Document

Assured Guaranty Ltd.

June 30, 2022

Financial Supplement


Table of Contents		Page
	Selected Financial Highlights	1
	Condensed Consolidated Balance Sheets (unaudited)	3
	Condensed Consolidated Statements of Operations (unaudited)	4
	Income Components	6
	Selected Financial Highlights GAAP to Non-GAAP Reconciliations	10
	Fixed-Maturity Securities, Short-Term Investments and Cash	13
	Investment Portfolio, Cash and CIVs	14
	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
	Rollforward 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 Insurance and Reinsurance Exposures	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	47
	Corporate Results	48
	Other	49
	Other Results	50
	Summary	52
	Summary of Financial and Statistical Data	53
	Summary of GAAP to Non-GAAP Reconciliations	54
	Glossary	56
	Glossary	56
	Non-GAAP Financial Measures	59

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, 2021 and its Quarterly Reports on Form 10-Q for the quarterly period ended March 31, 2022 and June 30, 2022.

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) changes in inflation, interest rates, the world’s credit markets or segments thereof, credit spreads or general economic conditions; (2) consequences of the conflict in Ukraine, including economic sanctions, volatility in energy prices, and the potential for increased cyberattacks; (3) the development, course and duration of the COVID-19 pandemic and the governmental and private actions taken in response, the effectiveness, acceptance and distribution of COVID-19 vaccines and therapeutics, and the global consequences of the pandemic and such actions, including their impact on the factors listed in this section; (4) developments in the world’s financial and capital markets that adversely affect insured obligors’ repayment rates, Assured Guaranty’s insurance loss or recovery experience, investments of Assured Guaranty or assets it manages; (5) reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty’s insurance; (6) the loss of investors in Assured Guaranty’s asset management strategies or the failure to attract new investors to Assured Guaranty’s asset management business; (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 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 failure to resolve Assured Guaranty’s exposures to Puerto Rico (Puerto Rico or the Commonwealth) in a manner substantially consistent with the support agreements signed to date; (9) increased competition, including from new entrants into the financial guaranty industry; (10) poor performance of Assured Guaranty's asset management strategies compared to the performance of the asset management strategies of Assured Guaranty’s competitors; (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 unanticipated consequences; (12) 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, most of its financial guaranty contracts written in credit default swap form, and certain consolidated variable interest entities; (13) 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; (14) the inability of Assured Guaranty to access external sources of capital on acceptable terms; (15) changes in applicable accounting policies or practices; (16) changes in applicable laws or regulations, including insurance, bankruptcy and tax laws, or other governmental actions; (17) the possibility that acquisitions made by Assured Guaranty, including its acquisition of BlueMountain Capital Management, LLC (now known as Assured Investment Management LLC) and its associated entities (BlueMountain Acquisition), do not result in the benefits anticipated or subject Assured Guaranty to unanticipated consequences; (18) difficulties with the execution of Assured Guaranty’s business strategy; (19) loss of key personnel; (20) the effects of mergers, acquisitions and divestitures; (21) natural or man-made catastrophes or pandemics; (22) other risk factors identified in AGL’s filings with the U.S. SEC; (23) other risks and uncertainties that have not been identified at this time; and; (24) 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						Six Months Ended
	June 30,						June 30,
	2022			2021			2022			2021
GAAP Highlights
Net income (loss) attributable to AGL	$	(47)		$	98		$	19		$	109
Net income (loss) attributable to AGL per diluted share	$	(0.74)		$	1.29		$	0.29		$	1.42
Weighted average shares outstanding
Basic shares outstanding	63.8			75.2			65.0			75.9
Diluted shares outstanding (6)	63.8			76.0			66.2			76.7
Effective tax rate on net income	(12.9)		%	18.5		%	30.3		%	16.5		%
GAAP return on equity (ROE) (3)	(3.4)		%	6.1		%	0.7		%	3.3		%

Non-GAAP Highlights (1)
Components of adjusted operating income (loss) (1)
Insurance segment	$	55		$	152		$	188		$	231
Asset Management segment	—			(2)			—			(9)
Corporate division	(35)			(34)			(68)			(63)
Other (5)	10			4			—			4
Adjusted operating income (loss)	$	30		$	120		$	120		$	163
Adjusted operating income (loss) per diluted share (1)	$	0.46		$	1.59		$	1.81		$	2.13
Weighted average diluted shares outstanding	65.0			76.0			66.2			76.7
Effective tax rate on adjusted operating income (2)	17.3		%	18.7		%	18.0		%	17.7		%
Adjusted operating ROE (1)(3)	2.1		%	8.0		%	4.1		%	5.4		%
Insurance Segment
Gross written premiums (GWP)	$	65		$	84		$	135		$	171
Present value of new business production (PVP) (1)	76			81			145			167
Gross par written	6,695			6,137			11,166			11,609
Asset Management Segment
Assets under management (AUM):
Inflows-third party	$	1,270		$	426		$	1,361		$	1,239
Inflows-intercompany	154			—			154			109

Effect of refundings and terminations on GAAP measures:
Net earned premiums, pre-tax	$	5		$	15		$	133		$	31
Fair value gains (losses) of credit derivatives, pre-tax	—			—			2			—
Net income effect	3			11			106			24
Net income per diluted share	0.06			0.15			1.60			0.31

Effect of refundings and terminations on non-GAAP measures:
Operating net earned premiums and credit derivative revenues(4), pre-tax	$	5		$	15		$	135		$	31
Adjusted operating income(4) effect	3			11			106			24
Adjusted operating income per diluted share (4)	0.06			0.15			1.60			0.31

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

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

3) Quarterly ROE calculations represent annualized returns. See page 9 for additional information on calculation.

4) 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.

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

6) In periods where the Company recognized a net loss, the impact of potentially dilutive outstanding stock-based awards was excluded from the calculation of diluted loss per share as their inclusion would have an antidilutive effect.

Assured Guaranty Ltd.

Selected Financial Highlights (2 of 2)

(dollars in millions, except per share amounts)


	As of
	June 30, 2022				December 31, 2021
	Amount		Per Share		Amount		Per Share
Shareholders' equity attributable to AGL	$	5,304	$	84.89	$	6,292	$	93.19
Adjusted operating shareholders' equity (1)	5,634		90.18		5,991		88.73
Adjusted book value (1)	8,428		134.91		8,823		130.67
Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders' equity	26		0.42		32		0.47
Adjusted book value	18		0.29		23		0.34

Shares outstanding at the end of period	62.5				67.5

Exposure
Financial guaranty net debt service outstanding	$	362,832			$	367,360
Financial guaranty net par outstanding:
Investment grade	$	227,426			$	229,036
Below investment grade (BIG)	5,386				7,356
Total	$	232,812			$	236,392

Claims-paying resources (2)	$	10,857			$	11,219

AUM
Collateralized loan obligations (CLOs)	$	15,176			$	14,699
Opportunity funds	2,050				1,824
Liquid strategies	372				389
Wind-down funds	339				582
Total	$	17,937			$	17,494

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 Balance Sheets (unaudited)

(dollars in millions)


	As of
	June 30,		December 31,
	2022		2021
Assets
Investments:
Fixed-maturity securities available-for-sale, at fair value	$	7,396	$	8,202
Fixed-maturity securities, trading, at fair value	87		—
Short-term investments, at fair value	863		1,225
Other invested assets	150		181
Total investments	8,496		9,608
Cash	138		120
Premiums receivable, net of commissions payable	1,235		1,372
Deferred acquisition costs (DAC)	139		131
Salvage and subrogation recoverable	502		801
Financial guaranty variable interest entities’ (FG VIEs’) assets, at fair value	264		260
Assets of consolidated investment vehicles (CIVs)	5,456		5,271
Goodwill and other intangible assets	169		175
Other assets	561		470
Total assets	$	16,960	$	18,208

Liabilities
Unearned premium reserve	$	3,585	$	3,716
Loss and loss adjustment expense (LAE) reserve	716		869
Long-term debt	1,674		1,673
Credit derivative liabilities, at fair value	148		156
FG VIEs’ liabilities, at fair value	282		289
Liabilities of CIVs	4,568		4,436
Other liabilities	419		569
Total liabilities	11,392		11,708

Redeemable noncontrolling interests	21		22

Shareholders’ equity
Common shares	1		1
Retained earnings	5,672		5,990
Accumulated other comprehensive income (loss)	(370)		300
Deferred equity compensation	1		1
Total shareholders’ equity attributable to AGL	5,304		6,292
Nonredeemable noncontrolling interests	243		186
Total shareholders’ equity	5,547		6,478
Total liabilities, redeemable noncontrolling interests and shareholders’ equity	$	16,960	$	18,208

Assured Guaranty Ltd.

Condensed Consolidated Statements of Operations (unaudited)

(dollars in millions, except per share amounts)


	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2022		2021		2022		2021
Revenues
Net earned premiums	$	82	$	102	$	296	$	205
Net investment income	62		68		124		138
Asset management fees	21		21		55		45
Net realized investment gains (losses)	(28)		4		(25)		1
Fair value gains (losses) on credit derivatives	9		(33)		6		(52)
Fair value gains (losses) on committed capital securities (CCS)	10		(6)		11		(25)
Fair value gains (losses) on FG VIEs	10		8		16		13
Fair value gains (losses) on CIVs	3		21		17		37
Foreign exchange gains (losses) on remeasurement	(71)		5		(101)		5
Fair value gains (losses) on trading securities	(18)		—		(22)		—
Other income (loss)	10		6		13		6
Total revenues	90		196		390		373
Expenses
Loss and LAE (benefit)	(11)		(16)		46		14
Interest expense	20		23		40		44
Amortization of DAC	3		4		7		7
Employee compensation and benefit expenses	59		54		132		114
Other operating expenses	41		40		83		97
Total expenses	112		105		308		276
Income (loss) before income taxes and equity in earnings (losses) of investees	(22)		91		82		97
Equity in earnings (losses) of investees	—		34		(11)		43
Income (loss) before income taxes	(22)		125		71		140
Less: Provision (benefit) for income taxes	3		23		21		23
Net income (loss)	(25)		102		50		117
Less: Noncontrolling interests	22		4		31		8
Net income (loss) attributable to AGL	$	(47)	$	98	$	19	$	109

Earnings per share:
Basic	$	(0.74)	$	1.31	$	0.29	$	1.44
Diluted	$	(0.74)	$	1.29	$	0.29	$	1.42

Assured Guaranty Ltd.

Income Components (1 of 5)

(in millions)

Components of Adjusted Operating Income and Reconciliation to Net Income (Loss) Attributable to AGL


	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2022		2021		2022		2021
Components of adjusted operating income:
Segments:
Insurance	$	55	$	152	$	188	$	231
Asset Management	—		(2)		—		(9)
Total segments	55		150		188		222
Corporate division	(35)		(34)		(68)		(63)
Other	10		4		—		4
Subtotal	30		120		120		163
Reconciliation to net income (loss) attributable to AGL:
Realized gains (losses) on investments	(28)		4		(25)		1
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	6		(31)		3		(50)
Fair value gains (losses) on CCS	10		(6)		11		(25)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	(73)		5		(102)		6
Tax effect	8		6		12		14
Net income (loss) attributable to AGL	$	(47)	$	98	$	19	$	109

Assured Guaranty Ltd.

Income Components (2 of 5)

(in millions)

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


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

Revenues
Net earned premiums	$	83	$	—	$	—	$	(1)	$	—	$	82
Net investment income	66		—		1		(5)		—		62
Asset management fees	—		29		—		(8)		—		21
Net realized investment gains (losses)	—		—		—		—		(28)		(28)
Fair value gains (losses) on credit derivatives (2)	3		—		—		—		6		9
Fair value gains (losses) on CCS	—		—		—		—		10		10
Fair value gains (losses) on FG VIEs	—		—		—		10		—		10
Fair value gains (losses) on CIVs	—		—		—		3		—		3
Foreign exchange gains (losses) on remeasurement	(3)		—		—		5		(73)		(71)
Fair value gains (losses) on trading securities	(18)		—		—		—		—		(18)
Other income (loss)	8		(1)		—		3		—		10
Total revenues	139		28		1		7		(85)		90

Expenses
Loss and LAE (benefit) (3)	(17)		—		—		6		—		(11)
Interest expense	—		—		23		(3)		—		20

Amortization of DAC	3		—		—		—		—		3
Employee compensation and benefit expenses	35		17		7		—		—		59
Other operating expenses	20		11		6		4		—		41
Total expenses	41		28		36		7		—		112
Equity in earnings (losses) of investees	(34)		—		—		34		—		—
Less: Provision (benefit) for income taxes	9		—		—		2		(8)		3
Less: Noncontrolling interests	—		—		—		22		—		22
Total	$	55	$	—	$	(35)	$	10	$	(77)	$	(47)

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 5)

(in millions)

Components of Income for the Three Months Ended June 30, 2021


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

Revenues
Net earned premiums	$	103	$	—	$	—	$	(1)	$	—	$	102
Net investment income	71		—		—		(3)		—		68
Asset management fees	—		19		—		2		—		21
Net realized investment gains (losses)	—		—		—		—		4		4
Fair value gains (losses) on credit derivatives (2)	4		—		—		—		(37)		(33)
Fair value gains (losses) on CCS	—		—		—		—		(6)		(6)
Fair value gains (losses) on FG VIEs	—		—		—		8		—		8
Fair value gains (losses) on CIVs	—		—		—		21		—		21
Foreign exchange gains (losses) on remeasurement	—		—		—		—		5		5
Other income (loss)	4		2		—		—		—		6
Total revenues	182		21		—		27		(34)		196

Expenses
Loss and LAE (benefit) (3)	(12)		—		—		2		(6)		(16)
Interest expense	—		—		26		(3)		—		23

Amortization of DAC	4		—		—		—		—		4
Employee compensation and benefit expenses	34		15		5		—		—		54
Other operating expenses	21		9		5		5		—		40
Total expenses	47		24		36		4		(6)		105
Equity in earnings (losses) of investees	48		—		—		(14)		—		34
Less: Provision (benefit) for income taxes	31		(1)		(2)		1		(6)		23
Less: Noncontrolling interests	—		—		—		4		—		4
Total	$	152	$	(2)	$	(34)	$	4	$	(22)	$	98

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 5)

(in millions)

Components of Income for the Six Months Ended June 30, 2022


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

Revenues
Net earned premiums	$	298	$	—	$	—	$	(2)	$	—	$	296
Net investment income	129		—		2		(7)		—		124
Asset management fees	—		66		—		(11)		—		55
Net realized investment gains (losses)	—		—		—		—		(25)		(25)
Fair value gains (losses) on credit derivatives (2)	7		—		—		—		(1)		6
Fair value gains (losses) on CCS	—		—		—		—		11		11
Fair value gains (losses) on FG VIEs	—		—		—		16		—		16
Fair value gains (losses) on CIVs	—		—		—		17		—		17
Foreign exchange gains (losses) on remeasurement	(4)		—		—		5		(102)		(101)
Fair value gains (losses) on trading securities	(22)		—		—		—		—		(22)
Other income (loss)	9		1		—		3		—		13
Total revenues	417		67		2		21		(117)		390

Expenses
Loss and LAE (benefit)(3)	43		—		—		7		(4)		46
Interest expense	1		—		44		(5)		—		40

Amortization of DAC	7		—		—		—		—		7
Employee compensation and benefit expenses	73		46		13		—		—		132
Other operating expenses	39		21		13		10		—		83
Total expenses	163		67		70		12		(4)		308
Equity in earnings (losses) of investees	(35)		—		—		24		—		(11)
Less: Provision (benefit) for income taxes	31		—		—		2		(12)		21
Less: Noncontrolling interests	—		—		—		31		—		31
Total	$	188	$	—	$	(68)	$	—	$	(101)	$	19

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 (5 of 5)

(in millions)

Components of Income for the Six Months Ended June 30, 2021


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

Revenues
Net earned premiums	$	207	$	—	$	—	$	(2)	$	—	$	205
Net investment income	144		—		—		(6)		—		138
Asset management fees	—		39		—		6		—		45
Net realized investment gains (losses)	—		—		—		—		1		1
Fair value gains (losses) on credit derivatives (2)	7		—		—		—		(59)		(52)
Fair value gains (losses) on CCS	—		—		—		—		(25)		(25)
Fair value gains (losses) on FG VIEs	—		—		—		13		—		13
Fair value gains (losses) on CIVs	—		—		—		37		—		37
Foreign exchange gains (losses) on remeasurement	(1)		—		—		—		6		5
Other income (loss)	4		2		—		—		—		6
Total revenues	361		41		—		48		(77)		373

Expenses
Loss and LAE (benefit)(3)	18		—		—		5		(9)		14
Interest expense	—		—		49		(5)		—		44

Amortization of DAC	7		—		—		—		—		7
Employee compensation and benefit expenses	70		34		10		—		—		114
Other operating expenses	58		19		9		11		—		97
Total expenses	153		53		68		11		(9)		276
Equity in earnings (losses) of investees	67		—		—		(24)		—		43
Less: Provision (benefit) for income taxes	44		(3)		(5)		1		(14)		23
Less: Noncontrolling interests	—		—		—		8		—		8
Total	$	231	$	(9)	$	(63)	$	4	$	(54)	$	109

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.

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				Six Months Ended
	June 30,				June 30,
	2022		2021		2022		2021

Net income (loss) attributable to AGL	$	(47)	$	98	$	19	$	109
Less pre-tax adjustments:
Realized gains (losses) on investments	(28)		4		(25)		1
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	6		(31)		3		(50)
Fair value gains (losses) on CCS	10		(6)		11		(25)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	(73)		5		(102)		6
Total pre-tax adjustments	(85)		(28)		(113)		(68)
Less tax effect on pre-tax adjustments	8		6		12		14
Adjusted operating income (loss)	$	30	$	120	$	120	$	163

Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating income	$	10	$	4	$	—	$	4

Per diluted share:
Net income (loss) attributable to AGL	$	(0.74)	$	1.29	$	0.29	$	1.42
Less pre-tax adjustments:
Realized gains (losses) on investments	(0.43)		0.05		(0.37)		0.01
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	0.09		(0.40)		0.04		(0.65)
Fair value gains (losses) on CCS	0.15		(0.08)		0.17		(0.32)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	(1.14)		0.06		(1.54)		0.07
Total pre-tax adjustments	(1.33)		(0.37)		(1.70)		(0.89)
Less tax effect on pre-tax adjustments	0.13		0.07		0.18		0.18
Adjusted operating income (loss)	$	0.46	$	1.59	$	1.81	$	2.13

Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating income	$	0.15	$	0.05	$	—	$	0.05

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
	June 30,		March 31,		December 31,			June 30,			March 31			December 31,
	2022		2022		2021			2021			2021			2020
Shareholders’ equity attributable to AGL	$	5,304	$	5,802	$	6,292		$	6,503		$	6,430		$	6,643
Adjusted operating shareholders’ equity	5,634		5,860		5,991			6,063			6,032			6,087
Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating shareholders' equity	26		22		32			3			1			2

					Three Months Ended						Six Months Ended
					June 30,						June 30,
					2022			2021			2022			2021
Net income (loss) attributable to AGL					$	(47)		$	98		$	19		$	109
Adjusted operating income (loss)					30			120			120			163

Average shareholders’ equity attributable to AGL					$	5,553		$	6,467		$	5,798		$	6,573
Average adjusted operating shareholders’ equity					5,747			6,048			5,813			6,075
Gain (loss) related to FG VIE and CIV consolidation included in average adjusted operating shareholders' equity					24			2			29			3

GAAP ROE (1)					(3.4)		%	6.1		%	0.7		%	3.3		%
Adjusted operating ROE (1)					2.1		%	8.0		%	4.1		%	5.4		%

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
	June 30,		March 31,		December 31,		June 30,		March 31,		December 31,
	2022		2022		2021		2021		2021		2020
Reconciliation of shareholders’ equity attributable to AGL to adjusted book value:
Shareholders’ equity attributable to AGL	$	5,304	$	5,802	$	6,292	$	6,503	$	6,430	$	6,643
Less pre-tax reconciling items:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	(51)		(57)		(54)		(41)		(10)		9
Fair value gains (losses) on CCS	34		24		23		27		33		52
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	(359)		(26)		404		552		463		611
Less taxes	46		1		(72)		(98)		(88)		(116)
Adjusted operating shareholders' equity	5,634		5,860		5,991		6,063		6,032		6,087
Pre-tax reconciling items:
Less: Deferred acquisition costs	139		135		131		126		124		119
Plus: Net present value of estimated net future revenue	161		164		160		178		181		182
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,366		3,369		3,402		3,354		3,359		3,355
Plus taxes	(594)		(593)		(599)		(596)		(597)		(597)
Adjusted book value	$	8,428	$	8,665	$	8,823	$	8,873	$	8,851	$	8,908

Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders’ equity (net of tax (provision) benefit of $(6), $(5), $(5), $(1), $- and $-)	$	26	$	22	$	32	$	3	$	1	$	2
Adjusted book value (net of tax (provision) benefit of $(3), $(3), $(3), $2, $4 and $2)	$	18	$	13	$	23	$	(6)	$	(9)	$	(8)

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

Assured Guaranty Ltd.

Fixed-Maturity Securities, Short-Term Investments and Cash

As of June 30, 2022

(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(2)(4)	$	3,542	$	(14)		3.43	%	3.15	%	$	3,484	$	121
U.S. government and agencies	122		—			2.03		1.74		119		2
Corporate securities	2,434		(4)			2.61		2.28		2,194		64
Mortgage-backed securities:
Residential mortgage-backed securities (RMBS) (3)(4)	419		(15)			4.88		4.08		369		20
Commercial mortgage-backed securities	303		—			3.48		3.03		298		11
Asset-backed securities (ABS)
CLOs	442		—			3.04		2.40		421		14
Other ABS (4)	419		(18)			3.23		2.60		408		14
Non-U.S. government securities	122		—			1.00		0.99		103		1
Total fixed maturity securities, available-for-sale	7,803		(51)			3.16		2.80		7,396		247
Short-term investments	863		—			0.40		0.33		863		3
Cash (5)	138		—			—		—		138		—
Total	$	8,804	$	(51)		2.88	%	2.55	%	$	8,397	$	250

Fixed maturity securities, trading (8)										$	87


Ratings (6):	Fair Value		% of Portfolio
U.S. government and agencies	$	119	1.6		%
AAA/Aaa	1,077		14.6
AA/Aa	2,699		36.5
A/A	1,774		24.0
BBB	873		11.8
BIG	549		7.4
Not rated (7)	305		4.1
Total fixed maturity securities, available-for-sale	$	7,396	100.0		%


Duration of available-for-sale fixed maturity securities and short-term investments (in years):			3.8

Average ratings of fixed maturity securities and short-term investments			A+

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

2) Includes obligations of state and local political subdivisions that have been insured by other financial guarantors. The underlying ratings of these bonds, after giving effect to the lower of the rating assigned by S&P Global Ratings, a division of Standard & Poor's Financial Services LLC (S&P) or Moody's Investors Service, Inc. (Moody's), average A.

3) Includes fair value of $156 million in subprime RMBS, which has an average rating of BIG.

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

5) Cash is not included in the yield calculation.

6) Ratings are represented by the lower of the Moody's or S&P classifications except for purchased securities that it 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 for which internal ratings are used total $764 million in par with carrying value of $549 million and are included in the BIG category.

7) Includes $241 million of new recovery bonds received in connection with the consummation of the March Puerto Rico Resolutions (see pg.33).

8) Represent contingent value instruments received in connection with the consummation of the March Puerto Rico Resolutions (see pg.33). These securities are not rated.

Assured Guaranty Ltd.

Investment Portfolio, Cash and CIVs

GAAP

(dollars in millions)

Investment Portfolio, Cash and CIVs as of June 30, 2022


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

Fixed-maturity securities, available-for-sale	$	7,314	$	82	$	—	$	7,396
Fixed-maturity securities, trading	87		—		—		87

Short-term investments	733		120		10		863
Cash	93		1		44		138
Total short-term investments and cash	826		121		54		1,001
Other invested assets
AssuredIM Funds (3)
CLOs	262		—		(262)		—
Municipal bonds	103		—		(103)		—
Healthcare	74		—		(74)		—
Asset-based	110		—		(110)		—
Equity method investments-AssuredIM Funds	549		—		(549)		—
Other	137		11		2		150
Other invested assets	686		11		(547)		150
Total investment portfolio and cash	$	8,913	$	214	$	(493)	$	8,634
CIVs
Assets of CIVs	$	—	$	—	$	5,456	$	5,456
Liabilities of CIVs	—		—		(4,568)		(4,568)
Redeemable noncontrolling interests	—		—		(21)		(21)
Nonredeemable noncontrolling interests	—		—		(243)		(243)
Total CIVs	$	—	$	—	$	624	$	624

Investment Portfolio, Cash and CIVs as of December 31, 2021


	Insurance Subsidiaries		Holding Companies		Other		AGL Consolidated

Fixed-maturity securities, available-for-sale	$	8,106	$	96	$	—	$	8,202

Short-term investments	859		355		11		1,225
Cash	71		—		49		120
Total short-term investments and cash	930		355		60		1,345
Other invested assets
AssuredIM Funds
CLOs	228		—		(228)		—
Municipal bonds	107		—		(107)		—
Healthcare	115		—		(115)		—
Asset-based	93		—		(93)		—
Equity method investments-AssuredIM Funds	543		—		(543)		—
Other	167		8		6		181
Other invested assets	710		8		(537)		181
Total investment portfolio and cash	$	9,746	$	459	$	(477)	$	9,728
CIVs
Assets of CIVs	$	—	$	—	$	5,271	$	5,271
Liabilities of CIVs	—		—		(4,436)		(4,436)
Redeemable noncontrolling interests	—		—		(22)		(22)
Nonredeemable noncontrolling interests	—		—		(186)		(186)
Total CIVs	$	—	$	—	$	627	$	627

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).

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 June 30, 2022 and June 30, 2021


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

Net investment income	$	66	$	—	$	1	$	(5)	$	62

Fair value gains (losses) on trading securities	$	(18)	$	—	$	—	$	—	$	(18)

Equity in earnings (losses) of investees
AssuredIM Funds	$	(33)	$	—	$	—	$	34	$	1
Other	(1)		—		—		—		(1)
Equity in earnings (losses) of investees	$	(34)	$	—	$	—	$	34	$	—

CIVs
Fair value gains (losses) on CIVs	$	—	$	—	$	—	$	3	$	3
Noncontrolling interests	—		—		—		(22)		(22)
Total CIVs	$	—	$	—	$	—	$	(19)	$	(19)


	Three Months Ended June 30, 2021
	Insurance		Asset Management		Corporate		Other		Total

Net investment income	$	71	$	—	$	—	$	(3)	$	68

Equity in earnings (losses) of investees
AssuredIM Funds	$	37	$	—	$	—	$	(14)	$	23
Other	11		—		—		—		11
Equity in earnings (losses) of investees	$	48	$	—	$	—	$	(14)	$	34

CIVs
Fair value gains (losses) on CIVs	$	—	$	—	$	—	$	21	$	21
Noncontrolling interests	—		—		—		(4)		(4)
Total CIVs	$	—	$	—	$	—	$	17	$	17

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 Six Months Ended June 30, 2022 and June 30, 2021


	Six Months Ended June 30, 2022
	Insurance		Asset Management		Corporate		Other		Total

Net investment income	$	129	$	—	$	2	$	(7)	$	124

Fair value gains (losses) on trading securities	$	(22)	$	—	$	—	$	—	$	(22)

Equity in earnings (losses) of investees
AssuredIM Funds	$	(22)	$	—	$	—	$	24	$	2
Other	(13)		—		—		—		(13)
Equity in earnings (losses) of investees	$	(35)	$	—	$	—	$	24	$	(11)

CIVs
Fair value gains (losses) on CIVs	$	—	$	—	$	—	$	17	$	17
Noncontrolling interests	—		—		—		(31)		(31)
Total CIVs	$	—	$	—	$	—	$	(14)	$	(14)


	Six Months Ended June 30, 2021
	Insurance		Asset Management		Corporate		Other		Total

Net investment income	$	144	$	—	$	—	$	(6)	$	138

Equity in earnings (losses) of investees
AssuredIM Funds	$	47	$	—	$	—	$	(24)	$	23
Other	20		—		—		—		20
Equity in earnings (losses) of investees	$	67	$	—	$	—	$	(24)	$	43

CIVs
Fair value gains (losses) on CIVs	$	—	$	—	$	—	$	37	$	37
Noncontrolling interests	—		—		—		(8)		(8)
Total CIVs	$	—	$	—	$	—	$	29	$	29

Insurance Segment

Assured Guaranty Ltd.

Insurance Segment Results

(dollars in millions)


	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2022		2021		2022		2021
Segment revenues
Net earned premiums and credit derivative revenues	$	86	$	106	$	305	$	213
Net investment income	66		71		129		144
Fair value gains (losses) on trading securities	(18)		—		(22)		—
Other income (loss)	5		5		5		4
Total segment revenues	139		182		417		361

Segment expenses
Loss expense (benefit)	(17)		(12)		43		18
Interest expense	—		—		1		—
Amortization of DAC	3		4		7		7
Employee compensation and benefit expenses	35		34		73		70
Write-off of Municipal Assurance Corp. (MAC) insurance licenses	—		—		—		16
Other operating expenses	20		21		39		42
Total segment expenses	41		47		163		153
Equity in earnings (losses) of investees	(34)		48		(35)		67
Segment adjusted operating income (loss) before income taxes	64		183		219		275
Less: Provision (benefit) for income taxes	9		31		31		44
Segment adjusted operating income (loss)	$	55	$	152	$	188	$	231

Assured Guaranty Ltd.

Claims-Paying Resources

(dollars in millions)


	As of June 30, 2022
	Assured Guaranty Municipal Corp.		Assured Guaranty Corp.		Assured Guaranty Re Ltd. (6)		Eliminations(2)		Consolidated
Claims-paying resources
Policyholders' surplus	$	2,779	$	1,962	$	686	$	(214)	$	5,213
Contingency reserve	905		348		—		—		1,253
Qualified statutory capital	3,684		2,310		686		(214)		6,466
Unearned premium reserve and net deferred ceding commission income(1)	2,114		327		555		(73)		2,923
Loss and LAE reserves (1)	22		26		147		—		195
Total policyholders' surplus and reserves	5,820		2,663		1,388		(287)		9,584
Present value of installment premium	466		185		222		—		873
CCS	200		200		—		—		400
Total claims-paying resources	$	6,486	$	3,048	$	1,610	$	(287)	$	10,857

Statutory net exposure (1)(3)(7)	$	153,233	$	20,429	$	56,863	$	(643)	$	229,882
Net debt service outstanding (1)(3)(7)	$	243,056	$	31,434	$	86,286	$	(1,320)	$	359,456

Ratios:
Net exposure to qualified statutory capital	42:1		9:1		83:1				36:1
Capital ratio (4)	66:1		14:1		126:1				56:1
Financial resources ratio (5)	37:1		10:1		54:1				33:1
Statutory net exposure to claims-paying resources	24:1		7:1		35:1				21:1

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 $1,119 million of specialty insurance and reinsurance exposure.

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) Includes a guarantee of rental income cash flows, written by Assured Guaranty Overseas Ltd. with maximum potential exposure of $250 million.

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 June 30, 2022 and June 30, 2021


	Three Months Ended										Three Months Ended
	June 30, 2022										June 30, 2021
	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	$	57	$	6	$	1	$	1	$	65	$	29	$	44	$	11	$	—	$	84
Less: Installment GWP and other GAAP adjustments (1)	—		6		1		1		8		—		24		11		—		35
Upfront GWP	57		—		—		—		57		29		20		—		—		49
Plus: Installment premiums and other(2)	—		18		—		1		19		—		23		9		—		32
Total PVP	$	57	$	18	$	—	$	1	$	76	$	29	$	43	$	9	$	—	$	81

Gross par written	$	6,429	207		16		43		$	6,695	$	4,716	961		460		—		$	6,137

Reconciliation of GWP to PVP for the Six Months Ended June 30, 2022 and June 30, 2021


	Six Months Ended										Six Months Ended
	June 30, 2022										June 30, 2021
	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	$	106	$	22	$	6	$	1	$	135	$	108	$	49	$	14	$	—	$	171
Less: Installment GWP and other GAAP adjustments (1)	—		22		4		1		27		34		27		12		—		73
Upfront GWP	106		—		2		—		108		74		22		2		—		98
Plus: Installment premiums and other(2)	—		30		—		7		37		36		24		9		—		69
Total PVP	$	106	$	30	$	2	$	7	$	145	$	110	$	46	$	11	$	—	$	167

Gross par written	$	10,360	430		76		300		$	11,166	$	10,143	961		505		—		$	11,609

(1) This 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.

(2) This 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. This also includes the present value of future premiums and fees associated with a financial guarantee written by the Company that, under GAAP, is accounted for under 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 June 30,
	2022			2021
	Gross Par Written		Average Internal Rating	Gross Par Written		Average Internal Rating
Sector:
U.S. public finance
General obligation	$	1,937	A	$	2,513	A
Transportation	826		BBB+	651		A
Municipal utilities	1,574		A+	187		A-
Healthcare	1,005		A-	313		BBB+
Tax backed	842		A	705		A
Higher education	191		A-	328		BBB+
Infrastructure finance	54		BBB	—		—
Other U.S public finance	—		—	19		A
Total U.S. public finance	6,429		A	4,716		A
Non-U.S. public finance:
Infrastructure finance	207		BBB-	702		BBB
Renewable energy	—		—	153		BBB+
Sovereign and sub-sovereign	—		—	106		A
Total non-U.S. public finance	207		BBB-	961		BBB+
Total public finance	6,636		A	5,677		A-

U.S. structured finance:
Insurance securitizations	—		—	453		A+
Other structured finance	16		A	7		A-
Total U.S. structured finance	16		A	460		A+
Non-U.S. structured finance:
Other structured finance	43		A	—		—

Total non-U.S. structured finance	43		A	—		—
Total structured finance	59		A	460		A+

Total gross par written	$	6,695	A	$	6,137	A-

Please refer to the Glossary for a description of internal ratings and sectors.

Assured Guaranty Ltd.

Gross Par Written (2 of 2)

(dollars in millions)

Gross Par Written by Asset Type


	Six Months Ended June 30,
	2022			2021
	Gross Par Written		Average Internal Rating	Gross Par Written		Average Internal Rating
Sector:
U.S. public finance
General obligation	3,382		A	$	4,270	A
Transportation	2,233		A-	991		A-
Municipal utilities	1,866		A	797		BBB+
Healthcare	1,361		BBB+	745		BBB+
Tax backed	1,216		A	1,964		A
Higher education	243		A-	561		A-
Infrastructure finance	59		BBB	752		BBB+
Housing revenue	—		—	44		BBB-
Other U.S. public finance	—		—	19		A
Total U.S. public finance	10,360		A-	10,143		A-
Non-U.S. public finance:
Regulated utilities	223		BBB	—		—
Infrastructure finance	207		BBB-	702		BBB
Renewable energy	—		—	153		BBB+
Sovereign and sub-sovereign	—		—	106		A
Total non-U.S. public finance	430		BBB	961		BBB+
Total public finance	10,790		A-	11,104		A-

U.S. structured finance:
Insurance securitizations	—			453		A+
Commercial mortgage-backed securities	—			37		A
Other structured finance	76		A-	15		A-
Total U.S. structured finance	76		A-	505		A+
Non-U.S. structured finance:
Commercial mortgage-backed securities (1)	257		AA	—		—
Other structured finance	43		A	—		—

Total non-U.S. structured finance	300		AA	—		—
Total structured finance	376		AA-	505		A+

Total gross par written	$	11,166	A-	$	11,609	A-

1) Represent guarantees of rental income cash flows.

Please refer to the Glossary for a description of internal ratings and sectors.

Assured Guaranty Ltd.

New Business Production by Quarter

(dollars in millions)


													Six Months
	1Q-21		2Q-21		3Q-21		4Q-21		1Q-22		2Q-22		2022		2021
PVP:
Public finance - U.S.	$	81	$	29	$	55	$	70	$	49	$	57	$	106	$	110
Public finance - non-U.S.	3		43		17		16		12		18		30		46
Structured finance - U.S.	2		9		21		10		2		—		2		11
Structured finance - non-U.S.	—		—		3		2		6		1		7		—
Total PVP (1)	$	86	$	81	$	96	$	98	$	69	$	76	$	145	$	167

Reconciliation of GWP to PVP:

Total GWP	$	87	$	84	$	106	$	100	$	70	$	65	$	135	$	171
Less: Installment GWP and other GAAP adjustments	38		35		52		33		19		8		27		73
Upfront GWP	49		49		54		67		51		57		108		98
Plus: Installment premiums and other(2)	37		32		42		31		18		19		37		69
Total PVP	$	86	$	81	$	96	$	98	$	69	$	76	$	145	$	167

Gross par written:
Public finance - U.S.	$	5,427	$	4,716	$	7,703	$	5,947	$	3,931	$	6,429	$	10,360	$	10,143
Public finance - non-U.S.	—		961		156		—		223		207		430		961
Structured finance - U.S.	45		460		436		375		60		16		76		505
Structured finance - non-U.S. (1)	—		—		266		164		257		43		300		—
Total	$	5,472	$	6,137	$	8,561	$	6,486	$	4,471	$	6,695	$	11,166	$	11,609

1) First quarter 2022 PVP and gross par written includes the present value (PV) of future premiums and total exposure, respectively, associated with a financial guarantee written by the Company that, under GAAP, are accounted for under ASC 460, Guarantees.

2) This 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. This also includes the present value of future premiums and fees associated with a financial guarantee written by the Company that, under GAAP, is accounted for under 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)
2022 Q2 (as of June 30)			$	362,832
2022 Q3	$	6,610	356,222		$	72	$	5	$	1	$	2
2022 Q4	5,470		350,752		71		5		1		2
2023	18,949		331,803		272		19		3		8
2024	19,169		312,634		255		18		3		8
2025	19,786		292,848		237		17		3		8
2026	18,718		274,130		221		16		2		7

2022-2026	88,702		274,130		1,128		80		13		35
2027-2031	81,690		192,440		914		62		12		31
2032-2036	68,162		124,278		637		41		11		25
2037-2041	50,259		74,019		381		25		2		18
After 2041	74,019		—		519		39		—		13
Total	$	362,832			$	3,579	$	247	$	38	$	122


	GAAP		Effect of FG VIE Consolidation on Net Unearned Premium Reserve
Net deferred premium revenue:
Financial guaranty	$	3,579	$	37
Specialty	11		—
Net deferred premium revenue	3,590		37
Contra-paid	(20)		(4)
Net unearned premium reserve	$	3,570	$	33

1) Represents the future expected amortization of current debt service outstanding (principal and interest), assuming no advance refundings, as of June 30, 2022. 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 page 27, ‘‘Net Expected Loss to be Expensed.’’ The following is a reconciliation of net deferred premium revenue to net unearned premiums reserve. 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).

3) Represents expected future premiums on insured credit derivatives.

Assured Guaranty Ltd.

Rollforward of Net Expected Loss and LAE to be Paid

(dollars in millions)

Rollforward of Net Expected Loss and LAE to be Paid (1) for the Three Months Ended June 30, 2022


	Net Expected Loss to be Paid (Recovered) as of March 31, 2022		Economic Loss Development (Benefit) During 2Q-22		Net (Paid) Recovered Losses During 2Q-22		Net Expected Loss to be Paid (Recovered) as of June 30, 2022
Public Finance:
U.S. public finance	$	181	$	8	$	21	$	210
Non-U.S public finance	10		(2)		(1)		7
Public Finance	191		6		20		217

Structured Finance:
U.S. RMBS	195		(39)		23		179
Other structured finance	46		1		(1)		46
Structured Finance	241		(38)		22		225
Total	$	432	$	(32)	$	42	$	442

Rollforward of Net Expected Loss and LAE to be Paid (1) for the Six Months Ended June 30, 2022


	Net Expected Loss to be Paid (Recovered) as of December 31, 2021		Economic Loss Development (Benefit) During 2022		Net (Paid) Recovered Losses During 2022		Net Expected Loss to be Paid (Recovered) as of June 30, 2022
Public Finance:
U.S. public finance	$	197	$	(40)	$	53	$	210
Non-U.S public finance	12		(4)		(1)		7
Public Finance	209		(44)		52		217

Structured Finance:
U.S. RMBS	$	150	$	(32)	$	61	$	179
Other structured finance	52		—		(6)		46
Structured Finance	202		(32)		55		225
Total	$	411	$	(76)	$	107	$	442

1) Includes net expected loss to be paid, economic loss development 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 June 30, 2022

(dollars in millions)


			Three Months Ended June 30, 2022						Six Months Ended June 30, 2022
	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	$	3,570	$	11	$	11	$	11	$	66	$	66	$	66
Non-U.S public finance	521		—		—		—		—		—		—
Public finance	4,091		11		11		11		66		66		66
Structured finance:
U.S. RMBS	1,185		(22)		(22)		(28)		(19)		(15)		(22)
Other structured finance	110		—		—		—		(1)		(1)		(1)
Structured finance	1,295		(22)		(22)		(28)		(20)		(16)		(23)
Total	$	5,386	$	(11)	$	(11)	$	(17)	$	46	$	50	$	43

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 June 30, 2022

(dollars in millions)


	GAAP

2022 Q2 (as of June 30)
2022 Q3	$	4
2022 Q4	5
2023	18
2024	17
2025	16
2026	19
2022-2026	79
2027-2031	72
2032-2036	48
2037-2041	10
After 2041	3
Total expected present value of net expected loss to be expensed(2)	212
Future accretion	216
Total expected future loss and LAE	$	428

1) The present value of net expected loss to be paid is discounted using risk free rates ranging from 1.67% to 3.41% for U.S. dollar denominated obligations.

2) Excludes $27 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 and Average Internal Rating by Asset Type


	As of June 30, 2022			As of December 31, 2021
	Net Par Outstanding		Average Internal Rating	Net Par Outstanding		Average Internal Rating
U.S. public finance:
General obligation	$	72,741	A-	$	72,896	A-
Tax backed	34,853		A-	35,726		A-
Municipal utilities	26,487		A-	25,556		A-
Transportation	18,916		BBB+	17,241		BBB+
Healthcare	10,660		BBB+	9,588		BBB+
Higher education	6,904		A-	6,927		A-
Infrastructure finance	6,343		A-	6,329		A-
Housing revenue	980		BBB-	1,000		BBB-
Investor-owned utilities	509		A-	611		A-
Renewable energy	183		A-	193		A-
Other public finance	1,072		A-	1,152		A-
Total U.S. public finance	179,648		A-	177,219		A-
Non-U.S public finance:
Regulated utilities	17,666		BBB+	18,814		BBB+
Infrastructure finance	13,721		BBB	16,475		BBB
Sovereign and sub-sovereign	9,806		A+	10,886		A+
Renewable energy	2,104		A-	2,398		A-
Pooled infrastructure	1,150		AAA	1,372		AAA
Total non-U.S. public finance	44,447		BBB+	49,945		BBB+
Total public finance	$	224,095	A-	227,164		A-

U.S. structured finance:
Life insurance transactions	$	3,518	AA-	3,431		AA-
RMBS	2,171		BB+	2,391		BB+
Financial products	520		AA-	770		AA-
Pooled corporate obligations	510		AA+	534		AA+
Consumer receivables	505		A+	583		A+
Other structured finance	711		BBB+	665		BBB+
Total U.S. structured finance	7,935		A	8,374		A
Non-U.S. structured finance:
Pooled corporate obligations	322		AAA	351		AAA
RMBS	276		A-	325		A
Other structured finance	184		AA	178		AA
Total non-U.S structured finance	782		AA	854		AA
Total structured finance	$	8,717	A	9,228		A

Total	$	232,812	A-	$	236,392	A-

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 (2 of 3)

As of June 30, 2022

(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	$	260	0.1	%	$	2,016	4.4	%	$	824	10.4	%	$	457	58.5	%	$	3,557	1.5	%
AA	17,042		9.5		3,671		8.3		4,554		57.4		12		1.5		25,279		10.9
A	96,931		54.0		9,633		21.7		813		10.2		183		23.4		107,560		46.2
BBB	61,845		34.4		28,606		64.4		449		5.7		130		16.6		91,030		39.1
BIG	3,570		2.0		521		1.2		1,295		16.3		—		—		5,386		2.3
Net Par Outstanding (1)	$	179,648	100.0	%	$	44,447	100.0	%	$	7,935	100.0	%	$	782	100.0	%	$	232,812	100.0	%

1) As of June 30, 2022, the Company excluded $1.2 billion of net par 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 June 30, 2022

(dollars in millions)

Geographic Distribution of Financial Guaranty Portfolio


	Net Par Outstanding		% of Total
U.S.:
U.S. public finance:
California	$	36,602	15.7	%
Texas	17,976		7.7
New York	16,032		6.9
Pennsylvania	15,776		6.8
Illinois	12,794		5.5
New Jersey	9,952		4.3
Florida	7,565		3.2
Michigan	5,186		2.2
Louisiana	5,050		2.2
Alabama	3,760		1.6
Other	48,955		21.0
Total U.S. public finance	179,648		77.1
U.S. structured finance	7,935		3.4
Total U.S.	187,583		80.5

Non-U.S.:
United Kingdom	34,779		14.9
Canada	1,796		0.8
Spain	1,589		0.7
Australia	1,524		0.7
France	1,388		0.6
Other	4,153		1.8
Total non-U.S.	45,229		19.5

Total net par outstanding	$	232,812	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 Insurance and Reinsurance Exposure

As of June 30, 2022

(dollars in millions)


	As of June 30, 2022				As of December 31, 2021
	Gross Exposure		Net Exposure		Gross Exposure		Net Exposure
Life insurance transactions (1)	$	1,270	$	919	$	1,250	$	871
Aircraft residual value insurance policies (2)	355		200		355		200
Total	$	1,625	$	1,119	$	1,605	$	1,071

1) The life insurance transactions net exposure is projected to reach $1.1 billion by June 30, 2025.

2) As of June 30, 2022, gross exposure of $144 million and net exposure of $84 million of aircraft residual value insurance was BIG. As of December 31, 2021, gross exposure of $144 million and net exposure of $84 million of aircraft residual value insurance was rated BIG.

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

2022 Q2 (as of June 30)			$	224,095											$	8,717
2022 Q3	$	3,724	220,371		$	8	$	104	$	(10)	$	65	$	167	8,550
2022 Q4	2,301		218,070		7		90		(6)		37		128		8,422
2023	8,978		209,092		33		316		8		320		677		7,745
2024	9,824		199,268		81		267		12		212		572		7,173
2025	10,883		188,385		37		257		34		261		589		6,584
2026	10,342		178,043		112		187		42		211		552		6,032

2022-2026	46,052		178,043		278		1,221		80		1,106		2,685		6,032
2027-2031	46,291		131,752		381		416		287		1,382		2,466		3,566
2032-2036	43,609		88,143		65		232		131		1,339		1,767		1,799
2037-2041	34,305		53,838		108		296		21		866		1,291		508
After 2041	53,838		—		—		6		1		501		508		—
Total	$	224,095			$	832	$	2,171	$	520	$	5,194	$	8,717

Net par outstanding (end of period)


	1Q-21		2Q-21		3Q-21		4Q-21		1Q-22		2Q-22
Public finance - U.S.	$	172,941	$	173,667	$	175,952	$	177,219	$	175,957	$	179,648
Public finance - non-U.S.	52,099		51,966		50,305		49,945		48,506		44,447
Structured finance - U.S.	8,678		8,568		8,677		8,374		8,101		7,935
Structured finance - non-U.S.	552		535		734		854		815		782
Net par outstanding	$	234,270	$	234,736	$	235,668	$	236,392	$	233,379	$	232,812

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 June 30, 2022

(dollars in millions)

Exposure to Puerto Rico


	Par Outstanding				Debt Service Outstanding
	Gross		Net		Gross		Net
Total	$	2,246	$	2,227	$	3,156	$	3,133

Exposure to Puerto Rico by Risk


	Net Par Outstanding
	AGM		AGC		AG Re		Eliminations (1)		Total Net Par Outstanding		Gross Par Outstanding
Puerto Rico Exposures Subject to a Plan or Support Agreement
Commonwealth of Puerto Rico - General Obligation (GO) (2)	$	6	$	20	$	11	$	—	$	37	$	37
Puerto Rico Public Buildings Authority (PBA) (2)	1		5		—		(1)		5		5
Subtotal - GO/PBA Plan	7		25		11		(1)		42		42

Puerto Rico Highways and Transportation Authority (PRHTA) (Transportation revenue)	233		467		178		(79)		799		799
PRHTA (Highway revenue)	381		51		25		—		457		457
Subtotal - HTA/CCDA PSA	614		518		203		(79)		1,256		1,256

Subtotal Subject to a Plan or Support Agreement	621		543		214		(80)		1,298		1,298

Other Puerto Rico Exposures
Puerto Rico Electric Power Authority (PREPA)	469		69		210		—		748		759
Puerto Rico Municipal Finance Agency (MFA) (3)	126		16		37		—		179		187
Puerto Rico Aqueduct and Sewer Authority (PRASA) and University of Puerto Rico (U of PR) (3)	—		2		—		—		2		2
Subtotal Other Puerto Rico Exposures	595		87		247		—		929		948

Total exposure to Puerto Rico	$	1,216	$	630	$	461	$	(80)	$	2,227	$	2,246

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) On March 15, 2022, the Modified Eighth Amended Title III Joint Plan of Adjustment, confirmed on January 18, 2022, was consummated, pursuant to which the Company, among other things, fully paid claims on all of its directly insured Puerto Rico GO bonds, other than certain GO bonds whose holders made certain elections. On the same date and pursuant to the same Plan of Adjustment, the Company fully paid claims on all of its directly insured PBA bonds, other than certain PBA bonds whose holders made certain elections.

3) 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 June 30, 2022

(dollars in millions)

Amortization Schedule of Net Par Outstanding of Puerto Rico


	2022 (3Q)		2022 (4Q)		2023		2024		2025		2026		2027		2028		2029		2030		2031		2032 - 2036		2037 - 2041		2042		Total
Puerto Rico Exposures Subject to a Plan or Support Agreement
Commonwealth of Puerto Rico - GO	$	10	$	—	$	—	$	—	$	—	$	2	$	5	$	—	$	20	$	—	$	—	$	—	$	—	$	—	$	37
PBA	—		—		3		—		2		—		—		—		—				—		—		—		—		5
Subtotal - GO/PBA Plan	10		—		3		—		2		2		5		—		20		—		—		—		—		—		42
PRHTA (Transportation revenue)	28		—		34		4		29		24		29		34		49		31		21		310		201		5		799
PRHTA (Highway revenue)	40		—		31		33		34		1		—		10		13		16		39		240		—		—		457
Subtotal - HTA/CCDA PSA	68		—		65		37		63		25		29		44		62		47		60		550		201		5		1,256
Subtotal Subject to a Plan or Support Agreement	78		—		68		37		65		27		34		44		82		47		60		550		201		5		1,298

Other Puerto Rico Exposures
PREPA	28		—		95		93		68		106		105		69		39		44		75		26		—		—		748
MFA	43		—		23		18		18		37		15		12		7		6		—		—		—		—		179
PRASA and U of PR	—		—		—		1		—		—		—		—		—		—		—		1		—		—		2
Subtotal Other Puerto Rico Exposures	71		—		118		112		86		143		120		81		46		50		75		27		—		—		929

Total	$	149	$	—	$	186	$	149	$	151	$	170	$	154	$	125	$	128	$	97	$	135	$	577	$	201	$	5	$	2,227

Amortization Schedule of Net Debt Service Outstanding of Puerto Rico


	2022 (3Q)		2022 (4Q)		2023		2024		2025		2026		2027		2028		2029		2030		2031		2032 - 2036		2037 - 2041		2042		Total
Puerto Rico Exposures Subject to a Plan or Support Agreement
Commonwealth of Puerto Rico - GO	$	11	$	—	$	2	$	2	$	1	$	3	$	6	$	1	$	21	$	—	$	—	$	—	$	—	$	—	$	47
PBA	—		—		3		—		2		—		—		—		—		—		—		—		—		—		5
Subtotal - GO/PBA Plan	11		—		5		2		3		3		6		1		21		—		—		—		—		—		52
PRHTA (Transportation revenue)	48		—		73		42		67		61		64		67		82		61		49		423		237		5		1,279
PRHTA (Highway revenue)	52		—		54		52		53		18		17		27		29		32		54		279		—		—		667
Subtotal - HTA/CCDA PSA	100		—		127		94		120		79		81		94		111		93		103		702		237		5		1,946
Subtotal Subject to a Plan or Support Agreement	111		—		132		96		123		82		87		95		132		93		103		702		237		5		1,998

Other Puerto Rico Exposures
PREPA	43		3		128		122		92		126		122		80		47		51		81		29		—		—		924
MFA	48		—		29		24		22		41		17		14		8		6		—		—		—		—		209
PRASA and U of PR	—		—		—		1		—		—		—		—		—		—		—		1		—		—		2
Subtotal Other Puerto Rico Exposures	91		3		157		147		114		167		139		94		55		57		81		30		—		—		1,135

Total	$	202	$	3	$	289	$	243	$	237	$	249	$	226	$	189	$	187	$	150	$	184	$	732	$	237	$	5	$	3,133

Assured Guaranty Ltd.

U.S. RMBS Profile

As of June 30, 2022

(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	$	3	$	74	$	10	$	400	$	2	$	489
AA	8		64		7		141		107		327
A	3		15		1		6		106		131
BBB	6		—		—		14		19		39
BIG	41		217		16		791		120		1,185
Total exposures	$	61	$	370	$	34	$	1,352	$	354	$	2,171

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	$	10	$	9	$	—	$	367	$	17	$	403
2005	23		129		16		188		60		416
2006	28		27		1		48		117		221
2007	—		205		17		716		160		1,098
2008	—		—		—		33		—		33
Total exposures	$	61	$	370	$	34	$	1,352	$	354	$	2,171

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 June 30, 2022

(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	$	631	76.2	%	41.8	%	52.2	%
AA	73		8.8		42.5		52.8
A	95		11.5		38.3		47.9
BBB	29		3.5		42.3		44.2
Total exposures	$	828	100.0	%	41.5	%	51.5	%

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	Average Rating
Asset class:
Trust preferred
Banks and insurance	$	373	45.0	%	43.7	%	62.0	%	12	AAA
U.S. mortgage and real estate investment trusts	88		10.6		47.3		64.5		3	A+
CLOs	367		44.4		37.8		37.7		5	AAA
Total exposures	$	828	100.0	%	41.5	%	51.5	%	20	AAA

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
	June 30,		December 31,
	2022		2021
U.S. public finance:
Tax backed	$	1,740	$	2,327
Municipal utilities	1,068		1,069
General obligation	377		1,561
Transportation	108		110
Housing revenue	75		90
Infrastructure finance	46		46
Higher education	35		46
Healthcare	21		23
Other public finance	100		100
Total U.S. public finance	3,570		5,372
Non-U.S. public finance:
Infrastructure finance	404		470
Sovereign and sub-sovereign	94		102
Renewable energy	23		28
Total non-U.S. public finance	521		600
Total public finance	$	4,091	$	5,972

U.S. structured finance:
RMBS	$	1,185	$	1,265
Consumer receivables	65		72
Life insurance transactions	40		40
Other structured finance	5		7
Total U.S. structured finance	1,295		1,384
Non-U.S. structured finance:
Total non-U.S. structured finance	—		—
Total structured finance	$	1,295	$	1,384
Total BIG net par outstanding	$	5,386	$	7,356

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
	June 30,		December 31,
	2022		2021
BIG Category 1
U.S. public finance	$	1,294	$	1,765
Non-U.S. public finance	482		556
U.S. structured finance	45		122
Non-U.S. structured finance	—		—
Total BIG Category 1	1,821		2,443
BIG Category 2
U.S. public finance	130		116
Non-U.S. public finance	—		—
U.S. structured finance	114		65
Non-U.S. structured finance	—		—
Total BIG Category 2	244		181
BIG Category 3
U.S. public finance	2,146		3,491
Non-U.S. public finance	39		44
U.S. structured finance	1,136		1,197
Non-U.S. structured finance	—		—
Total BIG Category 3	3,321		4,732
BIG Total	$	5,386	$	7,356

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 June 30, 2022

(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:
Puerto Rico Highways & Transportation Authority	$	1,256	CCC
Puerto Rico Electric Power Authority	748		CCC
Illinois Sports Facilities Authority	259		BB+
Puerto Rico Municipal Finance Agency	179		CCC
Jackson Water & Sewer System, Mississippi	171		BB
Stockton City, California	100		B
Harrisburg Parking System, Pennsylvania	78		B
San Jacinto River Authority (GRP Project), Texas	65		BB+
Indiana University of Pennsylvania, Pennsylvania	60		CCC
Atlantic City, New Jersey	54		BB
Virgin Islands Water and Power Authority	51		CCC
Total U.S. public finance	$	3,021

Non-U.S. public finance:
Road Management Services PLC (A13 Highway)	138		B+
Dartford & Gravesham NHS Trust The Hospital Company (Dartford) Plc	113		BB+
M6 Duna Autopalya Koncesszios Zrt.	68		BB+
Private International Transaction	54		BB-
Total non-U.S. public finance	$	373
Total public finance	$	3,394


U.S. structured finance:
RMBS:
Soundview 2007-WMC1	$	145	CCC	32.3%
Option One 2007-FXD2	126		CCC	18.0%
Option One Mortgage Loan Trust 2007-HL1	100		CCC	24.1%
Argent Securities Inc. 2005-W4	93		CCC	9.2%
Nomura Asset Accept. Corp. 2007-1	68		CCC	22.5%
New Century 2005-A	61		CCC	20.7%
Total RMBS-U.S. structured finance	$	593

Total non-U.S. structured finance	$	—
Total structured finance	$	593

Total	$	3,987

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 June 30, 2022

(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)

3,372

BBB

New York Metropolitan Transportation Authority

1,746

A-

Pennsylvania (Commonwealth of)

1,735

A-

Metro Washington Airports Authority (Dulles Toll Road)

1,625

BBB+

Illinois (State of)

1,388

BBB-

Puerto Rico Highways & Transportation Authority

1,256

CCC

North Texas Tollway Authority

1,212

Foothill/Eastern Transportation Corridor Agency, California

1,211

BBB

CommonSpirit Health, Illinois

991

A-

Alameda Corridor Transportation Authority, California

919

BBB+

San Diego Family Housing, LLC

918

Yankee Stadium LLC New York City Industrial Development Authority

917

BBB

Philadelphia School District, Pennsylvania

892

A-

Great Lakes Water Authority (Sewerage), Michigan

869

A-

Montefiore Medical Center, New York

849

BBB-

Port Authority of New York and New Jersey

845

BBB

California (State of)

842

AA-

ProMedica Healthcare Obligated Group, Ohio

820

BBB-

Central Florida Expressway Authority, Florida

814

A+

New York (City of), New York

812

AA-

Dade County Seaport, Florida

810

Metropolitan Pier and Exposition Authority, Illinois

799

BBB-

Tucson (City of), Arizona

795

A+

Wisconsin (State of)

779

Massachusetts (Commonwealth of) Water Resources

772

San Joaquin Hills Transportation, California

766

BBB

Nassau County, New York

761

Pennsylvania Turnpike Commission

756

A-

Chicago Public Schools, Illinois

755

BBB-

Jefferson County Alabama Sewer

752

BBB

Puerto Rico Electric Power Authority

748

CCC

Anaheim (City of), California

728

A-

New York Power Authority

726

AA-

Suffolk County, New York

720

BBB

Los Angeles Department of Airports (LAX Project), California

705

A-

Philadelphia (City of), Pennsylvania

678

BBB+

Pittsburgh Water & Sewer, Pennsylvania

663

A-

Clark County School District, Nevada

662

BBB+

Massachusetts (Commonwealth of)

618

AA-

Mets Queens Ballpark

608

BBB

North Carolina Turnpike Authority

601

BBB-

Oglethorpe Power Corporation, Georgia

575

BBB

Long Island Power Authority

562

A-

Hayward Unified School District, California

554

Kansas City, Missouri

534

LCOR Alexandria LLC

534

A-

Regional Transportation Authority (Sales Tax), Illinois

529

AA-

New Jersey Turnpike Authority

499

Garden State Preservation Trust, New Jersey Open Space & Farmland

494

BBB+

West Contra Costa Unified School District, California

482

AA-

Total top 50 U.S. public finance exposures

43,998

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 June 30, 2022

(dollars in millions)

25 Largest U.S. Structured Finance Exposures

Credit Name:

Net Par Outstanding

Internal
Rating (1)

Private US Insurance Securitization

1,100

Private US Insurance Securitization

811

AA-

Private US Insurance Securitization

394

AA-

Private US Insurance Securitization

386

AA-

Private US Insurance Securitization

385

AA-

Private US Insurance Securitization

263

SLM Student Loan Trust 2007-A

242

Soundview 2007-WMC1

145

CCC

Private US Insurance Securitization

131

Option One 2007-FXD2

126

CCC

CWABS 2007-4

106

A+

Option One Mortgage Loan Trust 2007-HL1

100

CCC

Argent Securities Inc. 2005-W4

CCC

SLM Student Loan Trust 2006-C

Nomura Asset Accept. Corp. 2007-1

CCC

Private Other Structured Finance Transaction

A-

ALESCO Preferred Funding XIII, Ltd.

AAA

CAPCO - Excess SIPC Excess of Loss Reinsurance

BBB

New Century 2005-A

CCC

Private Balloon Note Guarantee

BBB

CWALT Alternative Loan Trust 2007-HY9

A+

Private Other Structured Finance Transaction

A-

Countrywide 2007-13

Alesco Preferred Funding XVI, Ltd.

Preferred Term Securities XXIV, Ltd.

AAA

Total top 25 U.S. structured finance exposures

5,026

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 June 30, 2022

(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

2,164

BBB

Southern Gas Networks PLC

United Kingdom

1,728

BBB

Thames Water Utilities Finance Plc

United Kingdom

1,709

BBB

Dwr Cymru Financing Limited

United Kingdom

1,584

A-

Quebec Province

Canada

1,514

AA-

Anglian Water Services Financing PLC

United Kingdom

1,457

A-

National Grid Gas PLC

United Kingdom

1,307

BBB+

Channel Link Enterprises Finance PLC

France, United Kingdom

1,130

BBB

British Broadcasting Corporation (BBC)

United Kingdom

1,082

A+

Yorkshire Water Services Finance Plc

United Kingdom

883

BBB

Capital Hospitals (Issuer) PLC

United Kingdom

857

BBB-

Verbund, Lease and Sublease of Hydro-Electric Equipment

Austria

847

AAA

Aspire Defence Finance plc

United Kingdom

741

BBB+

Verdun Participations 2 S.A.S.

France

650

BBB-

Envestra Limited

Australia

618

A-

National Grid Company PLC

United Kingdom

590

BBB+

Severn Trent Water Utilities Finance Plc

United Kingdom

553

BBB+

Coventry & Rugby Hospital Company (Walsgrave Hospital) Plc

United Kingdom

500

BBB-

Campania Region - Healthcare receivable

Italy

495

BB+

Sydney Airport Finance Company

Australia

485

BBB+

Wessex Water Services Finance plc

United Kingdom

477

BBB+

United Utilities Water PLC

United Kingdom

463

BBB+

Derby Healthcare PLC

United Kingdom

460

BBB

NewHospitals (St Helens & Knowsley) Finance PLC

United Kingdom

434

BBB+

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

United Kingdom

429

BBB-

Central Nottinghamshire Hospitals PLC

United Kingdom

427

BBB-

South East Water

United Kingdom

427

BBB

Scotland Gas Networks plc

United Kingdom

425

BBB

The Hospital Company (QAH Portsmouth) Limited

United Kingdom

400

BBB

International Infrastructure Pool

United Kingdom

383

AAA

International Infrastructure Pool

United Kingdom

383

AAA

International Infrastructure Pool

United Kingdom

383

AAA

Comision Federal De Electricidad (CFE) El Cajon Project

Mexico

363

BBB-

University of Essex, United Kingdom

United Kingdom

349

BBB+

Heathrow Funding Limited

United Kingdom

344

BBB

Private International Sub-Sovereign Transaction

United Kingdom

343

AA-

Japan Expressway Holding and Debt Repayment Agency

Japan

325

A+

South Lanarkshire Schools

United Kingdom

319

BBB

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

Spain

312

BBB+

Hypersol Solar Inversiones, S.A.U.

Spain

308

BBB

Private International Sub-Sovereign Transaction

United Kingdom

303

Northumbrian Water PLC

United Kingdom

284

BBB+

Feria Muestrario Internacional de Valencia

Spain

283

BBB-

Catalyst Healthcare (Romford) Financing PLC

United Kingdom

283

BBB

Bakethin Finance Plc

United Kingdom

283

A-

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

Spain

282

BBB

Octagon Healthcare Funding PLC

United Kingdom

281

BBB

Private International Sub-Sovereign Transaction

United Kingdom

281

A+

Western Power Distribution (South Wales) PLC

United Kingdom

274

BBB+

Leeds Hospital - St. James's Oncology Financing plc

United Kingdom

271

BBB

Total top 50 non-U.S. exposures

31,473

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 (1 of 3)

(dollars in millions)


	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2022		2021		2022		2021
Segment revenues
Management fees:
CLOs	$	12	$	12	$	24	$	24
Opportunity funds and liquid strategies	15		5		23		9
Wind-down funds	—		2		1		5
Total management fees	27		19		48		38
Performance fees	2		—		18		1
Other income (loss)	(1)		2		1		2
Total segment revenues	28		21		67		41

Segment expenses
Employee compensation and benefit expenses	17		15		46		34
Other operating expenses	11		9		21		19
Total segment expenses	28		24		67		53
Segment adjusted operating income (loss) before income taxes	—		(3)		—		(12)
Less: Provision (benefit) for income taxes	—		(1)		—		(3)
Segment adjusted operating income (loss)	$	—	$	(2)	$	—	$	(9)

Assured Guaranty Ltd.

Asset Management Segment Results (2 of 3)

(dollars in millions)

Rollforward of Assets Under Management for the Three Months Ended June 30, 2022


	CLOs		Opportunity Funds		Liquid Strategies (1)		Wind-Down Funds		Total
AUM, March 31, 2022	$	14,282	$	1,874	$	375	$	459	$	16,990

Inflows-third party	1,049		200		21		—		1,270
Inflows-intercompany	50		—		104		—		154
Outflows:
Redemptions	—		—		—		—		—
Distributions	(22)		(39)		(125)		(140)		(326)
Total outflows	(22)		(39)		(125)		(140)		(326)
Net flows	1,077		161		—		(140)		1,098
Change in value	(183)		15		(3)		20		(151)
AUM, June 30, 2022	$	15,176	$	2,050	$	372	$	339	$	17,937

Rollforward of Assets Under Management for the Six Months Ended June 30, 2022


	CLOs		Opportunity Funds		Liquid Strategies (1)		Wind-Down Funds		Total
AUM, December 31, 2021	$	14,699	$	1,824	$	389	$	582	$	17,494

Inflows-third party	1,049		291		21		—		1,361
Inflows-intercompany	50		—		104		—		154
Outflows:
Redemptions	—		—		—		—		—
Distributions	(357)		(143)		(125)		(275)		(900)
Total outflows	(357)		(143)		(125)		(275)		(900)
Net flows	742		148		—		(275)		615
Change in value	(265)		78		(17)		32		(172)
AUM, June 30, 2022	$	15,176	$	2,050	$	372	$	339	$	17,937

1) Liquid strategies inflows and outflows relate to the transfer of assets from an existing municipal bond fund to a new municipal relative value fund.

Assured Guaranty Ltd.

Asset Management Segment Results (3 of 3)

(dollars in millions)

Assets Under Management


	CLOs		Opportunity Funds		Liquid Strategies		Wind-Down Funds		Total
As of June 30, 2022:
Funded AUM (1)	$	15,069	$	1,288	$	372	$	317	$	17,046
Unfunded AUM (1)	107		762		—		22		891

Fee-earning AUM (2)	$	14,773	$	1,801	$	372	$	202	$	17,148
Non-fee earning AUM (2)	403		249		—		137		789

Intercompany AUM
Funded AUM	$	562	$	187	$	351	$	—	$	1,100
Unfunded AUM	106		135		—		—		241

As of March 31, 2022:
Funded AUM (1)	$	14,172	$	1,265	$	375	$	437	$	16,249
Unfunded AUM (1)	110		609		—		22		741

Fee-earning AUM (2)	$	13,889	$	1,597	$	375	$	280	$	16,141
Non-fee earning AUM (2)	393		277		—		179		849

Intercompany AUM
Funded AUM	$	557	$	212	$	355	$	—	$	1,124
Unfunded AUM	108		121		—		—		229

As of December 31, 2021:
Funded AUM	$	14,575	$	1,297	$	389	$	560	$	16,821
Unfunded AUM	124		527		—		22		673

Fee-earning AUM	$	14,252	$	1,527	$	389	$	408	$	16,576
Non-fee earning AUM	447		297		—		174		918

Intercompany AUM
Funded AUM	$	541	$	217	$	368	$	—	$	1,126
Unfunded AUM	123		121		—		—		244

1) Funded AUM refers to assets that have been deployed or invested into the funds or CLOs. Unfunded AUM refers to unfunded capital commitments from closed-end funds and CLO warehouse fund.

2) Fee-earning AUM refers to assets where AssuredIM collects fees or has elected not to waive or rebate fees to investors. Non-fee earning AUM refers to assets where AssuredIM does not collect fees or has elected to waive or rebate fees to investors.

Corporate Division

Assured Guaranty Ltd.

Corporate Division Results

(dollars in millions)


	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2022		2021		2022		2021

Total revenues	$	1	$	—	$	2	$	—

Expenses
Interest expense	23		26		44		49
Employee compensation and benefit expenses	7		5		13		10
Other operating expenses	6		5		13		9
Total expenses	36		36		70		68
Equity in earnings (losses) of investees	—		—		—		—
Adjusted operating income (loss) before income taxes	(35)		(36)		(68)		(68)
Less: Provision (benefit) for income taxes	—		(2)		—		(5)
Adjusted operating income (loss)	$	(35)	$	(34)	$	(68)	$	(63)

Other

Assured Guaranty Ltd.

Other Results (1 of 2)

(dollars in millions)


	Three Months Ended June 30, 2022
	FG VIEs		CIVs		Intersegment Eliminations and Reclasses		Total Other
	(in millions)
Revenues
Net earned premiums	$	(1)	$	—	$	—	$	(1)
Net investment income	(1)		(1)		(3)		(5)
Asset management fees	—		(13)		5		(8)
Fair value gains (losses) on FG VIEs	10		—		—		10
Fair value gains (losses) on CIVs	—		3		—		3
Foreign exchange gains (losses) on remeasurement	—		5		—		5
Other income (loss)	(1)		4		—		3
Total revenues	7		(2)		2		7
Expenses
Loss expense (benefit)	6		—		—		6
Interest expense	—		—		(3)		(3)
Other operating expenses	—		(1)		5		4
Total expenses	6		(1)		2		7
Equity in earnings (losses) of investees	—		34		—		34
Adjusted operating income (loss) before income taxes	1		33		—		34
Less: Provision (benefit) for income taxes	—		2		—		2
Less: Noncontrolling interests	—		22		—		22
Adjusted operating income (loss)	$	1	$	9	$	—	$	10


	Three Months Ended June 30, 2021
	FG VIEs		CIVs		Intersegment Eliminations and Reclasses		Total Other
	(in millions)
Revenues
Net earned premiums	$	(1)	$	—	$	—	$	(1)
Net investment income	(1)		—		(2)		(3)
Asset management fees	—		(2)		4		2
Fair value gains (losses) on FG VIEs	8		—		—		8
Fair value gains (losses) on CIVs	—		21		—		21
Total revenues	6		19		2		27
Expenses
Loss expense (benefit)	2		—		—		2
Interest expense	—		—		(3)		(3)
Other operating expenses	—		—		5		5
Total expenses	2		—		2		4
Equity in earnings (losses) of investees	—		(14)		—		(14)
Adjusted operating income (loss) before income taxes	4		5		—		9
Less: Provision (benefit) for income taxes	1		—		—		1
Less: Noncontrolling interests	—		4		—		4
Adjusted operating income (loss)	$	3	$	1	$	—	$	4

Assured Guaranty Ltd.

Other Results (2 of 2)

(dollars in millions)


	Six Months Ended June 30, 2022
	FG VIEs		CIVs		Intersegment Eliminations and Reclasses		Total Other
	(in millions)
Revenues
Net earned premiums	$	(2)	$	—	$	—	$	(2)
Net investment income	(2)		—		(5)		(7)
Asset management fees	—		(22)		11		(11)
Fair value gains (losses) on FG VIEs	16		—		—		16
Fair value gains (losses) on CIVs	—		17		—		17
Foreign exchange gains (losses) on remeasurement	—		5		—		5
Other income (loss)	(1)		4		—		3
Total revenues	11		4		6		21
Expenses
Loss expense (benefit)	7		—		—		7
Interest expense	—		—		(5)		(5)
Other operating expenses	—		(1)		11		10
Total expenses	7		(1)		6		12
Equity in earnings (losses) of investees	—		24		—		24
Adjusted operating income (loss) before income taxes	4		29		—		33
Less: Provision (benefit) for income taxes	1		1		—		2
Less: Noncontrolling interests	—		31		—		31
Adjusted operating income (loss)	$	3	$	(3)	$	—	$	—


	Six Months Ended June 30, 2021
	FG VIEs		CIVs		Intersegment Eliminations and Reclasses		Total Other
	(in millions)
Revenues
Net earned premiums	$	(2)	$	—	$	—	$	(2)
Net investment income	(2)		—		(4)		(6)
Asset management fees	—		(4)		10		6
Fair value gains (losses) on FG VIEs	13		—		—		13
Fair value gains (losses) on CIVs	—		37		—		37
Total revenues	9		33		6		48
Expenses
Loss expense (benefit)	5		—		—		5
Interest expense	—		—		(5)		(5)
Other operating expenses	—		—		11		11
Total expenses	5		—		6		11
Equity in earnings (losses) of investees	—		(24)		—		(24)
Adjusted operating income (loss) before income taxes	4		9		—		13
Less: Provision (benefit) for income taxes	1		—		—		1
Less: Noncontrolling interests	—		8		—		8
Adjusted operating income (loss)	$	3	$	1	$	—	$	4

Summary

Assured Guaranty Ltd.

Summary of Financial and Statistical Data

(dollars in millions, except per share amounts)


	As of and for the Six Months Ended June 30, 2022			Year Ended December 31,
				2021			2020			2019			2018
GAAP Summary Statements of Operations Data
Net earned premiums	$	296		$	414		$	485		$	476		$	548
Net investment income	124			269			297			378			395
Total expenses	308			465			729			503			422
Income (loss) before income taxes	71			383			386			460			580
Net income (loss) attributable to AGL	19			389			362			402			521
Net income (loss) attributable to AGL per diluted share	0.29			5.23			4.19			4.00			4.68

GAAP Summary Balance Sheet Data
Total investments and cash	$	8,634		$	9,728		$	10,000		$	10,409		$	10,977
Total assets	16,960			18,208			15,334			14,326			13,603
Unearned premium reserve	3,585			3,716			3,735			3,736			3,512
Loss and LAE reserve	716			869			1,088			1,050			1,177
Long-term debt	1,674			1,673			1,224			1,235			1,233
Shareholders’ equity attributable to AGL	5,304			6,292			6,643			6,639			6,555
Shareholders’ equity attributable to AGL per share	84.89			93.19			85.66			71.18			63.23

Other Financial Information (GAAP Basis)
Financial guaranty:
Net debt service outstanding (end of period)	$	362,832		$	367,360		$	366,233		$	374,130		$	371,586
Gross debt service outstanding (end of period)	363,037			367,770			366,692			375,776			375,080
Net par outstanding (end of period)	232,812			236,392			234,153			236,807			241,802
Gross par outstanding (end of period)	232,994			236,765			234,571			238,156			244,191

Other Financial Information (Statutory Basis)(1)
Financial guaranty:
Net debt service outstanding (end of period)	$	358,087		$	362,013		$	360,392		$	367,630		$	359,499
Gross debt service outstanding (end of period)	358,292			362,423			360,852			369,251			362,974
Net par outstanding (end of period)	228,513			231,742			229,008			230,984			230,664
Gross par outstanding (end of period)	228,695			232,115			229,426			232,333			233,036

Claims-paying resources(2)
Policyholders' surplus	$	5,213		$	5,572		$	5,077		$	5,056		$	5,148
Contingency reserve	1,253			1,225			1,557			1,607			1,663
Qualified statutory capital	6,466			6,797			6,634			6,663			6,811
Unearned premium reserve and net deferred ceding commission income	2,923			2,972			2,983			2,961			2,950
Loss and LAE reserves	195			167			202			529			1,023
Total policyholders' surplus and reserves	9,584			9,936			9,819			10,153			10,784
Present value of installment premium	873			883			858			804			577
CCS and standby line of credit	400			400			400			400			400
Excess of loss reinsurance facility	—			—			—			—			180
Total claims-paying resources	$	10,857		$	11,219		$	11,077		$	11,357		$	11,941

Ratios:
Net exposure to qualified statutory capital	36		:1	34		:1	35		:1	35		:1	34		:1
Capital ratio	56		:1	53		:1	54		:1	55		:1	53		:1
Financial resources ratio	33		:1	32		:1	33		:1	32		:1	30		:1
Adjusted statutory net exposure to claims-paying resources	21		:1	21		:1	21		:1	20		:1	19		:1

Par and Debt Service Written (FG and Specialty)
Gross debt service written:
Public finance - U.S.	$	18,071		$	35,572		$	33,596		$	28,054		$	31,989
Public finance - non-U.S.	562			1,890			1,860			17,907			7,166
Structured finance - U.S.	76			1,319			508			1,704			1,191
Structured finance - non-U.S.	300			431			254			88			369
Total gross debt service written	$	19,009		$	39,212		$	36,218		$	47,753		$	40,715

Net debt service written	$	19,009		$	39,212		$	35,965		$	47,731		$	40,630
Net par written	11,166			26,656			23,012			24,331			24,538
Gross par written	11,166			26,656			23,265			24,353			24,624

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)


	Six Months Ended June 30, 2022		Year Ended December 31,
			2021		2020		2019		2018
Total GWP	$	135	$	377	$	454	$	677	$	612
Less: Installment GWP and other GAAP adjustments (2)	27		158		191		469		119
Upfront GWP	108		219		263		208		493
Plus: Installment premiums and other (3)	37		142		127		361		204
Total PVP	$	145	$	361	$	390	$	569	$	697

PVP:
Public finance - U.S.	$	106	$	235	$	292	$	201	$	402
Public finance - non-U.S.	30		79		82		308		116
Structured finance - U.S.	2		42		14		53		167
Structured finance - non-U.S.	7		5		2		7		12
Total PVP	$	145	$	361	$	390	$	569	$	697

Adjusted operating income reconciliation:
Net income (loss) attributable to AGL	$	19	$	389	$	362	$	402	$	521
Less pre-tax adjustments:
Realized gains (losses) on investments	(25)		15		18		22		(32)
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	3		(64)		65		(10)		101
Fair value gains (losses) on CCS	11		(28)		(1)		(22)		14
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	(102)		(21)		42		22		(32)
Total pre-tax adjustments	(113)		(98)		124		12		51
Less tax effect on pre-tax adjustments	12		17		(18)		(1)		(12)
Adjusted operating income (loss)	$	120	$	470	$	256	$	391	$	482

Adjusted operating income per diluted share reconciliation:
Net income (loss) attributable to AGL per diluted share	$	0.29	$	5.23	$	4.19	$	4.00	$	4.68
Less pre-tax adjustments:
Realized gains (losses) on investments	(0.37)		0.20		0.21		0.22		(0.29)
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	0.04		(0.85)		0.75		(0.11)		0.90
Fair value gains (losses) on CCS	0.17		(0.38)		(0.01)		(0.22)		0.13
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	(1.54)		(0.29)		0.49		0.21		(0.29)
Total pre-tax adjustments	(1.70)		(1.32)		1.44		0.10		0.45
Tax effect on pre-tax adjustments	0.18		0.23		(0.22)		(0.01)		(0.11)
Adjusted operating income (loss) per diluted share	$	1.81	$	6.32	$	2.97	$	3.91	$	4.34

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

2) This 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) This 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. This also includes the present value of future premiums and fees associated with a financial guarantee written by the Company that, under GAAP, is accounted for under 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 June 30, 2022		As of December 31,
			2021		2020		2019		2018
Adjusted book value reconciliation:
Shareholders' equity attributable to AGL	$	5,304	$	6,292	$	6,643	$	6,639	$	6,555
Less pre-tax adjustments:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	(51)		(54)		9		(56)		(45)
Fair value gains (losses) on CCS	34		23		52		52		74
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	(359)		404		611		486		247
Less taxes	46		(72)		(116)		(89)		(63)
Adjusted operating shareholders' equity	5,634		5,991		6,087		6,246		6,342
Pre-tax adjustments:
Less: Deferred acquisition costs	139		131		119		111		105
Plus: Net present value of estimated net future revenue	161		160		182		206		219
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,366		3,402		3,355		3,296		3,005
Plus taxes	(594)		(599)		(597)		(590)		(526)
Adjusted book value	$	8,428	$	8,823	$	8,908	$	9,047	$	8,935

Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders' equity (net of tax (provision) benefit of $(6), $(5), $-, $(2) and $(1))	$	26	$	32	$	2	$	7	$	3
Adjusted book value (net of tax (provision) benefit of $(3), $(3), $2, $1 and $4)	$	18	$	23	$	(8)	$	(4)	$	(15)

Adjusted book value per share reconciliation:
Shareholders' equity attributable to AGL per share	$	84.89	$	93.19	$	85.66	$	71.18	$	63.23
Less pre-tax adjustments:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	(0.82)		(0.80)		0.12		(0.60)		(0.44)
Fair value gains (losses) on CCS	0.55		0.34		0.66		0.56		0.72
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	(5.75)		5.99		7.89		5.21		2.39
Less taxes	0.73		(1.07)		(1.50)		(0.95)		(0.61)
Adjusted operating shareholders' equity per share	90.18		88.73		78.49		66.96		61.17
Pre-tax adjustments:
Less: Deferred acquisition costs	2.22		1.95		1.54		1.19		1.01
Plus: Net present value of estimated net future revenue	2.57		2.37		2.35		2.20		2.11
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	53.89		50.40		43.27		35.34		28.98
Plus taxes	(9.51)		(8.88)		(7.70)		(6.32)		(5.07)
Adjusted book value per share	$	134.91	$	130.67	$	114.87	$	96.99	$	86.18

Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders' equity per share	0.42		$	0.47	$	0.03	$	0.07	$	0.03
Adjusted book value per share	0.29		$	0.34	$	(0.10)	$	(0.05)	$	(0.15)

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, 2021.

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 international 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 international 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 international 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.

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. In addition, these transactions typically 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 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 Insurance and Reinsurance

The Company provides specialty insurance and reinsurance in transactions with similar risk profiles to 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.

AUM Definitions

The Company uses AUM as a metric to measure progress in its Asset Management segment. Management fee revenue is based on a variety of factors and is not perfectly correlated with AUM. However, the Company believes that AUM is a useful metric for assessing the relative size and scope of the Company’s asset management business. The Company uses measures of its AUM in its decision-making process and uses a measure of change in AUM in its calculation of certain components of management compensation. Investors also use AUM to evaluate companies that participate in the asset management business. AUM refers to the assets managed, advised or serviced by the Asset Management segment and equals the sum of the following:

•the amount of aggregate collateral balance and principal cash of AssuredIM’s CLOs, including CLO Equity that may be held by AssuredIM Funds. This also includes CLO assets managed by BlueMountain Fuji Management, LLC (BM Fuji), which was sold to a third party in second quarter 2021. AssuredIM is not the investment manager of BM Fuji-advised CLOs, but following the sale, AssuredIM sub-advises and continues to provide personnel and other services to BM Fuji associated with the management of BM Fuji-advised CLOs pursuant to a sub-advisory agreement and a personnel and services agreement, consistent with past practices; and

•the net asset value of all funds and accounts other than CLOs, plus any unfunded commitments. Changes in NAV attributable to movements in fund value of certain private equity funds are reported on a quarter lag.

The Company’s calculation of AUM may differ from the calculation employed by other investment managers and, as a result, this measure may not be directly comparable to similar measures presented by other investment managers. The calculation also differs from the manner in which AssuredIM affiliates registered with the SEC report “Regulatory Assets Under Management” on Form ADV and Form PF in various ways.

The Company also uses several other measurements of AUM to understand and measure its AUM in more detail and for various purposes, including its relative position in the market and its income and income potential:

“Third-party AUM” refers to the assets AssuredIM manages or advises on behalf of third-party investors. This includes current and former employee investments in AssuredIM Funds. For CLOs, this also includes CLO Equity that may be held by AssuredIM Funds.

“Intercompany AUM” refers to the assets AssuredIM manages or advises on behalf of the Company. This includes investments from affiliates of Assured Guaranty along with general partners’ investments of AssuredIM (or its affiliates) into the AssuredIM Funds.

“Funded AUM” refers to assets that have been deployed or invested into the funds or CLOs.

“Unfunded AUM” refers to unfunded capital commitments from closed-end funds and CLO warehouse funds.

“Fee earning AUM” refers to assets where AssuredIM collects fees and has elected not to waive or rebate fees to investors.

“Non-fee earning AUM” refers to assets where AssuredIM does not collect fees or has elected to waive or rebate fees to investors. AssuredIM reserves the right to waive some or all fees for certain investors, including investors affiliated with AssuredIM and/or the Company. Further, to the extent that the Company’s wind-down and/or opportunity funds are invested in AssuredIM managed CLOs, AssuredIM may rebate any management fees and/or performance fees earned from the CLOs to the extent such fees are attributable to the wind-down and opportunity funds’ holdings of CLOs also managed by AssuredIM.

Non-GAAP Financial Measures

The Company discloses both (a) financial measures determined in accordance with GAAP and (b) 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 and which are managed by AssuredIM.

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; (4) PVP; and (5) gross third-party assets raised.

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 within this financial supplement.

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.

Non-GAAP Financial Measures (continued)

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.

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 for 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.

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.

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.

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