

Assured Guaranty Ltd.

Investment Portfolio, Cash and CIVs

GAAP (1 of 2)

(dollars in millions)

Investment Portfolio, Cash and CIVs as of September 30, 2023


	Insurance Related Subsidiaries (1)		Holding Companies (2)		Other (3)		AGL Consolidated

Fixed-maturity securities, available-for-sale	$	6,243	$	24	$	—	$	6,267
Fixed-maturity securities, trading	350		—		—		350
Total fixed-maturity securities	6,593		24		—		6,617
Short-term investments	1,356		68		2		1,426
Cash	68		1		39		108
Total short-term investments and cash	1,424		69		41		1,534
Other invested assets
Equity method investments:
Sound Point	—		419		—		419
Funds:
CLOs	234		—		(184)		50
Asset-based	132		—		(88)		44
Healthcare	103		—		—		103
Other	127		—		—		127
Total funds	596		—		(272)		324
Other	—		7		—		7
Total equity method investments	596		426		(272)		750
Other	12		3		—		15
Other invested assets (4)	608		429		(272)		765
Total investment portfolio and cash	$	8,625	$	522	$	(231)	$	8,916
CIVs (5)
Assets of CIVs	$	—	$	—	$	330	$	330
Liabilities of CIVs	—		—		(4)		(4)
Nonredeemable noncontrolling interests	—		—		(49)		(49)
Total CIVs	$	—	$	—	$	277	$	277

1) Includes the Company’s U.S., Bermuda and European insurance subsidiaries and AG Asset Strategies LLC (separate company, excluding the effect of consolidating CIVs).

2) Includes the Company’s holding companies: AGL, Assured Guaranty US Holdings Inc. and Assured Guaranty Municipal Holdings Inc.

3) Includes the Company’s non insurance subsidiaries, non-U.S. holding companies and CIVs and related intercompany eliminations.

4) The inception-to-date annualized internal rate of return (IRR) is 12.1%, the year to date return was 12.1% and the quarter to date return was a 5.3%. For funds, the returns represent IRR based on mark-to-market gains (losses). The inception-to-date IRRs are annualized; the quarterly and year-to-date returns are not annualized.

5) In connection with the Sound Point and AHP transactions in July 2023, the Company re-evaluated the consolidation conclusions for all of its CIVs and determined that the Company was no longer the primary beneficiary (in accordance with GAAP) for all but three funds (Sound Point CLO Warehouse Fund (US) L.P., Sound Point Asset Backed Income Fund (US) L.P. and Sound Point GLS Fund L.P). Therefore, all but these three funds were deconsolidated in July 2023.

Assured Guaranty Ltd.

Investment Portfolio, Cash and CIVs

GAAP (2 of 2)

(dollars in millions)

Investment Portfolio, Cash and CIVs as of December 31, 2022


	Insurance Related Subsidiaries (1)		Holding Companies (2)		Other		AGL Consolidated

Fixed-maturity securities, available-for-sale	$	7,095	$	24	$	—	$	7,119
Fixed-maturity securities, trading	303		—		—		303

Short-term investments	668		132		10		810
Cash	44		7		56		107
Total short-term investments and cash	712		139		66		917
Other invested assets
AssuredIM Funds (3)
CLOs	272		—		(272)		—
Asset-based	101		—		(101)		—
Healthcare	91		—		(91)		—
Municipal bonds	105		—		(105)		—
Equity method investments-AssuredIM Funds	569		—		(569)		—
Other	122		9		2		133
Other invested assets	691		9		(567)		133
Total investment portfolio and cash	$	8,801	$	172	$	(501)	$	8,472
CIVs
Assets of CIVs	$	—	$	—	$	5,493	$	5,493
Liabilities of CIVs	—		—		(4,625)		(4,625)
Nonredeemable noncontrolling interests	—		—		(228)		(228)
Total CIVs	$	—	$	—	$	640	$	640

1) Includes the Company’s U.S., Bermuda and European insurance subsidiaries.

2) Includes the Company’s holding companies: AGL, Assured Guaranty US Holdings Inc. and Assured Guaranty Municipal Holdings Inc.

3) Funds managed by Assured Investment Management LLC (AssuredIM LLC) and its investment management affiliates (together with AssuredIM LLC, AssuredIM) (AssuredIM Funds) prior to July 2023.

Assured Guaranty Ltd.

Income from Investment Portfolio and CIVs

Segment (1 of 2)

(dollars in millions)

Income from Investment Portfolio and Fair Value Gains (Losses) on CIVs on a Segment basis for the Three Months Ended September 30, 2023 and September 30, 2022


	Three Months Ended September 30, 2023
	Insurance		Asset Management		Corporate		Other		Total

Net investment income	$	101	$	—	$	2	$	(3)	$	100

Fair value gains (losses) on trading securities	$	4	$	—	$	—	$	—	$	4

Equity in earnings (losses) of investees
Asset Managers (1)	$	—	$	—	$	—	$	—	$	—
Funds:
CLOs	7		—		—		(7)		—
Asset-based	—		—		—		—		—
Healthcare	12		—		—		—		12
Other	6		—		—		—		6
Total funds (2)	25		—		—		(7)		18
Other	—		—		—		—		—
Equity in earnings (losses) of investees	$	25	$	—	$	—	$	(7)	$	18

CIVs
Fair value gains (losses) on CIVs (3)	$	—	$	—	$	—	$	(4)	$	(4)
Noncontrolling interests	—		—		—		(2)		(2)
Total CIVs	$	—	$	—	$	—	$	(6)	$	(6)


	Three Months Ended September 30, 2022
	Insurance		Asset Management		Corporate		Other		Total

Net investment income	$	69	$	—	$	1	$	(3)	$	67

Fair value gains (losses) on trading securities	$	(8)	$	—	$	—	$	—	(8)

Equity in earnings (losses) of investees
AssuredIM Funds	$	9	$	—	$	—	$	(9)	$	—
Other	(20)		—		—		—		(20)
Equity in earnings (losses) of investees	$	(11)	$	—	$	—	$	(9)	$	(20)

CIVs
Fair value gains (losses) on CIVs	$	—	$	—	$	—	$	8	$	8
Noncontrolling interests	—		—		—		6		6
Total CIVs	$	—	$	—	$	—	$	14	$	14

1) Primarily includes Sound Point related entities. The Company’s share of Sound Point earnings will be reported for the first time in the fourth quarter of 2023.

2) Relates to funds managed by Sound Point and AHP, and certain other managers, as well as, prior to July 1, 2023, AssuredIM. Investments in funds are generally reported on a one-quarter lag.

3) Includes loss on deconsolidation of $16 million.

Assured Guaranty Ltd.

Income from Investment Portfolio and CIVs

Segment (2 of 2)

(dollars in millions)

Income from Investment Portfolio and Fair Value Gains (Losses) on CIVs on a Segment basis for the Nine Months Ended September 30, 2023 and September 30, 2022


	Nine Months Ended September 30, 2023
	Insurance		Asset Management		Corporate		Other		Total

Net investment income	$	273	$	—	$	6	$	(9)	$	270

Fair value gains (losses) on trading securities	$	42	$	—	$	—	$	—	$	42

Equity in earnings (losses) of investees
Asset Managers (1)	$	—	$	—	$	—	$	—	$	—
Funds:
CLOs	23		—		—		(23)		—
Asset-based	3		—		—		(3)		—
Healthcare	21		—		—		(9)		12
Other	13		—		—		—		13
Total funds (2)	60		—		—		(35)		25
Other	—		—		—		—		—
Equity in earnings (losses) of investees	$	60	$	—	$	—	$	(35)	$	25

CIVs
Fair value gains (losses) on CIVs (3)	$	—	$	—	$	—	$	60	$	60
Noncontrolling interests	—		—		—		(19)		(19)
Total CIVs	$	—	$	—	$	—	$	41	$	41


	Nine Months Ended September 30, 2022
	Insurance		Asset Management		Corporate		Other		Total

Net investment income	$	198	$	—	$	3	$	(10)	$	191

Fair value gains (losses) on trading securities	$	(30)	$	—	$	—	$	—	$	(30)

Equity in earnings (losses) of investees
AssuredIM Funds	$	(13)	$	—	$	—	$	15	$	2
Other	(33)		—		—		—		(33)
Equity in earnings (losses) of investees	$	(46)	$	—	$	—	$	15	$	(31)

CIVs
Fair value gains (losses) on CIVs	$	—	$	—	$	—	$	25	$	25
Noncontrolling interests	—		—		—		(25)		(25)
Total CIVs	$	—	$	—	$	—	$	—	$	—

1) Primarily includes Sound Point related entities. The Company’s share of Sound Point earnings will be reported for the first time in the fourth quarter of 2023.

2) Relates to funds managed by Sound Point and AHP, and certain other managers, as well as, prior to July 1, 2023, AssuredIM. Investments in funds are generally reported on a one-quarter lag.

3) Includes loss on deconsolidation of $16 million.

Insurance Segment

Assured Guaranty Ltd.

Insurance Segment Results

(dollars in millions)


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2023		2022		2023		2022
Segment revenues
Net earned premiums and credit derivative revenues	$	99	$	92	$	271	$	397
Net investment income	101		69		273		198
Fair value gains (losses) on trading securities	4		(8)		42		(30)
Foreign exchange gains (losses) on remeasurement and other income (loss)	4		(6)		36		(1)
Total segment revenues	208		147		622		564

Segment expenses
Loss expense (benefit)	101		(75)		154		(32)
Interest expense	—		—		—		1
Amortization of DAC	4		4		10		11
Employee compensation and benefit expenses	37		34		112		107
Other operating expenses	23		21		78		60
Total segment expenses	165		(16)		354		147
Equity in earnings (losses) of investees	25		(11)		60		(46)
Segment adjusted operating income (loss) before income taxes	68		152		328		371
Less: Provision (benefit) for income taxes	9		(7)		46		24
Segment adjusted operating income (loss)	$	59	$	159	$	282	$	347

Assured Guaranty Ltd.

Claims-Paying Resources

(dollars in millions)


	As of September 30, 2023
	AGM		AGC		AG Re(6)		Eliminations(2)		Consolidated
Claims-paying resources
Policyholders' surplus	$	2,569	$	1,897	$	677	$	(224)	$	4,919
Contingency reserve	908		400		—		—		1,308
Qualified statutory capital	3,477		2,297		677		(224)		6,227
Unearned premium reserve and net deferred ceding commission income(1)	2,048		338		588		(64)		2,910
Loss and LAE reserves (1)(7)	—		—		154		—		154
Total policyholders' surplus and reserves	5,525		2,635		1,419		(288)		9,291
Present value of installment premium	491		236		256		—		983
CCS	200		200		—		—		400
Total claims-paying resources	$	6,216	$	3,071	$	1,675	$	(288)	$	10,674

Statutory net exposure (1)(3)	$	156,708	$	26,922	$	60,648	$	(816)	$	243,462
Net debt service outstanding (1)(3)	$	252,070	$	43,251	$	91,984	$	(1,587)	$	385,718

Ratios:
Net exposure to qualified statutory capital	45:1		12:1		90:1				39:1
Capital ratio (4)	72:1		19:1		136:1				62:1
Financial resources ratio (5)	41:1		14:1		55:1				36:1
Statutory net exposure to claims-paying resources	25:1		9:1		36:1				23:1

1) The numbers shown for Assured Guaranty Municipal Corp. (AGM) have been adjusted to include 100% share of its United Kingdom (U.K.) and French insurance subsidiaries.

2) Eliminations are primarily for (i) intercompany surplus notes between AGM and Assured Guaranty Corp. (AGC), and (ii) eliminations of intercompany deferred ceding commissions. Net exposure and net debt service outstanding eliminations relate to second-to-pay policies under which an Assured Guaranty insurance subsidiary guarantees an obligation already insured by another Assured Guaranty insurance subsidiary.

3) Net exposure and net debt service outstanding are presented on a statutory basis. Includes $3,293 million of specialty business.

4) The capital ratio is calculated by dividing net debt service outstanding by qualified statutory capital.

5) The financial resources ratio is calculated by dividing net debt service outstanding by total claims-paying resources.

6) Assured Guaranty Re Ltd. (AG Re) numbers represent the Company's estimate of AG Re on a U.S. statutory-basis, except for contingency reserves.

7) Loss and LAE reserves exclude adjustments to claims-paying resources for AGM and AGC because they were in a net recoverable position of $16 million and $106 million, respectively.

Please refer to the Glossary for an explanation of changes in the presentation of net debt service and net par outstanding.

Assured Guaranty Ltd.

New Business Production

(dollars in millions)

Reconciliation of GWP to PVP for the Three Months Ended September 30, 2023 and September 30, 2022


	Three Months Ended										Three Months Ended
	September 30, 2023										September 30, 2022
	Public Finance				Structured Finance						Public Finance				Structured Finance
	U.S.		Non - U.S.		U.S.		Non - U.S.		Total		U.S.		Non - U.S.		U.S.		Non - U.S.		Total
Total GWP	$	29	$	(5)	$	15	$	1	$	40	$	54	$	44	$	(2)	$	(2)	$	94
Less: Installment GWP and other GAAP adjustments (1)	6		(5)		15		1		17		—		44		(3)		(2)		39
Upfront GWP	23		—		—		—		23		54		—		1		—		55
Plus: Installment premiums and other(2)	7		2		12		2		23		3		37		—		—		40
Total PVP	$	30	$	2	$	12	$	2	$	46	$	57	$	37	$	1	$	—	$	95

Gross par written	$	5,098	$	61	$	267	$	522	$	5,948	$	3,622	$	194	$	30	$	—	$	3,846

Reconciliation of GWP to PVP for the Nine Months Ended September 30, 2023 and September 30, 2022


	Nine Months Ended										Nine Months Ended
	September 30, 2023										September 30, 2022
	Public Finance				Structured Finance						Public Finance				Structured Finance
	U.S.		Non - U.S.		U.S.		Non - U.S.		Total		U.S.		Non - U.S.		U.S.		Non - U.S.		Total
Total GWP	$	129	$	40	$	48	$	4	$	221	$	160	$	66	$	4	$	(1)	$	229
Less: Installment GWP and other GAAP adjustments (1)	55		37		48		4		144		—		66		1		(1)		66
Upfront GWP	74		3		—		—		77		160		—		3		—		163
Plus: Installment premiums and other(2)	55		35		42		40		172		3		67		—		7		77
Total PVP	$	129	$	38	$	42	$	40	$	249	$	163	$	67	$	3	$	7	$	240

Gross par written	$	15,752	$	670	$	1,101	$	2,762	$	20,285	$	13,982	$	624	$	106	$	300	$	15,012

(2) Includes the present value of future premiums and fees on new business paid in installments, discounted at the approximate average pre-tax book yield of fixed-maturity securities purchased during the prior calendar year, other than certain fixed-maturities such as Loss Mitigation Securities. Nine months 2023 and 2022 also include the present value of future premiums and fees associated with other guaranties written by the Company that, under GAAP, are accounted for under Accounting Standards Codification (ASC) 460, Guarantees.

Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

Assured Guaranty Ltd.

Gross Par Written (1 of 2)

(dollars in millions)

Gross Par Written by Asset Type


	Three Months Ended September 30,
	2023		2022

Sector:
U.S. public finance
General obligation	$	1,445		$	1,482
Municipal utilities	1,180			394
Tax backed	1,105			589
Transportation	815			742
Healthcare	242			225
Housing Revenue	217			—
Higher education	94			125
Infrastructure finance	—			65
Total U.S. public finance	5,098			3,622
Non-U.S. public finance:
Regulated utilities	61			194
Total non-U.S. public finance	61			194
Total public finance	5,159			3,816

U.S. structured finance:
Insurance securitizations	250			—
Commercial mortgage-backed securities	—			13
Structured credit	—			17
Other structured finance	17			—
Total U.S. structured finance	267			30
Non-U.S. structured finance:
Pooled corporate obligations	488			—
Other structured finance	34			—
Total non-U.S. structured finance	522			—
Total structured finance	789			30

Total gross par written	$	5,948		$	3,846

Please refer to the Glossary for a description of sectors.

Assured Guaranty Ltd.

Gross Par Written (2 of 2)

(dollars in millions)

Gross Par Written by Asset Type


	Nine Months Ended September 30,
	2023		2022

Sector:
U.S. public finance
General obligation	$	6,114		$	4,864
Municipal utilities	3,895			2,260
Infrastructure finance	1,785			124
Tax backed	1,670			1,805
Transportation	1,039			2,975
Healthcare	706			1,586
Higher education	299			368
Housing Revenue	217			—
Other U.S. public finance	27			—
Total U.S. public finance	15,752			13,982
Non-U.S. public finance:
Regulated utilities	417			417
Sovereign and sub-sovereign	253			—
Infrastructure finance	—			207
Total non-U.S. public finance	670			624
Total public finance	16,422			14,606

U.S. structured finance:
Insurance securitizations	750			—
Structured credit	275			17
Commercial mortgage-backed securities	—			13
Other structured finance	76			76
Total U.S. structured finance	1,101			106
Non-U.S. structured finance:
Pooled corporate obligations	488			—

Other structured finance	2,274			300
Total non-U.S. structured finance	2,762			300
Total structured finance	3,863			406

Total gross par written	$	20,285		$	15,012

Please refer to the Glossary for a description of sectors.

Assured Guaranty Ltd.

New Business Production by Quarter

(dollars in millions)


															Nine Months
	1Q-22		2Q-22		3Q-22		4Q-22		1Q-23		2Q-23		3Q-23		2023		2022
PVP:
Public finance - U.S.	$	49	$	57	$	57	$	94	$	22	$	77	$	30	$	129	$	163
Public finance - non-U.S.	12		18		37		1		30		6		2		38		67
Structured finance - U.S.	2		—		1		40		27		3		12		42		3
Structured finance - non-U.S.	6		1		—		—		33		5		2		40		7
Total PVP (1)	$	69	$	76	$	95	$	135	$	112	$	91	$	46	$	249	$	240

Reconciliation of GWP to PVP:

Total GWP	$	70	$	65	$	94	$	131	$	86	$	95	$	40	$	221	$	229
Less: Installment GWP and other GAAP adjustments	19		8		39		79		69		58		17		144		66
Upfront GWP	51		57		55		52		17		37		23		77		163
Plus: Installment premiums and other(2)	18		19		40		83		95		54		23		172		77
Total PVP	$	69	$	76	$	95	$	135	$	112	$	91	$	46	$	249	$	240

Gross par written:
Public finance - U.S.	$	3,931	6,429		3,622		$	5,819	$	2,907	$	7,747	$	5,098	$	15,752	$	13,982
Public finance - non-U.S.	223		207		194		—		360		249		61		670		624
Structured finance - U.S.	60		16		30		971		582		252		267		1,101		106
Structured finance - non-U.S. (1)	257		43		—		245		1,514		726		522		2,762		300
Total	$	4,471	$	6,695	$	3,846	$	7,035	$	5,363	$	8,974	$	5,948	$	20,285	$	15,012

1) PVP and gross par written includes the present value (PV) of future premiums and total exposure, respectively, associated with other guaranties written by the Company that, under GAAP, are accounted for under ASC 460, Guarantees.

2) Includes the present value of future premiums and fees on new business paid in installments, discounted at the approximate average pre-tax book yield of fixed-maturity securities purchased during the prior calendar year, other than certain fixed-maturities such as Loss Mitigation Securities. Nine months 2023 and 2022 also include the present value of future premiums and fees associated with other guaranties written by the Company that, under GAAP, are accounted for under Accounting Standards Codification (ASC) 460, Guarantees.

Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

Assured Guaranty Ltd.

Estimated Net Exposure Amortization(1) and Estimated Future Financial Guaranty Net Premium

and Credit Derivative Revenues

(dollars in millions)


					Financial Guaranty Insurance (2)
	Estimated Net Debt Service Amortization		Estimated Ending Net Debt Service Outstanding		Expected PV Net Earned Premiums (i.e. Net Deferred Premium Revenue)		Accretion of Discount		Effect of FG VIE Consolidation on Expected PV Net Earned Premiums and Accretion of Discount		Future Credit Derivative Revenues (3)
2023 3Q (as of September 30)			$	383,976
2023 4Q	$	4,838	379,138		$	72	$	7	$	1	$	2
2024	20,073		359,065		277		25		3		9
2025	21,193		337,872		259		24		3		8
2026	20,123		317,749		243		22		3		8
2027	18,175		299,574		230		21		2		7

2023-2027	84,402		299,574		1,081		99		12		34
2028-2032	89,693		209,881		958		81		12		30
2033-2037	72,733		137,148		635		53		10		24
2038-2042	52,150		84,998		390		34		—		16
After 2042	84,998		—		537		46		—		11
Total	$	383,976			$	3,601	$	313	$	34	$	115

Reconciliation of Net Deferred Premium Revenue to Net Unearned Premium Reserve(4).


	GAAP		Effect of FG VIE Consolidation on Net Unearned Premium Reserve
Net deferred premium revenue:
Financial guaranty	$	3,601	$	33
Specialty	8		—
Net deferred premium revenue	3,609		33
Contra-paid	(22)		(4)
Net unearned premium reserve	$	3,587	$	29

1) Represents the future expected amortization of current debt service outstanding (principal and interest), assuming no advance refundings, as of September 30, 2023. Actual amortization differs from expected maturities because borrowers may have the right to call or prepay guaranteed obligations, terminations and because of management's assumptions on structured finance amortization.

2) See also page 27, for ‘‘Net Expected Loss to be Expensed.’’

3) Represents expected future premiums on insured credit derivatives.

4) Unearned premium reserve represents deferred premium revenue less claim payments made (net of recoveries received) that have been recognized in the statement of operations (contra-paid).

Assured Guaranty Ltd.

Roll Forward of Net Expected Loss and LAE to be Paid

(dollars in millions)

Roll Forward of Net Expected Loss and LAE to be Paid (1) for the Three Months Ended September 30, 2023


	Net Expected Loss to be Paid (Recovered) as of June 30, 2023		Net Economic Loss Development (Benefit) During 3Q-23		Net (Paid) Recovered Losses During 3Q-23		Net Expected Loss to be Paid (Recovered) as of September 30, 2023
Public Finance:
U.S. public finance	$	433	$	135	$	(169)	$	399
Non-U.S public finance	10		(1)		—		9
Public Finance	443		134		(169)		408

Structured Finance:
U.S. RMBS	73		(48)		13		38
Other structured finance	44		1		(1)		44
Structured Finance	117		(47)		12		82
Total	$	560	$	87	$	(157)	$	490

Roll Forward of Net Expected Loss and LAE to be Paid (1) for the Nine Months Ended September 30, 2023


	Net Expected Loss to be Paid (Recovered) as of December 31, 2022		Net Economic Loss Development (Benefit) During 2023		Net (Paid) Recovered Losses During 2023		Net Expected Loss to be Paid (Recovered) as of September 30, 2023
Public Finance:
U.S. public finance	$	403	$	193	$	(197)	$	399
Non-U.S public finance	9		—		—		9
Public Finance	412		193		(197)		408

Structured Finance:
U.S. RMBS	66		(52)		24		38
Other structured finance	44		6		(6)		44
Structured Finance	110		(46)		18		82
Total	$	522	$	147	$	(179)	$	490

1) Includes net expected loss to be paid (recovered), economic loss development (benefit) and (paid) recovered losses for all contracts (i.e. those accounted for as insurance, credit derivatives and FG VIEs).

Assured Guaranty Ltd.

Loss Measures

As of September 30, 2023

(dollars in millions)


			Three Months Ended September 30, 2023					Nine Months Ended September 30, 2023
	Total Net Par Outstanding for BIG Transactions			GAAP Loss and LAE (1)		Loss and LAE included in Adjusted Operating Income (2)			Insurance Segment Loss and LAE (3)		GAAP Loss and LAE (1)		Loss and LAE included in Adjusted Operating Income (2)		Insurance Segment Loss and LAE (3)
Public finance:
U.S. public finance	$	3,304		$	134	$	134		$	138	$	186	$	186	$	184
Non-U.S public finance	818			—		—			—		—		—		—
Public finance	4,122			134		134			138		186		186		184
Structured finance:
U.S. RMBS	956			(35)		(35)			(38)		(31)		(31)		(35)
Other structured finance	96			1		1			1		4		5		5
Structured finance	1,052			(34)		(34)			(37)		(27)		(26)		(30)
Total	$	5,174		$	100	$	100		$	101	$	159	$	160	$	154

1) Includes loss expense related to contracts that are accounted for as insurance contracts.

2) Includes loss expense related to contracts that are accounted for as insurance contracts and credit derivatives.

3) Includes loss expense related to contracts that are accounted for as insurance contracts, credit derivatives, and consolidated FG VIEs.

Please refer to the Glossary for an explanation of the presentation of net par outstanding and of the various sectors.

Assured Guaranty Ltd.

Net Expected Loss to be Expensed (1)

As of September 30, 2023

(dollars in millions)


	GAAP

2023 3Q (as of September 30)
2023 4Q	$	2
2024	13
2025	12
2026	15
2027	16
2023-2027	58
2028-2032	63
2033-2037	49
2038-2042	13
After 2042	13
Total expected present value of net expected loss to be expensed(2)	196
Future accretion	39
Total expected future loss and LAE	$	235

1) The present value of net expected loss to be paid is discounted using risk free rates ranging from 4.51% to 5.45% for U.S. dollar denominated obligations.

2) Excludes $26 million related to FG VIEs, which are eliminated in consolidation.

Assured Guaranty Ltd.

Financial Guaranty Profile (1 of 3)

(dollars in millions)

Net Par Outstanding by Asset Type


	As of September 30, 2023		As of December 31, 2022

U.S. public finance:
General obligation	$	73,322		$	71,868
Tax backed	32,982			33,752
Municipal utilities	28,541			26,436
Transportation	20,602			19,688
Healthcare	11,842			11,304
Infrastructure finance	8,808			6,955
Higher education	7,256			7,137
Housing revenue	1,141			959
Investor-owned utilities	329			332
Renewable energy	171			180
Other public finance	979			1,025
Total U.S. public finance	185,973			179,636
Non-U.S public finance:
Regulated utilities	19,207			17,855
Infrastructure finance	14,031			13,915
Sovereign and sub-sovereign	9,403			9,526
Renewable energy	2,021			2,086
Pooled infrastructure	1,086			1,081
Total non-U.S. public finance	45,748			44,463
Total public finance	231,721			224,099

U.S. structured finance:
Life insurance transactions	4,663			3,879
RMBS	1,817			1,956
Pooled corporate obligations	595			625
Financial products	447			453
Consumer receivables	342			437
Other structured finance	1,111			878
Total U.S. structured finance	8,975			8,228
Non-U.S. structured finance:
Pooled corporate obligations	339			344
RMBS	248			263
Other structured finance	550			324
Total non-U.S. structured finance	1,137			931
Total structured finance	10,112			9,159

Total net par outstanding	$	241,833		$	233,258

Please refer to the Glossary for an explanation of the presentation of net par outstanding and various sectors.

Assured Guaranty Ltd.

Financial Guaranty Profile (2 of 3)

As of September 30, 2023

(dollars in millions)

Distribution by Ratings of Financial Guaranty Portfolio


	Public Finance - U.S.				Public Finance - Non-U.S.				Structured Finance - U.S.				Structured Finance - Non-U.S.				Total
Ratings:	Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%
AAA	$	212	0.1	%	$	2,004	4.4	%	$	860	9.6	%	$	457	40.2	%	$	3,533	1.5	%
AA	16,994		9.1		3,298		7.2		4,545		50.7		12		1.0		24,849		10.3
A	101,243		54.5		10,545		23.1		1,932		21.5		568		50.0		114,288		47.2
BBB	64,220		34.5		29,083		63.5		586		6.5		100		8.8		93,989		38.9
BIG	3,304		1.8		818		1.8		1,052		11.7		—		—		5,174		2.1
Net Par Outstanding (1)	$	185,973	100.0	%	$	45,748	100.0	%	$	8,975	100.0	%	$	1,137	100.0	%	$	241,833	100.0	%

1) As of September 30, 2023, the Company excluded $1.2 billion of net par outstanding primarily attributable to Loss Mitigation Securities.

Please refer to the Glossary for an explanation of the presentation of net par outstanding and the Company's internal rating approach, and of the various sectors.

Assured Guaranty Ltd.

Financial Guaranty Profile (3 of 3)

As of September 30, 2023

(dollars in millions)

Geographic Distribution of Financial Guaranty Portfolio


	Net Par Outstanding		% of Total
U.S.:
U.S. public finance:
California	$	35,659	14.7	%
Texas	21,862		9.0
Pennsylvania	16,511		6.8
New York	16,177		6.7
Illinois	13,170		5.4
New Jersey	9,245		3.8
Florida	8,712		3.6
Michigan	5,234		2.2
Louisiana	4,808		2.0
Alabama	3,848		1.6
Other	50,747		21.0
Total U.S. public finance	185,973		76.8
U.S. structured finance	8,975		3.7
Total U.S.	194,948		80.5

Non-U.S.:
United Kingdom	36,509		15.1
Canada	1,702		0.7
Spain	1,514		0.7
France	1,474		0.6
Australia	1,438		0.6
Other	4,248		1.8
Total non-U.S.	46,885		19.5

Total net par outstanding	$	241,833	100.0	%

Please refer to the Glossary for an explanation of the presentation of net par outstanding and of the various sectors.

Assured Guaranty Ltd.

Specialty Business

As of September 30, 2023

(dollars in millions)


	As of September 30, 2023				As of December 31, 2022
	Gross Exposure		Net Exposure		Gross Exposure		Net Exposure
Life insurance transactions (1)	$	1,325	$	1,003	$	1,314	$	986
Aircraft residual value insurance policies (2)	355		200		355		200
Other guaranties	2,090		2,090		228		228

1) The life insurance transactions net exposure is projected to reach $1.1 billion in 2024.

2) As of both September 30, 2023 and December 31, 2022, gross exposure of $144 million and net exposure of $84 million of aircraft residual value insurance was internally rated BIG. All other exposures in the table above are investment-grade.

Assured Guaranty Ltd.

Expected Amortization of Net Par Outstanding

(dollars in millions)


	Public Finance				Structured Finance
	Estimated Net Par Amortization		Estimated Ending Net Par Outstanding		U.S. and Non-U.S. Pooled Corporate		U.S. RMBS		Financial Products		Other Structured Finance		Total		Estimated Ending Net Par Outstanding

2023 3Q (as of September 30)			$	231,721											$	10,112
2023 4Q	$	1,622	230,099		$	8	$	70	$	(3)	$	213	$	288	9,824
2024	9,041		221,058		31		252		10		602		895		8,929
2025	10,862		210,196		91		234		29		365		719		8,210
2026	10,412		199,784		165		184		36		230		615		7,595
2027	8,938		190,846		178		168		(9)		270		607		6,988

2023-2027	40,875		190,846		473		908		63		1,680		3,124		6,988
2028-2032	50,167		140,679		303		465		305		1,849		2,922		4,066
2033-2037	44,502		96,177		70		357		64		2,027		2,518		1,548
2038-2042	34,102		62,075		88		80		15		824		1,007		541
After 2042	62,075		—		—		7		—		534		541		—
Total	$	231,721			$	934	$	1,817	$	447	$	6,914	$	10,112

Net par outstanding (end of period)


	1Q-22		2Q-22		3Q-22		4Q-22		1Q-23		2Q-23		3Q-23
Public finance - U.S.	$	175,957	$	179,648	$	177,842	$	179,636	$	180,837	$	186,323	$	185,973
Public finance - non-U.S.	48,506		44,447		41,063		44,463		45,909		47,658		45,748
Structured finance - U.S.	8,101		7,935		7,449		8,228		8,660		8,827		8,975
Structured finance - non-U.S.	815		782		717		931		977		1,205		1,137
Net par outstanding	$	233,379	$	232,812	$	227,071	$	233,258	$	236,383	$	244,013	$	241,833

Please refer to the Glossary for an explanation of the presentation of net par outstanding and of the various sectors.

Assured Guaranty Ltd.

Exposure to Puerto Rico (1 of 2)

As of September 30, 2023

(dollars in millions)

Exposure to Puerto Rico


	Par Outstanding				Debt Service Outstanding
	Gross		Net		Gross		Net
Total	$	1,121	$	1,105	$	1,529	$	1,511

Exposure to Puerto Rico by Company


	Net Par Outstanding
	AGM		AGC		AG Re		Eliminations (1)		Total Net Par Outstanding		Gross Par Outstanding
Defaulted Puerto Rico Exposures
Puerto Rico Electric Power Authority (PREPA)	$	377	$	67	$	180	$	—	$	624	$	634
Total Defaulted	377		67		180		—		624		634
Resolved Puerto Rico Exposures (2)
Puerto Rico Highways and Transportation Authority (PRHTA) (Transportation revenue) (3)	14		157		87		(14)		$	244	244
PRHTA (Highway revenue) (3)	109		11		8		—		$	128	128
Total Resolved	123		168		95		(14)		372		372
Other Puerto Rico Exposures
Puerto Rico Municipal Finance Agency (MFA) (4)	84		6		18		—		$	108	114
Puerto Rico Aqueduct and Sewer Authority (PRASA) and University of Puerto Rico (U of PR) (4)	—		1		—		—		$	1	1
Total Other	84		7		18		—		109		115
Total exposure to Puerto Rico	$	584	$	242	$	293	$	(14)	$	1,105	$	1,121

1) Net par outstanding eliminations relate to second-to-pay policies under which an Assured Guaranty insurance subsidiary guarantees an obligation already insured by another Assured Guaranty insurance subsidiary.

2) A substantial portion of the Company’s Puerto Rico exposure was resolved in 2022 in accordance with four orders (including orders implementing the GO/PBA Plan and HTA Plan described below) entered by the United States District Court of the District of Puerto Rico (Federal District Court of Puerto Rico) related to the Company’s exposure to all insured Puerto Rico credits experiencing payment default in 2022 except PREPA (2022 Puerto Rico Resolutions). Under the Modified Eighth Amended Title III Joint Plan of Adjustment of the Commonwealth of Puerto Rico, the Employees Retirement System of the Government of the Commonwealth of Puerto Rico, and the Puerto Rico Public Buildings Authority (GO/PBA Plan), the Company received cash, new general obligation bonds (New GO Bonds) and contingent value instruments (CVIs). In connection with the Modified Fifth Amended Title III Plan of Adjustment for PRHTA (HTA Plan) and related arrangements, the Company received cash and new bonds backed by toll revenues (Toll Bonds) from the PRHTA and CVIs from the Commonwealth of Puerto Rico.

3) The Company’s remaining PRHTA exposures consist of insured bondholders who elected to receive custody receipts that represent an interest in the legacy insurance policy plus cash and Toll Bonds that constitute distributions under the HTA Plan, and exposures assumed from third-parties.

4) All debt service on these insured exposures have been paid to date without any insurance claim being made on the Company.

Assured Guaranty Ltd.

Exposure to Puerto Rico (2 of 2)

As of September 30, 2023

(dollars in millions)

Amortization Schedule of Net Par Outstanding of Puerto Rico


	2023 (4Q)		2024 (1Q)		2024 (2Q)		2024 (3Q)		2024 (4Q)		2025		2026		2027		2028		2029		2030		2031		2032		2033 - 2037		2038 - 2041		Total
Defaulted Puerto Rico Exposures
PREPA	$	—	$	—	$	—	$	93	$	—	$	68	$	105	$	105	$	68	$	39	$	44	$	75	$	14	$	13	$	—	$	624
Total Defaulted	—		—		—		93		—		68		105		105		68		39		44		75		14		13		—		624
Resolved Puerto Rico Exposures
PRHTA (Transportation revenue)	—		—		—		—		—		—		—		—		—		—		—		—		—		121		123		244
PRHTA (Highway revenue)	—		—		—		—		—		—		—		—		—		—		—		—		27		101		—		128
Total Resolved	—		—		—		—		—		—		—		—		—		—		—		—		27		222		123		372
Other Puerto Rico Exposures
MFA	—		—		—		16		—		16		35		15		13		7		6		—		—		—		—		108
PRASA and U of PR	—		—		—		1		—		—		—		—		—		—		—		—		—		—		—		1
Total Other	—		—		—		17		—		16		35		15		13		7		6		—		—		—		—		109

Total	$	—	$	—	$	—	$	110	$	—	$	84	$	140	$	120	$	81	$	46	$	50	$	75	$	41	$	235	$	123	$	1,105

Amortization Schedule of Net Debt Service Outstanding of Puerto Rico


	2023 (4Q)		2024 (1Q)		2024 (2Q)		2024 (3Q)		2024 (4Q)		2025		2026		2027		2028		2029		2030		2031		2032		2033 - 2037		2038 - 2041		Total
Defaulted Puerto Rico Exposures
PREPA	$	3	$	12	$	3	$	105	$	3	$	92	$	126	$	122	$	80	$	47	$	51	$	80	$	15	$	14	$	—	$	753
Total Defaulted	3		12		3		105		3		92		126		122		80		47		51		80		15		14		—		753
Resolved Puerto Rico Exposures
PRHTA (Transportation revenue)	—		6		—		6		—		13		13		12		13		13		13		13		13		173		140		428
PRHTA (Highway revenue)	—		3		—		3		—		7		7		7		6		7		7		7		34		115		—		203
Total Resolved	—		9		—		9		—		20		20		19		19		20		20		20		47		288		140		631
Other Puerto Rico Exposures
MFA	—		3		—		19		—		20		39		17		14		8		6		—		—		—		—		126
PRASA and U of PR	—		—		—		1		—		—		—		—		—		—		—		—		—		—		—		1
Total Other	—		3		—		20		—		20		39		17		14		8		6		—		—		—		—		127

Total	$	3	$	24	$	3	$	134	$	3	$	132	$	185	$	158	$	113	$	75	$	77	$	100	$	62	$	302	$	140	$	1,511

Assured Guaranty Ltd.

U.S. RMBS Profile

As of September 30, 2023

(dollars in millions)

Distribution of U.S. RMBS by Rating and Type of Exposure


Ratings:	Prime First Lien		Alt-A First Lien		Option ARMs		Subprime First Lien		Second Lien		Total Net Par Outstanding
AAA	$	9	$	59	$	9	$	334	$	3	$	414
AA	8		72		7		142		171		400
A	—		—		—		2		7		9
BBB	3		—		1		33		1		38
BIG	31		195		14		610		106		956
Total exposures	$	51	$	326	$	31	$	1,121	$	288	$	1,817

Distribution of U.S. RMBS by Year Insured and Type of Exposure


Year insured:	Prime First Lien		Alt-A First Lien		Option ARMs		Subprime First Lien		Second Lien		Total Net Par Outstanding
2004 and prior	$	8	$	7	$	—	$	311	$	10	$	336
2005	21		112		14		180		44		371
2006	22		23		1		38		96		180
2007	—		184		16		562		138		900
2008	—		—		—		30		—		30
Total exposures	$	51	$	326	$	31	$	1,121	$	288	$	1,817

Please refer to the Glossary for an explanation of the Company's presentation of net par outstanding, internal ratings and a description of sectors.

Assured Guaranty Ltd.

Direct Pooled Corporate Obligations Profile

As of September 30, 2023

(dollars in millions)

Distribution of Direct Pooled Corporate Obligations by Ratings


	Net Par Outstanding		% of Total		Average Initial Credit Enhancement		Average Current Credit Enhancement
Ratings:
AAA	$	762	81.7	%	41.7	%	50.5	%
AA	53		5.7		41.2		52.5
A	89		9.5		37.8		47.1
BBB	29		3.1		42.0		45.4
Total exposures	$	933	100.0	%	41.3	%	50.1	%

Distribution of Direct Pooled Corporate Obligations by Asset Class


	Net Par Outstanding		% of Total		Average Initial Credit Enhancement		Average Current Credit Enhancement		Number of Transactions
Asset class:
Trust preferred
Banks and insurance	$	342	36.7	%	43.4	%	63.3	%	12
U.S. mortgage and real estate investment trusts	81		8.6		47.3		64.3		3
CLOs	510		54.7		38.9		39.0		6
Total exposures	$	933	100.0	%	41.3	%	50.1	%	21

Please refer to the Glossary for an explanation of internal ratings, performance indicators and sectors.

Assured Guaranty Ltd.

Below Investment Grade Exposures (1 of 3)

(dollars in millions)

BIG Exposures by Asset Exposure Type


	As of
	September 30,		December 31,
	2023		2022
U.S. public finance:
Healthcare	$	1,084	$	1,085
Municipal utilities	920		1,025
Tax backed	497		889
General obligation	311		337
Transportation	108		109
Higher education	103		107
Housing revenue	70		73
Investor-owned utilities	47
Infrastructure finance	45		46
Other public finance	119		125
Total U.S. public finance	3,304		3,796
Non-U.S. public finance:
Infrastructure finance	771		911
Sovereign and sub-sovereign	47		52
Renewable energy	—		18
Total non-U.S. public finance	818		981
Total public finance	4,122		4,777

U.S. structured finance:
RMBS	956		1,010
Consumer receivables	54		60
Life insurance transactions	40		40
Other structured finance	2		5
Total U.S. structured finance	1,052		1,115
Non-U.S. structured finance:
Total non-U.S. structured finance	—		—
Total structured finance	1,052		1,115
Total BIG net par outstanding	$	5,174	$	5,892

Please refer to the Glossary for an explanation of the Company's presentation of net par outstanding and a description of various sectors.

Assured Guaranty Ltd.

Below Investment Grade Exposures (2 of 3)

(dollars in millions)

Net Par Outstanding by BIG Category (1)


	As of
	September 30,		December 31,
	2023		2022
BIG Category 1
U.S. public finance	$	1,290	$	2,364
Non-U.S. public finance	818		981
U.S. structured finance	23		18
Non-U.S. structured finance	—		—
Total BIG Category 1	2,131		3,363
BIG Category 2
U.S. public finance	926		108
Non-U.S. public finance	—		—
U.S. structured finance	64		73
Non-U.S. structured finance	—		—
Total BIG Category 2	990		181
BIG Category 3
U.S. public finance	1,088		1,324
Non-U.S. public finance	—		—
U.S. structured finance	965		1,024
Non-U.S. structured finance	—		—
Total BIG Category 3	2,053		2,348
BIG Total	$	5,174	$	5,892

1) Assured Guaranty's surveillance department is responsible for monitoring the Company's portfolio of credits and maintains a list of BIG credits. BIG Category 1: Below-investment-grade transactions showing sufficient deterioration to make future losses possible, but for which none are currently expected. BIG Category 2: Below-investment-grade transactions for which future losses are expected but for which no claims (other than liquidity claims which are claims that the Company expects to be reimbursed within one year) have yet been paid. BIG Category 3: Below-investment-grade transactions for which future losses are expected and on which claims (other than liquidity claims) have been paid.

Please refer to the Glossary for an explanation of the Company's internal rating approach, presentation of net par outstanding and a description of various sectors.

Assured Guaranty Ltd.

Below Investment Grade Exposures (3 of 3)

As of September 30, 2023

(dollars in millions)

Public Finance and Structured Finance BIG Exposures with Revenue Sources Greater Than $50 Million

Net Par Outstanding

Internal

Rating (1)

60+ Day Delinquencies

Name or description

U.S. public finance:

ProMedica Healthcare Obligated Group, Ohio

820

BB-

Puerto Rico Electric Power Authority

624

CCC

Puerto Rico Highways & Transportation Authority

372

CCC

OU Health (Medicine), Oklahoma

253

BB+

Jackson Water & Sewer System, Mississippi

159

Puerto Rico Municipal Finance Agency

108

CCC

Stockton City, California

New Jersey City University

Harrisburg Parking System, Pennsylvania

San Jacinto River Authority (GRP Project), Texas

BB+

Indiana University of Pennsylvania, Pennsylvania

CCC

Atlantic City, New Jersey

Total U.S. public finance

2,765

Non-U.S. public finance:

Coventry & Rugby Hospital Company (Walsgrave Hospital) Plc

501

B+

Dartford & Gravesham NHS Trust The Hospital Company (Dartford) Plc

119

BB+

Road Management Services PLC (A13 Highway)

117

B+

Total non-U.S. public finance

737

Total public finance

3,502

U.S. structured finance:

RMBS:

Option One 2007-FXD2

109

CCC

15.1%

Option One Mortgage Loan Trust 2007-Hl1

CCC

25.4%

Argent Securities Inc. 2005-W4

CCC

10.9%

Nomura Asset Accept. Corp. 2007-1

CCC

18.1%

New Century 2005-A

CCC

13.0%

Total RMBS-U.S. structured finance

413

Total non-U.S. structured finance

—

Total structured finance

413

Total

3,915

1) Transactions rated below B- are categorized as CCC.

Please refer to the Glossary for an explanation of the Company's internal rating approach, presentation of net par outstanding and a description of performance indicators and sectors.

Assured Guaranty Ltd.

Largest Exposures by Sector (1 of 3)

As of September 30, 2023

(dollars in millions)

50 Largest U.S. Public Finance Exposures by Revenue Source

Credit Name:

Net Par Outstanding

Internal

Rating (1)

New Jersey (State of)

2,935

BBB

Pennsylvania (Commonwealth of)

2,212

BBB+

Metro Washington Airports Authority (Dulles Toll Road)

1,649

BBB+

New York Metropolitan Transportation Authority

1,521

A-

Foothill/Eastern Transportation Corridor Agency, California

1,321

BBB+

Alameda Corridor Transportation Authority, California

1,297

BBB+

North Texas Tollway Authority

1,280

A+

Port Authority of New York and New Jersey

1,048

BBB

CommonSpirit Health, Illinois

1,000

A-

San Joaquin Hills Transportation, California

987

BBB

Lower Colorado River Authority

976

Yankee Stadium LLC New York City Industrial Development Authority

929

BBB

Illinois (State of)

928

BBB

San Diego Family Housing, LLC

896

Municipal Electric Authority of Georgia

892

BBB+

Philadelphia School District, Pennsylvania

891

A-

Chicago Water, Illinois

877

BBB+

Montefiore Medical Center, New York

837

BBB-

ProMedica Healthcare Obligated Group, Ohio

820

BB-

Dade County Seaport, Florida

810

A-

Metropolitan Pier and Exposition Authority, Illinois

807

BBB-

Houston Airport System, Texas

783

Chicago Public Schools, Illinois

783

BBB-

Jefferson County Alabama Sewer

782

BBB

Great Lakes Water Authority (Sewerage), Michigan

769

A-

Pittsburgh Water & Sewer, Pennsylvania

766

A-

California (State of)

760

AA-

Wisconsin (State of)

742

New York Power Authority

726

AA-

Los Angeles Department of Airports (LAX Project), California

719

A-

Tucson (City of), Arizona

719

A+

Nassau County, New York

717

AA-

South Carolina Public Service Authority - Santee Cooper

715

BBB

Massachusetts (Commonwealth of) Water Resources

704

New York (City of), New York

698

AA-

Central Florida Expressway Authority, Florida

698

A+

Anaheim (City of), California

670

A-

Pennsylvania Turnpike Commission

670

A-

Clark County School District, Nevada

669

A-

Philadelphia (City of), Pennsylvania

652

A-

North Carolina Turnpike Authority

636

BBB-

Chicago (City of) Wastewater Transmission, Illinois

634

BBB+

Puerto Rico Electric Power Authority

624

CCC

Mets Queens Ballpark

607

BBB

Suffolk County, New York

602

BBB+

Private Transaction

600

BBB-

Oglethorpe Power Corporation, Georgia

575

BBB

Chicago-O'Hare International Airport, Illinois

570

A-

Philadelphia Water & Wastewater, Pennsylvania

565

Palomar Health

551

BBB

Total top 50 U.S. public finance exposures

44,619

1) Transactions rated below B- are categorized as CCC.

Please refer to the Glossary for an explanation of net par outstanding, internal ratings and sectors.

Assured Guaranty Ltd.

Largest Exposures by Sector (2 of 3)

As of September 30, 2023

(dollars in millions)

25 Largest U.S. Structured Finance Exposures

Credit Name:

Net Par Outstanding

Internal

Rating (1)

Private US Insurance Securitization

1,250

A+

Private US Insurance Securitization

1,100

Private US Insurance Securitization

946

AA-

Private US Insurance Securitization

399

AA-

Private US Insurance Securitization

398

AA-

Private US Insurance Securitization

386

AA-

SLM Student Loan Trust 2007-A

174

DB Master Finance LLC

133

BBB

Private Middle Market CLO

129

AAA

Private US Insurance Securitization

126

Option One 2007-FXD2

109

CCC

CWABS 2007-4

103

A+

Private Balloon Note Guarantee

100

Option One Mortgage Loan Trust 2007-Hl1

CCC

Argent Securities Inc. 2005-W4

CCC

CAPCO - Excess SIPC Excess of Loss Reinsurance

BBB

Nomura Asset Accept. Corp. 2007-1

CCC

Private Other Structured Finance Transaction

A-

Private Balloon Note Guarantee

BBB

ALESCO Preferred Funding XIII, Ltd.

AAA

CWALT Alternative Loan Trust 2007-HY9

A+

New Century 2005-A

CCC

Alesco Preferred Funding XVI, Ltd.

SLM Student Loan Trust 2006-C

Private Balloon Note Guarantee

Total top 25 U.S. structured finance exposures

6,099

1) Transactions rated below B- are categorized as CCC.

Please refer to the Glossary for an explanation of net par outstanding, internal ratings and sectors.

Assured Guaranty Ltd.

Largest Exposures by Sector (3 of 3)

As of September 30, 2023

(dollars in millions)

50 Largest Non-U.S. Exposures by Revenue Source

Credit Name:

Country

Net Par Outstanding

Internal Rating

Southern Water Services Limited

United Kingdom

2,279

BBB

Thames Water Utilities Finance PLC

United Kingdom

1,968

BBB

Southern Gas Networks PLC

United Kingdom

1,928

BBB

Dwr Cymru Financing Limited

United Kingdom

1,722

A-

Anglian Water Services Financing PLC

United Kingdom

1,618

A-

National Grid Gas PLC

United Kingdom

1,512

BBB+

Quebec Province

Canada

1,447

AA-

Channel Link Enterprises Finance PLC

France, United Kingdom

1,195

BBB

Yorkshire Water Services Finance Plc

United Kingdom

1,037

BBB

British Broadcasting Corporation (BBC)

United Kingdom

1,013

A+

Capital Hospitals (Issuer) PLC

United Kingdom

928

BBB-

Verbund, Lease and Sublease of Hydro-Electric Equipment

Austria

903

AAA

Aspire Defence Finance plc

United Kingdom

719

BBB+

Verdun Participations 2 S.A.S.

France

686

BBB-

National Grid Company PLC

United Kingdom

678

BBB+

Severn Trent Water Utilities Finance Plc

United Kingdom

623

BBB+

Envestra Limited

Australia

593

A-

United Utilities Water PLC

United Kingdom

536

A-

Private International Sub-Sovereign Transaction

United Kingdom

533

A+

Wessex Water Services Finance Plc

United Kingdom

533

BBB+

Coventry & Rugby Hospital Company (Walsgrave Hospital) Plc

United Kingdom

502

B+

South East Water

United Kingdom

488

BBB

NewHospitals (St Helens & Knowsley) Finance PLC

United Kingdom

478

BBB+

Campania Region - Healthcare receivable

Italy

473

BBB-

North Staffordshire PFI, 32-year EIB Index-Linked Facility

United Kingdom

465

BBB-

Central Nottinghamshire Hospitals PLC

United Kingdom

462

BBB-

Derby Healthcare PLC

United Kingdom

453

BBB

Sydney Airport Finance Company

Australia

451

BBB+

The Hospital Company (QAH Portsmouth) Limited

United Kingdom

435

BBB

Heathrow Funding Limited

United Kingdom

401

BBB

University of Essex, United Kingdom

United Kingdom

379

BBB+

South West Water UK

United Kingdom

372

BBB+

International Infrastructure Pool

United Kingdom

362

AAA

International Infrastructure Pool

United Kingdom

362

AAA

International Infrastructure Pool

United Kingdom

362

AAA

South Lanarkshire Schools

United Kingdom

343

BBB

Comision Federal De Electricidad (CFE) El Cajon Project

Mexico

338

BBB-

Western Power Distribution (South West) PLC

United Kingdom

313

BBB+

University of Sussex - East Slope Residencies PLC

United Kingdom

303

BBB+

Northumbrian Water PLC

United Kingdom

303

BBB+

Private International Sub-Sovereign Transaction

United Kingdom

303

Catalyst Healthcare (Romford) Financing PLC

United Kingdom

303

BBB

Q Energy - Phase II - Pride Investments, S.A.

Spain

296

BBB

Japan Expressway Holding and Debt Repayment Agency

Japan

295

A+

Hypersol Solar Inversiones, S.A.U.

Spain

290

BBB

Bakethin Finance Plc

United Kingdom

277

A-

Feria Muestrario Internacional de Valencia

Spain

275

BBB-

Western Power Distribution (South Wales) PLC

United Kingdom

274

BBB+

Q Energy - Phase III - FSL Issuer, S.A.U.

Spain

267

BBB

Octagon Healthcare Funding PLC

United Kingdom

265

BBB

Total top 50 non-U.S. exposures

33,341

Please refer to the Glossary for an explanation of net par outstanding, internal ratings and sectors.

Asset Management Segment

Assured Guaranty Ltd.

Asset Management Segment Results

(dollars in millions)


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2023		2022		2023		2022
Segment revenues
Management fees	$	—	$	18	$	35	$	66
Performance fees	—		2		29		20
Foreign exchange gains (losses) on remeasurement and other income (loss)	—		1		7		2
Total segment revenues	—		21		71		88

Segment expenses
Interest expense	—		—		1		—
Employee compensation and benefit expenses	—		16		59		62
Other operating expenses	—		8		15		29
Total segment expenses	—		24		75		91
Segment adjusted operating income (loss) before income taxes	—		(3)		(4)		(3)
Less: Provision (benefit) for income taxes	—		—		(1)		—
Segment adjusted operating income (loss)	$	—	$	(3)	$	(3)	$	(3)

			As of September 30,				As of December 31,
			2023				2022

AUM			$	—			$	17,464

Corporate Division

Assured Guaranty Ltd.

Corporate Division Results

(dollars in millions)


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2023		2022		2023		2022

Revenues
Gain on sale of asset management subsidiaries	$	255	$	—	$	255	$	—
Other	4		1		8		3
Total revenues	259		1		263		3

Expenses
Interest expense	26		22		73		66
Employee compensation and benefit expenses	10		7		28		20
Other operating expenses	21		5		64		18
Total expenses	57		34		165		104
Equity in earnings (losses) of investees	—		—		—		—
Adjusted operating income (loss) before income taxes	202		(33)		98		(101)
Less: Provision (benefit) for income taxes	47		(3)		37		(3)
Adjusted operating income (loss)	$	155	$	(30)	$	61	$	(98)

Other

Assured Guaranty Ltd.

Other Results (1 of 2)

(dollars in millions)


	Three Months Ended September 30, 2023
	FG VIEs		CIVs		Intersegment Eliminations		Total Other
	(in millions)
Revenues
Net earned premiums	$	(1)	$	—	$	—	$	(1)
Net investment income	(1)		—		(2)		(3)
Fair value gains (losses) on FG VIEs	6		—		—		6
Fair value gains (losses) on CIVs	—		(4)		—		(4)
Other income (loss)	(2)		—		—		(2)
Total revenues	2		(4)		(2)		(4)
Expenses
Loss expense (benefit)	(1)		—		—		(1)
Interest expense	—		—		(2)		(2)
Total expenses	(1)		—		(2)		(3)
Equity in earnings (losses) of investees	—		(7)		—		(7)
Adjusted operating income (loss) before income taxes	3		(11)		—		(8)
Less: Provision (benefit) for income taxes	1		(3)		—		(2)
Less: Noncontrolling interests	—		2		—		2
Adjusted operating income (loss)	$	2	$	(10)	$	—	$	(8)


	Three Months Ended September 30, 2022
	FG VIEs		CIVs		Intersegment Eliminations and Reclassifications		Total Other
	(in millions)
Revenues
Net earned premiums	$	(1)	$	—	$	—	$	(1)
Net investment income	(1)		—		(2)		(3)
Asset management fees	—		(7)		3		(4)
Fair value gains (losses) on FG VIEs	11		—		—		11
Fair value gains (losses) on CIVs	—		8		—		8
Foreign exchange gains (losses) on remeasurement	—		2		—		2
Other income (loss)	(1)		1		—		—
Total revenues	8		4		1		13
Expenses
Loss expense (benefit)	1		—		—		1
Interest expense	—		—		(2)		(2)
Other operating expenses	—		—		3		3
Total expenses	1		—		1		2
Equity in earnings (losses) of investees	—		(9)		—		(9)
Adjusted operating income (loss) before income taxes	7		(5)		—		2
Less: Provision (benefit) for income taxes	1		—		—		1
Less: Noncontrolling interests	—		(6)		—		(6)
Adjusted operating income (loss)	$	6	$	1	$	—	$	7

Assured Guaranty Ltd.

Other Results (2 of 2)

(dollars in millions)


	Nine Months Ended September 30, 2023
	FG VIEs		CIVs		Intersegment Eliminations and Reclassifications		Total Other
	(in millions)
Revenues
Net earned premiums	$	(3)	$	—	$	—	$	(3)
Net investment income	(2)		—		(7)		(9)
Asset management fees	—		(25)		14		(11)
Fair value gains (losses) on FG VIEs	(2)		—		—		(2)
Fair value gains (losses) on CIVs	—		60		—		60
Foreign exchange gains (losses) on remeasurement	—		(1)		—		(1)
Other income (loss)	(3)		(3)		—		(6)
Total revenues	(10)		31		7		28
Expenses
Loss expense (benefit)	6		—		—		6
Interest expense	—		—		(7)		(7)
Other operating expenses	—		(1)		14		13
Total expenses	6		(1)		7		12
Equity in earnings (losses) of investees	—		(35)		—		(35)
Adjusted operating income (loss) before income taxes	(16)		(3)		—		(19)
Less: Provision (benefit) for income taxes	(3)		(5)		—		(8)
Less: Noncontrolling interests	—		19		—		19
Adjusted operating income (loss)	$	(13)	$	(17)	$	—	$	(30)


	Nine Months Ended September 30, 2022
	FG VIEs		CIVs		Intersegment Eliminations and Reclassifications		Total Other
	(in millions)
Revenues
Net earned premiums	$	(3)	$	—	$	—	$	(3)
Net investment income	(3)		—		(7)		(10)
Asset management fees	—		(29)		14		(15)
Fair value gains (losses) on FG VIEs	27		—		—		27
Fair value gains (losses) on CIVs	—		25		—		25

Foreign exchange gains (losses) on remeasurement	—		7		—		7
Other income (loss)	(2)		5		—		3
Total revenues	19		8		7		34
Expenses
Loss expense (benefit)	8		—		—		8
Interest expense	—		—		(7)		(7)
Other operating expenses	—		(1)		14		13
Total expenses	8		(1)		7		14
Equity in earnings (losses) of investees	—		15		—		15
Adjusted operating income (loss) before income taxes	11		24		—		35
Less: Provision (benefit) for income taxes	2		1		—		3
Less: Noncontrolling interests	—		25		—		25
Adjusted operating income (loss)	$	9	$	(2)	$	—	$	7

Summary

Assured Guaranty Ltd.

Summary of Financial and Statistical Data

(dollars in millions, except per share amounts)


	As of and for the Nine Months Ended September 30, 2023			Year Ended December 31,
				2022			2021			2020			2019
GAAP Summary Statements of Operations Data
Net earned premiums	$	261		$	494		$	414		$	485		$	476
Net investment income	270			269			269			297			378
Total expenses	605			536			465			729			503
Income (loss) before income taxes	466			187			383			386			460
Net income (loss) attributable to AGL	363			124			389			362			402
Net income (loss) attributable to AGL per diluted share	5.99			1.92			5.23			4.19			4.00

GAAP Summary Balance Sheet Data
Total investments and cash	$	8,916		$	8,472		$	9,728		$	10,000		$	10,409
Total assets	11,944			16,843			18,208			15,334			14,326
Unearned premium reserve	3,600			3,620			3,716			3,735			3,736
Loss and LAE reserve	361			296			869			1,088			1,050
Long-term debt	1,693			1,675			1,673			1,224			1,235
Shareholders’ equity attributable to AGL	5,252			5,064			6,292			6,643			6,639
Shareholders’ equity attributable to AGL per share	90.84			85.80			93.19			85.66			71.18

Other Financial Information (GAAP Basis)
Financial guaranty:
Net debt service outstanding (end of period)	$	383,976		$	369,951		$	367,360		$	366,233		$	374,130
Gross debt service outstanding (end of period)	384,198			370,172			367,770			366,692			375,776
Net par outstanding (end of period)	241,833			233,258			236,392			234,153			236,807
Gross par outstanding (end of period)	242,009			233,438			236,765			234,571			238,156

Other Financial Information (Statutory Basis)(1)
Financial guaranty:
Net debt service outstanding (end of period)	$	382,425		$	366,883		$	362,013		$	360,392		$	367,630
Gross debt service outstanding (end of period)	382,648			367,103			362,423			360,852			369,251
Net par outstanding (end of period)	240,169			230,294			231,742			229,008			230,984
Gross par outstanding (end of period)	240,345			230,474			232,115			229,426			232,333

Claims-paying resources(2)
Policyholders' surplus	$	4,919		$	5,155		$	5,572		$	5,077		$	5,056
Contingency reserve	1,308			1,202			1,225			1,557			1,607
Qualified statutory capital	6,227			6,357			6,797			6,634			6,663
Unearned premium reserve and net deferred ceding commission income	2,910			2,941			2,972			2,983			2,961
Loss and LAE reserves	154			165			167			202			529
Total policyholders' surplus and reserves	9,291			9,463			9,936			9,819			10,153
Present value of installment premium	983			955			883			858			804
CCS and standby line of credit	400			400			400			400			400
Total claims-paying resources	$	10,674		$	10,818		$	11,219		$	11,077		$	11,357

Ratios:
Net exposure to qualified statutory capital	39		:1	36		:1	34		:1	35		:1	35		:1
Capital ratio	62		:1	58		:1	53		:1	54		:1	55		:1
Financial resources ratio	36		:1	34		:1	32		:1	33		:1	32		:1
Adjusted statutory net exposure to claims-paying resources	23		:1	21		:1	21		:1	21		:1	20		:1

Par and Debt Service Written (Financial Guaranty and Specialty)
Gross debt service written:
Public finance - U.S.	$	28,761		$	36,954		$	35,572		$	33,596		$	28,054
Public finance - non-U.S.	1,052			756			1,890			1,860			17,907
Structured finance - U.S.	1,102			1,120			1,319			508			1,704
Structured finance - non-U.S.	2,777			551			431			254			88
Total gross debt service written	$	33,692		$	39,381		$	39,212		$	36,218		$	47,753

Net debt service written	$	33,692		$	39,381		$	39,212		$	35,965		$	47,731
Net par written	20,285			22,047			26,656			23,012			24,331
Gross par written	20,285			22,047			26,656			23,265			24,353

1) Statutory amounts prepared on a consolidated basis. The National Association of Insurance Commissioners Annual Statements for U.S. Domiciled Insurance Subsidiaries are prepared on a stand-alone basis.

2) See page 19 for additional detail on claims-paying resources.

Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

Please refer to the Glossary for an explanation of the presentation of net debt service and net par outstanding and of the various sectors.

Assured Guaranty Ltd.

Summary of GAAP to Non-GAAP Reconciliations(1) (1 of 2)

(dollars in millions, except per share amounts)


	Nine Months Ended September 30, 2023		Year Ended December 31,
			2022		2021		2020		2019
Total GWP	$	221	$	360	$	377	$	454	$	677
Less: Installment GWP and other GAAP adjustments (2)	144		145		158		191		469
Upfront GWP	77		215		219		263		208
Plus: Installment premiums and other (3)	172		160		142		127		361
Total PVP	$	249	$	375	$	361	$	390	$	569

PVP:
Public finance - U.S.	$	129	$	257	$	235	$	292	$	201
Public finance - non-U.S.	38		68		79		82		308
Structured finance - U.S.	42		43		42		14		53
Structured finance - non-U.S.	40		7		5		2		7
Total PVP	$	249	$	375	$	361	$	390	$	569

Adjusted operating income reconciliation:
Net income (loss) attributable to AGL	$	363	$	124	$	389	$	362	$	402
Less pre-tax adjustments:
Realized gains (losses) on investments	(20)		(56)		15		18		22
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	109		(18)		(64)		65		(10)
Fair value gains (losses) on CCS	(35)		24		(28)		(1)		(22)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	9		(110)		(21)		42		22
Total pre-tax adjustments	63		(160)		(98)		124		12
Less tax effect on pre-tax adjustments	(10)		17		17		(18)		(1)
Adjusted operating income (loss)	$	310	$	267	$	470	$	256	$	391

Adjusted operating income per diluted share reconciliation:
Net income (loss) attributable to AGL per diluted share	$	5.99	$	1.92	$	5.23	$	4.19	$	4.00
Less pre-tax adjustments:
Realized gains (losses) on investments	(0.33)		(0.87)		0.20		0.21		0.22
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	1.81		(0.27)		(0.85)		0.75		(0.11)
Fair value gains (losses) on CCS	(0.58)		0.37		(0.38)		(0.01)		(0.22)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.14		(1.72)		(0.29)		0.49		0.21
Total pre-tax adjustments	1.04		(2.49)		(1.32)		1.44		0.10
Tax effect on pre-tax adjustments	(0.17)		0.27		0.23		(0.22)		(0.01)
Adjusted operating income (loss) per diluted share	$	5.12	$	4.14	$	6.32	$	2.97	$	3.91

1) Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

2) Includes the present value of new business on installment policies discounted at the prescribed GAAP discount rates, GWP adjustments on existing installment policies due to changes in assumptions and other GAAP adjustments.

3) Includes the present value of future premiums and fees on new business paid in installments, discounted at the approximate average pre-tax book yield of fixed-maturity securities purchased during the prior calendar year, other than certain fixed-maturities such as Loss Mitigation Securities. Nine months 2023 and 2022 also include the present value of future premiums and fees associated with other guaranties written by the Company that, under GAAP, are accounted for under Accounting Standards Codification (ASC) 460, Guarantees.

Assured Guaranty Ltd.

Summary of GAAP to Non-GAAP Reconciliations(1) (2 of 2)

(dollars in millions, except per share amounts)


	As of September 30, 2023		As of December 31,
			2022		2021		2020		2019
Adjusted book value reconciliation:
Shareholders’ equity attributable to AGL	$	5,252	$	5,064	$	6,292	$	6,643	$	6,639
Less pre-tax adjustments:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	38		(71)		(54)		9		(56)
Fair value gains (losses) on CCS	12		47		23		52		52
Unrealized gain (loss) on investment portfolio	(609)		(523)		404		611		486
Less taxes	76		68		(72)		(116)		(89)
Adjusted operating shareholders' equity	5,735		5,543		5,991		6,087		6,246
Pre-tax adjustments:
Less: Deferred acquisition costs	158		147		131		119		111
Plus: Net present value of estimated net future revenue	190		157		160		182		206
Plus: Net deferred premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,404		3,428		3,402		3,355		3,296
Plus taxes	(612)		(602)		(599)		(597)		(590)
Adjusted book value	$	8,559	$	8,379	$	8,823	$	8,908	$	9,047

Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders' equity (net of tax (provision) benefit of $(1), $(4), $(5), $-, and $(2))	$	4	$	17	$	32	$	2	$	7
Adjusted book value (net of tax (provision) benefit of $(1), $(3), $(3), $2, and $1)	$	(2)	$	11	$	23	$	(8)	$	(4)

Adjusted book value per share reconciliation:
Shareholders' equity attributable to AGL per share	$	90.84	$	85.80	$	93.19	$	85.66	$	71.18
Less pre-tax adjustments:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	0.66		(1.21)		(0.80)		0.12		(0.60)
Fair value gains (losses) on CCS	0.21		0.80		0.34		0.66		0.56
Unrealized gain (loss) on investment portfolio	(10.52)		(8.86)		5.99		7.89		5.21
Less taxes	1.31		1.15		(1.07)		(1.50)		(0.95)
Adjusted operating shareholders' equity per share	99.18		93.92		88.73		78.49		66.96
Pre-tax adjustments:
Less: Deferred acquisition costs	2.73		2.48		1.95		1.54		1.19
Plus: Net present value of estimated net future revenue	3.28		2.66		2.37		2.35		2.20
Plus: Net deferred premium reserve on financial guaranty contracts in excess of expected loss to be expensed	58.88		58.10		50.40		43.27		35.34
Plus taxes	(10.58)		(10.22)		(8.88)		(7.70)		(6.32)
Adjusted book value per share	$	148.03	$	141.98	$	130.67	$	114.87	$	96.99

Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders' equity per share	$	0.06	$	0.28	$	0.47	$	0.03	$	0.07
Adjusted book value per share	$	(0.03)	$	0.19	$	0.34	$	(0.10)	$	(0.05)

1) See Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

Glossary

Financial Guaranty Insurance

Net Par Outstanding and Internal Ratings

Net Par Outstanding is insured par exposure, net of reinsurance cessions. Unless otherwise indicated, GAAP net par outstanding amounts exclude amounts as a result of loss mitigation strategies, including securities the Company has purchased for loss mitigation purposes that are held in the investment portfolio.

Internal Rating utilizes the Company’s ratings scale, which is similar to that used by the nationally recognized statistical rating organizations; however, the ratings in the tables may not be the same as ratings assigned by any such rating agency.

Statutory Net Par and Net Debt Service Outstanding. Under statutory accounting, net par and net debt service outstanding would be reduced both when an outstanding issue is legally defeased (i.e., an issuer has legally discharged its obligations with respect to a municipal security by satisfying conditions set forth in defeasance provisions contained in transaction documents and is no longer responsible for the payment of debt service with respect to such obligations) and when such issue is economically defeased (i.e., transaction documents for a municipal security do not contain defeasance provisions but the issuer establishes an escrow account with U.S. government securities in amounts sufficient to pay the refunded bonds when due; the refunded bonds are not considered paid and continue to be outstanding under the transaction documents and the issuer remains responsible to pay debt service when due to the extent monies on deposit in the escrow account are insufficient for such purpose).

Performance Indicators

The performance information described below is obtained from third parties and/or provided by the trustee and may be subject to revision as updated or additional information is obtained:

60+ Day Delinquencies are defined as loans that are greater than 60 days delinquent and all loans that are in foreclosure, bankruptcy or real estate owned divided by current collateral balance.

Average Credit Enhancement is intended to provide a measure of the amount of equity and/or subordinated tranches that are junior in the capital structure to Assured Guaranty’s exposure, expressed as a percentage of the total transaction size, and reflects any reduction of that credit support resulting from defaults or other factors. For transactions where excess spread may be available to absorb certain losses, the amounts shown do not include any benefit from excess spread. The calculation methodologies differ for the various asset classes to reflect differences in transaction structures in order to provide a measure that management believes is comparable across asset classes. Some asset classes may not have subordinated tranches so they are excluded from the weighted averages.

Sectors

Below are brief descriptions of selected types of public and structured finance obligations that the Company insures and reinsures. For a more complete description, please refer to Assured Guaranty Ltd.’s Annual Report on Form 10-K for the year ended December 31, 2022.

U.S. Public Finance:

General Obligation Bonds are full faith and credit obligations that are issued by states, their political subdivisions and other municipal issuers, and are supported by the general obligation of the issuer to pay from available funds and by a pledge of the issuer to levy property taxes in an amount sufficient to provide for the full payment of the bonds.

Tax-Backed Bonds are obligations that are supported by the issuer from specific and discrete sources of taxation and tax-backed revenue bonds. Tax-backed obligations may be secured by a lien on specific pledged tax revenues, such as a gasoline or excise tax, or an income tax, or incrementally from growth in property tax revenue associated with growth in property values. These obligations also include obligations secured by special assessments levied against property owners and often benefit from issuer covenants to enforce collections of such assessments and to foreclose on delinquent properties. Lease revenue bonds typically are general fund obligations of a municipality or other governmental authority that are subject to annual appropriation or abatement; projects financed and subject to such lease payments ordinarily include real estate or equipment serving an essential public purpose.

Municipal Utility Bonds are obligations of all forms of municipal utilities, including electric, water and sewer utilities and resource recovery revenue bonds. These utilities may be organized in various forms, including municipal enterprise systems, authorities or joint action agencies.

Transportation Bonds include a wide variety of revenue-supported obligations, such as bonds for airports, ports, tunnels, municipal parking facilities, toll roads and toll bridges.

Healthcare Bonds are obligations of healthcare facilities, including community-based hospitals and systems, as well as of health maintenance organizations and long-term care facilities.

Higher Education Bonds are obligations secured by revenue collected by either public or private secondary schools, colleges and universities. Such revenue can encompass all of an institution’s revenue, including tuition and fees, or in other cases, can be specifically restricted to certain auxiliary sources of revenue or revenue relating to student accommodation.

Glossary (continued)

Sectors (continued)

Infrastructure Bonds include obligations issued by a variety of entities engaged in the financing of infrastructure projects, such as roads, airports, ports, social infrastructure and other physical assets delivering essential services supported by long-term concession arrangements with a public sector entity.

Housing Revenue Bonds are obligations relating to both single and multi-family housing, issued by states and localities, supported by cash flow and, in some cases, insurance from entities such as the Federal Housing Administration.

Investor-Owned Utility Bonds are obligations primarily issued by investor-owned utilities and include first mortgage bond obligations of for-profit electric or water utilities providing retail, industrial and commercial service, as well as sale-leaseback obligation bonds supported by such entities.

Renewable Energy Bonds are obligations backed by revenue from renewable energy sources.

Other Public Finance Bonds include other debt issued, guaranteed or otherwise supported by U.S. national or local governmental authorities, as well as student loans, revenue bonds, and obligations of some not-for-profit organizations.

Non-U.S. Public Finance:

Regulated Utility Obligations are obligations issued by government-regulated providers of essential services and commodities, including electric, water and gas utilities, supported by the rates and charges paid by the utilities’ customers. The majority of the Company’s non-U.S regulated utility business is conducted in the United Kingdom.

Infrastructure Finance Obligations are obligations issued by a variety of entities engaged in the financing of non-U.S. infrastructure projects, such as roads, airports, ports, social infrastructure, student accommodations, stadiums, and other physical assets delivering essential services supported either by long-term concession arrangements or a regulatory regime. The majority of the Company’s non-U.S. infrastructure business is conducted in the U.K.

Pooled Infrastructure Obligations are synthetic asset-backed obligations that take the form of credit default swap obligations or credit-linked notes that reference either infrastructure finance obligations or a pool of such obligations, with a defined deductible to cover credit risks associated with the referenced obligations. The Company has not entered into a pooled infrastructure transaction since 2006.

Sovereign and Sub-Sovereign Obligations primarily include obligations of local, municipal, regional or national governmental authorities or agencies outside of the United States.

Renewable Energy Bonds are obligations secured by revenues relating to renewable energy sources, typically solar or wind farms. These transactions often benefit from regulatory support in the form of regulated minimum prices for the electricity produced. The majority of the Company’s international renewable energy business is conducted in Spain.

Other Public Finance Obligations are obligations of, or backed by, local, municipal, regional or national governmental authorities or agencies not generally described in any of the other described categories.

Structured Finance:

Residential Mortgage-Backed Securities are obligations backed by first and second lien mortgage loans on residential properties. The credit quality of borrowers covers a broad range, including “prime,” “subprime” and “Alt-A.” A prime borrower is generally defined as one with strong risk characteristics as measured by factors such as payment history, credit score, and debt-to-income ratio. A subprime borrower is a borrower with higher risk characteristics. An Alt-A borrower is generally defined as a prime quality borrower that lacks certain ancillary characteristics, such as fully documented income. RMBS include home equity lines of credit, which refers to a type of residential mortgage-backed transaction backed by second-lien loan collateral. The Company has not provided insurance for RMBS in the primary market since 2008.

Life Insurance Transactions are obligations secured by the future earnings from pools of various types of insurance/reinsurance policies and income produced by invested assets.

Pooled Corporate Obligations are securities primarily backed by various types of corporate debt obligations, such as secured or unsecured bonds, bank loans or loan participations and trust preferred securities. These securities are often issued in “tranches,” with subordinated tranches providing credit support to the more senior tranches. The Company’s financial guaranty exposures generally are to the more senior tranches of these issues.

Consumer Receivables Securities are obligations backed by non-mortgage consumer receivables, such as student loans, automobile loans and leases, manufactured home loans and other consumer receivables.

Glossary (continued)

Sectors (continued)

Financial Products Business is the guaranteed investment contracts (GICs) portion of a line of business previously conducted by Assured Guaranty Municipal Holdings Inc. (AGMH) that the Company did not acquire when it purchased AGMH in 2009 from Dexia SA and that is being run off. That line of business consisted of AGMH’s guaranteed investment contracts business, its medium term notes business and the equity payment agreements associated with AGMH’s leveraged lease business. Although Dexia SA and certain of its affiliates (Dexia) assumed the liabilities related to such businesses when the Company purchased AGMH, AGM policies related to such businesses remained outstanding. Assured Guaranty is indemnified by Dexia SA and certain of its affiliates against loss from the former Financial Products Business.

Other Structured Finance Obligations are obligations backed by assets not generally described in any of the other described categories.

Specialty Business

The Company also guarantees specialty business with risk profiles similar to those of its structured finance exposures written in financial guaranty form. The Company provides such specialty insurance and reinsurance, for example, for life insurance transactions and aircraft residual value insurance transactions.

Non-GAAP Financial Measures

GAAP requires the Company to consolidate entities where it is deemed to be the primary beneficiary which include:

•FG VIEs, which the Company does not own and where its exposure is limited to its obligation under the financial guaranty insurance contract, and

•CIVs in which certain subsidiaries invest.

Adjusted Operating Income: Management believes that adjusted operating income is a useful measure because it clarifies the understanding of the operating results of the Company. Adjusted operating income is defined as net income (loss) attributable to AGL, as reported under GAAP, adjusted for the following:

Non-GAAP Financial Measures (continued)

5) Elimination of the tax effects related to the above adjustments, which are determined by applying the statutory tax rate in each of the jurisdictions that generate these adjustments.

Adjusted Operating Shareholders’ Equity and Adjusted Book Value: Management believes that adjusted operating shareholders’ equity is a useful measure because it excludes the fair value adjustments on investments, credit derivatives and CCS that are not expected to result in economic gain or loss.

Adjusted operating shareholders’ equity is defined as shareholders’ equity attributable to AGL, as reported under GAAP, adjusted for the following:

4) Elimination of the tax effects related to the above adjustments, which are determined by applying the statutory tax rate in each of the jurisdictions that generate these adjustments.

1) Elimination of deferred acquisition costs, net. These amounts represent net deferred expenses that have already been paid or accrued and will be expensed in future accounting periods.

2) Addition of the net present value of estimated net future revenue. See below.

4) Elimination of the tax effects related to the above adjustments, which are determined by applying the statutory tax rate in each of the jurisdictions that generate these adjustments.

Non-GAAP Financial Measures (continued)

Adjusted Operating Return on Equity (Adjusted Operating ROE): Adjusted Operating ROE represents adjusted operating income for a specified period divided by the average of adjusted operating shareholders’ equity at the beginning and the end of that period. Management believes that adjusted operating ROE is a useful measure to evaluate the Company’s return on invested capital. Many investors, analysts and members of the financial news media use adjusted operating ROE, adjusted for VIE consolidation, to evaluate AGL’s share price and as the basis of their decision to recommend, buy or sell the AGL common shares. Quarterly and year-to-date adjusted operating ROE are calculated on an annualized basis. Adjusted operating ROE, adjusted for VIE consolidation, is one of the key management financial measures used in determining the amount of certain long-term compensation to management and employees and used by rating agencies and investors.

Net Present Value of Estimated Net Future Revenue: Management believes that this amount is a useful measure because it enables an evaluation of the present value of estimated net future revenue for non-financial guaranty insurance contracts. This amount represents the net present value of estimated future revenue from these contracts (other than credit derivatives with net expected losses), net of reinsurance, ceding commissions and premium taxes.

PVP or Present Value of New Business Production: Management believes that PVP is a useful measure because it enables the evaluation of the value of new business production in the Insurance segment by taking into account the value of estimated future installment premiums on all new contracts underwritten in a reporting period as well as additional installment premiums and fees on existing contracts (which may result from supplements or fees or from the issuer not calling an insured obligation the Company projected would be called), regardless of form, which management believes GAAP gross written premiums and changes in fair value of credit derivatives do not adequately measure. PVP in respect of contracts written in a specified period is defined as gross upfront and installment premiums received and the present value of gross estimated future installment premiums.

Assured Guaranty Ltd.

30 Woodbourne Avenue

Hamilton HM 08

Bermuda

(441) 279-5705

www.assuredguaranty.com

Contacts:

Equity and Fixed Income Investors:

Robert Tucker

Senior Managing Director, Investor Relations and Corporate Communications

(212) 339-0861

rtucker@agltd.com

Michael Walker

Managing Director, Fixed Income Investor Relations

(212) 261-5575

mwalker@agltd.com

Andre Thomas

Managing Director, Equity Investor Relations

(212) 339-3551

athomas@agltd.com

Media:

Ashweeta Durani

Vice President, Media Relations

(212) 408-6042

adurani@agltd.com

Assured Guaranty Announces New Senior Management Positions

Robert Bailenson Promoted to COO; Benjamin Rosenblum to Succeed Him as CFO

Hamilton, Bermuda, November 7, 2023 -- Assured Guaranty Ltd. (NYSE:AGO) (Assured Guaranty or the Company) announced that, as of January 1, 2024, Chief Financial Officer Robert A. Bailenson will be appointed Chief Operating Officer, and Chief Actuary Benjamin G. Rosenblum will succeed him as Chief Financial Officer.

“Assured Guaranty has a deep, highly experienced, and well-established senior management team, and these promotions further reinforce the core of Assured Guaranty’s steady leadership,” said Dominic J. Frederico, President and Chief Executive Officer. “Rob and Ben have each been with the company for many years and have an extensive understanding of our strategies, markets, business practices, and the unique characteristics of the financial guaranty business. We are taking these steps now to elevate them in recognition of their talents and contributions to the Company and to leverage their leadership abilities in pursuit of our strategic objectives."

As COO, Mr. Bailenson will be responsible for various strategic initiatives as Assured Guaranty seeks to grow its business and increase its returns through increased earnings from insurance and asset management, higher investment returns, and capital efficiencies. Specifically, he will assume responsibility over the company’s financial guaranty underwriting businesses and origination strategies worldwide, as well as other initiatives for revenue generation. He will also be in charge of Investor Relations and Corporate Communications, Information Technology, and the AG Analytics subsidiary. He will continue to work closely with President and CEO Dominic Frederico in setting the strategic direction of the Company and in the execution of corporate priorities.

As CFO, Mr. Rosenblum will assume responsibility for the operations of critical financial functions. As Chief Actuary, he has already been leading the Accounting, Financial Reporting, Sarbanes-Oxley controls, Portfolio Analytics and Quantitative Analytics departments and will continue to do so as CFO. In addition, he will oversee Treasury, Tax, and Investment Management.

Mr. Bailenson has been with Assured Guaranty and its predecessor companies since 1990. He has been Chief Financial Officer of Assured Guaranty Ltd. since June 2011 and held a number of previous leadership positions with Assured Guaranty and its predecessor companies. He has been instrumental in some of the Company’s most significant strategic initiatives, including the IPO of Assured Guaranty Ltd. and the acquisition of Financial Security Assurance Inc. (now Assured Guaranty Municipal Corp., or AGM), as well as acquisitions of other legacy financial guarantors. As CFO, he began the execution of our capital management program in 2013, which has resulted in the repurchase of more than $4.8 billion of AGO common shares since then, led the execution of various Assured Guaranty debt offerings and refinancings, and he has been a leader in efforts to grow the Company’s asset management earnings. He also spearheaded myriad improvements to the Company’s accounting, disclosure, and treasury operations. Prior to joining the Company, he worked at Ernst & Young LLP.

Mr. Rosenblum joined Assured Guaranty in 2004 and has been its Chief Actuary since 2010. In 2015, he also became Senior Managing Director in charge of Insurance Accounting and Financial Reporting. Prior to joining Assured Guaranty, he worked for nearly ten years as an actuary with his primary focus on loss reserving and developing actuarial systems and financial projections in the insurance industry. He has been an invaluable contributor to the Company’s risk analysis, loss projection and reserve calculations as it faced numerous business challenges over the years, including the global financial crisis of 2008, the integration of AGM in 2009, and the defaults of Detroit and Puerto Rico, for example. Most recently, he was instrumental in completing the transaction that resulted in the combination of Assured Investment Management with Sound Point Capital Management.

About Assured Guaranty Ltd.

Cautionary Statement Regarding Forward-Looking Statements

Any forward-looking statements made in this press release reflect Assured Guaranty’s current views with respect to future events and are made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such statements involve risks and uncertainties that may cause actual results to differ materially from those set forth in these statements. These risks and uncertainties include, but are not limited to, difficulties executing Assured Guaranty’s business strategy; loss of key personnel; the possibility that strategic transactions made by Assured Guaranty, including the consummation of the transaction with Sound Point, do not result in the benefits anticipated or subject Assured Guaranty to negative consequences; and other risks and uncertainties that have not been identified at this time, management’s response to these factors, and other risk factors identified in Assured Guaranty’s filings with the Securities and Exchange Commission. Readers are cautioned not to place undue reliance on these forward-looking statements, which are made as of November 7, 2023. Assured Guaranty undertakes no obligation to publicly update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, except as required by law.

Robert Tucker

Senior Managing Director, Investor Relations and Corporate Communications

212-339-0861

rtucker@agltd.com

Ashweeta Durani

Vice President, Media Relations

212-408-6042

adurani@agltd.com

Cover Page Cover Page	Nov. 01, 2023
Entity Information [Line Items]
Document Type	8-K
Document Period End Date	Nov. 01, 2023
Entity Registrant Name	ASSURED GUARANTY LTD.
Entity Incorporation, State or Country Code	D0
Entity File Number	001-32141
Entity Tax Identification Number	98-0429991
Entity Address, Address Line One	30 Woodbourne Avenue
Entity Address, City or Town	Hamilton
Entity Address, Postal Zip Code	HM 08
Entity Address, Country	BM
City Area Code	441
Local Phone Number	279-5700
Written Communications	false
Soliciting Material	false
Pre-commencement Tender Offer	false
Pre-commencement Issuer Tender Offer	false
Entity Emerging Growth Company	false
Amendment Flag	false
Entity Central Index Key	0001273813
Common Shares \| New York Stock Exchange
Entity Information [Line Items]
Title of 12(b) Security	Common Shares
Trading Symbol	AGO
Security Exchange Name	NYSE
Assured Guaranty US Holdings Inc. 6.125% Senior Notes Due 2028 \| New York Stock Exchange
Entity Information [Line Items]
Title of 12(b) Security	Assured Guaranty US Holdings Inc. 6.125% Senior Notes due 2028 (and the related guarantee of Registrant)
Trading Symbol	AGO/28
Security Exchange Name	NYSE
Assured Guaranty US Holdings Inc. 3.150% Senior Notes due 2031 \| New York Stock Exchange
Entity Information [Line Items]
Title of 12(b) Security	Assured Guaranty US Holdings Inc. 3.150% Senior Notes due 2031 (and the related guarantee of Registrant)
Trading Symbol	AGO/31
Security Exchange Name	NYSE
Assured Guaranty US Holdings Inc. 3.600% Senior Notes due 2051 \| New York Stock Exchange
Entity Information [Line Items]
Title of 12(b) Security	Assured Guaranty US Holdings Inc. 3.600% Senior Notes due 2051 (and the related guarantee of Registrant)
Trading Symbol	AGO/51
Security Exchange Name	NYSE