Assured Guaranty Ltd.

June 30, 2024

Financial Supplement

Table of Contents															Page
			Selected Financial Highlights												1
			Condensed Consolidated Statements of Operations (unaudited)												3
			Condensed Consolidated Balance Sheets (unaudited)												4
			Selected Financial Highlights GAAP to Non-GAAP Reconciliations												5
			Income Components												8
			Fixed-Maturity Securities, Short-Term Investments and Cash												12
			Investment Portfolio, Cash and CIVs												13
			Income from Investment Portfolio and CIVs												15
			Insurance Segment:												17
			Insurance Segment Results												18
			Claims-Paying Resources												19
			New Business Production												20
			Gross Par Written												21
			New Business Production by Quarter												23
			Estimated Net Exposure Amortization and Estimated Future Financial Guaranty Net Premium and Credit Derivative Revenues												24
			Roll Forward of Net Expected Loss and Loss Adjustment Expenses to be Paid												25
			Loss Measures												26
			Net Expected Loss to be Expensed												27
			Financial Guaranty Profile												28
			Specialty Business												31
			Expected Amortization of Net Par Outstanding												32
			Puerto Rico Profile												33
			Direct Pooled Corporate Obligations Profile												35
			Below Investment Grade Exposures												36
			Largest Exposures by Sector												39
			Asset Management Segment												42
			Asset Management Results												43
			Corporate Division												44
			Corporate Results												45
			Other												46
			Other Results												47
			Summary												49
			Summary of Financial and Statistical Data												50
			Summary of GAAP to Non-GAAP Reconciliations												51
			Glossary												53
			Non-GAAP Financial Measures												56

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, 2023 and its Quarterly Reports on Form 10-Q for the quarterly periods ended March 31, 2024 and June 30, 2024.

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:

(i) significant changes in inflation, interest rates, the world’s credit markets or segments thereof, credit spreads, foreign exchange rates or general economic conditions, including the possibility of a recession or stagflation; (ii) geopolitical risk, terrorism and political violence risk, including those arising out of Russia’s invasion of Ukraine and intentional or accidental escalation between The North Atlantic Treaty Organization (NATO) and Russia, conflict in the Middle East and confrontation over Iran’s nuclear program, the polarized political environment of the 2024 United States (U.S.) presidential election and U.S. – China strategic competition; (iii) cybersecurity risk and the impacts of artificial intelligence, machine learning and other technological advances, including potentially increasing the risks of malicious cyber attacks, dissemination of misinformation, and disruption of markets; (iv) 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; (v) developments in the world’s financial and capital markets, including stresses in the financial condition of banking institutions in the U.S. and the possibility that increasing participation of unregulated financial institutions in these markets results in losses or lower valuations of assets, reduced liquidity and credit and/or contraction of these markets, that adversely affect repayment rates of insured obligors, Assured Guaranty’s insurance loss or recovery experience, or investments of Assured Guaranty; (vi) reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty’s insurance; (vii) the possibility that budget or pension shortfalls or other factors will result in credit losses or liquidity claims on obligations of state, territorial and local governments and their related authorities and public corporations that Assured Guaranty insures or reinsures; (viii) 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 Puerto Rico Electric Power Authority (PREPA) exposure or the amounts recovered on securities received in connection with the resolution of Puerto Rico exposures already resolved; (ix) the impact of Assured Guaranty satisfying its obligations under insurance policies with respect to legacy insured Puerto Rico bonds; (x) 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; (xi) the possibility that investments made by Assured Guaranty for its investment portfolio, including alternative investments, do not result in the benefits anticipated or subject Assured Guaranty to reduced liquidity at a time it requires liquidity, or to other negative or unanticipated consequences; (xii) the impacts of Assured Guaranty’s transactions with Sound Point Capital Management, LP (Sound Point, LP) and certain of its investment management affiliates (together with Sound Point, LP, Sound Point) and/or Assured Healthcare Partners LLC (AHP) on Assured Guaranty and its relationships with its shareholders, regulators, rating agencies, employees and the obligors it insures and on the asset management business contributed to Sound Point, LP and on the business of AHP and their relationships with their respective clients and employees; (xiii) the possibility that strategic transactions made by Assured Guaranty, including the transactions with Sound Point and/or AHP and/or merger of Assured Guaranty Municipal Corp. (AGM) with and into Assured Guaranty Inc. (AG, formerly Assured Guaranty Corp.), do not result in the benefits anticipated or subject Assured Guaranty to negative consequences; (xiv) the inability to control the business, management or policies of entities in which Assured Guaranty holds a minority interest; (xv) the impact of market volatility on the fair value of Assured Guaranty’s assets and liabilities subject to mark-to-market, including certain of its investments, contracts accounted for as derivatives, its committed capital securities, its consolidated investment vehicles and certain consolidated variable interest entities (VIEs); (xvi) 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; (xvii) the inability of Assured Guaranty to access external sources of capital on acceptable terms; (xviii) changes in applicable accounting policies or practices; (xix) changes in applicable laws or regulations, including insurance, bankruptcy and tax laws, or other governmental actions; (xx) difficulties with the execution of Assured Guaranty’s business strategy; (xxi) loss of key personnel; (xxii) the effects of mergers, acquisitions and divestitures; (xxiii) public health crises, including pandemics and endemics, and the governmental and private actions taken in response to such events; (xxiv) natural or man-made catastrophes; (xxv) the impact of climate change on Assured Guaranty’s business and regulatory actions taken related to such risk; (xxvi) other risk factors identified in AGL’s filings with the U.S. Securities and Exchange Commission (SEC); (xxvii) other risks and uncertainties that have not been identified at this time; and (xxviii) 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,
			2024						2023						2024						2023
GAAP (1) Highlights
Net income (loss) attributable to AGL			$	78					$	125					$	187					$	206
Net income (loss) attributable to AGL per diluted share			$	1.41					$	2.06					$	3.31					$	3.40
Weighted average shares outstanding
Basic shares outstanding			54.1						59.2						54.9						59.1
Diluted shares outstanding			55.0						60.1						56.1						60.3
Effective tax rate on net income			14.5		%				12.6		%				18.6		%				15.6		%
GAAP return on equity (ROE) (4)			5.6		%				9.5		%				6.6		%				8.0		%
Non-GAAP Highlights (2)
Adjusted operating income (loss)			$	80					$	36					$	193					$	104
Adjusted operating income (loss) per diluted share			$	1.44					$	0.60					$	3.41					$	1.72
Weighted average diluted shares outstanding			55.0						60.1						56.1						60.3
Effective tax rate on adjusted operating income (3)			13.8		%				(0.9)		%				18.1		%				14.8		%
Adjusted operating ROE (4)			5.4		%				2.6		%				6.5		%				3.7		%
Components of adjusted operating income (loss) (2)
Insurance segment			$	116					$	106					$	265					$	223
Asset Management segment			—						(2)						1						(3)
Corporate division			(35)						(50)						(72)						(94)
Other (6)			(1)						(18)						(1)						(22)
Adjusted operating income (loss)			$	80					$	36					$	193					$	104
Insurance Segment
Gross written premiums (GWP)			$	132					$	95					$	193					$	181
Present value of new business production (PVP) (2)			155						91						218						203
Gross par written			9,423						8,974						13,166						14,337
Effect of refundings and terminations on GAAP measures:
Net earned premiums, pre-tax			$	3					$	8					$	42					$	12
Net income effect			2						7						32						10
Net income per diluted share			0.04						0.11						0.57						0.16
Effect of refundings and terminations on non-GAAP measures:
Operating net earned premiums and credit derivative revenues(5), pre-tax			$	3					$	8					$	42					$	12
Adjusted operating income(5) effect			2						7						32						10
Adjusted operating income per diluted share (5)			0.04						0.11						0.57						0.16

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 and credit derivative revenues) are non-GAAP measures and represent components of adjusted operating income. Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

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

1

Assured Guaranty Ltd.

Selected Financial Highlights (2 of 2)

(dollars in millions, except per share amounts)

			As of
			June 30, 2024												December 31, 2023
			Amount						Per Share						Amount						Per Share
Shareholders’ equity attributable to AGL			$	5,539					$	104.15					$	5,713					$	101.63
Adjusted operating shareholders’ equity (1)			5,844						109.88						5,990						106.54
Adjusted book value (1)			8,598						161.65						8,765						155.92
Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders’ equity			3						0.06						5						0.07
Adjusted book value			(2)						(0.04)						—						—
Shares outstanding at the end of period			53.2												56.2
Exposure
Financial guaranty net debt service outstanding			$	404,685											$	397,636
Financial guaranty net par outstanding:
Investment grade			$	248,894											$	243,716
Below-investment-grade (BIG)			5,502												5,437
Total			$	254,396											$	249,153
Claims-paying resources (2)			$	10,633											$	10,665

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.

2

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,
			2024						2023						2024						2023
Revenues
Net earned premiums			$	84					$	85					$	203					$	166
Net investment income			81						89						165						170
Asset management fees			—						27						—						53
Net realized investment gains (losses)			(6)						(9)						2						(11)
Fair value gains (losses) on credit derivatives			6						91						16						106
Fair value gains (losses) on committed capital securities (CCS)			1						1						(9)						(15)
Fair value gains (losses) on FG VIEs			(1)						(3)						(4)						(8)
Fair value gains (losses) on CIVs			11						6						33						64
Foreign exchange gains (losses) on remeasurement			—						28						(12)						48
Fair value gains (losses) on trading securities			17						40						43						38
Other income (loss)			9						5						10						32
Total revenues			202						360						447						643
Expenses
Loss and loss adjustment expense (LAE) (benefit)			(2)						55						(3)						59
Interest expense			23						22						46						43
Amortization of deferred acquisition costs (DAC)			3						3						9						6
Employee compensation and benefit expenses			48						70						106						152
Other operating expenses			41						71						80						126
Total expenses			113						221						238						386
Income (loss) before income taxes and equity in earnings (losses) of investees			89						139						209						257
Equity in earnings (losses) of investees			5						5						29						7
Income (loss) before income taxes			94						144						238						264
Less: Provision (benefit) for income taxes			13						18						44						41
Net income (loss)			81						126						194						223
Less: Noncontrolling interests			3						1						$	7					$	17
Net income (loss) attributable to AGL			$	78					$	125					$	187					$	206
Earnings per share:
Basic			$	1.43					$	2.09					$	3.38					$	3.46
Diluted			$	1.41					$	2.06					$	3.31					$	3.40

3

Assured Guaranty Ltd.

Condensed Consolidated Balance Sheets (unaudited)

(dollars in millions)

						As of
						June 30,						December 31,
						2024						2023
Assets
Investments:
Fixed-maturity securities available-for-sale, at fair value						$	6,006					$	6,307
Fixed-maturity securities, trading, at fair value						221						318
Short-term investments, at fair value						1,717						1,661
Other invested assets						882						829
Total investments						8,826						9,115
Cash						92						97
Premiums receivable, net of commissions payable						1,472						1,468
DAC						169						161
Salvage and subrogation recoverable						293						298
FG VIEs’ assets						160						328
Assets of CIVs						378						366
Other assets						698						706
Total assets						$	12,088					$	12,539
Liabilities
Unearned premium reserve						$	3,662					$	3,658
Loss and LAE reserve						294						376
Long-term debt						1,696						1,694
Credit derivative liabilities, at fair value						38						53
FG VIEs’ liabilities, at fair value						393						554
Other liabilities						410						439
Total liabilities						6,493						6,774
Shareholders’ equity
Common shares						1						1
Retained earnings						5,929						6,070
Accumulated other comprehensive income (loss)						(392)						(359)
Deferred equity compensation						1						1
Total shareholders’ equity attributable to AGL						5,539						5,713
Nonredeemable noncontrolling interests						56						52
Total shareholders’ equity						5,595						5,765
Total liabilities and shareholders’ equity						$	12,088					$	12,539

4

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,
			2024						2023						2024						2023
Net income (loss) attributable to AGL			$	78					$	125					$	187					$	206
Less pre-tax adjustments:
Realized gains (losses) on investments			(6)						(9)						2						(11)
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives			3						90						13						103
Fair value gains (losses) on CCS			1						1						(9)						(15)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves			—						26						(12)						46
Total pre-tax adjustments			(2)						108						(6)						123
Less tax effect on pre-tax adjustments			—						(19)						—						(21)
Adjusted operating income (loss)			$	80					$	36					$	193					$	104
Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating income			$	(1)					$	(18)					$	(1)					$	(22)
Components of adjusted operating income:
Segments:
Insurance			$	116					106						$	265					$	223
Asset Management			—						(2)						1						(3)
Total segments			116						104						266						220
Corporate division			(35)						(50)						(72)						(94)
Other			(1)						(18)						(1)						(22)
Adjusted operating income (loss)			$	80					$	36					$	193					$	104
Per diluted share:
Net income (loss) attributable to AGL			$	1.41					$	2.06					$	3.31					$	3.40
Less pre-tax adjustments:
Realized gains (losses) on investments			(0.11)						(0.14)						0.04						(0.17)
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives			0.06						1.48						0.23						1.68
Fair value gains (losses) on CCS			0.02						—						(0.16)						(0.25)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves			—						0.43						(0.21)						0.75
Total pre-tax adjustments			(0.03)						1.77						(0.10)						2.01
Less tax effect on pre-tax adjustments			—						(0.31)						—						(0.33)
Adjusted operating income (loss)			$	1.44					$	0.60					$	3.41					$	1.72
Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating income			$	(0.03)					$	(0.30)					$	(0.02)					$	(0.35)

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

5

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,
						2024						2024						2023						2023						2023						2022
Shareholders’ equity attributable to AGL						$	5,539					$	5,629					$	5,713					$	5,276					$	5,220					$	5,064
Adjusted operating shareholders’ equity						5,844						5,932						5,990						5,628						5,606						5,543
Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating shareholders' equity						3						3						5						(3)						13						17
																		Three Months Ended												Six Months Ended
																		June 30,												June 30,
																		2024						2023						2024						2023
Net income (loss) attributable to AGL																		$	78					$	125					$	187					$	206
Adjusted operating income (loss)																		80						36						193						104
Average shareholders’ equity attributable to AGL																		$	5,584					$	5,248					$	5,626					$	5,170
Average adjusted operating shareholders’ equity																		5,888						5,617						5,917						5,586
Gain (loss) related to FG VIE and CIV consolidation included in average adjusted operating shareholders’ equity																		3						5						4						7
GAAP ROE (1)																		5.6		%				9.5		%				6.6		%				8.0		%
Adjusted operating ROE (1)																		5.4		%				2.6		%				6.5		%				3.7		%

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.

6

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,
						2024						2024						2023						2023						2023						2022
Reconciliation of shareholders’ equity attributable to AGL to adjusted book value:
Shareholders’ equity attributable to AGL						$	5,539					$	5,629					$	5,713					$	5,276					$	5,220					$	5,064
Less pre-tax reconciling items:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives						47						44						34						31						(59)						(71)
Fair value gains (losses) on CCS						4						3						13						32						32						47
Unrealized gain (loss) on investment portfolio						(400)						(393)						(361)						(463)						(413)						(523)
Less taxes						44						43						37						48						54						68
Adjusted operating shareholders' equity						5,844						5,932						5,990						5,628						5,606						5,543
Pre-tax reconciling items:
Less: Deferred acquisition costs						169						164						161						155						151						147
Plus: Net present value of estimated net future revenue						190						191						199						192						196						157
Plus: Net deferred premium revenue on financial guaranty contracts in excess of expected loss to be expensed						3,424						3,393						3,436						3,445						3,436						3,428
Plus taxes						(691)						(687)						(699)						(623)						(609)						(602)
Adjusted book value						$	8,598					$	8,665					$	8,765					$	8,487					$	8,478					$	8,379
Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders’ equity (net of tax provision (benefit) of $1, $1, $1, $(1), $4, and $4)						$	3					$	3					$	5					$	(3)					$	13					$	17
Adjusted book value (net of tax provision (benefit) of $(1), $(1) $0, $(3), $3, and $3)						$	(2)					$	(3)					$	—					$	(7)					$	8					$	11

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

7

Assured Guaranty Ltd.

Income Components (1 of 4)

(in millions)

Components of Income for the Three Months Ended June 30, 2024

			Segments												Corporate and Other
			Insurance						Asset Management						Corporate						Other (1)						Reconciling Items						Consolidated
Revenues
Net earned premiums			$	84					$	—					$	—					$	—					$	—					$	84
Net investment income			81						—						4						(4)						—						81
Asset management fees			—						—						—						—						—						—
Net realized investment gains (losses)			—						—						—						—						(6)						(6)
Fair value gains (losses) on credit derivatives (2)			3						—						—						—						3						6
Fair value gains (losses) on CCS			—						—						—						—						1						1
Fair value gains (losses) on FG VIEs			—						—						—						(1)						—						(1)
Fair value gains (losses) on CIVs			—						—						—						11						—						11
Foreign exchange gains (losses) on remeasurement			—						—						—						—						—						—
Fair value gains (losses) on trading securities			17						—						—						—						—						17
Other income (loss)			4						7						—						(2)						—						9
Total revenues			189						7						4						4						(2)						202
Expenses
Loss and LAE (benefit) (3)			—						—						—						(2)						—						(2)
Interest expense			—						—						26						(3)						—						23
Amortization of DAC			3						—						—						—						—						3
Employee compensation and benefit expenses			40						—						8						—						—						48
Other operating expenses			27						4						10						—						—						41
Total expenses			70						4						44						(5)						—						113
Equity in earnings (losses) of investees			15						(3)						—						(7)						—						5
Less: Provision (benefit) for income taxes			18						—						(5)						—						—						13
Less: Noncontrolling interests			—						—						—						3						—						3
Total			$	116					$	—					$	(35)					$	(1)					$	(2)					$	78

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).

8

Assured Guaranty Ltd.

Income Components (2 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).

9

Assured Guaranty Ltd.

Income Components (3 of 4)

(in millions)

Components of Income for the Six Months Ended June 30, 2024

			Segments												Corporate and Other
			Insurance						Asset Management						Corporate						Other (1)						Reconciling Items						Consolidated
Revenues
Net earned premiums			$	204					$	—					$	—					$	(1)					$	—					$	203
Net investment income			164						—						7						(6)						—						165
Asset management fees			—						—						—						—						—						—
Net realized investment gains (losses)			—						—						—						—						2						2
Fair value gains (losses) on credit derivatives (2)			5						—						—						—						11						16
Fair value gains (losses) on CCS			—						—						—						—						(9)						(9)
Fair value gains (losses) on FG VIEs			—						—						—						(4)						—						(4)
Fair value gains (losses) on CIVs			—						—						—						33						—						33
Foreign exchange gains (losses) on remeasurement			—						—						—						—						(12)						(12)
Fair value gains (losses) on trading securities			43						—						—						—						—						43
Other income (loss)			2						8						2						(2)						—						10
Total revenues			418						8						9						20						(8)						447
Expenses
Loss and LAE (benefit)(3)			4						—						—						(5)						(2)						(3)
Interest expense			—						—						51						(5)						—						46
Amortization of DAC			9						—						—						—						—						9
Employee compensation and benefit expenses			88						—						18						—						—						106
Other operating expenses			54						4						22						—						—						80
Total expenses			155						4						91						(10)						(2)						238
Equity in earnings (losses) of investees			55						(2)						—						(24)						—						29
Less: Provision (benefit) for income taxes			53						1						(10)						—						—						44
Less: Noncontrolling interests			—						—						—						7						—						7
Total			$	265					$	1					$	(72)					$	(1)					$	(6)					$	187

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).

10

Assured Guaranty Ltd.

Income Components (4 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).

11

Assured Guaranty Ltd.

Fixed-Maturity Securities, Short-Term Investments and Cash

As of June 30, 2024

(dollars in millions)

						Amortized Cost						Allowance for Credit Losses						Pre-Tax Book Yield						After-Tax Book Yield						Fair Value						Annualized Investment Income (1)
Fixed maturity securities, available-for-sale:
Obligations of states and political subdivisions(3)(6)						$	2,239					$	(14)					3.54		%				3.16		%				$	2,145					$	79
U.S. government and agencies						77						—						2.84						2.28						72						2
Corporate securities						2,358						(6)						3.29						2.75						2,146						78
Mortgage-backed securities:
Residential mortgage-backed securities (RMBS) (2)(3)						565						(21)						5.10						4.08						477						29
Commercial mortgage-backed securities						204						—						3.91						3.12						198						8
Asset-backed securities (ABS)
Collateralized loan obligation (CLOs)						412						—						7.62						6.02						411						31
Other ABS (3)						538						(28)						3.97						3.19						487						21
Non-U.S. government securities						85						—						1.16						1.14						70						1
Total fixed maturity securities, available-for-sale						6,478						(69)						3.85						3.24						6,006						249
Short-term investments						1,717						—						4.93						3.92						1,717						85
Cash (4)						92						—						—						—						92						—
Total						$	8,287					$	(69)					4.08		%				3.38		%				$	7,815					$	334
Fixed maturity securities, trading (6)																														$	221
Ratings (5):						Fair Value						% of Portfolio
U.S. government and agencies						$	72					1.2		%
AAA/Aaa						797						13.3
AA/Aa						2,200						36.6
A/A						1,554						25.9
BBB						815						13.6
BIG						507						8.4
Not rated						61						1.0
Total fixed maturity securities, available-for-sale						$	6,006					100.0		%
Duration of available-for-sale fixed maturity securities and short-term investments (in years):												3.2

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

2)    Includes fair value of $133 million in subprime RMBS, of which 92% were rated BIG.

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

4)    Cash is not included in the yield calculation.

5)    Ratings generally reflect the lower of Moody’s Ratings or S&P Global Ratings Services 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 $834 million in par with carrying value of $563 million and are primarily included in the BIG category.

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

12

Assured Guaranty Ltd.

Investment Portfolio, Cash and CIVs

GAAP (1 of 2)

(dollars in millions)

Investment Portfolio, Cash and CIVs as of June 30, 2024

						Insurance Related Subsidiaries (1)						Holding Companies (2)						Other (3)						AGL Consolidated
Fixed-maturity securities, available-for-sale						$	5,986					$	20					$	—					$	6,006
Fixed-maturity securities, trading						221						—						—						221
Total fixed-maturity securities						6,207						20						—						6,227
Short-term investments						1,514						202						1						1,717
Cash						48						5						39						92
Total short-term investments and cash						1,562						207						40						1,809
Other invested assets
Equity method investments:
Sound Point						—						413						—						413
Funds:
CLOs						350						—						(248)						102
Private healthcare investing						136						—						—						136
Asset-based/specialty finance						152						—						(64)						88
Middle market direct lending						8						—						—						8
Other						124						—						—						124
Total funds						770						—						(312)						458
Other						—						4						—						4
Total equity method investments						770						417						(312)						875
Other						3						4						—						7
Other invested assets						773						421						(312)						882
Total investment portfolio and cash(4)						$	8,542					$	648					$	(272)					$	8,918
CIVs
Assets of CIVs						$	—					$	—					$	378					$	378
Liabilities of CIVs						—						—						(3)						(3)
Nonredeemable noncontrolling interests						—						—						(56)						(56)
Total CIVs						$	—					$	—					$	319					$	319

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

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

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

4)    The alternative investments, excluding Sound Point, had an inception-to-date annualized internal rate of return (IRR) of 13.0% the year-to-date return of 6.7% and the quarter-to-date return of 2.3%. For funds, the returns represent IRR based on mark-to-market gains (losses). The inception-to-date IRRs are annualized; the quarterly and year-to-date returns are not annualized.

13

Assured Guaranty Ltd.

Investment Portfolio, Cash and CIVs

GAAP (2 of 2)

(dollars in millions)

Investment Portfolio, Cash and CIVs as of December 31, 2023

						Insurance Related Subsidiaries (1)						Holding Companies (2)						Other (3)						AGL Consolidated
Fixed-maturity securities, available-for-sale						$	6,286					$	21					$	—					$	6,307
Fixed-maturity securities, trading						318						—						—						318
Total fixed-maturity securities						6,604						21						—						6,625
Short-term investments						1,328						332						1						1,661
Cash						52						7						38						97
Total short-term investments and cash						1,380						339						39						1,758
Other invested assets
Equity method investments:
Sound Point						—						429						—						429
Funds:
CLOs						302						—						(223)						79
Private healthcare investing						102						—						—						102
Asset-based/specialty finance						166						—						(82)						84
Middle market direct lending						5						—						—						5
Other						117						—						—						117
Total funds						692						—						(305)						387
Other						—						7						—						7
Total equity method investments						692						436						(305)						823
Other						3						3						—						6
Other invested assets						695						439						(305)						829
Total investment portfolio and cash(4)						$	8,679					$	799					$	(266)					$	9,212
CIVs
Assets of CIVs						$	—					$	—					$	366					$	366
Liabilities of CIVs						—						—						(4)						(4)
Nonredeemable noncontrolling interests						—						—						(52)						(52)
Total CIVs						$	—					$	—					$	310					$	310

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

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

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

4)    The alternative investments, excluding Sound Point, had an inception-to-date annualized IRR of 12.8%, the year-to-date return of 13.8% and the quarter-to-date return of 3.4%.

14

Assured Guaranty Ltd.

Income from Investment Portfolio and CIVs by Segment (1 of 2)

(dollars in millions)

			Three Months Ended June 30, 2024
			Insurance						Asset Management						Corporate						Other						Total
Net investment income
Fixed-maturity securities, available-for-sale			$	59					$	—					$	1					$	(1)					$	59
Short-term investments			19						—						3						—						22
Other			3						—						—						(3)						—
Total net investment income			$	81					$	—					$	4					$	(4)					$	81
Fair value gains (losses) on trading securities			$	17					$	—					$	—					$	—					$	17
Equity in earnings (losses) of investees
Sound Point			$	—					$	(3)					$	—					$	—					$	(3)
Funds:
CLOs			6						—						—						(3)						3
Private healthcare investing			(2)						—						—						—						(2)
Asset-based/specialty finance			7						—						—						(4)						3
Middle market direct lending			1						—						—						—						1
Other			3						—						—						—						3
Total funds (1)			15						—						—						(7)						8
Other			—						—						—						—						—
Equity in earnings (losses) of investees			$	15					$	(3)					$	—					$	(7)					$	5
CIVs
Fair value gains (losses) on CIVs			$	—					$	—					$	—					$	11					$	11
Noncontrolling interests			—						—						—						(3)						(3)
Total CIVs			$	—					$	—					$	—					$	8					$	8

			Three Months Ended June 30, 2023
			Insurance						Asset Management						Corporate						Other						Total
Net investment income
Fixed-maturity securities, available-for-sale			$	69					$	—					$	—					$	—					$	69
Short-term investments			16						—						2						—						18
Other			5						—						—						(3)						2
Total net investment income			$	90					$	—					$	2					$	(3)					$	89
Fair value gains (losses) on trading securities			$	40					$	—					$	—					$	—					$	40
Equity in earnings (losses) of investees
Sound Point			$	—					$	—					$	—					$	—					$	—
Funds:
CLOs			(3)						—						—						3						—
Private healthcare investing			1						—						—						(1)						—
Asset-based/specialty finance			2						—						—						(2)						—
Other			5						—						—						—						5
Total funds (1)			5						—						—						—						5
Other			—						—						—						—						—
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

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

15

Assured Guaranty Ltd.

Income from Investment Portfolio and CIVs by Segment (2 of 2)

(dollars in millions)

			Six Months Ended June 30, 2024
			Insurance						Asset Management						Corporate						Other						Total
Net investment income
Fixed-maturity securities, available-for-sale			$	121					$	—					$	—					$	(1)					$	120
Short-term investments			38						—						7						—						45
Other			5						—						—						(5)						—
Total net investment income			$	164					$	—					$	7					$	(6)					$	165
Fair value gains (losses) on trading securities			$	43					$	—					$	—					$	—					$	43
Equity in earnings (losses) of investees
Sound Point			$	—					$	1					$	—					$	—					$	1
Funds:
CLOs			26						—						—						(18)						8
Private healthcare investing			2						—						—						—						2
Asset-based/specialty finance			11						—						—						(6)						5
Middle market direct lending			4						—						—						—						4
Other			12						—						—						—						12
Total funds (1)			55						—						—						(24)						31
Other			—						(3)						—						—						(3)
Equity in earnings (losses) of investees			$	55					$	(2)					$	—					$	(24)					$	29
CIVs
Fair value gains (losses) on CIVs			$	—					$	—					$	—					$	33					$	33
Noncontrolling interests			—						—						—						(7)						(7)
Total CIVs			$	—					$	—					$	—					$	26					$	26

			Six Months Ended June 30, 2023
			Insurance						Asset Management						Corporate						Other						Total
Net investment income
Fixed-maturity securities, available-for-sale			$	137					$	—					$	—					$	(1)					$	136
Short-term investments			28						—						4						—						32
Other			7						—						—						(5)						2
Total net investment income			$	172					$	—					$	4					$	(6)					$	170
Fair value gains (losses) on trading securities			$	38					$	—					$	—					$	—					$	38
Equity in earnings (losses) of investees
Sound Point			$	—					$	—					$	—					$	—					$	—
Funds:
CLOs			16						—						—						(16)						—
Private healthcare investing			9						—						—						(9)						—
Asset-based/specialty finance			3						—						—						(3)						—
Other			7						—						—						—						7
Total funds (1)			35						—						—						(28)						7
Other			—						—						—						—						—
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

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

16

Insurance Segment

17

Assured Guaranty Ltd.

Insurance Segment Results

(dollars in millions)

			Three Months Ended												Six Months Ended
			June 30,												June 30,
			2024						2023						2024						2023
Segment revenues
Net earned premiums and credit derivative revenues			$	87					$	88					$	209					$	172
Net investment income			81						90						164						172
Fair value gains (losses) on trading securities			17						40						43						38
Foreign exchange gains (losses) on remeasurement and other income (loss)			4						6						2						32
Total segment revenues			189						224						418						414
Segment expenses
Loss expense (benefit)			—						44						4						53
Amortization of DAC			3						3						9						6
Employee compensation and benefit expenses			40						36						88						75
Other operating expenses			27						27						54						55
Total segment expenses			70						110						155						189
Equity in earnings (losses) of investees			15						5						55						35
Segment adjusted operating income (loss) before income taxes			134						119						318						260
Less: Provision (benefit) for income taxes			18						13						53						37
Segment adjusted operating income (loss)			$	116					$	106					$	265					$	223

18

Assured Guaranty Ltd.

Claims-Paying Resources

(dollars in millions)

						As of June 30, 2024
						AGM						AG						Eliminations (2)						Combined AG						AG Re(7)						Eliminations (3)						Consolidated
Claims-paying resources
Policyholders’ surplus						$	2,599					$	1,649					$	(288)					$	3,960					$	746					$	63					$	4,769
Contingency reserve						910						421						—						1,331						—						—						1,331
Qualified statutory capital						3,509						2,070						(288)						5,291						746						63						6,100
Unearned premium reserve and net deferred ceding commission income(1)						2,078						355						—						2,433						593						(63)						2,963
Loss and LAE reserves (1)(8)						—						39						—						39						138						—						177
Total policyholders' surplus and reserves						5,587						2,464						(288)						7,763						1,477						—						9,240
Present value of installment premium						503						240						—						743						250						—						993
CCS						200						200						—						400						—						—						400
Total claims-paying resources						$	6,290					$	2,904					$	(288)					$	8,906					$	1,727					$	—					$	10,633
Statutory net exposure (1)(4)						$	164,916					$	29,894					$	(423)					$	194,387					$	62,957					$	(587)					$	256,757
Net debt service outstanding (1)(4)						$	265,672					$	48,359					$	(803)					$	313,228					$	95,029					$	(1,067)					$	407,190
Ratios:
Net exposure to qualified statutory capital						47:1						14:1												37:1						84:1												42:1
Capital ratio (5)						76:1						23:1												59:1						127:1												67:1
Financial resources ratio (6)						42:1						17:1												35:1						55:1												38:1
Statutory net exposure to claims-paying resources						26:1						10:1												22:1						36:1												24:1
Separate company statutory basis:
Admitted assets						$	5,384					$	2,535																	$	1,486
Total liabilities						2,785						886																		740
Loss and LAE reserves (recoverable)						(31)						39																		138
Paid in capital stock						299						442																		826

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

2)    Eliminations are primarily for intercompany surplus notes between AGM and AG. 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)    Eliminations are 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.

4)    Net exposure and net debt service outstanding are presented on a statutory basis. Includes $3,570 million of specialty business.

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

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

7)    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.

8)    Loss and LAE reserves exclude adjustments to claims-paying resources for AGM because the balance was in a net recoverable position of $30 million.

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

19

Assured Guaranty Ltd.

New Business Production

(dollars in millions)

Reconciliation of GWP to PVP

						Three Months Ended																														Three Months Ended
						June 30, 2024																														June 30, 2023
						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						$	103					$	25					$	2					$	2					$	132					$	78					$	9					$	5					$	3					$	95
Less: Installment GWP and other GAAP adjustments (1)						85						13						2						2						102						41						9						5						3						58
Upfront GWP						18						12						—						—						30						37						—						—						—						37
Plus: Installment premiums and other(2)						98						21						4						2						125						40						6						3						5						54
Total PVP						$	116					$	33					$	4					$	2					$	155					$	77					$	6					$	3					$	5					$	91
Gross par written						$	7,043					$	1,572					$	214					$	594					$	9,423					$	7,747					$	249					$	252					$	726					$	8,974

						Six Months Ended																														Six Months Ended
						June 30, 2024																														June 30, 2023
						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						$	147					$	27					$	15					$	4					$	193					$	100					$	45					$	33					$	3					$	181
Less: Installment GWP and other GAAP adjustments (1)						97						15						14						4						130						49						42						33						3						127
Upfront GWP						50						12						1						—						63						51						3						—						—						54
Plus: Installment premiums and other(2)						109						22						18						6						155						48						33						30						38						149
Total PVP						$	159					$	34					$	19					$	6					$	218					$	99					$	36					$	30					$	38					$	203
Gross par written						$	9,952					$	1,572					$	694					$	948					$	13,166					$	10,654					$	609					$	834					$	2,240					$	14,337

(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-maturity securities such as Loss Mitigation Securities. Six months 2023 also includes the present value of future premiums and fees associated with other guaranties written by the Company that, under GAAP, are accounted for under ASC 460, Guarantees.

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

20

Assured Guaranty Ltd.

Gross Par Written (1 of 2)

(dollars in millions)

Gross Par Written by Asset Type

			Three Months Ended June 30,
			2024						2023
Sector:
U.S. public finance
General obligation			$	2,657											$	3,259
Transportation			2,603												188
Tax backed			885												462
Municipal utilities			411												1,950
Higher education			245												—
Healthcare			222												76
Infrastructure finance			—												1,785
Other U.S public finance			20												27
Total U.S. public finance			7,043												7,747
Non-U.S. public finance:
Regulated utilities			1,518												249
Infrastructure finance			54												—
Total non-U.S. public finance			1,572												249
Total public finance			8,615												7,996
U.S. structured finance:
Pooled corporate obligations			163												—
Subscription finance facilities			41												27
Structured credit			10												225
Total U.S. structured finance			214												252
Non-U.S. structured finance:
Pooled corporate obligations			308												—
Subscription finance facilities			286												726
Total non-U.S. structured finance			594												726
Total structured finance			808												978
Total gross par written			$	9,423											$	8,974

Please refer to the Glossary for a description of sectors.

21

Assured Guaranty Ltd.

Gross Par Written (2 of 2)

(dollars in millions)

Gross Par Written by Asset Type

			Six Months Ended June 30,
			2024						2023
Sector:
U.S. public finance
General obligation			$	3,819											$	4,669
Transportation			3,245												224
Tax backed			1,456												565
Municipal utilities			829												2,715
Healthcare			338												464
Higher education			245												205
Infrastructure finance			—												1,785
Other U.S. public finance			20												27
Total U.S. public finance			9,952												10,654
Non-U.S. public finance:
Regulated utilities			1,518												356
Infrastructure finance			54												—
Sovereign and sub-sovereign			—												253
Total non-U.S. public finance			1,572												609
Total public finance			11,524												11,263
U.S. structured finance:
Insurance securitizations			250												500
Pooled corporate obligations			206												—
Subscription finance facilities			192												59
Structured credit			10												275
Other structured finance			36												—
Total U.S. structured finance			694												834
Non-U.S. structured finance:
Subscription finance facilities			640												821
Pooled corporate obligations			308												—
Other structured finance			—												1,419
Total non-U.S. structured finance			948												2,240
Total structured finance			1,642												3,074
Total gross par written			$	13,166											$	14,337

Please refer to the Glossary for a description of sectors.

22

Assured Guaranty Ltd.

New Business Production by Quarter

(dollars in millions)

																																										Six Months
						1Q-23						2Q-23						3Q-23						4Q-23						1Q-24						2Q-24						2024						2023
PVP:
Public finance - U.S.						$	22					$	77					$	30					$	83					$	43					$	116					$	159					$	99
Public finance - non-U.S.						30						6						2						45						1						33						34						36
Structured finance - U.S.						27						3						12						26						15						4						19						30
Structured finance - non-U.S.						33						5						2						1						4						2						6						38
Total PVP (1)						$	112					$	91					$	46					$	155					$	63					$	155					$	218					$	203
Reconciliation of GWP to PVP:
Total GWP						$	86					$	95					$	40					$	136					$	61					$	132					$	193					$	181
Less: Installment GWP and other GAAP adjustments						69						58						17						103						28						102						130						127
Upfront GWP						17						37						23						33						33						30						63						54
Plus: Installment premiums and other(2)						95						54						23						122						30						125						155						149
Total PVP						$	112					$	91					$	46					$	155					$	63					$	155					$	218					$	203
Gross par written:
Public finance - U.S.						2,907						$	7,747					$	5,098					$	6,712					$	2,909					$	7,043					$	9,952					$	10,654
Public finance - non-U.S.						360						249						61						874						—						1,572						1,572						609
Structured finance - U.S.						582						252						267						785						480						214						694						834
Structured finance - non-U.S. (1)						1,514						726						522						304						354						594						948						2,240
Total						$	5,363					$	8,974					$	5,948					$	8,675					$	3,743					$	9,423					$	13,166					$	14,337

1)    PVP and gross par written include 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-maturity securities such as Loss Mitigation Securities. Six months 2023 also includes the present value of future premiums and fees associated with other guaranties written by the Company that, under GAAP, are accounted for under ASC 460, Guarantees.

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

23

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)
2024 (as of June 30)												$	404,685
2024 3Q						$	6,688					397,997						$	74					$	8					$	1					$	2
2024 4Q						5,495						392,502						73						8						1						2
2025						22,589						369,913						276						29						3						9
2026						21,346						348,567						258						27						3						8
2027						19,334						329,233						243						26						2						8
2028						19,503						309,730						229						24						2						7
2024-2028						94,955						309,730						1,153						122						12						36
2029-2033						94,750						214,980						939						102						11						29
2034-2038						72,585						142,395						621						74						9						23
2039-2043						52,667						89,728						396						50						—						14
After 2043						89,728						—						540						59						—						8
Total						$	404,685											$	3,649					$	407					$	32					$	110

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					$	31
Specialty						7						—
Net deferred premium revenue						3,656						31
Contra-paid						(22)						(4)
Net unearned premium reserve						$	3,634					$	27

1)    Represents the future expected amortization of current debt service outstanding (principal and interest), assuming no advance refundings, as of June 30, 2024. 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).

24

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, 2024

						Net Expected Loss to be Paid (Recovered) as of March 31, 2024						Net Economic Loss Development (Benefit) During 2Q-24						Net (Paid) Recovered Losses During 2Q-24						Net Expected Loss to be Paid (Recovered) as of June 30, 2024
Public Finance:
U.S. public finance						$	378					$	12					$	(16)					$	374
Non-U.S public finance						20						17						—						37
Public Finance						398						29						(16)						411
Structured Finance:
U.S. RMBS						(2)						(10)						12						—
Other structured finance						37						2						(3)						36
Structured Finance						35						(8)						9						36
Total						$	433					$	21					$	(7)					$	447

Roll Forward of Net Expected Loss and LAE to be Paid (1) for the Six Months Ended June 30, 2024

						Net Expected Loss to be Paid (Recovered) as of December 31, 2023						Net Economic Loss Development (Benefit) During 2024						Net (Paid) Recovered Losses During 2024						Net Expected Loss to be Paid (Recovered) as of June 30, 2024
Public Finance:
U.S. public finance						$	398					$	9					$	(33)					$	374
Non-U.S public finance						20						17						—						37
Public Finance						418						26						(33)						411
Structured Finance:
U.S. RMBS						43						(13)						(30)						—
Other structured finance						44						1						(9)						36
Structured Finance						87						(12)						(39)						36
Total						$	505					$	14					$	(72)					$	447

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).

25

Assured Guaranty Ltd.

Loss Measures

As of June 30, 2024

(dollars in millions)

															Three Months Ended June 30, 2024																					Six Months Ended June 30, 2024
						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						$	3,490								$	1					$	1					$	3								$	(1)					$	(1)					$	4
Non-U.S public finance						1,085									—						—						—									—						—						—
Public finance						4,575									1						1						3									(1)						(1)						4
Structured finance:
U.S. RMBS						845									(5)						(6)						(6)									(3)						(4)						(4)
Other structured finance						82									2						3						3									1						4						4
Structured finance						927									(3)						(3)						(3)									(2)						—						—
Total						$	5,502								$	(2)					$	(2)					$	—								$	(3)					$	(1)					$	4

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.

26

Assured Guaranty Ltd.

Net Expected Loss to be Expensed (1)

As of June 30, 2024

(dollars in millions)

						GAAP
2024 (as of June 30)
2024 3Q						$	3
2024 4Q						3
2025						12
2026						18
2027						18
2028						18
2024-2028						72
2029-2033						78
2034-2038						49
2039-2043						13
After 2043						13
Total expected present value of net expected loss to be expensed(2)						225
Future accretion						(71)
Total expected future loss and LAE						$	154

1)    The present value of net expected loss to be paid is discounted using risk free rates ranging from 4.28% to 5.33% for U.S. dollar denominated obligations.

2)     Excludes $24 million related to FG VIEs, which are eliminated in consolidation.

27

Assured Guaranty Ltd.

Financial Guaranty Profile (1 of 3)

(dollars in millions)

Net Par Outstanding by Asset Type

						As of June 30, 2024						As of December 31, 2023
U.S. public finance:
General obligation						$	76,598											$	74,609
Tax backed						32,977												33,060
Municipal utilities						28,808												29,300
Transportation						24,889												22,052
Healthcare						12,640												12,604
Infrastructure finance						8,704												8,796
Higher education						7,397												7,250
Housing revenue						1,135												1,152
Investor-owned utilities						327												329
Renewable energy						167												167
Other public finance						951												970
Total U.S. public finance						194,593												190,289
Non-U.S public finance:
Regulated utilities						22,123												20,545
Infrastructure finance						14,918												15,430
Sovereign and sub-sovereign						9,468												9,869
Renewable energy						1,958												2,030
Pooled infrastructure						1,116												1,133
Total non-U.S. public finance						49,583												49,007
Total public finance						244,176												239,296
U.S. structured finance:
Insurance securitizations						4,648												4,379
RMBS						1,585												1,774
Pooled corporate obligations						693												631
Financial products						470												464
Consumer receivables						256												314
Subscription finance facilities						256												178
Other structured finance						851												892
Total U.S. structured finance						8,759												8,632
Non-U.S. structured finance:
Subscription finance facilities						726												444
Pooled corporate obligations						401												425
RMBS						236												252
Other structured finance						98												104
Total non-U.S. structured finance						1,461												1,225
Total structured finance						10,220												9,857
Total net par outstanding						$	254,396											$	249,153

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

28

Assured Guaranty Ltd.

Financial Guaranty Profile (2 of 3)

As of June 30, 2024

(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						$	27		—		%				$	2,066		4.2		%				$	682		7.8		%				$	445		30.5		%				$	3,220		1.2		%
AA						18,100			9.3						3,164			6.3						5,623			64.2						74			5.0						26,961			10.6
A						106,415			54.7						13,437			27.1						902			10.3						853			58.4						121,607			47.8
BBB						66,561			34.2						29,831			60.2						625			7.1						89			6.1						97,106			38.2
BIG						3,490			1.8						1,085			2.2						927			10.6						—			—						5,502			2.2
Net Par Outstanding (1)						$	194,593		100.0		%				$	49,583		100.0		%				$	8,759		100.0		%				$	1,461		100.0		%				$	254,396		100.0		%

1)    As of June 30, 2024, the Company excluded $1.2 billion of net par outstanding 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.

29

Assured Guaranty Ltd.

Financial Guaranty Profile (3 of 3)

As of June 30, 2024

(dollars in millions)

Geographic Distribution of Financial Guaranty Portfolio

						Net Par Outstanding						% of Total
U.S.:
U.S. public finance:
California						$	37,036					14.6		%
Texas						23,661						9.3
New York						18,568						7.3
Pennsylvania						17,080						6.7
Illinois						12,856						5.1
Florida						10,411						4.1
New Jersey						8,942						3.5
Michigan						5,306						2.1
Louisiana						4,700						1.8
Colorado						3,534						1.4
Other						52,499						20.6
Total U.S. public finance						194,593						76.5
U.S. structured finance (multiple states)						8,759						3.4
Total U.S.						203,352						79.9
Non-U.S.:
United Kingdom						40,373						15.9
Canada						1,635						0.7
Spain						1,611						0.6
France						1,532						0.6
Australia						1,483						0.6
Other						4,410						1.7
Total non-U.S.						51,044						20.1
Total net par outstanding						$	254,396					100.0		%

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

30

Assured Guaranty Ltd.

Specialty Business

(dollars in millions)

						As of June 30, 2024												As of December 31, 2023
						Gross Exposure (2)						Net Exposure (2)						Gross Exposure (2)						Net Exposure (2)
Insurance securitizations (1)						$	1,430					$	1,099					$	1,370					$	1,043
Diversified real estate						1,498						1,498						1,569						1,569
Pooled corporate obligations						796						796						488						488
Aircraft residual value insurance						308						177						355						200

1)    Insurance securitizations exposure is projected to reach $1.6 billion gross in 2026 and $1.3 billion net in 2027.

2)    All exposures are rated investment-grade, except gross exposure of $144 million and net exposure of $84 million of aircraft residual value insurance as of both June 30, 2024 and December 31, 2023.

31

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
2024 (as of June 30)												$	244,176																																			$	10,220
2024 3Q						$	3,926					240,250						$	7					$	64					$	(4)					$	30					$	97					10,123
2024 4Q						1,967						238,283						6						64						(7)						692						755						9,368
2025						11,079						227,204						130						221						32						656						1,039						8,329
2026						10,590						216,614						243						196						39						391						869						7,460
2027						9,116						207,498						333						185						(9)						300						809						6,651
2028						9,724						197,774						229						153						53						377						812						5,839
2024-2028						46,402						197,774						948						883						104						2,446						4,381						5,839
2029-2033						53,429						144,345						106						341						282						2,728						3,457						2,382
2034-2038						44,801						99,544						40						354						68						529						991						1,391
2039-2043						33,716						65,828						—						—						16						777						793						598
After 2043						65,828						—						—						7						—						591						598						—
Total						$	244,176											$	1,094					$	1,585					$	470					$	7,071					$	10,220

Net par outstanding (end of period)

						1Q-23						2Q-23						3Q-23						4Q-23						1Q-24						2Q-24
Public finance - U.S.						$	180,837					$	186,323					$	185,973					$	190,289					$	189,895					$	194,593
Public finance - non-U.S.						45,909						47,658						45,748						49,007						48,237						49,583
Structured finance - U.S.						8,660						8,827						8,975						8,632						8,643						8,759
Structured finance - non-U.S.						977						1,205						1,137						1,225						1,369						1,461
Net par outstanding						$	236,383					$	244,013					$	241,833					$	249,153					$	248,144					$	254,396

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

32

Assured Guaranty Ltd.

Puerto Rico Profile (1 of 2)

As of June 30, 2024

(dollars in millions)

Exposure to Puerto Rico

			Par Outstanding												Debt Service Outstanding
			Gross						Net						Gross						Net
Total			$	976					$	961					$	1,268					$	1,250

Exposure to Puerto Rico by Company

			Net Par Outstanding
			AGM						AG						AG Re						Eliminations (1)						Total Net Par Outstanding						Gross Par Outstanding
Defaulted Puerto Rico Exposures
PREPA			$	377					$	67					$	180					$	—					$	624					$	633
Total Defaulted			377						67						180						—						624						633
Resolved Puerto Rico Exposures (2)
Puerto Rico Highways and Transportation Authority (PRHTA) (Transportation revenue)			12						130						74						(12)						204						204
PRHTA (Highway revenue)			21						2						1						—						24						24
Total Resolved			33						132						75						(12)						228						228
Non-Defaulting Puerto Rico Exposures(3)
Puerto Rico Municipal Finance Agency (MFA)			84						6						18						—						108						114
Puerto Rico Aqueduct and Sewer Authority (PRASA) and University of Puerto Rico (U of PR)			—						1						—						—						1						1
Total Non-Defaulting			84						7						18						—						109						115
Total exposure to Puerto Rico			$	494					$	206					$	273					$	(12)					$	961					$	976

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)    In 2022, the Company resolved its exposure to insured Puerto Rico credits experiencing payment default other than PREPA (2022 Puerto Rico Resolutions). In connection with the resolution of PRHTA exposures, the Company received cash, new bonds backed by toll revenues (Toll Bonds) and CVIs. In January 2024, $144 million of the remaining PRHTA net par was paid down. All of the Toll Bonds received from the PRHTA under the 2022 Puerto Rico Resolutions for the insured PRHTA bonds have been sold or redeemed; therefore, the remaining amounts owed for such insured PRHTA bonds are payable in full by the Company’s insurance subsidiaries under their financial guaranty policies and are no longer dependent on the credit of the PRHTA.

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

33

Assured Guaranty Ltd.

Puerto Rico Profile (2 of 2)

As of June 30, 2024

(dollars in millions)

Amortization Schedule of Net Par Outstanding of Puerto Rico

			2024 (3Q)			2024 (4Q)			2025			2026			2027			2028			2029			2030			2031			2032			2033			2034 - 2038			2039 - 2041			Total
Defaulted Puerto Rico Exposures
PREPA			$	93		$	—		$	68		$	105		$	105		$	68		$	39		$	44		$	75		$	14		$	4		$	9		$	—		$	624
Total Defaulted			93			—			68			105			105			68			39			44			75			14			4			9			—			624
Resolved Puerto Rico Exposures
PRHTA (Transportation revenue)			—			—			—			—			—			—			—			—			—			—			—			107			97			204
PRHTA (Highway revenue)			—			—			—			—			—			—			—			—			—			5			3			16			—			24
Total Resolved			—			—			—			—			—			—			—			—			—			5			3			123			97			228
Non-Defaulting Puerto Rico Exposures
MFA			16			—			16			35			15			13			7			6			—			—			—			—			—			108
PRASA and U of PR			1			—			—			—			—			—			—			—			—			—			—			—			—			1
Total Non-Defaulting			17			—			16			35			15			13			7			6			—			—			—			—			—			109
Total			$	110		$	—		$	84		$	140		$	120		$	81		$	46		$	50		$	75		$	19		$	7		$	132		$	97		$	961

Amortization Schedule of Net Debt Service Outstanding of Puerto Rico

			2024 (3Q)			2024 (4Q)			2025			2026			2027			2028			2029			2030			2031			2032			2033			2034 - 2038			2039 - 2041			Total
Defaulted Puerto Rico Exposures
PREPA			$	105		$	3		$	92		$	126		$	122		$	80		$	47		$	52		$	81		$	15		$	5		$	9		$	—		$	737
Total Defaulted			105			3			92			126			122			80			47			52			81			15			5			9			—			737
Resolved Puerto Rico Exposures
PRHTA (Transportation revenue)			5			—			11			11			11			11			11			11			10			11			10			143			106			351
PRHTA (Highway revenue)			1			—			1			1			1			1			2			1			1			6			5			18			—			38
Total Resolved			6			—			12			12			12			12			13			12			11			17			15			161			106			389
Non-Defaulting Puerto Rico Exposures
MFA			19			—			20			39			17			14			8			6			—			—			—			—			—			123
PRASA and U of PR			1			—			—			—			—			—			—			—			—			—			—			—			—			1
Total Non-Defaulting			20			—			20			39			17			14			8			6			—			—			—			—			—			124
Total			$	131		$	3		$	124		$	177		$	151		$	106		$	68		$	70		$	92		$	32		$	20		$	170		$	106		$	1,250

34

Assured Guaranty Ltd.

Direct Pooled Corporate Obligations Profile

As of June 30, 2024

(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						$	665					60.8		%				41.1		%				48.5		%
AA						86						7.9						36.5						36.6
A						190						17.3						59.5						46.9
BBB						153						14.0						35.6						36.4
Total exposures						$	1,094					100.0		%				43.2		%				45.6		%

Distribution of Direct Pooled Corporate Obligations by Asset Class

						Net Par Outstanding						% of Total						Average Initial Credit Enhancement						Average Current Credit Enhancement						Number of Transactions
Asset class:
Trust preferred
Banks and insurance						$	214					19.6		%				42.6		%				66.5		%				7
U.S. mortgage and real estate investment trusts						55						5.0						48.4						64.4						3
CLOs						825						75.4						43.0						38.9						9
Total exposures						$	1,094					100.0		%				43.2		%				45.6		%				19

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

35

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,
						2024						2023
U.S. public finance:
Healthcare						$	1,454					$	1,079
Municipal utilities						914						914
Tax backed						357						503
General obligation						282						286
Transportation						106						109
Higher education						98						100
Housing revenue						69						70
Investor-owned utilities						47						47
Infrastructure finance						45						45
Other public finance						118						118
Total U.S. public finance						3,490						3,271
Non-U.S. public finance:
Infrastructure finance						789						815
Renewable energy						254						271
Sovereign and sub-sovereign						42						45
Total non-U.S. public finance						1,085						1,131
Total public finance						4,575						4,402
U.S. structured finance:
RMBS						845						941
Consumer receivables						41						52
Insurance securitizations						40						40
Other structured finance						1						2
Total U.S. structured finance						927						1,035
Non-U.S. structured finance:
Total non-U.S. structured finance						—						—
Total structured finance						927						1,035
Total BIG net par outstanding						$	5,502					$	5,437

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

36

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,
						2024						2023
BIG Category 1
U.S. public finance						$	1,594					$	1,257
Non-U.S. public finance						560						1,131
U.S. structured finance						16						22
Non-U.S. structured finance						—						—
Total BIG Category 1						2,170						2,410
BIG Category 2
U.S. public finance						952						926
Non-U.S. public finance						525						—
U.S. structured finance						52						63
Non-U.S. structured finance						—						—
Total BIG Category 2						1,529						989
BIG Category 3
U.S. public finance						944						1,088
Non-U.S. public finance						—						—
U.S. structured finance						859						950
Non-U.S. structured finance						—						—
Total BIG Category 3						1,803						2,038
BIG Total						$	5,502					$	5,437

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.

37

Assured Guaranty Ltd.

Below Investment Grade Exposures (3 of 3)

As of June 30, 2024

(dollars in millions)

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

Net Par Outstanding

Internal Rating (1)

60+ Day Delinquencies

Name or description

U.S. public finance:

ProMedica Healthcare Obligated Group, Ohio

$

820

BB-

Puerto Rico Electric Power Authority

624

CCC

Palomar Health

374

BB+

OU Health (Medicine), Oklahoma

253

BB+

Puerto Rico Highways & Transportation Authority

228

CCC

Jackson Water & Sewer System, Mississippi

157

BB

Puerto Rico Municipal Finance Agency

108

CCC

Stockton City, California

91

B

New Jersey City University

87

BB

Harrisburg Parking System, Pennsylvania

79

B

San Jacinto River Authority (GRP Project), Texas

59

BB+

Indiana University of Pennsylvania, Pennsylvania

56

CCC

Total U.S. public finance

2,936

Non-U.S. public finance:

Coventry & Rugby Hospital Company (Walsgrave Hospital) Plc

524

B+

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

254

B+

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

116

BB+

Road Management Services PLC (A13 Highway)

113

B+

Total non-U.S. public finance

1,007

Total public finance

3,943

U.S. structured finance:

RMBS:

Option One 2007-FXD2

101

CCC

13.8%

Option One Mortgage Loan Trust 2007-HI1

97

CCC

21.6%

Argent Securities Inc. 2005-W4

93

CCC

10.0%

Nomura Asset Accept. Corp. 2007-1

55

CCC

13.7%

Total RMBS-U.S. structured finance

346

Total non-U.S. structured finance

—

Total structured finance

346

Total

$

4,289

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.

38

Assured Guaranty Ltd.

Largest Exposures by Sector (1 of 3)

As of June 30, 2024

(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)

$

2,466

BBB

Pennsylvania (Commonwealth of)

2,148

BBB+

Metro Washington Airports Authority (Dulles Toll Road)

1,646

BBB+

JFK New Terminal One, New York

1,600

BBB-

New York Metropolitan Transportation Authority

1,363

A-

New York Power Authority

1,352

AA-

Alameda Corridor Transportation Authority, California

1,347

BBB

North Texas Tollway Authority

1,324

A+

Lower Colorado River Authority

1,293

A

Foothill/Eastern Transportation Corridor Agency, California

1,262

BBB+

Brightline Trains Florida LLC

1,133

BBB-

North Carolina Turnpike Authority

1,041

BBB

CommonSpirit Health, Illinois

1,000

A-

San Joaquin Hills Transportation, California

984

BBB

Yankee Stadium LLC New York City Industrial Development Authority

924

BBB

Illinois (State of)

909

BBB

Municipal Electric Authority of Georgia

902

BBB+

San Diego Family Housing, LLC

888

AA

Philadelphia School District, Pennsylvania

869

A-

Chicago Water, Illinois

864

BBB+

Montefiore Medical Center, New York

835

BBB-

Metropolitan Pier and Exposition Authority, Illinois

830

BBB-

ProMedica Healthcare Obligated Group, Ohio

820

BB-

Dade County Seaport, Florida

795

A-

Houston Airport System, Texas

783

A

Pittsburgh Water & Sewer, Pennsylvania

766

A-

California (State of)

757

AA-

Great Lakes Water Authority (Sewerage), Michigan

748

A

Chicago Public Schools, Illinois

747

BBB-

Tucson (City of), Arizona

719

A+

South Carolina Public Service Authority - Santee Cooper

711

BBB

Massachusetts (Commonwealth of) Water Resources

704

AA

Central Florida Expressway Authority, Florida

698

A+

Nassau County, New York

688

AA-

Anaheim (City of), California

682

A-

New York (City of), New York

675

AA-

Pennsylvania Turnpike Commission

662

A-

Wisconsin (State of)

656

A

Clark County School District, Nevada

642

A-

Maine (State of)

641

A

New York Transportation Development Corporation (LaGuardia Airport Terminal Redevelopment Project)

638

BBB-

Philadelphia (City of), Pennsylvania

638

A-

Chicago (City of) Wastewater Transmission, Illinois

632

BBB+

Puerto Rico Electric Power Authority

624

CCC

Pittsburgh International Airport, Pennsylvania

617

A-

Private Transaction

594

BBB-

Mets Queens Ballpark

590

BBB

Chicago-O'Hare International Airport, Illinois

570

A-

Philadelphia Water & Wastewater, Pennsylvania

565

A

Palomar Health

561

BBB-

Total top 50 U.S. public finance exposures

$

45,903

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.

39

Assured Guaranty Ltd.

Largest Exposures by Sector (2 of 3)

As of June 30, 2024

(dollars in millions)

25 Largest U.S. Structured Finance Exposures

Credit Name:

Net Par Outstanding

Internal Rating (1)

Private US Insurance Securitization

$

1,100

AA-

Private US Insurance Securitization

1,100

AA

Private US Insurance Securitization

940

AA-

Private US Insurance Securitization

457

AA-

Private US Insurance Securitization

404

AA-

Private US Insurance Securitization

399

AA-

SLM Student Loan Trust 2007-A

141

AA

Private Middle Market CLO

129

AAA

Private Middle Market CLO

125

BBB

Private US Insurance Securitization

122

AA

Private Middle Market CLO

112

A

CWABS 2007-4

101

BBB

Option One 2007-FXD2

101

CCC

Private Balloon Note Guarantee

100

A

Option One Mortgage Loan Trust 2007-Hl1

97

CCC

Argent Securities Inc. 2005-W4

93

CCC

DB Master Finance LLC

89

BBB

Private US Insurance Securitization

67

A

Private Subscription Finance Transaction

66

A

CAPCO - Excess SIPC Excess of Loss Reinsurance

63

BBB

Private Balloon Note Guarantee

60

BBB

Private Other Structured Finance Transaction

56

A-

Nomura Asset Accept. Corp. 2007-1

55

CCC

CWALT Alternative Loan Trust 2007-HY9

52

BBB+

Private Subscription Finance Transaction

52

A-

Total top 25 U.S. structured finance exposures

$

6,081

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.

40

Assured Guaranty Ltd.

Largest Exposures by Sector (3 of 3)

As of June 30, 2024

(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

$

2,405

BBB-

Thames Water Utilities Finance PLC

United Kingdom

2,118

BBB

Southern Gas Networks PLC

United Kingdom

2,073

BBB+

Dwr Cymru Financing Limited

United Kingdom

1,836

A-

Anglian Water Services Financing PLC

United Kingdom

1,740

A-

National Grid Gas PLC

United Kingdom

1,643

A-

Quebec Province

Canada

1,375

AA-

Channel Link Enterprises Finance PLC

France, United Kingdom

1,236

BBB

Yorkshire Water Services Finance Plc

United Kingdom

1,084

BBB

British Broadcasting Corporation (BBC)

United Kingdom

1,002

A+

Capital Hospitals (Issuer) PLC

United Kingdom

990

BBB-

Severn Trent Water Utilities Finance Plc

United Kingdom

980

BBB+

Verbund, Lease and Sublease of Hydro-Electric Equipment

Austria

938

AAA

United Utilities Water PLC

United Kingdom

888

A-

Wessex Water Services Finance Plc

United Kingdom

762

BBB+

National Grid Company PLC

United Kingdom

733

BBB+

Aspire Defence Finance plc

United Kingdom

721

BBB+

Verdun Participations 2 S.A.S.

France

697

BBB-

South West Water UK

United Kingdom

630

BBB+

Envestra Limited

Australia

622

A-

Heathrow Funding Limited

United Kingdom

600

BBB

Private International Sub-Sovereign Transaction

United Kingdom

551

A+

Campania Region - Healthcare receivable

Italy

542

BBB-

South East Water

United Kingdom

525

BBB

Coventry & Rugby Hospital Company (Walsgrave Hospital) Plc

United Kingdom

524

B+

NewHospitals (St Helens & Knowsley) Finance PLC

United Kingdom

511

BBB+

University of Sussex

United Kingdom

507

BBB

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

United Kingdom

494

BBB-

Central Nottinghamshire Hospitals PLC

United Kingdom

491

BBB-

Sydney Airport Finance Company

Australia

466

BBB+

Derby Healthcare PLC

United Kingdom

460

BBB

The Hospital Company (QAH Portsmouth) Limited

United Kingdom

443

BBB

Sutton and East Surrey Water plc

United Kingdom

394

BBB

University of Essex, United Kingdom

United Kingdom

373

BBB+

International Infrastructure Pool

United Kingdom

372

AAA

International Infrastructure Pool

United Kingdom

372

AAA

International Infrastructure Pool

United Kingdom

372

AAA

South Lanarkshire Schools

United Kingdom

361

BBB

Western Power Distribution (South West) PLC

United Kingdom

340

BBB+

Catalyst Healthcare (Romford) Financing PLC

United Kingdom

323

BBB

Northumbrian Water PLC

United Kingdom

321

BBB+

Private International Sub-Sovereign Transaction

United Kingdom

314

A

Comision Federal De Electricidad (CFE) El Cajon Project

Mexico

313

BBB-

Bakethin Finance Plc

United Kingdom

285

A-

Western Power Distribution (South Wales) PLC

United Kingdom

285

BBB+

Portsmouth Water, United Kingdom

United Kingdom

284

BBB

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

Spain

280

BBB

South Staffordshire Water PLC

United Kingdom

278

A-

Feria Muestrario Internacional de Valencia

Spain

274

BBB-

Japan Expressway Holding and Debt Repayment Agency

Japan

274

A+

Total top 50 non-U.S. exposures

$

36,402

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

41

Asset Management Segment

42

Assured Guaranty Ltd.

Asset Management Segment Results

(dollars in millions)

			Three Months Ended												Six Months Ended
			June 30,												June 30,
			2024						2023						2024						2023
Segment revenues			$	7					$	30					$	8					$	71
Segment expenses			4						33						4						75
Equity in earnings (losses) of investees			(3)						—						(2)						—
Segment adjusted operating income (loss) before income taxes			—						(3)						2						(4)
Less: Provision (benefit) for income taxes			—						(1)						1						(1)
Segment adjusted operating income (loss)			$	—					$	(2)					$	1					$	(3)

43

Corporate Division

44

Assured Guaranty Ltd.

Corporate Division Results

(dollars in millions)

			Three Months Ended												Six Months Ended
			June 30,												June 30,
			2024						2023						2024						2023
Total revenues			$	4					$	2					$	9					$	4
Expenses
Interest expense			26						24						51						47
Employee compensation and benefit expenses			8						9						18						18
Other operating expenses			10						27						22						43
Total expenses			44						60						91						108
Adjusted operating income (loss) before income taxes			(40)						(58)						(82)						(104)
Less: Provision (benefit) for income taxes			(5)						(8)						(10)						(10)
Adjusted operating income (loss)			$	(35)					$	(50)					$	(72)					$	(94)

45

Other

46

Assured Guaranty Ltd.

Other Results (1 of 2)

(dollars in millions)

			Three Months Ended June 30, 2024
			FG VIEs						CIVs						Intersegment Eliminations and Reclassifications						Total Other
Revenues
Net investment income			$	(1)					$	—					$	(3)					$	(4)
Fair value gains (losses) on FG VIEs			(1)						—						—						(1)
Fair value gains (losses) on CIVs			—						11						—						11
Other income (loss)			(1)						(1)						—						(2)
Total revenues			(3)						10						(3)						4
Expenses
Loss expense (benefit)			(2)						—						—						(2)
Interest expense			—						—						(3)						(3)
Total expenses			(2)						—						(3)						(5)
Equity in earnings (losses) of investees			—						(7)						—						(7)
Adjusted operating income (loss) before income taxes			(1)						3						—						2
Less: Provision (benefit) for income taxes			—						—						—						—
Less: Noncontrolling interests			—						3						—						3
Adjusted operating income (loss)			$	(1)					$	—					$	—					$	(1)

			Three Months Ended June 30, 2023
			FG VIEs						CIVs						Intersegment Eliminations and Reclassifications						Total Other
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
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)

47

Assured Guaranty Ltd.

Other Results (2 of 2)

(dollars in millions)

			Six Months Ended June 30, 2024
			FG VIEs						CIVs						Intersegment Eliminations and Reclassifications						Total Other
			(in millions)
Revenues
Net earned premiums			$	(1)					$	—					$	—					$	(1)
Net investment income			(1)						—						(5)						(6)
Fair value gains (losses) on FG VIEs			(4)						—						—						(4)
Fair value gains (losses) on CIVs			—						33						—						33
Other income (loss)			(1)						(1)						—						(2)
Total revenues			(7)						32						(5)						20
Expenses
Loss expense (benefit)			(5)						—						—						(5)
Interest expense			—						—						(5)						(5)
Total expenses			(5)						—						(5)						(10)
Equity in earnings (losses) of investees			—						(24)						—						(24)
Adjusted operating income (loss) before income taxes			(2)						8						—						6
Less: Provision (benefit) for income taxes			—						—						—						—
Less: Noncontrolling interests			—						7						—						7
Adjusted operating income (loss)			$	(2)					$	1					$	—					$	(1)

			Six Months Ended June 30, 2023
			FG VIEs						CIVs						Intersegment Eliminations and Reclassifications						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)

48

Summary

49

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, 2024						Year Ended December 31,
												2023						2022						2021						2020
GAAP Summary Statements of Operations Data
Net earned premiums						$	203					$	344					$	494					$	414					$	485
Net investment income						165						365						269						269						297
Total expenses						238						733						536						465						729
Income (loss) before income taxes						238						640						187						383						386
Net income (loss) attributable to AGL						187						739						124						389						362
Net income (loss) attributable to AGL per diluted share						3.31						12.30						1.92						5.23						4.19
GAAP Summary Balance Sheet Data
Total investments and cash						$	8,918					$	9,212					$	8,472					$	9,728					$	10,000
Total assets						12,088						12,539						16,843						18,208						15,334
Unearned premium reserve						3,662						3,658						3,620						3,716						3,735
Loss and LAE reserve						294						376						296						869						1,088
Long-term debt						1,696						1,694						1,675						1,673						1,224
Shareholders’ equity attributable to AGL						5,539						5,713						5,064						6,292						6,643
Shareholders’ equity attributable to AGL per share						104.15						101.63						85.80						93.19						85.66
Other Financial Information (GAAP Basis)
Financial guaranty:
Net debt service outstanding (end of period)						$	404,685					$	397,636					$	369,951					$	367,360					$	366,233
Gross debt service outstanding (end of period)						405,185						398,037						370,172						367,770						366,692
Net par outstanding (end of period)						254,396						249,153						233,258						236,392						234,153
Gross par outstanding (end of period)						254,878						249,535						233,438						236,765						234,571
Other Financial Information (Statutory Basis)(1)
Financial guaranty:
Net debt service outstanding (end of period)						$	403,621					$	396,448					$	366,883					$	362,013					$	360,392
Gross debt service outstanding (end of period)						404,121						396,849						367,103						362,423						360,852
Net par outstanding (end of period)						253,187						247,833						230,294						231,742						229,008
Gross par outstanding (end of period)						253,669						248,215						230,474						232,115						229,426
Claims-paying resources(2)
Policyholders' surplus						$	4,769					$	4,807					$	5,155					$	5,572					$	5,077
Contingency reserve						1,331						1,296						1,202						1,225						1,557
Qualified statutory capital						6,100						6,103						6,357						6,797						6,634
Unearned premium reserve and net deferred ceding commission income						2,963						2,955						2,941						2,972						2,983
Loss and LAE reserves						177						145						165						167						202
Total policyholders' surplus and reserves						9,240						9,203						9,463						9,936						9,819
Present value of installment premium						993						1,062						955						883						858
CCS and standby line of credit						400						400						400						400						400
Total claims-paying resources						$	10,633					$	10,665					$	10,818					$	11,219					$	11,077
Ratios:
Net exposure to qualified statutory capital						42		:1				41		:1				36		:1				34		:1				35		:1
Capital ratio						67		:1				66		:1				58		:1				53		:1				54		:1
Financial resources ratio						38		:1				37		:1				34		:1				32		:1				33		:1
Adjusted statutory net exposure to claims-paying resources						24		:1				24		:1				21		:1				21		:1				21		:1
Par and Debt Service Written (Financial Guaranty and Specialty)
Gross debt service written:
Public finance - U.S.						$	19,021					$	41,902					$	36,954					$	35,572					$	33,596
Public finance - non-U.S.						1,699						3,286						756						1,890						1,860
Structured finance - U.S.						709						2,130						1,120						1,319						508
Structured finance - non-U.S.						953						3,084						551						431						254
Total gross debt service written						$	22,382					$	50,402					$	39,381					$	39,212					$	36,218
Net debt service written						$	22,282					$	50,402					$	39,381					$	39,212					$	35,965
Net par written						13,066						28,960						22,047						26,656						23,012
Gross par written						13,166						28,960						22,047						26,656						23,265

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.

50

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, 2024						Year Ended December 31,
												2023						2022						2021						2020
Total GWP						$	193					$	357					$	360					$	377					$	454
Less: Installment GWP and other GAAP adjustments (2)						130						247						145						158						191
Upfront GWP						63						110						215						219						263
Plus: Installment premiums and other (3)						155						294						160						142						127
Total PVP						$	218					$	404					$	375					$	361					$	390
PVP:
Public finance - U.S.						$	159					$	212					$	257					$	235					$	292
Public finance - non-U.S.						34						83						68						79						82
Structured finance - U.S.						19						68						43						42						14
Structured finance - non-U.S.						6						41						7						5						2
Total PVP						$	218					$	404					$	375					$	361					$	390
Adjusted operating income reconciliation:
Net income (loss) attributable to AGL						$	187					$	739					$	124					$	389					$	362
Less pre-tax adjustments:
Realized gains (losses) on investments						2						(14)						(56)						15						18
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives						13						106						(18)						(64)						65
Fair value gains (losses) on CCS						(9)						(35)						24						(28)						(1)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves						(12)						51						(110)						(21)						42
Total pre-tax adjustments						(6)						108						(160)						(98)						124
Less tax effect on pre-tax adjustments						—						(17)						17						17						(18)
Adjusted operating income (loss)						$	193					$	648					$	267					$	470					$	256
Adjusted operating income per diluted share reconciliation:
Net income (loss) attributable to AGL per diluted share						$	3.31					$	12.30					$	1.92					$	5.23					$	4.19
Less pre-tax adjustments:
Realized gains (losses) on investments						0.04						(0.23)						(0.87)						0.20						0.21
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives						0.23						1.75						(0.27)						(0.85)						0.75
Fair value gains (losses) on CCS						(0.16)						(0.57)						0.37						(0.38)						(0.01)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves						(0.21)						0.84						(1.72)						(0.29)						0.49
Total pre-tax adjustments						(0.10)						1.79						(2.49)						(1.32)						1.44
Tax effect on pre-tax adjustments						—						(0.27)						0.27						0.23						(0.22)
Adjusted operating income (loss) per diluted share						$	3.41					$	10.78					$	4.14					$	6.32					$	2.97

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-maturity securities such as Loss Mitigation Securities. The years 2023 and 2022 also includes 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.

51

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, 2024						As of December 31,
												2023						2022						2021						2020
Adjusted book value reconciliation:
Shareholders’ equity attributable to AGL						$	5,539					$	5,713					$	5,064					$	6,292					$	6,643
Less pre-tax adjustments:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives						47						34						(71)						(54)						9
Fair value gains (losses) on CCS						4						13						47						23						52
Unrealized gain (loss) on investment portfolio						(400)						(361)						(523)						404						611
Less taxes						44						37						68						(72)						(116)
Adjusted operating shareholders' equity						5,844						5,990						5,543						5,991						6,087
Pre-tax adjustments:
Less: Deferred acquisition costs						169						161						147						131						119
Plus: Net present value of estimated net future revenue						190						199						157						160						182
Plus: Net deferred premium reserve on financial guaranty contracts in excess of expected loss to be expensed						3,424						3,436						3,428						3,402						3,355
Plus taxes						(691)						(699)						(602)						(599)						(597)
Adjusted book value						$	8,598					$	8,765					$	8,379					$	8,823					$	8,908
Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders' equity (net of tax provision (benefit) of $1, $1, $4, $5, and $-)						$	3					$	5					$	17					$	32					$	2
Adjusted book value (net of tax provision (benefit) of $(1), $0, $3, $3, and $(2))						$	(2)					$	—					$	11					$	23					$	(8)
Adjusted book value per share reconciliation:
Shareholders' equity attributable to AGL per share						$	104.15					$	101.63					$	85.80					$	93.19					$	85.66
Less pre-tax adjustments:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives						0.89						0.61						(1.21)						(0.80)						0.12
Fair value gains (losses) on CCS						0.08						0.22						0.80						0.34						0.66
Unrealized gain (loss) on investment portfolio						(7.53)						(6.40)						(8.86)						5.99						7.89
Less taxes						0.83						0.66						1.15						(1.07)						(1.50)
Adjusted operating shareholders' equity per share						109.88						106.54						93.92						88.73						78.49
Pre-tax adjustments:
Less: Deferred acquisition costs						3.19						2.87						2.48						1.95						1.54
Plus: Net present value of estimated net future revenue						3.58						3.54						2.66						2.37						2.35
Plus: Net deferred premium reserve on financial guaranty contracts in excess of expected loss to be expensed						64.37						61.12						58.10						50.40						43.27
Plus taxes						(12.99)						(12.41)						(10.22)						(8.88)						(7.70)
Adjusted book value per share						$	161.65					$	155.92					$	141.98					$	130.67					$	114.87
Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders' equity per share						$	0.06					$	0.07					$	0.28					$	0.47					$	0.03
Adjusted book value per share						$	(0.04)					$	—					$	0.19					$	0.34					$	(0.10)

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

52

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, 2023.

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.

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.

53

Glossary (continued)

Sectors (continued)

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.

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 United Kingdom.

Sovereign and Sub-Sovereign Obligations primarily includes obligations of local, municipal, regional or national governmental authorities or agencies outside of the U.S.

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 non-U.S. renewable energy business is conducted in Spain.

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.

Structured Finance:

Insurance Securitizations are transactions, including life insurance transactions, where obligations are secured by the future earnings from pools of various types of insurance/reinsurance policies and income produced by invested assets.

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.

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.

Subscription Finance Facilities are lending facilities provided to closed-end private market funds, most frequently private-equity funds. The facilities are secured by the uncalled capital commitments of the limited partners (LP) to the fund. The Company may guarantee new or existing facilities and on a single facility or portfolio basis. Assured Guaranty’s exposures are generally to facilities with characteristics that include a high-quality fund sponsor with strong historical performance, diverse LP base composed primarily of institutional LPs and experienced bank lenders.

54

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.

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.

Other Structured Finance Obligations are obligations backed by assets not generally described in any of the other U.S. and Non-U.S. Structured Finance Obligations categories above.

Specialty Business

The Company also guarantees specialty business with similar risk profiles to its structured finance exposures written in financial guaranty form. Specialty business includes, for example, excess-of-loss guaranty of minimum amount of billed rent on diversified portfolios of real estate properties, insurance securitizations and aircraft residual value insurance (RVI) transactions.

55

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.

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

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

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

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

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

4)     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.

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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. 

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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

Director, Media Relations

(212) 408-6042

adurani@agltd.com