Document

Assured Guaranty Ltd.

June 30, 2023

Financial Supplement


Table of Contents		Page
	Selected Financial Highlights	1
	Condensed Consolidated Statements of Operations (unaudited)	3
	Condensed Consolidated Balance Sheets (unaudited)	4
	Selected Financial Highlights GAAP to Non-GAAP Reconciliations	5
	Income Components	8
	Fixed-Maturity Securities, Short-Term Investments and Cash	12
	Investment Portfolio, Cash and CIVs	13
	Income from Investment Portfolio and CIVs	14
	Equity Method Alternative Investments in the Insurance Segment	16
	Insurance Segment:	17
	Insurance Segment Results	18
	Claims-Paying Resources	19
	New Business Production	20
	Gross Par Written	21
	New Business Production by Quarter	23
	Estimated Net Exposure Amortization and Estimated Future Financial Guaranty Net Premium and Credit Derivative Revenues	24
	Roll Forward of Net Expected Loss and Loss Adjustment Expenses to be Paid	25
	Loss Measures	26
	Net Expected Loss to be Expensed	27
	Financial Guaranty Profile	28
	Specialty Insurance, Reinsurance and Guaranties	31
	Expected Amortization of Net Par Outstanding	32
	Exposure to Puerto Rico	33
	U.S. RMBS Profile	35
	Direct Pooled Corporate Obligations Profile	36
	Below Investment Grade Exposures	37
	Largest Exposures by Sector	40
	Asset Management Segment	43
	Asset Management Results	44
	Corporate Division	45
	Corporate Results	46
	Other	47
	Other Results	48
	Summary	50
	Summary of Financial and Statistical Data	51
	Summary of GAAP to Non-GAAP Reconciliations	52
	Glossary	54
	Glossary	54
	Non-GAAP Financial Measures	57

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

Cautionary Statement Regarding Forward Looking Statements

Any forward looking statements made in this supplement reflect the current views of Assured Guaranty with respect to future events and financial performance and are made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such statements involve risks and uncertainties that may cause actual results to differ materially from those set forth in these statements. Assured Guaranty's forward looking statements could be affected by many events. These events include (1) significant changes in inflation, interest rates, the world’s credit markets or segments thereof, credit spreads, foreign exchange rates or general economic conditions, including the possibility of a recession; (2) geopolitical risk, including United States (U.S.)-China strategic competition and technology decoupling, Russia’s invasion of Ukraine and the resulting economic sanctions, fragmentation of global supply chains, volatility in energy prices, potential for increased cyberattacks, and risk of intentional or accidental escalation between The North Atlantic Treaty Organization (NATO) and Russia; (3) the possibility of a U.S. government shutdown, payment defaults on the debt of the U.S. government or instruments issued, insured or guaranteed by related institutions, agencies or instrumentalities, and downgrades to their credit ratings; (4) public health crises, including pandemics and endemics, and the governmental and private actions taken in response to such events; (5) developments in the world’s financial and capital markets, including stresses in the financial condition of banking institutions in the U.S., that adversely affect repayment rates related to commercial real estate, municipalities and other insured obligors, Assured Guaranty’s insurance loss or recovery experience, or investments of Assured Guaranty; (6) reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty’s insurance; (7) the risk that the Company’s investments in funds managed by Sound Point Capital Management, LP (Sound Point) do not result in the benefits anticipated or subject Assured Guaranty to negative consequences; (8) 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; (9) insured losses, including losses with respect to related legal proceedings, in excess of those expected by Assured Guaranty or the failure of Assured Guaranty to realize loss recoveries that are assumed in its expected loss estimates for insurance exposures, including as a result of the final resolution of Assured Guaranty’s remaining Puerto Rico exposures or the amounts recovered on securities received in connection with the resolution of Puerto Rico exposures already resolved; (10) the impact of the Company satisfying its obligations under insurance policies with respect to legacy insured Puerto Rico bonds;(11) increased competition, including from new entrants into the financial guaranty industry, nonpayment insurance and other forms of capital saving or risk syndication available to banks and insurers; (12) 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; (13) the impacts of the completion of Assured Guaranty’s transactions with Sound Point and/or Assured Healthcare Partners LLC (AHP) on Assured Guaranty and its relationships with its shareholders, regulators, rating agencies, employees and the obligors it insures and on the AssuredIM Contributed Business and on the business of AHP and their relationships with their respective clients and employees; (14) the possibility that strategic transactions made by Assured Guaranty, including the consummation of the transactions with Sound Point and/or AHP, do not result in the benefits anticipated or subject Assured Guaranty to negative consequences; (15) the inability to control the business, management or policies of entities in which the Company holds a minority interest; (16) 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 (CDS) form, and certain consolidated variable interest entities (VIEs); (17) 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; (18) the inability of Assured Guaranty to access external sources of capital on acceptable terms; (19) changes in applicable accounting policies or practices; (20) changes in applicable laws or regulations, including insurance, bankruptcy and tax laws, or other governmental actions; (21) difficulties with the execution of Assured Guaranty’s business strategy; (22) loss of key personnel; (23) the effects of mergers, acquisitions and divestitures; (24) natural or man-made catastrophes or pandemics; (25) the impact of climate change on Assured Guaranty’s business and regulatory actions taken related to such risk; (26) other risk factors identified in AGL’s filings with the U.S. Securities and Exchange Commission (SEC); (27) other risks and uncertainties that have not been identified at this time; and (28) 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,
	2023			2022			2023			2022
GAAP (1) Highlights
Net income (loss) attributable to AGL	$	125		$	(47)		$	206		$	19
Net income (loss) attributable to AGL per diluted share	$	2.06		$	(0.74)		$	3.40		$	0.29
Weighted average shares outstanding
Basic shares outstanding	59.2			63.8			59.1			65.0
Diluted shares outstanding (7)	60.1			63.8			60.3			66.2
Effective tax rate on net income	12.6		%	(12.9)		%	15.6		%	30.3		%
GAAP return on equity (ROE) (4)	9.5		%	(3.4)		%	8.0		%	0.7		%

Non-GAAP Highlights (2)
Adjusted operating income (loss)	$	36		$	30		$	104		$	120
Adjusted operating income (loss) per diluted share (2)	$	0.60		$	0.46		$	1.72		$	1.81
Weighted average diluted shares outstanding	60.1			65.0			60.3			66.2
Effective tax rate on adjusted operating income (3)	(0.9)		%	17.3		%	14.8		%	18.0		%
Adjusted operating ROE (2)(4)	2.6		%	2.1		%	3.7		%	4.1		%

Components of adjusted operating income (loss) (2)
Insurance segment	$	106		$	55		$	223		$	188
Asset Management segment	(2)			—			(3)			—
Corporate division	(50)			(35)			(94)			(68)
Other (6)	(18)			10			(22)			—
Adjusted operating income (loss)	$	36		$	30		$	104		$	120

Insurance Segment
Gross written premiums (GWP)	$	95		$	65		$	181		$	135
Present value of new business production (PVP) (2)	91			76			203			145
Gross par written	8,974			6,695			14,337			11,166

Asset Management Segment
Assets under management (AUM):
Inflows-third party	$	2		$	1,270		3			$	1,361
Inflows-intercompany	—			154			—			154

Effect of refundings and terminations on GAAP measures:
Net earned premiums, pre-tax	$	8		$	5		$	12		$	133
Fair value gains (losses) of credit derivatives, pre-tax	—			—			—			2
Net income effect	7			3			10			106
Net income per diluted share	0.11			0.06			0.16			1.60

Effect of refundings and terminations on non-GAAP measures:
Operating net earned premiums and credit derivative revenues(5), pre-tax	$	8		$	5		$	12		$	135
Adjusted operating income(5) effect	7			3			10			106
Adjusted operating income per diluted share (5)	0.11			0.06			0.16			1.60

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

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

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

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

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

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

7) 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, 2023				December 31, 2022
	Amount		Per Share		Amount		Per Share
Shareholders’ equity attributable to AGL	$	5,276	$	89.65	$	5,064	$	85.80
Adjusted operating shareholders’ equity (1)	5,628		95.64		5,543		93.92
Adjusted book value (1)	8,487		144.21		8,379		141.98
Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders’ equity	(3)		(0.04)		17		0.28
Adjusted book value	(7)		(0.12)		11		0.19

Shares outstanding at the end of period	58.9				59.0

Exposure
Financial guaranty net debt service outstanding	$	386,916			$	369,951
Financial guaranty net par outstanding:
Investment grade	$	238,379			$	227,366
Below-investment-grade (BIG)	5,634				5,892
Total	$	244,013			$	233,258

Claims-paying resources (2)	$	10,895			$	10,818

AUM	$	16,401			$	17,464

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

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

Assured Guaranty Ltd.

Condensed Consolidated Statements of Operations (unaudited)

(dollars in millions, except per share amounts)


	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2023		2022		2023		2022
Revenues
Net earned premiums	$	85	$	82	$	166	$	296
Net investment income	89		62		170		124
Asset management fees	27		21		53		55
Net realized investment gains (losses)	(9)		(28)		(11)		(25)
Fair value gains (losses) on credit derivatives	91		9		106		6
Fair value gains (losses) on committed capital securities (CCS)	1		10		(15)		11
Fair value gains (losses) on financial guaranty variable interest entities (FG VIEs)	(3)		10		(8)		16
Fair value gains (losses) on CIVs	6		3		64		17
Foreign exchange gains (losses) on remeasurement	28		(71)		48		(101)
Fair value gains (losses) on trading securities	40		(18)		38		(22)
Other income (loss)	5		10		32		13
Total revenues	360		90		643		390
Expenses
Loss and loss adjustment expense (LAE) (benefit)	55		(11)		59		46
Interest expense	22		20		43		40
Amortization of deferred acquisition costs (DAC)	3		3		6		7
Employee compensation and benefit expenses	70		59		152		132
Other operating expenses	71		41		126		83
Total expenses	221		112		386		308
Income (loss) before income taxes and equity in earnings (losses) of investees	139		(22)		257		82
Equity in earnings (losses) of investees	5		—		7		(11)
Income (loss) before income taxes	144		(22)		264		71
Less: Provision (benefit) for income taxes	18		3		41		21
Net income (loss)	126		(25)		223		50
Less: Noncontrolling interests	1		22		$	17	$	31
Net income (loss) attributable to AGL	$	125	$	(47)	$	206	$	19

Earnings per share:
Basic	$	2.09	$	(0.74)	$	3.46	$	0.29
Diluted	$	2.06	$	(0.74)	$	3.40	$	0.29

Assured Guaranty Ltd.

Condensed Consolidated Balance Sheets (unaudited)

(dollars in millions)


	As of
	June 30,		December 31,
	2023		2022
Assets
Investments:
Fixed-maturity securities available-for-sale, at fair value	$	6,488	$	7,119
Fixed-maturity securities, trading, at fair value	340		303
Short-term investments, at fair value	1,650		810
Other invested assets	146		133
Total investments	8,624		8,365
Cash	114		107
Premiums receivable, net of commissions payable	1,417		1,298
DAC	155		147
Salvage and subrogation recoverable	266		257
FG VIEs’ assets, at fair value	414		416
Assets of consolidated investment vehicles (CIVs)	5,055		5,493
Goodwill and other intangible assets	6		163
Assets held for sale	221		—
Other assets	580		597
Total assets	$	16,852	$	16,843

Liabilities
Unearned premium reserve	$	3,648	$	3,620
Loss and LAE reserve	349		296
Long-term debt	1,677		1,675
Credit derivative liabilities, at fair value	58		163
FG VIEs’ liabilities, at fair value	699		715
Liabilities of CIVs	4,460		4,625
Liabilities held for sale	50		—
Other liabilities	456		457
Total liabilities	11,397		11,551

Shareholders’ equity
Common shares	1		1
Retained earnings	5,732		5,577
Accumulated other comprehensive income (loss)	(458)		(515)
Deferred equity compensation	1		1
Total shareholders’ equity attributable to AGL	5,276		5,064
Nonredeemable noncontrolling interests	179		228
Total shareholders’ equity	5,455		5,292
Total liabilities and shareholders’ equity	$	16,852	$	16,843

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (1 of 3)

(dollars in millions, except per share amounts)


Adjusted Operating Income Reconciliation	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2023		2022		2023		2022

Net income (loss) attributable to AGL	$	125	$	(47)	$	206	$	19
Less pre-tax adjustments:
Realized gains (losses) on investments	(9)		(28)		(11)		(25)
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	90		6		103		3
Fair value gains (losses) on CCS	1		10		(15)		11
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	26		(73)		46		(102)
Total pre-tax adjustments	108		(85)		123		(113)
Less tax effect on pre-tax adjustments	(19)		8		(21)		12
Adjusted operating income (loss)	$	36	$	30	$	104	$	120

Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating income	$	(18)	$	10	$	(22)	$	—

Components of adjusted operating income:
Segments:
Insurance	$	106	55		$	223	$	188
Asset Management	(2)		—		(3)		—
Total segments	104		55		220		188
Corporate division	(50)		(35)		(94)		(68)
Other	(18)		10		(22)		—
Adjusted operating income (loss)	$	36	$	30	$	104	$	120


Per diluted share:
Net income (loss) attributable to AGL	$	2.06	$	(0.74)	$	3.40	$	0.29
Less pre-tax adjustments:
Realized gains (losses) on investments	(0.14)		(0.43)		(0.17)		(0.37)
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	1.48		0.09		1.68		0.04
Fair value gains (losses) on CCS	—		0.15		(0.25)		0.17
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.43		(1.14)		0.75		(1.54)
Total pre-tax adjustments	1.77		(1.33)		2.01		(1.70)
Less tax effect on pre-tax adjustments	(0.31)		0.13		(0.33)		0.18
Adjusted operating income (loss)	$	0.60	$	0.46	$	1.72	$	1.81

Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating income	$	(0.30)	$	0.15	$	(0.35)	$	—

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

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (2 of 3)

(dollars in millions)


ROE Reconciliation and Calculation	As of
	June 30,		March 31,		December 31,			June 30,			March 31,			December 31,
	2023		2023		2022			2022			2022			2021
Shareholders’ equity attributable to AGL	$	5,276	$	5,220	$	5,064		$	5,304		$	5,802		$	6,292
Adjusted operating shareholders’ equity	5,628		5,606		5,543			5,634			5,860			5,991
Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating shareholders' equity	(3)		13		17			26			22			32

					Three Months Ended						Six Months Ended
					June 30,						June 30,
					2023			2022			2023			2022
Net income (loss) attributable to AGL					$	125		$	(47)		$	206		$	19
Adjusted operating income (loss)					36			30			104			120

Average shareholders’ equity attributable to AGL					$	5,248		$	5,553		$	5,170		$	5,798
Average adjusted operating shareholders’ equity					5,617			5,747			5,586			5,813
Gain (loss) related to FG VIE and CIV consolidation included in average adjusted operating shareholders’ equity					5			24			7			29

GAAP ROE (1)					9.5		%	(3.4)		%	8.0		%	0.7		%
Adjusted operating ROE (1)					2.6		%	2.1		%	3.7		%	4.1		%

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,
	2023		2023		2022		2022		2022		2021
Reconciliation of shareholders’ equity attributable to AGL to adjusted book value:
Shareholders’ equity attributable to AGL	$	5,276	$	5,220	$	5,064	$	5,304	$	5,802	$	6,292
Less pre-tax reconciling items:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	31		(59)		(71)		(51)		(57)		(54)
Fair value gains (losses) on CCS	32		32		47		34		24		23
Unrealized gain (loss) on investment portfolio	(463)		(413)		(523)		(359)		(26)		404
Less taxes	48		54		68		46		1		(72)
Adjusted operating shareholders' equity	5,628		5,606		5,543		5,634		5,860		5,991
Pre-tax reconciling items:
Less: Deferred acquisition costs	155		151		147		139		135		131
Plus: Net present value of estimated net future revenue	192		196		157		161		164		160
Plus: Net deferred premium revenue on financial guaranty contracts in excess of expected loss to be expensed	3,445		3,436		3,428		3,366		3,369		3,402
Plus taxes	(623)		(609)		(602)		(594)		(593)		(599)
Adjusted book value	$	8,487	$	8,478	$	8,379	$	8,428	$	8,665	$	8,823

Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders’ equity (net of tax (provision) benefit of $1, $(4), $(4) $(6), $ (5), and $(5))	$	(3)	$	13	$	17	$	26	$	22	$	32
Adjusted book value (net of tax (provision) benefit of $3, $(3), $(3), $(3), $(3), and $(3))	$	(7)	$	8	$	11	$	18	$	13	$	23

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

Assured Guaranty Ltd.

Income Components (1 of 4)

(in millions)

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


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

Revenues
Net earned premiums	$	86	$	—	$	—	$	(1)	$	—	$	85
Net investment income	90		—		2		(3)		—		89
Asset management fees	—		27		—		—		—		27
Net realized investment gains (losses)	—		—		—		—		(9)		(9)
Fair value gains (losses) on credit derivatives (2)	2		—		—		—		89		91
Fair value gains (losses) on CCS	—		—		—		—		1		1
Fair value gains (losses) on FG VIEs	—		—		—		(3)		—		(3)
Fair value gains (losses) on CIVs	—		—		—		6		—		6
Foreign exchange gains (losses) on remeasurement	2		—		—		—		26		28
Fair value gains (losses) on trading securities	40		—		—		—		—		40
Other income (loss)	4		3		—		(2)		—		5
Total revenues	224		30		2		(3)		107		360

Expenses
Loss and LAE (benefit) (3)	44		—		—		12		(1)		55
Interest expense	—		1		24		(3)		—		22

Amortization of DAC	3		—		—		—		—		3
Employee compensation and benefit expenses	36		25		9		—		—		70
Other operating expenses	27		7		27		10		—		71
Total expenses	110		33		60		19		(1)		221
Equity in earnings (losses) of investees	5		—		—		—		—		5
Less: Provision (benefit) for income taxes	13		(1)		(8)		(5)		19		18
Less: Noncontrolling interests			—		—		1		—		1
Total	$	106	$	(2)	$	(50)	$	(18)	$	89	$	125

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

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

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

Assured Guaranty Ltd.

Income Components (2 of 4)

(in millions)

Components of Income for the Three Months Ended 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 4)

(in millions)

Components of Income for the Six Months Ended June 30, 2023


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

Revenues
Net earned premiums	$	168	$	—	$	—	$	(2)	$	—	$	166
Net investment income	172		—		4		(6)		—		170
Asset management fees	—		64		—		(11)		—		53
Net realized investment gains (losses)	—		—		—		—		(11)		(11)
Fair value gains (losses) on credit derivatives (2)	4		—		—		—		102		106
Fair value gains (losses) on CCS	—		—		—		—		(15)		(15)
Fair value gains (losses) on FG VIEs	—		—		—		(8)		—		(8)
Fair value gains (losses) on CIVs	—		—		—		64		—		64
Foreign exchange gains (losses) on remeasurement	3		—		—		(1)		46		48
Fair value gains (losses) on trading securities	38		—		—		—		—		38
Other income (loss)	29		7		—		(4)		—		32
Total revenues	414		71		4		32		122		643

Expenses
Loss and LAE (benefit)(3)	53		—		—		7		(1)		59
Interest expense	—		1		47		(5)		—		43

Amortization of DAC	6		—		—		—		—		6
Employee compensation and benefit expenses	75		59		18		—		—		152
Other operating expenses	55		15		43		13		—		126
Total expenses	189		75		108		15		(1)		386
Equity in earnings (losses) of investees	35		—		—		(28)		—		7
Less: Provision (benefit) for income taxes	37		(1)		(10)		(6)		21		41
Less: Noncontrolling interests	—		—		—		17		—		17
Total	$	223	$	(3)	$	(94)	$	(22)	$	102	$	206

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

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

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

Assured Guaranty Ltd.

Income Components (4 of 4)

(in millions)

Components of Income for the 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.

Fixed-Maturity Securities, Short-Term Investments and Cash

As of June 30, 2023

(dollars in millions)


	Amortized Cost		Allowance for Credit Losses			Pre-Tax Book Yield		After-Tax Book Yield		Fair Value		Annualized Investment Income (1)
Fixed maturity securities, available-for-sale:
Obligations of states and political subdivisions(2)(4)(7)	$	2,973	$	(14)		3.54	%	3.24	%	$	2,876	$	105
U.S. government and agencies	69		—			2.58		2.25		64		2
Corporate securities	2,330		(6)			2.87		2.53		2,066		67
Mortgage-backed securities:
Residential mortgage-backed securities (RMBS) (3)(4)	440		(20)			4.99		4.15		352		22
Commercial mortgage-backed securities	214		—			3.40		2.96		204		7
Asset-backed securities (ABS)
CLOs	468		—			6.98		5.51		454		33
Other ABS (4)	432		(39)			4.93		3.95		374		21
Non-U.S. government securities	118		—			1.08		1.07		98		1
Total fixed maturity securities, available-for-sale	7,044		(79)			3.67		3.20		6,488		258
Short-term investments	1,650		—			4.78		3.89		1,650		60
Cash (5)	114		—			—		—		114		—
Total	$	8,808	$	(79)		3.88	%	3.33	%	$	8,252	$	318

Fixed maturity securities, trading (8)										$	340


Ratings (6):	Fair Value		% of Portfolio
U.S. government and agencies	$	64	1.0		%
AAA/Aaa	898		13.9
AA/Aa	2,438		37.6
A/A	1,746		26.9
BBB	742		11.4
BIG	490		7.5
Not rated (7)	110		1.7
Total fixed maturity securities, available-for-sale	$	6,488	100.0		%


Duration of available-for-sale fixed maturity securities and short-term investments (in years):			3.1

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 $140 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 the lower of the Moody’s or S&P classifications except for purchased securities that the Company has insured, and for which it had expected losses to be paid (Loss Mitigation Securities) and certain other securities, which use internal ratings classifications. Loss mitigation and other securities total $906 million in par with carrying value of $555 million and are primarily included in the BIG category.

7) Includes $36 million of new general obligation bonds and new bonds backed by toll revenue received in connection with the 2022 Puerto Rico Resolutions (see page 33).

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

Assured Guaranty Ltd.

Investment Portfolio, Cash and CIVs

GAAP

(dollars in millions)

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


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

Fixed-maturity securities, available-for-sale	$	6,463	$	25	$	—	$	6,488
Fixed-maturity securities, trading	340		—		—		340

Short-term investments	1,569		79		2		1,650
Cash	61		19		34		114
Total short-term investments and cash	1,630		98		36		1,764
Other invested assets
AssuredIM Funds (3)
CLOs	189		—		(189)		—
Municipal bonds	—		—		—		—
Healthcare	74		—		(74)		—
Asset-based	87		—		(87)		—
Equity method investments-AssuredIM Funds	350		—		(350)		—
Other	136		10		—		146
Other invested assets	486		10		(350)		146
Total investment portfolio and cash	$	8,919	$	133	$	(314)	$	8,738
CIVs
Assets of CIVs	$	—	$	—	$	5,055	$	5,055
Liabilities of CIVs	—		—		(4,460)		(4,460)
Nonredeemable noncontrolling interests	—		—		(179)		(179)
Total CIVs	$	—	$	—	$	416	$	416

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


	Insurance Subsidiaries		Holding Companies		Other		AGL Consolidated

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

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

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

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

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

Assured Guaranty Ltd.

Income from Investment Portfolio and CIVs

Segment

(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, 2023 and June 30, 2022


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

Net investment income	$	90	$	—	$	2	$	(3)	$	89

Fair value gains (losses) on trading securities	$	40	$	—	$	—	$	—	$	40

Equity in earnings (losses) of investees
AssuredIM Funds	$	—	$	—	$	—	$	—	$	—
Other	5		—		—		—		5
Equity in earnings (losses) of investees	$	5	$	—	$	—	$	—	$	5

CIVs
Fair value gains (losses) on CIVs	$	—	$	—	$	—	$	6	$	6
Noncontrolling interests	—		—		—		(1)		(1)
Total CIVs	$	—	$	—	$	—	$	5	$	5


	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)

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, 2023 and June 30, 2022


	Six Months Ended June 30, 2023
	Insurance		Asset Management		Corporate		Other		Total

Net investment income	$	172	$	—	$	4	$	(6)	$	170

Fair value gains (losses) on trading securities	$	38	$	—	$	—	$	—	$	38

Equity in earnings (losses) of investees
AssuredIM Funds	$	28	$	—	$	—	$	(28)	$	—
Other	7		—		—		—		7
Equity in earnings (losses) of investees	$	35	$	—	$	—	$	(28)	$	7

CIVs
Fair value gains (losses) on CIVs	$	—	$	—	$	—	$	64	$	64
Noncontrolling interests	—		—		—		(17)		(17)
Total CIVs	$	—	$	—	$	—	$	47	$	47


	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)

Assured Guaranty Ltd.

Equity Method Alternative Investments in the Insurance Segment

(dollars in millions)


	Carrying Value				Equity in Earnings
	June 30, 2023		December 31, 2022		Second Quarter 2023		Six Months 2023		Inception-to-Date

AssuredIM Funds(1)
Strategy:
CLOs	$	189	$	272	$	(3)	$	16	$	55
Municipal bonds	—		105		—		—		6
Healthcare(3)	74		91		1		9		47
Asset-based(3)	87		101		2		3		30
AssuredIM Funds (2)	350		569		—		28		138
Other alternative investments(3)	123		117		5		7		54
Total	$	473	$	686	$	5	$	35	$	192

1) Eliminated in consolidation at the AGL level, reported in equity in earnings at AG Asset Strategies LLC (AGAS), which is owned 65% by Assured Guaranty Municipal Corp. (AGM) and 35% by Assured Guaranty Corp. (AGC). AGAS is consolidated in AGM's consolidated financial statements.

2) The inception-to-date annualized internal rate of return (IRR) is 10.1%, the year to date return was 6.4% and the quarter to date return was a negative 0.5%. For AssuredIM Funds, the returns represent IRR based on mark-to-market gains (losses). The inception-to-date IRRs are annualized; the quarterly and year-to-date returns are not annualized.

3) Includes funds and investments reported on a lag. Excludes equity method investment in the Corporate division of $7 million and $6 million as of June 30, 2023 and December 31, 2022, respectively.

Insurance Segment

Assured Guaranty Ltd.

Insurance Segment Results

(dollars in millions)


	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2023		2022		2023		2022
Segment revenues
Net earned premiums and credit derivative revenues	$	88	$	86	172		305
Net investment income	90		66		172		129
Fair value gains (losses) on trading securities	40		(18)		38		(22)
Foreign exchange gains (losses) on remeasurement and other income (loss)	6		5		32		5
Total segment revenues	224		139		414		417

Segment expenses
Loss expense (benefit)	44		(17)		53		43
Interest expense	—		—		—		1
Amortization of DAC	3		3		6		7
Employee compensation and benefit expenses	36		35		75		73
Other operating expenses	27		20		55		39
Total segment expenses	110		41		189		163
Equity in earnings (losses) of investees	5		(34)		35		(35)
Segment adjusted operating income (loss) before income taxes	119		64		260		219
Less: Provision (benefit) for income taxes	13		9		37		31
Segment adjusted operating income (loss)	$	106	$	55	$	223	$	188

Assured Guaranty Ltd.

Claims-Paying Resources

(dollars in millions)


	As of June 30, 2023
	AGM		AGC		AG Re(6)		Eliminations(2)		Consolidated
Claims-paying resources
Policyholders' surplus	$	2,702	$	1,911	$	710	$	(222)	$	5,101
Contingency reserve	894		358		—		—		1,252
Qualified statutory capital	3,596		2,269		710		(222)		6,353
Unearned premium reserve and net deferred ceding commission income(1)	2,089		339		598		(66)		2,960
Loss and LAE reserves (1)(7)	13		—		162		—		175
Total policyholders' surplus and reserves	5,698		2,608		1,470		(288)		9,488
Present value of installment premium	513		246		248		—		1,007
CCS	200		200		—		—		400
Total claims-paying resources	$	6,411	$	3,054	$	1,718	$	(288)	$	10,895

Statutory net exposure (1)(3)	$	158,390	$	26,351	$	60,512	$	(844)	$	244,409
Net debt service outstanding (1)(3)	$	254,657	$	42,008	$	92,328	$	(1,662)	$	387,331

Ratios:
Net exposure to qualified statutory capital	44:1		12:1		85:1				38:1
Capital ratio (4)	71:1		19:1		130:1				61:1
Financial resources ratio (5)	40:1		14:1		54:1				36:1
Statutory net exposure to claims-paying resources	25:1		9:1		35:1				22:1

1) The numbers shown for 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 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 $1,192 million of specialty insurance and reinsurance exposure, and a guarantee of rental income cash flows with maximum potential exposure of $1,643 million.

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

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

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

7) Loss and LAE reserves exclude adjustments to claims-paying resources for AGC because they were in a net recoverable position of $76 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, 2023 and June 30, 2022


	Three Months Ended										Three Months Ended
	June 30, 2023										June 30, 2022
	Public Finance				Structured Finance						Public Finance				Structured Finance
	U.S.		Non - U.S.		U.S.		Non - U.S.		Total		U.S.		Non - U.S.		U.S.		Non - U.S.		Total
Total GWP	$	78	$	9	$	5	$	3	$	95	$	57	$	6	$	1	$	1	$	65
Less: Installment GWP and other GAAP adjustments (1)	41		9		5		3		58		—		6		1		1		8
Upfront GWP	37		—		—		—		37		57		—		—		—		57
Plus: Installment premiums and other(2)	40		6		3		5		54		—		18		—		1		19
Total PVP	$	77	$	6	$	3	$	5	$	91	$	57	$	18	$	—	$	1	$	76

Gross par written	$	7,747	$	249	$	252	$	726	$	8,974	$	6,429	$	207	$	16	$	43	$	6,695

Reconciliation of GWP to PVP for the Six Months Ended June 30, 2023 and June 30, 2022


	Six Months Ended										Six Months Ended
	June 30, 2023										June 30, 2022
	Public Finance				Structured Finance						Public Finance				Structured Finance
	U.S.		Non - U.S.		U.S.		Non - U.S.		Total		U.S.		Non - U.S.		U.S.		Non - U.S.		Total
Total GWP	$	100	$	45	$	33	$	3	$	181	$	106	$	22	$	6	$	1	$	135
Less: Installment GWP and other GAAP adjustments (1)	49		42		33		3		127		—		22		4		1		27
Upfront GWP	51		3		—		—		54		106		—		2		—		108
Plus: Installment premiums and other(2)	48		33		30		38		149		—		30		—		7		37
Total PVP	$	99	$	36	$	30	$	38	$	203	$	106	$	30	$	2	$	7	$	145

Gross par written	$	10,654	$	609	$	834	$	2,240	$	14,337	$	10,360	$	430	$	76	$	300	$	11,166

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

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

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

Assured Guaranty Ltd.

Gross Par Written (1 of 2)

(dollars in millions)

Gross Par Written by Asset Type


	Three Months Ended June 30,
	2023			2022
	Gross Par Written		Average Internal Rating	Gross Par Written		Average Internal Rating
Sector:
U.S. public finance
General obligation	$	3,259	A	$	1,937	A
Municipal utilities	1,950		A-	1,574		A+
Infrastructure finance	1,785		BBB+	54		BBB
Tax backed	462		BBB+	842		A
Transportation	188		BBB	826		BBB+
Healthcare	76		A-	1,005		A-
Higher education	—		—	191		A-
Other U.S public finance	27		A	—		—
Total U.S. public finance	7,747		A-	6,429		A
Non-U.S. public finance:
Regulated utilities	249		A-	—		—
Infrastructure finance	—		—	207		BBB-





Total non-U.S. public finance	249		A-	207		BBB-
Total public finance	7,996		A-	6,636		A

U.S. structured finance:
Structured credit	225		BBB	—		—
Other structured finance	27		A	16		A
Total U.S. structured finance	252		BBB	16		A
Non-U.S. structured finance:
Other structured finance	726		A	43		A
Total non-U.S. structured finance	726		A	43		A
Total structured finance	978		A-	59		A

Total gross par written	$	8,974	A-	$	6,695	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,
	2023			2022
	Gross Par Written		Average Internal Rating	Gross Par Written		Average Internal Rating
Sector:
U.S. public finance
General obligation	$	4,669	A	$	3,382	A
Municipal utilities	2,715		A-	1,866		A
Infrastructure finance	1,785		BBB+	59		BBB
Tax backed	565		BBB+	1,216		A
Healthcare	464		A	1,361		BBB+
Transportation	224		BBB	2,233		A-
Higher education	205		A-	243		A-
Other U.S. public finance	27		A	—		—
Total U.S. public finance	10,654		A-	10,360		A-
Non-U.S. public finance:
Regulated utilities	356		BBB+	223		BBB
Infrastructure finance	—		—	207		BBB-
Sovereign and sub-sovereign	253		A+	—		—
Total non-U.S. public finance	609		A-	430		BBB
Total public finance	11,263		A-	10,790		A-

U.S. structured finance:
Insurance securitizations	500		A	—		—
Structured credit	275		BBB	—		—
Other structured finance	59		A	76		A-
Total U.S. structured finance	834		A-	76		A-
Non-U.S. structured finance:
Other structured finance	2,240		AA-	300		AA
Total non-U.S. structured finance	2,240		AA-	300		AA
Total structured finance	3,074		A+	376		AA-

Total gross par written	$	14,337	A	$	11,166	A-

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-22		2Q-22		3Q-22		4Q-22		1Q-23		2Q-23		2023		2022
PVP:
Public finance - U.S.	$	49	$	57	$	57	$	94	$	22	$	77	$	99	$	106
Public finance - non-U.S.	12		18		37		1		30		6		36		30
Structured finance - U.S.	2		—		1		40		27		3		30		2
Structured finance - non-U.S.	6		1		—		—		33		5		38		7
Total PVP (1)	$	69	$	76	$	95	$	135	$	112	$	91	$	203	$	145

Reconciliation of GWP to PVP:

Total GWP	$	70	$	65	$	94	$	131	$	86	$	95	$	181	$	135
Less: Installment GWP and other GAAP adjustments	19		8		39		79		69		58		127		27
Upfront GWP	51		57		55		52		17		37		54		108
Plus: Installment premiums and other(2)	18		19		40		83		95		54		149		37
Total PVP	$	69	$	76	$	95	$	135	$	112	$	91	$	203	$	145

Gross par written:
Public finance - U.S.	$	3,931	6,429		$	3,622	$	5,819	$	2,907	$	7,747	$	10,654	$	10,360
Public finance - non-U.S.	223		207		194		—		360		249		609		430
Structured finance - U.S.	60		16		30		971		582		252		834		76
Structured finance - non-U.S. (1)	257		43		—		245		1,514		726		2,240		300
Total	$	4,471	$	6,695	$	3,846	$	7,035	$	5,363	$	8,974	$	14,337	$	11,166

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

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

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

Assured Guaranty Ltd.

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

and Credit Derivative Revenues

(dollars in millions)


					Financial Guaranty Insurance (2)
	Estimated Net Debt Service Amortization		Estimated Ending Net Debt Service Outstanding		Expected PV Net Earned Premiums (i.e. Net Deferred Premium Revenue)		Accretion of Discount		Effect of FG VIE Consolidation on Expected PV Net Earned Premiums and Accretion of Discount		Future Credit Derivative Revenues (3)
2023 (as of June 30)			$	386,916
2023 3Q	$	6,499	380,417		$	73	$	7	$	1	$	2
2023 4Q	4,944		375,473		72		7		1		2
2024	20,174		355,299		276		25		3		8
2025	21,267		334,032		258		23		3		8
2026	20,139		313,893		241		22		3		8
2027	18,094		295,799		227		20		2		7

2023-2027	91,117		295,799		1,147		104		13		35
2028-2032	89,265		206,534		947		82		11		31
2033-2037	71,859		134,675		633		54		11		24
2038-2042	51,246		83,429		386		35		—		16
After 2042	83,429		—		536		48		—		11
Total	$	386,916			$	3,649	$	323	$	35	$	117

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


	GAAP		Effect of FG VIE Consolidation on Net Unearned Premium Reserve
Net deferred premium revenue:
Financial guaranty	$	3,649	$	34
Specialty	8		—
Net deferred premium revenue	3,657		34
Contra-paid	(22)		(4)
Net unearned premium reserve	$	3,635	$	30

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

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

3) Represents expected future premiums on insured credit derivatives.

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

Assured Guaranty Ltd.

Roll Forward of Net Expected Loss and LAE to be Paid

(dollars in millions)

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


	Net Expected Loss to be Paid (Recovered) as of March 31, 2023		Economic Loss Development (Benefit) During 2Q-23		Net (Paid) Recovered Losses During 2Q-23		Net Expected Loss to be Paid (Recovered) as of June 30, 2023
Public Finance:
U.S. public finance	$	380	$	57	$	(4)	$	433
Non-U.S public finance	13		(3)		—		10
Public Finance	393		54		(4)		443

Structured Finance:
U.S. RMBS	82		(9)		—		73
Other structured finance	42		4		(2)		44
Structured Finance	124		(5)		(2)		117
Total	$	517	$	49	$	(6)	$	560

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


	Net Expected Loss to be Paid (Recovered) as of December 31, 2022		Economic Loss Development (Benefit) During 2023		Net (Paid) Recovered Losses During 2023		Net Expected Loss to be Paid (Recovered) as of June 30, 2023
Public Finance:
U.S. public finance	$	403	$	58	$	(28)	$	433
Non-U.S public finance	9		1		—		10
Public Finance	412		59		(28)		443

Structured Finance:
U.S. RMBS	66		(4)		11		73
Other structured finance	44		5		(5)		44
Structured Finance	110		1		6		117
Total	$	522	$	60	$	(22)	$	560

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

Assured Guaranty Ltd.

Loss Measures

As of June 30, 2023

(dollars in millions)


			Three Months Ended June 30, 2023					Six Months Ended June 30, 2023
	Total Net Par Outstanding for BIG Transactions			GAAP Loss and LAE (1)		Loss and LAE included in Adjusted Operating Income (2)			Insurance Segment Loss and LAE (3)		GAAP Loss and LAE (1)		Loss and LAE included in Adjusted Operating Income (2)		Insurance Segment Loss and LAE (3)
Public finance:
U.S. public finance	$	3,540		$	56	$	56		$	45	$	52	$	52	$	46
Non-U.S public finance	1,026			—		—			—		—		—		—
Public finance	4,566			56		56			45		52		52		46
Structured finance:
U.S. RMBS	970			(2)		(2)			(3)		4		4		3
Other structured finance	98			1		2			2		3		4		4
Structured finance	1,068			(1)		—			(1)		7		8		7
Total	$	5,634		$	55	$	56		$	44	$	59	$	60	$	53

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, 2023

(dollars in millions)


	GAAP

2023 (as of June 30)
2023 3Q	$	4
2023 4Q	3
2024	14
2025	13
2026	17
2027	15
2023-2027	66
2028-2032	61
2033-2037	50
2038-2042	13
After 2042	14
Total expected present value of net expected loss to be expensed(2)	204
Future accretion	30
Total expected future loss and LAE	$	234

1) The present value of net expected loss to be paid is discounted using risk free rates ranging from 3.73% to 5.37% for U.S. dollar denominated obligations.

2) Excludes $28 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, 2023

As of December 31, 2022

Net Par Outstanding

Average Internal Rating

Net Par Outstanding

Average Internal Rating

U.S. public finance:

General obligation

74,874

A-

71,868

A-

Tax backed

32,911

A-

33,752

A-

Municipal utilities

28,185

A-

26,436

A-

Transportation

20,317

A-

19,688

A-

Healthcare

11,661

BBB+

11,304

BBB+

Infrastructure finance

8,667

A-

6,955

A-

Higher education

7,237

A-

7,137

A-

Housing revenue

937

BBB-

959

BBB-

Investor-owned utilities

331

A-

332

A-

Renewable energy

171

A-

180

A-

Other public finance

1,032

BBB

1,025

BBB

Total U.S. public finance

186,323

A-

179,636

A-

Non-U.S public finance:

Regulated utilities

19,836

BBB+

17,855

BBB+

Infrastructure finance

14,756

BBB

13,915

BBB

Sovereign and sub-sovereign

9,862

A+

9,526

A+

Renewable energy

2,073

A-

2,086

A-

Pooled infrastructure

1,131

AAA

1,081

AAA

Total non-U.S. public finance

47,658

BBB+

44,463

BBB+

Total public finance

233,981

A-

224,099

A-

U.S. structured finance:

Life insurance transactions

4,406

AA-

3,879

AA-

RMBS

1,863

BBB-

1,956

BBB-

Pooled corporate obligations

606

AAA

625

AAA

Financial products

450

AA-

453

AA-

Consumer receivables

373

437

Other structured finance

1,129

BBB+

878

BBB+

Total U.S. structured finance

8,827

8,228

Non-U.S. structured finance:

Pooled corporate obligations

352

AAA

344

AAA

RMBS

263

A-

263

A-

Other structured finance

590

A+

324

AA-

Total non-U.S. structured finance

1,205

AA-

931

Total structured finance

10,032

9,159

Total net par outstanding

244,013

A-

233,258

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, 2023

(dollars in millions)

Distribution by Ratings of Financial Guaranty Portfolio


	Public Finance - U.S.				Public Finance - Non-U.S.				Structured Finance - U.S.				Structured Finance - Non-U.S.				Total
Ratings:	Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%
AAA	$	212	0.1	%	$	2,038	4.3	%	$	884	10.0	%	$	474	39.3	%	$	3,608	1.5	%
AA	17,452		9.4		3,442		7.2		4,580		51.9		12		1.0		25,486		10.5
A	100,267		53.8		11,005		23.1		1,684		19.1		613		50.9		113,569		46.5
BBB	64,852		34.8		30,147		63.2		611		6.9		106		8.8		95,716		39.2
BIG	3,540		1.9		1,026		2.2		1,068		12.1		—		—		5,634		2.3
Net Par Outstanding (1)	$	186,323	100.0	%	$	47,658	100.0	%	$	8,827	100.0	%	$	1,205	100.0	%	$	244,013	100.0	%

1) As of June 30, 2023, the Company excluded $1.3 billion of net par primarily attributable to Loss Mitigation Securities.

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

Assured Guaranty Ltd.

Financial Guaranty Profile (3 of 3)

As of June 30, 2023

(dollars in millions)

Geographic Distribution of Financial Guaranty Portfolio


	Net Par Outstanding		% of Total
U.S.:
U.S. public finance:
California	$	37,051	15.2	%
Texas	20,986		8.6
New York	16,137		6.6
Pennsylvania	16,133		6.6
Illinois	13,562		5.6
New Jersey	9,366		3.8
Florida	8,530		3.5
Michigan	5,217		2.1
Louisiana	4,792		2.0
Alabama	3,842		1.6
Other	50,707		20.8
Total U.S. public finance	186,323		76.4
U.S. structured finance	8,827		3.6
Total U.S.	195,150		80.0

Non-U.S.:
United Kingdom	38,136		15.6
Canada	1,758		0.7
Spain	1,573		0.7
France	1,522		0.6
Australia	1,486		0.6
Other	4,388		1.8
Total non-U.S.	48,863		20.0

Total net par outstanding	$	244,013	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, Reinsurance and Guaranties

As of June 30, 2023

(dollars in millions)


	As of June 30, 2023				As of December 31, 2022
	Gross Exposure		Net Exposure		Gross Exposure		Net Exposure
Life insurance transactions (1)	$	1,326	$	992	$	1,314	$	986
Aircraft residual value insurance policies (2)	355		200		355		200
Other guaranties	1,643		1,643		228		228

1) The life insurance transactions net exposure is projected to reach $1.1 billion in 2025.

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

Assured Guaranty Ltd.

Expected Amortization of Net Par Outstanding

(dollars in millions)


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

2023 (as of June 30)			$	233,981											$	10,032
2023 3Q	$	3,547	230,434		$	8	$	93	$	(13)	$	74	$	162	9,870
2023 4Q	1,689		228,745		7		87		(3)		178		269		9,601
2023	9,033		219,712		32		310		10		698		1,050		8,551
2024	11,024		208,688		86		262		30		353		731		7,820
2025	10,521		198,167		169		198		37		223		627		7,193
2026	8,972		189,195		183		155		(9)		270		599		6,594
2027

2023-2027	44,786		189,195		485		1,105		52		1,796		3,438		6,594
2028-2032	50,392		138,803		315		342		317		1,832		2,806		3,788
2033-2037	44,435		94,368		69		330		66		1,779		2,244		1,544
2038-2042	33,646		60,722		89		79		15		822		1,005		539
After 2042	60,722		—		—		7		—		532		539		—
Total	$	233,981			$	958	$	1,863	$	450	$	6,761	$	10,032

Net par outstanding (end of period)


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

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, 2023

(dollars in millions)

Exposure to Puerto Rico


	Par Outstanding				Debt Service Outstanding
	Gross		Net		Gross		Net
Total	$	1,365	$	1,349	$	1,849	$	1,829

Exposure to Puerto Rico by Company


	Net Par Outstanding
	AGM		AGC		AG Re		Eliminations (1)		Total Net Par Outstanding		Gross Par Outstanding
Defaulted Puerto Rico Exposures
Puerto Rico Electric Power Authority (PREPA)	$	446	$	69	$	205	$	—	$	720	$	730
Total Defaulted	446		69		205		—		720		730
Resolved Puerto Rico Exposures (2)
Puerto Rico Highways and Transportation Authority (PRHTA) (Transportation revenue) (3)	49		181		105		(42)		293		293
PRHTA (Highway revenue) (3)	140		30		12		—		182		182
Commonwealth of Puerto Rico - General Obligation (GO) (4)	—		19		6		—		25		25
Puerto Rico Public Buildings Authority (PBA) (4)	1		4		—		(1)		4		4
Total Resolved	190		234		123		(43)		504		504
Other Puerto Rico Exposures
Puerto Rico Municipal Finance Agency (MFA) (5)	96		6		22		—		124		130
Puerto Rico Aqueduct and Sewer Authority (PRASA) and University of Puerto Rico (U of PR) (5)	—		1		—		—		1		1
Total Other	96		7		22		—		125		131
Total exposure to Puerto Rico	$	732	$	310	$	350	$	(43)	$	1,349	$	1,365

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

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

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

4) The Company’s remaining GO/PBA exposures consist of insured bondholders who elected to receive custody receipts that represent an interest in the legacy insurance policy plus cash, New GO Bonds and CVIs that constitute distributions under the GO/PBA Plan.

5) 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, 2023

(dollars in millions)

Amortization Schedule of Net Par Outstanding of Puerto Rico


	2023 (3Q)		2023 (4Q)		2024		2025		2026		2027		2028		2029		2030		2031		2032		2033 - 2037		2038 - 2041		Total
Defaulted Puerto Rico Exposures
PREPA	$	95	$	—	$	93	$	68	$	105	$	105	$	69	$	39	$	44	$	75	$	14	$	13	$	—	$	720
Total Defaulted	95		—		93		68		105		105		69		39		44		75		14		13		—		720
Resolved Puerto Rico Exposures
PRHTA (Transportation revenue)	10		—		—		8		7		—		—		12		—		—		—		126		130		293
PRHTA (Highway revenue)	—		—		—		—		—		—		8		8		8		30		27		101		—		182
Commonwealth of Puerto Rico - GO	—		—		—		—		2		4		—		19		—		—		—		—		—		25
PBA	2		—		—		2		—		—		—		—		—		—		—		—		—		4
Total Resolved	12		—		—		10		9		4		8		39		8		30		27		227		130		504
Other Puerto Rico Exposures
MFA	17		—		16		16		35		15		12		7		6		—		—		—		—		124
PRASA and U of PR	—		—		1		—		—		—		—		—		—		—		—		—		—		1
Total Other	17		—		17		16		35		15		12		7		6		—		—		—		—		125

Total	$	124	$	—	$	110	$	94	$	149	$	124	$	89	$	85	$	58	$	105	$	41	$	240	$	130	$	1,349

Amortization Schedule of Net Debt Service Outstanding of Puerto Rico


	2023 (3Q)		2023 (4Q)		2024		2025		2026		2027		2028		2029		2030		2031		2032		2033 - 2037		2038 - 2041		Total
Defaulted Puerto Rico Exposures
PREPA	$	109	$	3	$	122	$	92	$	126	$	122	$	80	$	47	$	52	$	81	$	15	$	14	$	—	$	863
Total Defaulted	109		3		122		92		126		122		80		47		52		81		15		14		—		863
Resolved Puerto Rico Exposures
PRHTA (Transportation revenue)	17		—		15		23		22		14		14		26		13		13		14		180		148		499
PRHTA (Highway revenue)	5		—		9		10		10		10		18		17		17		38		34		115		—		283
Commonwealth of Puerto Rico - GO	1		—		1		1		3		6		1		20		—		—		—		—		—		33
PBA	2		—		—		3		—		—		—		—		—		—		—		—		—		5
Total Resolved	25		—		25		37		35		30		33		63		30		51		48		295		148		820
Other Puerto Rico Exposures
MFA	20		—		22		20		39		16		14		8		6		—		—		—		—		145
PRASA and U of PR	—		—		1		—		—		—		—		—		—		—		—		—		—		1
Total Other	20		—		23		20		39		16		14		8		6		—		—		—		—		146

Total	$	154	$	3	$	170	$	149	$	200	$	168	$	127	$	118	$	88	$	132	$	63	$	309	$	148	$	1,829

Assured Guaranty Ltd.

U.S. RMBS Profile

As of June 30, 2023

(dollars in millions)

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


Ratings:	Prime First Lien		Alt-A First Lien		Option ARMs		Subprime First Lien		Second Lien		Total Net Par Outstanding
AAA	$	9	$	61	$	10	$	346	$	2	$	428
AA	9		74		7		143		180		413
A	—		—		—		3		9		12
BBB	3		—		—		37		—		40
BIG	32		200		15		614		109		970
Total exposures	$	53	$	335	$	32	$	1,143	$	300	$	1,863

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	$	9	$	8	$	—	$	321	$	11	$	349
2005	21		116		15		181		47		380
2006	23		24		1		40		101		189
2007	—		187		16		571		141		915
2008	—		—		—		30		—		30
Total exposures	$	53	$	335	$	32	$	1,143	$	300	$	1,863

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, 2023

(dollars in millions)

Distribution of Direct Pooled Corporate Obligations by Ratings


	Net Par Outstanding		% of Total		Average Initial Credit Enhancement		Average Current Credit Enhancement
Ratings:
AAA	$	785	82.0	%	41.7	%	50.3	%
AA	53		5.6		41.1		51.8
A	90		9.4		37.9		47.2
BBB	29		3.0		41.9		44.9
Total exposures	$	957	100.0	%	41.3	%	49.9	%

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	$	353	36.9	%	43.5	%	62.9	%	12	AAA
U.S. mortgage and real estate investment trusts	82		8.6		47.3		64.8		3	A+
CLOs	522		54.5		38.9		38.8		6	AAA
Total exposures	$	957	100.0	%	41.3	%	49.9	%	21	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,
	2023		2022
U.S. public finance:
Healthcare	$	1,085	$	1,085
Municipal utilities	1,023		1,025
Tax backed	618		889
General obligation	359		337
Transportation	108		109
Higher education	105		107
Housing revenue	72		73
Infrastructure finance	46		46
Other public finance	124		125
Total U.S. public finance	3,540		3,796
Non-U.S. public finance:
Infrastructure finance	962		911
Sovereign and sub-sovereign	48		52
Renewable energy	16		18
Total non-U.S. public finance	1,026		981
Total public finance	4,566		4,777

U.S. structured finance:
RMBS	970		1,010
Consumer receivables	56		60
Life insurance transactions	40		40
Other structured finance	2		5
Total U.S. structured finance	1,068		1,115
Non-U.S. structured finance:
Total non-U.S. structured finance	—		—
Total structured finance	$	1,068	$	1,115
Total BIG net par outstanding	$	5,634	$	5,892

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (2 of 3)

(dollars in millions)

Net Par Outstanding by BIG Category (1)


	As of
	June 30,		December 31,
	2023		2022
BIG Category 1
U.S. public finance	$	1,289	$	2,364
Non-U.S. public finance	1,026		981
U.S. structured finance	11		18
Non-U.S. structured finance	—		—
Total BIG Category 1	2,326		3,363
BIG Category 2
U.S. public finance	931		108
Non-U.S. public finance	—		—
U.S. structured finance	68		73
Non-U.S. structured finance	—		—
Total BIG Category 2	999		181
BIG Category 3
U.S. public finance	1,320		1,324
Non-U.S. public finance	—		—
U.S. structured finance	989		1,024
Non-U.S. structured finance	—		—
Total BIG Category 3	2,309		2,348
BIG Total	$	5,634	$	5,892

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

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (3 of 3)

As of June 30, 2023

(dollars in millions)

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

Net Par Outstanding

Internal

Rating (1)

60+ Day Delinquencies

Name or description

U.S. public finance:

ProMedica Healthcare Obligated Group, Ohio

820

BB-

Puerto Rico Electric Power Authority

720

CCC

Puerto Rico Highways & Transportation Authority

475

CCC

OU Health (Medicine), Oklahoma

253

BB+

Jackson Water & Sewer System, Mississippi

164

Puerto Rico Municipal Finance Agency

124

CCC

Stockton City, California

New Jersey City University

Harrisburg Parking System, Pennsylvania

San Jacinto River Authority (GRP Project), Texas

BB+

Indiana University of Pennsylvania, Pennsylvania

CCC

Atlantic City, New Jersey

Total U.S. public finance

2,991

Non-U.S. public finance:

Coventry & Rugby Hospital Company (Walsgrave Hospital) Plc

572

B+

Road Management Services PLC (A13 Highway)

134

B+

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

122

BB+

M6 Duna Autopalya Koncesszios Zrt.

BB+

Total non-U.S. public finance

884

Total public finance

3,875

U.S. structured finance:

RMBS:

Option One 2007-FXD2

111

CCC

15.3%

Option One Mortgage Loan Trust 2007-HL1

CCC

25.5%

Argent Securities Inc. 2005-W4

CCC

10.0%

Nomura Asset Accept. Corp. 2007-1

CCC

19.9%

New Century 2005-A

CCC

13.5%

Total RMBS-U.S. structured finance

419

Total non-U.S. structured finance

—

Total structured finance

419

Total

4,294

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, 2023

(dollars in millions)

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

Credit Name:

Net Par Outstanding

Internal

Rating (1)

New Jersey (State of)

2,933

BBB

Pennsylvania (Commonwealth of)

2,215

BBB+

Metro Washington Airports Authority (Dulles Toll Road)

1,643

BBB+

New York Metropolitan Transportation Authority

1,522

A-

Foothill/Eastern Transportation Corridor Agency, California

1,315

BBB+

Illinois (State of)

1,305

BBB

Alameda Corridor Transportation Authority, California

1,285

BBB+

North Texas Tollway Authority

1,266

A+

Port Authority of New York and New Jersey

1,038

BBB

CommonSpirit Health, Illinois

1,000

A-

San Joaquin Hills Transportation, California

986

BBB

Lower Colorado River Authority

976

Yankee Stadium LLC New York City Industrial Development Authority

927

BBB

San Diego Family Housing, LLC

903

Municipal Electric Authority of Georgia

892

BBB+

Philadelphia School District, Pennsylvania

891

A-

Chicago Water, Illinois

874

BBB+

Montefiore Medical Center, New York

837

BBB-

Great Lakes Water Authority (Sewerage), Michigan

821

A-

ProMedica Healthcare Obligated Group, Ohio

820

BB-

Dade County Seaport, Florida

810

Metropolitan Pier and Exposition Authority, Illinois

796

BBB-

Chicago Public Schools, Illinois

782

BBB-

Jefferson County Alabama Sewer

776

BBB

California (State of)

760

AA-

Tucson (City of), Arizona

760

A+

New York (City of), New York

750

AA-

Massachusetts (Commonwealth of) Water Resources

750

Central Florida Expressway Authority, Florida

745

A+

Wisconsin (State of)

739

New York Power Authority

726

AA-

Nassau County, New York

721

AA-

Puerto Rico Electric Power Authority

720

CCC

Los Angeles Department of Airports (LAX Project), California

719

A-

South Carolina Public Service Authority - Santee Cooper

715

BBB

Anaheim (City of), California

708

A-

Pennsylvania Turnpike Commission

670

A-

Clark County School District, Nevada

669

A-

Pittsburgh Water & Sewer, Pennsylvania

666

A-

Chicago-O'Hare International Airport, Illinois

657

A-

Philadelphia (City of), Pennsylvania

654

A-

North Carolina Turnpike Authority

634

BBB-

Chicago (City of) Wastewater Transmission, Illinois

633

BBB+

Mets Queens Ballpark

607

BBB

Suffolk County, New York

606

BBB+

Private Transaction

602

BBB-

Oglethorpe Power Corporation, Georgia

575

BBB

Palomar Health

553

BBB

Hayward Unified School District, California

548

Kansas City, Missouri

520

Total top 50 U.S. public finance exposures

45,020

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, 2023

(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

1,000

Private US Insurance Securitization

943

AA-

Private US Insurance Securitization

399

AA-

Private US Insurance Securitization

393

AA-

Private US Insurance Securitization

386

AA-

SLM Student Loan Trust 2007-A

187

DB Master Finance LLC

141

BBB

Private Middle Market CLO

129

AAA

Private US Insurance Securitization

127

Option One 2007-FXD2

111

CCC

CWABS 2007-4

103

A+

Private Balloon Note Guarantee

100

Option One Mortgage Loan Trust 2007-HL1

CCC

Argent Securities Inc. 2005-W4

CCC

CAPCO - Excess SIPC Excess of Loss Reinsurance

BBB

ALESCO Preferred Funding XIII, Ltd.

AAA

Nomura Asset Accept. Corp. 2007-1

CCC

Private Other Structured Finance Transaction

A-

Private Balloon Note Guarantee

BBB

SLM Student Loan Trust 2006-C

New Century 2005-A

CCC

CWALT Alternative Loan Trust 2007-HY9

A+

Alesco Preferred Funding XVI, Ltd.

Private Other Structured Finance Transaction

A-

Total top 25 U.S. structured finance exposures

5,886

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, 2023

(dollars in millions)

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

Credit Name:

Country

Net Par Outstanding

Internal Rating

Southern Water Services Limited

United Kingdom

2,364

BBB

Thames Water Utilities Finance Plc

United Kingdom

2,019

BBB

Southern Gas Networks PLC

United Kingdom

1,990

BBB

Dwr Cymru Financing Limited

United Kingdom

1,781

A-

Anglian Water Services Financing PLC

United Kingdom

1,606

A-

National Grid Gas PLC

United Kingdom

1,556

BBB+

Quebec Province

Canada

1,494

AA-

Channel Link Enterprises Finance PLC

France, United Kingdom

1,234

BBB

Yorkshire Water Services Finance Plc

United Kingdom

1,160

BBB

British Broadcasting Corporation (BBC)

United Kingdom

1,070

A+

Capital Hospitals (Issuer) PLC

United Kingdom

973

BBB-

Verbund, Lease and Sublease of Hydro-Electric Equipment

Austria

891

AAA

Aspire Defence Finance plc

United Kingdom

761

BBB+

Verdun Participations 2 S.A.S.

France

703

BBB-

National Grid Company PLC

United Kingdom

698

BBB+

Severn Trent Water Utilities Finance Plc

United Kingdom

642

BBB+

Envestra Limited

Australia

611

A-

Coventry & Rugby Hospital Company (Walsgrave Hospital) Plc

United Kingdom

573

B+

Private International Sub-Sovereign Transaction

United Kingdom

557

A+

Wessex Water Services Finance plc

United Kingdom

550

BBB+

United Utilities Water PLC

United Kingdom

547

A-

South East Water

United Kingdom

502

BBB

NewHospitals (St Helens & Knowsley) Finance PLC

United Kingdom

501

BBB+

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

United Kingdom

490

BBB-

Campania Region - Healthcare receivable

Italy

488

BBB-

Central Nottinghamshire Hospitals PLC

United Kingdom

487

BBB-

Derby Healthcare PLC

United Kingdom

472

BBB

Sydney Airport Finance Company

Australia

466

BBB+

The Hospital Company (QAH Portsmouth) Limited

United Kingdom

447

BBB

Heathrow Funding Limited

United Kingdom

408

BBB

University of Essex, United Kingdom

United Kingdom

395

BBB+

International Infrastructure Pool

United Kingdom

377

AAA

International Infrastructure Pool

United Kingdom

377

AAA

International Infrastructure Pool

United Kingdom

377

AAA

South Lanarkshire Schools

United Kingdom

361

BBB

Comision Federal De Electricidad (CFE) El Cajon Project

Mexico

341

BBB-

Western Power Distribution (South West) PLC

United Kingdom

322

BBB+

Catalyst Healthcare (Romford) Financing PLC

United Kingdom

321

BBB

Private International Sub-Sovereign Transaction

United Kingdom

316

Northumbrian Water PLC

United Kingdom

314

BBB+

University of Sussex - East Slope Residencies PLC

United Kingdom

312

BBB+

Japan Expressway Holding and Debt Repayment Agency

Japan

306

A+

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

Spain

305

BBB

Hypersol Solar Inversiones, S.A.U.

Spain

299

BBB

Artesian Finance Plc (Bristol)

United Kingdom

297

BBB+

Bakethin Finance Plc

United Kingdom

291

A-

Feria Muestrario Internacional de Valencia

Spain

287

BBB-

Western Power Distribution (South Wales) PLC

United Kingdom

286

BBB+

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

Spain

276

BBB

Octagon Healthcare Funding PLC

United Kingdom

276

BBB

Total top 50 non-U.S. exposures

34,477

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

Asset Management Segment

Assured Guaranty Ltd.

Asset Management Segment Results

(dollars in millions)


	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2023		2022		2023		2022
Segment revenues
Management fees:
CLOs	$	13	$	12	$	25	$	24
Opportunity funds and liquid strategies	5		15		10		23
Wind-down funds	—		—		—		1
Total management fees	18		27		35		48
Performance fees	9		2		29		18
Foreign exchange gains (losses) on remeasurement and other income (loss)	3		(1)		7		1
Total segment revenues	30		28		71		67

Segment expenses
Interest expense	1		—		1		—
Employee compensation and benefit expenses	25		17		59		46
Other operating expenses	7		11		15		21
Total segment expenses	33		28		75		67
Segment adjusted operating income (loss) before income taxes	(3)		—		(4)		—
Less: Provision (benefit) for income taxes	(1)		—		(1)		—
Segment adjusted operating income (loss)	$	(2)	$	—	$	(3)	$	—

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

AUM			$	16,401			$	17,464

Corporate Division

Assured Guaranty Ltd.

Corporate Division Results

(dollars in millions)


	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2023		2022		2023		2022

Total revenues	$	2	$	1	$	4	$	2

Expenses
Interest expense	24		23		47		44
Employee compensation and benefit expenses	9		7		18		13
Other operating expenses	27		6		43		13
Total expenses	60		36		108		70
Equity in earnings (losses) of investees	—		—		—		—
Adjusted operating income (loss) before income taxes	(58)		(35)		(104)		(68)
Less: Provision (benefit) for income taxes	(8)		—		(10)		—
Adjusted operating income (loss)	$	(50)	$	(35)	$	(94)	$	(68)

Other

Assured Guaranty Ltd.

Other Results (1 of 2)

(dollars in millions)


	Three Months Ended June 30, 2023
	FG VIEs		CIVs		Intersegment Eliminations and Reclasses		Total Other
	(in millions)
Revenues
Net earned premiums	$	(1)	$	—	$	—	$	(1)
Net investment income	—		—		(3)		(3)
Asset management fees	—		(11)		11		—
Fair value gains (losses) on FG VIEs	(3)		—		—		(3)
Fair value gains (losses) on CIVs	—		6		—		6
Foreign exchange gains (losses) on remeasurement	—		—		—		—
Other income (loss)	(1)		(1)		—		(2)
Total revenues	(5)		(6)		8		(3)
Expenses
Loss expense (benefit)	12		—		—		12
Interest expense	—		—		(3)		(3)
Other operating expenses	—		(1)		11		10
Total expenses	12		(1)		8		19
Equity in earnings (losses) of investees	—		—		—		—
Adjusted operating income (loss) before income taxes	(17)		(5)		—		(22)
Less: Provision (benefit) for income taxes	(4)		(1)		—		(5)
Less: Noncontrolling interests	—		1		—		1
Adjusted operating income (loss)	$	(13)	$	(5)	$	—	$	(18)


	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

Assured Guaranty Ltd.

Other Results (2 of 2)

(dollars in millions)


	Six Months Ended June 30, 2023
	FG VIEs		CIVs		Intersegment Eliminations and Reclasses		Total Other
	(in millions)
Revenues
Net earned premiums	$	(2)	$	—	$	—	$	(2)
Net investment income	(1)		—		(5)		(6)
Asset management fees	—		(25)		14		(11)
Fair value gains (losses) on FG VIEs	(8)		—		—		(8)
Fair value gains (losses) on CIVs	—		64		—		64
Foreign exchange gains (losses) on remeasurement	—		(1)		—		(1)
Other income (loss)	(1)		(3)		—		(4)
Total revenues	(12)		35		9		32
Expenses
Loss expense (benefit)	7		—		—		7
Interest expense	—		—		(5)		(5)
Other operating expenses	—		(1)		14		13
Total expenses	7		(1)		9		15
Equity in earnings (losses) of investees	—		(28)		—		(28)
Adjusted operating income (loss) before income taxes	(19)		8		—		(11)
Less: Provision (benefit) for income taxes	(4)		(2)		—		(6)
Less: Noncontrolling interests	—		17		—		17
Adjusted operating income (loss)	$	(15)	$	(7)	$	—	$	(22)


	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)	$	—	$	—

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, 2023			Year Ended December 31,
				2022			2021			2020			2019
GAAP Summary Statements of Operations Data
Net earned premiums	$	166		$	494		$	414		$	485		$	476
Net investment income	170			269			269			297			378
Total expenses	386			536			465			729			503
Income (loss) before income taxes	264			187			383			386			460
Net income (loss) attributable to AGL	206			124			389			362			402
Net income (loss) attributable to AGL per diluted share	3.40			1.92			5.23			4.19			4.00

GAAP Summary Balance Sheet Data
Total investments and cash	$	8,738		$	8,472		$	9,728		$	10,000		$	10,409
Total assets	16,852			16,843			18,208			15,334			14,326
Unearned premium reserve	3,648			3,620			3,716			3,735			3,736
Loss and LAE reserve	349			296			869			1,088			1,050
Long-term debt	1,677			1,675			1,673			1,224			1,235
Shareholders’ equity attributable to AGL	5,276			5,064			6,292			6,643			6,639
Shareholders’ equity attributable to AGL per share	89.65			85.80			93.19			85.66			71.18

Other Financial Information (GAAP Basis)
Financial guaranty:
Net debt service outstanding (end of period)	$	386,916		$	369,951		$	367,360		$	366,233		$	374,130
Gross debt service outstanding (end of period)	387,145			370,172			367,770			366,692			375,776
Net par outstanding (end of period)	244,013			233,258			236,392			234,153			236,807
Gross par outstanding (end of period)	244,193			233,438			236,765			234,571			238,156

Other Financial Information (Statutory Basis)(1)
Financial guaranty:
Net debt service outstanding (end of period)	$	384,495		$	366,883		$	362,013		$	360,392		$	367,630
Gross debt service outstanding (end of period)	384,725			367,103			362,423			360,852			369,251
Net par outstanding (end of period)	241,574			230,294			231,742			229,008			230,984
Gross par outstanding (end of period)	241,754			230,474			232,115			229,426			232,333

Claims-paying resources(2)
Policyholders' surplus	$	5,101		$	5,155		$	5,572		$	5,077		$	5,056
Contingency reserve	1,252			1,202			1,225			1,557			1,607
Qualified statutory capital	6,353			6,357			6,797			6,634			6,663
Unearned premium reserve and net deferred ceding commission income	2,960			2,941			2,972			2,983			2,961
Loss and LAE reserves	175			165			167			202			529
Total policyholders' surplus and reserves	9,488			9,463			9,936			9,819			10,153
Present value of installment premium	1,007			955			883			858			804
CCS and standby line of credit	400			400			400			400			400
Total claims-paying resources	$	10,895		$	10,818		$	11,219		$	11,077		$	11,357

Ratios:
Net exposure to qualified statutory capital	38		:1	36		:1	34		:1	35		:1	35		:1
Capital ratio	61		:1	58		:1	53		:1	54		:1	55		:1
Financial resources ratio	36		:1	34		:1	32		:1	33		:1	32		:1
Adjusted statutory net exposure to claims-paying resources	22		:1	21		:1	21		:1	21		:1	20		:1

Par and Debt Service Written (FG and Specialty)
Gross debt service written:
Public finance - U.S.	$	19,302		$	36,954		$	35,572		$	33,596		$	28,054
Public finance - non-U.S.	992			756			1,890			1,860			17,907
Structured finance - U.S.	835			1,120			1,319			508			1,704
Structured finance - non-U.S.	2,254			551			431			254			88
Total gross debt service written	$	23,383		$	39,381		$	39,212		$	36,218		$	47,753

Net debt service written	$	23,383		$	39,381		$	39,212		$	35,965		$	47,731
Net par written	14,337			22,047			26,656			23,012			24,331
Gross par written	14,337			22,047			26,656			23,265			24,353

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

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

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

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

Assured Guaranty Ltd.

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

(dollars in millions, except per share amounts)


	Six Months Ended June 30, 2023		Year Ended December 31,
			2022		2021		2020		2019
Total GWP	$	181	$	360	$	377	$	454	$	677
Less: Installment GWP and other GAAP adjustments (2)	127		145		158		191		469
Upfront GWP	54		215		219		263		208
Plus: Installment premiums and other (3)	149		160		142		127		361
Total PVP	$	203	$	375	$	361	$	390	$	569

PVP:
Public finance - U.S.	$	99	$	257	$	235	$	292	$	201
Public finance - non-U.S.	36		68		79		82		308
Structured finance - U.S.	30		43		42		14		53
Structured finance - non-U.S.	38		7		5		2		7
Total PVP	$	203	$	375	$	361	$	390	$	569

Adjusted operating income reconciliation:
Net income (loss) attributable to AGL	$	206	$	124	$	389	$	362	$	402
Less pre-tax adjustments:
Realized gains (losses) on investments	(11)		(56)		15		18		22
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	103		(18)		(64)		65		(10)
Fair value gains (losses) on CCS	(15)		24		(28)		(1)		(22)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	46		(110)		(21)		42		22
Total pre-tax adjustments	123		(160)		(98)		124		12
Less tax effect on pre-tax adjustments	(21)		17		17		(18)		(1)
Adjusted operating income (loss)	$	104	$	267	$	470	$	256	$	391

Adjusted operating income per diluted share reconciliation:
Net income (loss) attributable to AGL per diluted share	$	3.40	$	1.92	$	5.23	$	4.19	$	4.00
Less pre-tax adjustments:
Realized gains (losses) on investments	(0.17)		(0.87)		0.20		0.21		0.22
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	1.68		(0.27)		(0.85)		0.75		(0.11)
Fair value gains (losses) on CCS	(0.25)		0.37		(0.38)		(0.01)		(0.22)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.75		(1.72)		(0.29)		0.49		0.21
Total pre-tax adjustments	2.01		(2.49)		(1.32)		1.44		0.10
Tax effect on pre-tax adjustments	(0.33)		0.27		0.23		(0.22)		(0.01)
Adjusted operating income (loss) per diluted share	$	1.72	$	4.14	$	6.32	$	2.97	$	3.91

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

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

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

Assured Guaranty Ltd.

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

(dollars in millions, except per share amounts)


	As of June 30, 2023		As of December 31,
			2022		2021		2020		2019
Adjusted book value reconciliation:
Shareholders’ equity attributable to AGL	$	5,276	$	5,064	$	6,292	$	6,643	$	6,639
Less pre-tax adjustments:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	31		(71)		(54)		9		(56)
Fair value gains (losses) on CCS	32		47		23		52		52
Unrealized gain (loss) on investment portfolio	(463)		(523)		404		611		486
Less taxes	48		68		(72)		(116)		(89)
Adjusted operating shareholders' equity	5,628		5,543		5,991		6,087		6,246
Pre-tax adjustments:
Less: Deferred acquisition costs	155		147		131		119		111
Plus: Net present value of estimated net future revenue	192		157		160		182		206
Plus: Net deferred premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,445		3,428		3,402		3,355		3,296
Plus taxes	(623)		(602)		(599)		(597)		(590)
Adjusted book value	$	8,487	$	8,379	$	8,823	$	8,908	$	9,047

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

Adjusted book value per share reconciliation:
Shareholders' equity attributable to AGL per share	$	89.65	$	85.80	$	93.19	$	85.66	$	71.18
Less pre-tax adjustments:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	0.52		(1.21)		(0.80)		0.12		(0.60)
Fair value gains (losses) on CCS	0.54		0.80		0.34		0.66		0.56
Unrealized gain (loss) on investment portfolio	(7.88)		(8.86)		5.99		7.89		5.21
Less taxes	0.83		1.15		(1.07)		(1.50)		(0.95)
Adjusted operating shareholders' equity per share	95.64		93.92		88.73		78.49		66.96
Pre-tax adjustments:
Less: Deferred acquisition costs	2.63		2.48		1.95		1.54		1.19
Plus: Net present value of estimated net future revenue	3.27		2.66		2.37		2.35		2.20
Plus: Net deferred premium reserve on financial guaranty contracts in excess of expected loss to be expensed	58.53		58.10		50.40		43.27		35.34
Plus taxes	(10.60)		(10.22)		(8.88)		(7.70)		(6.32)
Adjusted book value per share	$	144.21	$	141.98	$	130.67	$	114.87	$	96.99

Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders' equity per share	$	(0.04)	$	0.28	$	0.47	$	0.03	$	0.07
Adjusted book value per share	$	(0.12)	$	0.19	$	0.34	$	(0.10)	$	(0.05)

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

Glossary

Financial Guaranty Insurance

Net Par Outstanding and Internal Ratings

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

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

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

Performance Indicators

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

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

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

Sectors

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

U.S. Public Finance:

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

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

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

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

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

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

Glossary (continued)

Sectors (continued)

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

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

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

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

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

Non-U.S. Public Finance:

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

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

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

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

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

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

Structured Finance:

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

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

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

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

Glossary (continued)

Sectors (continued)

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

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

Specialty Business

The Company also provides specialty insurance, reinsurance and guarantees 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.

Non-GAAP Financial Measures

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

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

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

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

•CIVs in which certain subsidiaries invest.

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

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

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

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

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