Document

Assured Guaranty Ltd.

September 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, June 30, 2024 and September 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 in the United States (U.S.), 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, difficulties in obtaining additional financing or other factors will result in credit losses or liquidity claims on obligations of state, territorial and local governments, their related authorities, public corporations and other obligors 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) the possibility that underwriting insurance in new jurisdictions and/or covering new sectors or classes of business does not result in the benefits anticipated or subjects Assured Guaranty to negative consequences; (xi) 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; (xii) 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; (xiii) 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; (xiv) 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; (xv) the inability to control the business, management or policies of entities in which Assured Guaranty holds a minority interest; (xvi) 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); (xvii) 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; (xviii) the inability of Assured Guaranty to access external sources of capital on acceptable terms; (xix) changes in applicable accounting policies or practices; (xx) changes in applicable laws or regulations, including insurance, bankruptcy and tax laws, or other governmental actions; (xxi) the possibility that legal or regulatory decisions or determinations subject obligations that Assured Guaranty insures or reinsures to negative consequences; (xxii) difficulties with the execution of Assured Guaranty’s business strategy; (xxiii) loss of key personnel; (xxiv) the effects of mergers, acquisitions and divestitures; (xxv) public health crises, including pandemics and endemics, and the governmental and private actions taken in response to such events; (xxvi) natural or man-made catastrophes; (xxvii) the impact of climate change on Assured Guaranty’s business and regulatory actions taken related to such risk; (xxviii) other risk factors identified in AGL’s filings with the U.S. Securities and Exchange Commission (SEC); (xxix) other risks and uncertainties that have not been identified at this time; and (xxx) management’s response to these factors.

Assured Guaranty undertakes no obligation to update publicly or review any forward looking statement, whether as a result of new information, future developments or otherwise, except as required by law.

Assured Guaranty Ltd.

Selected Financial Highlights (1 of 2)

(dollars in millions, except per share amounts)


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2024			2023			2024			2023
GAAP (1) Highlights
Net income (loss) attributable to AGL	$	171		$	157		$	358		$	363
Net income (loss) attributable to AGL per diluted share	$	3.17		$	2.60		$	6.44		$	5.99
Weighted average shares outstanding
Basic shares outstanding	52.4			58.5			54.1			58.9
Diluted shares outstanding	53.4			59.6			55.2			60.0
Effective tax rate on net income	19.9		%	21.4		%	19.2		%	18.1		%
GAAP return on equity (ROE) (4)	12.1		%	11.9		%	8.3		%	9.4		%

Non-GAAP Highlights (2)
Adjusted operating income (loss)	$	130		$	206		$	323		$	310
Adjusted operating income (loss) per diluted share (2)	$	2.42		$	3.42		$	5.80		$	5.12
Weighted average diluted shares outstanding	53.4			59.6			55.2			60.0
Effective tax rate on adjusted operating income (3)	20.7		%	20.4		%	19.2		%	18.4		%
Adjusted operating ROE (2)(4)	8.9		%	14.5		%	7.2		%	7.3		%

Components of adjusted operating income (loss) (2)
Insurance segment	$	162		$	59		$	427		$	282
Asset Management segment	4			—			5			(3)
Corporate division	(29)			155			(101)			61
Other (6)	(7)			(8)			(8)			(30)
Adjusted operating income (loss)	$	130		$	206		$	323		$	310

Insurance Segment
Gross written premiums (GWP)	$	61		$	40		$	254		$	221
Present value of new business production (PVP) (2)	63			46			281			249
Gross par written	7,437			5,948			20,603			20,285

Effect of refundings and terminations on GAAP measures:
Net earned premiums, pre-tax	$	14		$	14		$	56		$	26
Fair value gains (losses) of credit derivatives, pre-tax	—			1			—			1
Net income effect	11			11			43			21
Net income per diluted share	0.20			0.19			0.78			0.36

Effect of refundings and terminations on non-GAAP measures:
Operating net earned premiums and credit derivative revenues(5), pre-tax	$	14		$	15		$	56		$	27
Adjusted operating income(5) effect	11			11			43			21
Adjusted operating income per diluted share (5)	0.20			0.19			0.78			0.36

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).

Assured Guaranty Ltd.

Selected Financial Highlights (2 of 2)

(dollars in millions, except per share amounts)


	As of
	September 30, 2024				December 31, 2023
	Amount		Per Share		Amount		Per Share
Shareholders’ equity attributable to AGL	$	5,728	$	111.09	$	5,713	$	101.63
Adjusted operating shareholders’ equity (1)	5,875		113.96		5,990		106.54
Adjusted book value (1)	8,582		166.47		8,765		155.92
Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders’ equity	(5)		(0.08)		5		0.07
Adjusted book value	(9)		(0.17)		—		—

Shares outstanding at the end of period	51.6				56.2

Exposure
Financial guaranty net debt service outstanding	$	411,637			$	397,636
Financial guaranty net par outstanding:
Investment grade	$	247,546			$	243,716
Below-investment-grade (BIG)	10,650				5,437
Total	$	258,196			$	249,153

Claims-paying resources (2)	$	10,354			$	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.

Assured Guaranty Ltd.

Condensed Consolidated Statements of Operations (unaudited)

(dollars in millions, except per share amounts)


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2024		2023		2024		2023
Revenues
Net earned premiums	$	97	$	95	$	300	$	261
Net investment income	82		100		247		270
Asset management fees	—		—		—		53
Net realized investment gains (losses)	—		(9)		2		(20)
Fair value gains (losses) on credit derivatives	3		9		19		115
Fair value gains (losses) on committed capital securities (CCS)	(3)		(20)		(12)		(35)
Fair value gains (losses) on FG VIEs	(7)		6		(11)		(2)
Fair value gains (losses) on CIVs	21		(4)		54		60
Foreign exchange gains (losses) on remeasurement	55		(39)		43		9
Fair value gains (losses) on trading securities	9		4		52		42
Gain on sale of asset management subsidiaries	—		255		—		255
Other income (loss)	12		6		22		38
Total revenues	269		403		716		1,046
Expenses
Loss and loss adjustment expense (LAE) (benefit)	(51)		100		(54)		159
Interest expense	22		24		68		67
Amortization of deferred acquisition costs (DAC)	5		4		14		10
Employee compensation and benefit expenses	47		47		153		199
Other operating expenses	44		44		124		170
Total expenses	67		219		305		605
Income (loss) before income taxes and equity in earnings (losses) of investees	202		184		411		441
Equity in earnings (losses) of investees	18		18		47		25
Income (loss) before income taxes	220		202		458		466
Less: Provision (benefit) for income taxes	44		43		88		84
Net income (loss)	176		159		370		382
Less: Noncontrolling interests	5		2		$	12	$	19
Net income (loss) attributable to AGL	$	171	$	157	$	358	$	363

Earnings per share:
Basic	$	3.23	$	2.65	$	6.57	$	6.11
Diluted	$	3.17	$	2.60	$	6.44	$	5.99

Assured Guaranty Ltd.

Condensed Consolidated Balance Sheets (unaudited)

(dollars in millions)


	As of
	September 30,		December 31,
	2024		2023
Assets
Investments:
Fixed-maturity securities available-for-sale, at fair value	$	6,284	$	6,307
Fixed-maturity securities, trading, at fair value	163		318
Short-term investments, at fair value	1,487		1,661
Other invested assets	912		829
Total investments	8,846		9,115
Cash	147		97
Premiums receivable, net of commissions payable	1,513		1,468
DAC	172		161
Salvage and subrogation recoverable	412		298
FG VIEs’ assets	156		328
Assets of CIVs	359		366
Other assets	686		706
Total assets	$	12,291	$	12,539

Liabilities
Unearned premium reserve	$	3,631	$	3,658
Loss and LAE reserve	253		376
Long-term debt	1,698		1,694
Credit derivative liabilities, at fair value	39		53
FG VIEs’ liabilities, at fair value	392		554
Other liabilities	496		439
Total liabilities	6,509		6,774

Shareholders’ equity
Common shares	1		1
Retained earnings	5,957		6,070
Accumulated other comprehensive income (loss)	(231)		(359)
Deferred equity compensation	1		1
Total shareholders’ equity attributable to AGL	5,728		5,713
Nonredeemable noncontrolling interests	54		52
Total shareholders’ equity	5,782		5,765
Total liabilities and shareholders’ equity	$	12,291	$	12,539

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (1 of 3)

(dollars in millions, except per share amounts)


Adjusted Operating Income Reconciliation	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2024		2023		2024		2023

Net income (loss) attributable to AGL	$	171	$	157	$	358	$	363
Less pre-tax adjustments:
Realized gains (losses) on investments	—		(9)		2		(20)
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	(2)		6		11		109
Fair value gains (losses) on CCS	(3)		(20)		(12)		(35)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	54		(37)		42		9
Total pre-tax adjustments	49		(60)		43		63
Less tax effect on pre-tax adjustments	(8)		11		(8)		(10)
Adjusted operating income (loss)	$	130	$	206	$	323	$	310

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

Components of adjusted operating income:
Segments:
Insurance	$	162	59		$	427	$	282
Asset Management	4		—		5		(3)
Total segments	166		59		432		279
Corporate division	(29)		155		(101)		61
Other	(7)		(8)		(8)		(30)
Adjusted operating income (loss)	$	130	$	206	$	323	$	310


Per diluted share:
Net income (loss) attributable to AGL	$	3.17	$	2.60	$	6.44	$	5.99
Less pre-tax adjustments:
Realized gains (losses) on investments	—		(0.16)		0.03		(0.33)
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	(0.03)		0.12		0.21		1.81
Fair value gains (losses) on CCS	(0.06)		(0.33)		(0.21)		(0.58)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	1.00		(0.61)		0.76		0.14
Total pre-tax adjustments	0.91		(0.98)		0.79		1.04
Less tax effect on pre-tax adjustments	(0.16)		0.16		(0.15)		(0.17)
Adjusted operating income (loss)	$	2.42	$	3.42	$	5.80	$	5.12

Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating income	$	(0.12)	$	(0.13)	$	(0.15)	$	(0.49)

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

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (2 of 3)

(dollars in millions)


ROE Reconciliation and Calculation	As of
		September 30,		June 30,		December 31,			September 30,			June 30,			December 31,
		2024		2024		2023			2023			2023			2022
Shareholders’ equity attributable to AGL		$	5,728	$	5,539	$	5,713		$	5,252		$	5,276		$	5,064
Adjusted operating shareholders’ equity		5,875		5,844		5,990			5,735			5,628			5,543
Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating shareholders' equity		(5)		3		5			4			(3)			17

						Three Months Ended						Nine Months Ended
						September 30,						September 30,
						2024			2023			2024			2023
Net income (loss) attributable to AGL						$	171		$	157		$	358		$	363
Adjusted operating income (loss)						130			206			323			310

Average shareholders’ equity attributable to AGL						$	5,634		$	5,264		$	5,721		$	5,158
Average adjusted operating shareholders’ equity						5,860			5,682			5,933			5,639
Gain (loss) related to FG VIE and CIV consolidation included in average adjusted operating shareholders’ equity						(1)			1			—			11

GAAP ROE (1)						12.1		%	11.9		%	8.3		%	9.4		%
Adjusted operating ROE (1)						8.9		%	14.5		%	7.2		%	7.3		%

1) Quarterly ROE calculations represent annualized returns.

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

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (3 of 3)

(dollars in millions)


	As of
	September 30,		June 30,		December 31,		September 30,		June 30,		December 31,
	2024		2024		2023		2023		2023		2022
Reconciliation of shareholders’ equity attributable to AGL to adjusted book value:
Shareholders’ equity attributable to AGL	$	5,728	$	5,539	$	5,713	$	5,252	$	5,276	$	5,064
Less pre-tax reconciling items:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	45		47		34		38		31		(71)
Fair value gains (losses) on CCS	1		4		13		12		32		47
Unrealized gain (loss) on investment portfolio	(211)		(400)		(361)		(609)		(463)		(523)
Less taxes	18		44		37		76		48		68
Adjusted operating shareholders' equity	5,875		5,844		5,990		5,735		5,628		5,543
Pre-tax reconciling items:
Less: Deferred acquisition costs	172		169		161		158		155		147
Plus: Net present value of estimated net future revenue	189		190		199		190		192		157
Plus: Net deferred premium revenue on financial guaranty contracts in excess of expected loss to be expensed	3,370		3,424		3,436		3,404		3,445		3,428
Plus taxes	(680)		(691)		(699)		(612)		(623)		(602)
Adjusted book value	$	8,582	$	8,598	$	8,765	$	8,559	$	8,487	$	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, $(1), and $4)	$	(5)	$	3	$	5	$	4	$	(3)	$	17
Adjusted book value (net of tax provision (benefit) of $(2), $(1), $0, $(1), $(3), and $3)	$	(9)	$	(2)	$	—	$	(2)	$	(7)	$	11

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

Assured Guaranty Ltd.

Income Components (1 of 4)

(in millions)

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


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

Revenues
Net earned premiums	$	98	$	—	$	—	$	(1)	$	—	$	97
Net investment income	82		—		3		(3)		—		82
Asset management fees	—		—		—		—		—		—
Net realized investment gains (losses)	—		—		—		—		—		—
Fair value gains (losses) on credit derivatives (2)	3		—		—		—		—		3
Fair value gains (losses) on CCS	—		—		—		—		(3)		(3)
Fair value gains (losses) on FG VIEs	—		—		—		(7)		—		(7)
Fair value gains (losses) on CIVs	—		—		—		21		—		21
Foreign exchange gains (losses) on remeasurement	1		—		—		—		54		55
Fair value gains (losses) on trading securities	9		—		—		—		—		9
Other income (loss)	11		2		1		(2)		—		12
Total revenues	204		2		4		8		51		269

Expenses
Loss and LAE (benefit) (3)	(53)		—		—		—		2		(51)
Interest expense	—		—		24		(2)		—		22
Amortization of DAC	5		—		—		—		—		5
Employee compensation and benefit expenses	40		—		7		—		—		47
Other operating expenses	36		2		6		—		—		44
Total expenses	28		2		37		(2)		2		67
Equity in earnings (losses) of investees	28		4		—		(14)		—		18
Less: Provision (benefit) for income taxes	42		—		(4)		(2)		8		44
Less: Noncontrolling interests	—		—		—		5		—		5
Total	$	162	$	4	$	(29)	$	(7)	$	41	$	171

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

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

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

Assured Guaranty Ltd.

Income Components (2 of 4)

(in millions)

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


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

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

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

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

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

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

Assured Guaranty Ltd.

Income Components (3 of 4)

(in millions)

Components of Income for the Nine Months Ended September 30, 2024


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

Revenues
Net earned premiums	$	302	$	—	$	—	$	(2)	$	—	$	300
Net investment income	246		—		10		(9)		—		247
Asset management fees	—		—		—		—		—		—
Net realized investment gains (losses)	—		—		—		—		2		2
Fair value gains (losses) on credit derivatives (2)	8		—		—		—		11		19
Fair value gains (losses) on CCS	—		—		—		—		(12)		(12)
Fair value gains (losses) on FG VIEs	—		—		—		(11)		—		(11)
Fair value gains (losses) on CIVs	—		—		—		54		—		54
Foreign exchange gains (losses) on remeasurement	1		—		—		—		42		43
Fair value gains (losses) on trading securities	52		—		—		—		—		52
Other income (loss)	13		10		3		(4)		—		22
Total revenues	622		10		13		28		43		716

Expenses
Loss and LAE (benefit)(3)	(49)		—		—		(5)		—		(54)
Interest expense	—		—		75		(7)		—		68

Amortization of DAC	14		—		—		—		—		14
Employee compensation and benefit expenses	128		—		25		—		—		153
Other operating expenses	90		6		28		—		—		124
Total expenses	183		6		128		(12)		—		305
Equity in earnings (losses) of investees	83		2		—		(38)		—		47
Less: Provision (benefit) for income taxes	95		1		(14)		(2)		8		88
Less: Noncontrolling interests	—		—		—		12		—		12
Total	$	427	$	5	$	(101)	$	(8)	$	35	$	358

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

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

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

Assured Guaranty Ltd.

Income Components (4 of 4)

(in millions)

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


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

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

Expenses
Loss and LAE (benefit)(3)	154		—		—		6		(1)		159
Interest expense	—		1		73		(7)		—		67
Amortization of DAC	10		—		—		—		—		10
Employee compensation and benefit expenses	112		59		28		—		—		199
Other operating expenses	78		15		64		13		—		170
Total expenses	354		75		165		12		(1)		605
Equity in earnings (losses) of investees	60		—		—		(35)		—		25
Less: Provision (benefit) for income taxes	46		(1)		37		(8)		10		84
Less: Noncontrolling interests	—		—		—		19		—		19
Total	$	282	$	(3)	$	61	$	(30)	$	53	$	363

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

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

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

Assured Guaranty Ltd.

Fixed-Maturity Securities, Short-Term Investments and Cash

As of September 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)	$	2,171	$	(14)		3.58	%	3.18	%	$	2,119	$	78
U.S. government and agencies	75		—			2.90		2.33		71		2
Corporate securities	2,503		(6)			3.48		2.90		2,404		87
Mortgage-backed securities:
Residential mortgage-backed securities (RMBS) (2)(3)	613		(20)			5.14		4.11		544		32
Commercial mortgage-backed securities	180		—			3.85		3.07		180		7
Asset-backed securities (ABS)
Collateralized loan obligation (CLOs)	384		—			7.08		5.60		383		27
Other ABS (3)	556		(26)			4.19		3.36		508		23
Non-U.S. government securities	83		—			1.98		1.96		75		2
Total fixed maturity securities, available-for-sale	6,565		(66)			3.92		3.29		6,284		258
Short-term investments	1,487		—			4.83		3.85		1,487		71
Cash (4)	147		—			—		—		147		—
Total	$	8,199	$	(66)		4.09	%	3.39	%	$	7,918	$	329

Fixed maturity securities, trading (6)										$	163


Ratings (5):	Fair Value		% of Portfolio
U.S. government and agencies	$	71	1.1		%
AAA/Aaa	792		12.6
AA/Aa	2,236		35.6
A/A	1,620		25.8
BBB	991		15.8
BIG	511		8.1
Not rated	63		1.0
Total fixed maturity securities, available-for-sale	$	6,284	100.0		%


Duration of available-for-sale fixed maturity securities and short-term investments (in years):			3.4

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

2) Includes fair value of $135 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 $830 million in par with carrying value of $569 million and are primarily included in the BIG category.

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

Assured Guaranty Ltd.

Investment Portfolio, Cash and CIVs

GAAP (1 of 2)

(dollars in millions)

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


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

Fixed-maturity securities, available-for-sale	$	6,265	$	19	$	—	$	6,284
Fixed-maturity securities, trading	163		—		—		163
Total fixed-maturity securities	6,428		19		—		6,447
Short-term investments	1,176		310		1		1,487
Cash	47		63		37		147
Total short-term investments and cash	1,223		373		38		1,634
Other invested assets
Equity method investments:
Sound Point	—		417		—		417
Funds:
CLOs	349		—		(247)		102
Private healthcare investing	149		—		—		149
Asset-based/specialty finance	131		—		(31)		100
Middle market direct lending	10		—		—		10
Other	1		122		—		123
Total funds	640		122		(278)		484
Other	—		3		—		3
Total equity method investments	640		542		(278)		904
Other	5		3		—		8
Other invested assets	645		545		(278)		912
Total investment portfolio and cash(4)	$	8,296	$	937	$	(240)	$	8,993
CIVs
Assets of CIVs	$	—	$	—	$	359	$	359
Liabilities of CIVs	—		—		(18)		(18)
Nonredeemable noncontrolling interests	—		—		(54)		(54)
Total CIVs	$	—	$	—	$	287	$	287

1) Includes the Company’s U.S., Bermuda, United Kingdom (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 12.8%, the year-to-date return of 10.3% and the quarter-to-date return of 3.6%. Returns are calculated using return on investment method. The inception-to-date returns are calculated using cash basis IRR method and are annualized; the quarterly and year-to-date returns are not annualized.

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%.

Assured Guaranty Ltd.

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

(dollars in millions)


	Three Months Ended September 30, 2024
	Insurance		Asset Management		Corporate		Other		Total
Net investment income
Fixed-maturity securities, available-for-sale	$	62	$	—	$	—	$	(1)	$	61
Short-term investments	18		—		3		—		21
Other	2		—		—		(2)		—
Total net investment income	$	82	$	—	$	3	$	(3)	$	82

Fair value gains (losses) on trading securities	$	9	$	—	$	—	$	—	$	9

Equity in earnings (losses) of investees
Sound Point	$	—	$	4	$	—	$	—	$	4
Funds:
CLOs	12		—		—		(8)		4
Private healthcare investing	6		—		—		—		6
Asset-based/specialty finance	7		—		—		(6)		1
Middle market direct lending	(3)		—		—		—		(3)
Other	6		—		—		—		6
Total funds (1)	28		—		—		(14)		14
Other	—		—		—		—		—
Equity in earnings (losses) of investees	$	28	$	4	$	—	$	(14)	$	18

CIVs
Fair value gains (losses) on CIVs	$	—	$	—	$	—	$	21	$	21
Noncontrolling interests	—		—		—		(5)		(5)
Total CIVs	$	—	$	—	$	—	$	16	$	16


	Three Months Ended September 30, 2023
	Insurance		Asset Management		Corporate		Other		Total
Net investment income
Fixed-maturity securities, available-for-sale	$	80	$	—	$	—	$	(1)	$	79
Short-term investments	19		—		2		—		21
Other	2		—		—		(2)		—
Total net investment income	$	101	$	—	$	2	$	(3)	$	100

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

Equity in earnings (losses) of investees
Sound Point	$	—	$	—	$	—	$	—	$	—
Funds:
CLOs	7		—		—		(7)		—
Private healthcare investing	12		—		—		—		12
Asset-based/specialty finance	—		—		—		—		—

Other	6		—		—		—		6
Total funds (1)	25		—		—		(7)		18
Other	—		—		—		—		—
Equity in earnings (losses) of investees	$	25	$	—	$	—	$	(7)	$	18

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

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.

Assured Guaranty Ltd.

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

(dollars in millions)


	Nine Months Ended September 30, 2024
	Insurance		Asset Management		Corporate		Other		Total
Net investment income
Fixed-maturity securities, available-for-sale	$	183	$	—	$	—	$	(2)	$	181
Short-term investments	56		—		10		—		66
Other	7		—		—		(7)		—
Total net investment income	$	246	$	—	$	10	$	(9)	$	247

Fair value gains (losses) on trading securities	$	52	$	—	$	—	$	—	$	52

Equity in earnings (losses) of investees
Sound Point	$	—	$	5	$	—	$	—	$	5
Funds:
CLOs	38		—		—		(26)		12
Private healthcare investing	8		—		—		—		8
Asset-based/specialty finance	18		—		—		(12)		6
Middle market direct lending	1		—		—		—		1
Other	18		—		—		—		18
Total funds (1)	83		—		—		(38)		45
Other	—		(3)		—		—		(3)
Equity in earnings (losses) of investees	$	83	$	2	$	—	$	(38)	$	47

CIVs
Fair value gains (losses) on CIVs	$	—	$	—	$	—	$	54	$	54
Noncontrolling interests	—		—		—		(12)		(12)
Total CIVs	$	—	$	—	$	—	$	42	$	42


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

Net investment income
Fixed-maturity securities, available-for-sale	$	217	$	—	$	—	$	(2)	$	215
Short-term investments	47		—		6		—		53
Other	9		—		—		(7)		2
Total net investment income	$	273	$	—	$	6	$	(9)	$	270

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

Equity in earnings (losses) of investees
Sound Point	$	—	$	—	$	—	$	—	$	—
Funds:
CLOs	23		—		—		(23)		—
Private healthcare investing	21		—		—		(9)		12
Asset-based/specialty finance	3		—		—		(3)		—
Other	13		—		—		—		13
Total funds (1)	60		—		—		(35)		25
Other	—		—		—		—		—
Equity in earnings (losses) of investees	$	60	$	—	$	—	$	(35)	$	25

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

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.

Insurance Segment

Assured Guaranty Ltd.

Insurance Segment Results

(dollars in millions)


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2024		2023		2024		2023
Segment revenues
Net earned premiums and credit derivative revenues	$	101	$	99	$	310	$	271
Net investment income	82		101		246		273
Fair value gains (losses) on trading securities	9		4		52		42
Foreign exchange gains (losses) on remeasurement and other income (loss)	12		4		14		36
Total segment revenues	204		208		622		622

Segment expenses
Loss expense (benefit)	(53)		101		(49)		154

Amortization of DAC	5		4		14		10
Employee compensation and benefit expenses	40		37		128		112
Other operating expenses	36		23		90		78
Total segment expenses	28		165		183		354
Equity in earnings (losses) of investees	28		25		83		60
Segment adjusted operating income (loss) before income taxes	204		68		522		328
Less: Provision (benefit) for income taxes	42		9		95		46
Segment adjusted operating income (loss)	$	162	$	59	$	427	$	282

Assured Guaranty Ltd.

Claims-Paying Resources

(dollars in millions)


	As of September 30, 2024
	AG		AG Re (6)		Eliminations (2)		Total
Claims-paying resources
Policyholders’ surplus	$	3,644	$	770	$	61	$	4,475
Contingency reserve	1,374		—		—		1,374
Qualified statutory capital	5,018		770		61		5,849
Unearned premium reserve and net deferred ceding commission income (1)	2,438		593		(61)		2,970
Loss and LAE reserves (1)(7)	—		113		—		113
Total policyholders' surplus and reserves	7,456		1,476		—		8,932
Present value of installment premium	764		258		—		1,022
CCS	400		—		—		400
Total claims-paying resources	$	8,620	$	1,734	$	—	$	10,354

Statutory net exposure (1)(3)	$	197,590	$	63,930	$	(622)	$	260,898
Net debt service outstanding (1)(3)	$	319,135	$	96,479	$	(1,126)	$	414,488

Ratios:
Net exposure to qualified statutory capital	39:1		83:1				45:1
Capital ratio (4)	64:1		125:1				71:1
Financial resources ratio (5)	37:1		56:1				40:1
Statutory net exposure to claims-paying resources	23:1		37:1				25:1

Separate company statutory basis:
Admitted assets	$	7,304	$	1,497
Total liabilities	3,660		727
Loss and LAE reserves (recoverable)	(49)		113
Paid in capital stock	441		826

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

2) Eliminations consist of intercompany deferred ceding commissions. Net exposure and net debt service outstanding eliminations relate to second-to-pay policies under which an Assured Guaranty insurance subsidiary guarantees an obligation already insured by another Assured Guaranty insurance subsidiary.

3) Net exposure and net debt service outstanding are presented on a statutory basis. Includes $3,503 million of specialty business.

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

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

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

7) Loss and LAE reserves exclude adjustments to claims-paying resources for AG because the balance was in a net recoverable position of $47 million.

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

Assured Guaranty Ltd.

New Business Production

(dollars in millions)

Reconciliation of GWP to PVP


	Three Months Ended										Three Months Ended
	September 30, 2024										September 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	$	35	$	7	$	4	$	15	$	61	$	29	$	(5)	$	15	$	1	$	40
Less: Installment GWP and other GAAP adjustments (1)	2		(1)		2		15		18		6		(5)		15		1		17
Upfront GWP	33		8		2		—		43		23		—		—		—		23
Plus: Installment premiums and other(2)	1		2		3		14		20		7		2		12		2		23
Total PVP	$	34	$	10	$	5	$	14	$	63	$	30	$	2	$	12	$	2	$	46

Gross par written	$	5,387	$	665	$	551	$	834	$	7,437	$	5,098	$	61	$	267	$	522	$	5,948


	Nine Months Ended										Nine Months Ended
	September 30, 2024										September 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	$	182	$	34	$	19	$	19	$	254	$	129	$	40	$	48	$	4	$	221
Less: Installment GWP and other GAAP adjustments (1)	99		14		16		19		148		55		37		48		4		144
Upfront GWP	83		20		3		—		106		74		3		—		—		77
Plus: Installment premiums and other(2)	110		24		21		20		175		55		35		42		40		172
Total PVP	$	193	$	44	$	24	$	20	$	281	$	129	$	38	$	42	$	40	$	249

Gross par written	$	15,339	$	2,237	$	1,245	$	1,782	$	20,603	$	15,752	$	670	$	1,101	$	2,762	$	20,285

(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. Nine 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.

Assured Guaranty Ltd.

Gross Par Written (1 of 2)

(dollars in millions)

Gross Par Written by Asset Type


	Three Months Ended September 30,
	2024		2023
Sector:
U.S. public finance:
General obligation	$	1,916	$	1,445
Municipal utilities	1,183		1,180
Tax backed	1,104		1,105
Transportation	459		815
Healthcare	436		242
Housing revenue	158		217
Higher education	127		94
Other public finance	4		—
Total U.S. public finance	5,387		5,098
Non-U.S. public finance:
Infrastructure finance	380		—
Regulated utilities	285		61
Total non-U.S. public finance	665		61
Total public finance	6,052		5,159

U.S. structured finance:
Structured credit	275		—
Insurance securitizations	200		250
Commercial mortgage-backed securities	25		—
Subscription finance facilities	21		17
Pooled corporate obligations	12		—
Other structured finance	18		—
Total U.S. structured finance	551		267
Non-U.S. structured finance:
Subscription finance facilities	162		34
Pooled corporate obligations	50		488
Other structured finance	622		—
Total non-U.S. structured finance	834		522
Total structured finance	1,385		789

Total gross par written	$	7,437	$	5,948

Please refer to the Glossary for a description of sectors.

Assured Guaranty Ltd.

Gross Par Written (2 of 2)

(dollars in millions)

Gross Par Written by Asset Type


	Nine Months Ended September 30,
	2024		2023

Sector:
U.S. public finance:
General obligation	$	5,735	$	6,114
Transportation	3,704		1,039
Tax backed	2,560		1,670
Municipal utilities	2,012		3,895
Healthcare	774		706
Higher education	372		299
Housing revenue	158		217
Infrastructure finance	—		1,785
Other public finance	24		27
Total U.S. public finance	15,339		15,752
Non-U.S. public finance:
Regulated utilities	1,803		417
Infrastructure finance	434		—
Sovereign and sub-sovereign	—		253
Total non-U.S. public finance	2,237		670
Total public finance	17,576		16,422

U.S. structured finance:
Insurance securitizations	450		750
Structured credit	285		275
Pooled corporate obligations	218		—
Subscription finance facilities	213		76
Commercial mortgage-backed securities	25		—
Other structured finance	54		—
Total U.S. structured finance	1,245		1,101
Non-U.S. structured finance:
Subscription finance facilities	802		856
Pooled corporate obligations	358		488
Other structured finance	622		1,418
Total non-U.S. structured finance	1,782		2,762
Total structured finance	3,027		3,863

Total gross par written	$	20,603	$	20,285

Please refer to the Glossary for a description of sectors.

Assured Guaranty Ltd.

New Business Production by Quarter

(dollars in millions)


															Nine Months
	1Q-23		2Q-23		3Q-23		4Q-23		1Q-24		2Q-24		3Q-24		2024		2023
PVP:
Public finance - U.S.	$	22	$	77	$	30	$	83	$	43	$	116	$	34	$	193	$	129
Public finance - non-U.S.	30		6		2		45		1		33		10		44		38
Structured finance - U.S.	27		3		12		26		15		4		5		24		42
Structured finance - non-U.S.	33		5		2		1		4		2		14		20		40
Total PVP (1)	$	112	$	91	$	46	$	155	$	63	$	155	$	63	$	281	$	249

Reconciliation of GWP to PVP:

Total GWP	$	86	$	95	$	40	$	136	$	61	$	132	$	61	$	254	$	221
Less: Installment GWP and other GAAP adjustments	69		58		17		103		28		102		18		148		144
Upfront GWP	17		37		23		33		33		30		43		106		77
Plus: Installment premiums and other(2)	95		54		23		122		30		125		20		175		172
Total PVP	$	112	$	91	$	46	$	155	$	63	$	155	$	63	$	281	$	249

Gross par written:
Public finance - U.S.	$	2,907	$	7,747	$	5,098	$	6,712	$	2,909	$	7,043	$	5,387	$	15,339	$	15,752
Public finance - non-U.S.	360		249		61		874		—		1,572		665		2,237		670
Structured finance - U.S.	582		252		267		785		480		214		551		1,245		1,101
Structured finance - non-U.S. (1)	1,514		726		522		304		354		594		834		1,782		2,762
Total	$	5,363	$	8,974	$	5,948	$	8,675	$	3,743	$	9,423	$	7,437	$	20,603	$	20,285

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. Nine 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.

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 September 30)			$	411,637
2024 4Q	$	4,981	406,656		$	74	$	8	$	1	$	3
2025	23,229		383,427		281		31		3		10
2026	22,087		361,340		263		29		3		9
2027	19,797		341,543		247		27		2		8
2028	19,742		321,801		234		25		2		7

2024-2028	89,836		321,801		1,099		120		11		37
2029-2033	97,836		223,965		951		105		11		29
2034-2038	75,327		148,638		628		77		9		23
2039-2043	54,987		93,651		400		51		—		14
After 2043	93,651		—		543		62		—		8
Total	$	411,637			$	3,621	$	415	$	31	$	111

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	$	3,621	$	30
Specialty	6		—
Net deferred premium revenue	3,627		30
Contra-paid	(24)		(3)
Net unearned premium reserve	$	3,603	$	27

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

Assured Guaranty Ltd.

Roll Forward of Net Expected Loss and LAE to be Paid

(dollars in millions)

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


	Net Expected Loss to be Paid (Recovered) as of June 30, 2024		Net Economic Loss Development (Benefit) During 3Q-24		Net (Paid) Recovered Losses During 3Q-24		Net Expected Loss to be Paid (Recovered) as of September 30, 2024
Public Finance:
U.S. public finance	$	374	$	(23)	$	(113)	$	238
Non-U.S public finance	37		46		(2)		81
Public Finance	411		23		(115)		319

Structured Finance:
U.S. RMBS	—		(56)		10		(46)
Other structured finance	36		(1)		(2)		33
Structured Finance	36		(57)		8		(13)
Total	$	447	$	(34)	$	(107)	$	306

Roll Forward of Net Expected Loss and LAE to be Paid (1) for the Nine Months Ended September 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 September 30, 2024
Public Finance:
U.S. public finance	$	398	$	(14)	$	(146)	$	238
Non-U.S public finance	20		63		(2)		81
Public Finance	418		49		(148)		319

Structured Finance:
U.S. RMBS	43		(69)		(20)		(46)
Other structured finance	44		—		(11)		33
Structured Finance	87		(69)		(31)		(13)
Total	$	505	$	(20)	$	(179)	$	306

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

Assured Guaranty Ltd.

Loss Measures

As of September 30, 2024

(dollars in millions)


			Three Months Ended September 30, 2024						Nine Months Ended September 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	$	3,132	$	(11)	$	(11)	$	(8)	$	(12)	$	(12)	$	(4)
Non-U.S public finance	6,607		—		—		—		—		—		—
Public finance	9,739		(11)		(11)		(8)		(12)		(12)		(4)
Structured finance:
U.S. RMBS	831		(39)		(41)		(44)		(42)		(45)		(48)
Other structured finance	80		(1)		(1)		(1)		—		3		3
Structured finance	911		(40)		(42)		(45)		(42)		(42)		(45)
Total	$	10,650	$	(51)	$	(53)	$	(53)	$	(54)	$	(54)	$	(49)

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

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

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

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

Assured Guaranty Ltd.

Net Expected Loss to be Expensed (1)

As of September 30, 2024

(dollars in millions)


	GAAP

2024 (as of September 30)
2024 4Q	$	3
2025	12
2026	12
2027	17
2028	18
2024-2028	62
2029-2033	90
2034-2038	48
2039-2043	13
After 2043	39
Total expected present value of net expected loss to be expensed(2)	252
Future accretion	(76)
Total expected future loss and LAE	$	176

1) The present value of net expected loss to be paid is discounted using risk free rates ranging from 3.52% to 4.96% for U.S. dollar denominated obligations.

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

Assured Guaranty Ltd.

Financial Guaranty Profile (1 of 3)

(dollars in millions)

Net Par Outstanding by Asset Type


	As of September 30, 2024		As of December 31, 2023
U.S. public finance:
General obligation	$	76,349		$	74,609
Tax backed	33,297			33,060
Municipal utilities	28,996			29,300
Transportation	25,312			22,052
Healthcare	13,081			12,604
Infrastructure finance	8,687			8,796
Higher education	7,405			7,250
Housing revenue	1,278			1,152
Investor-owned utilities	325			329
Renewable energy	167			167
Other public finance	940			970
Total U.S. public finance	195,837			190,289
Non-U.S public finance:
Regulated utilities	23,474			20,545
Infrastructure finance	15,800			15,430
Sovereign and sub-sovereign	9,889			9,869
Renewable energy	1,739			2,030
Pooled infrastructure	1,181			1,133
Total non-U.S. public finance	52,083			49,007
Total public finance	247,920			239,296

U.S. structured finance:
Insurance securitizations	4,665			4,379
RMBS	1,546			1,774
Pooled corporate obligations	689			631
Financial products	478			464
Subscription finance facilities	241			178
Consumer receivables	233			314
Other structured finance	865			892
Total U.S. structured finance	8,717			8,632
Non-U.S. structured finance:
Subscription finance facilities	767			444
Pooled corporate obligations	452			425
RMBS	243			252
Other structured finance	97			104
Total non-U.S. structured finance	1,559			1,225
Total structured finance	10,276			9,857

Total net par outstanding	$	258,196		$	249,153

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

Assured Guaranty Ltd.

Financial Guaranty Profile (2 of 3)

As of September 30, 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	$	26	—	%	$	2,143	4.1	%	$	657	7.5	%	$	460	29.5	%	$	3,286	1.3	%
AA	17,823		9.1		3,010		5.8		5,602		64.3		110		7.1		26,545		10.3
A	107,205		54.7		13,961		26.8		945		10.8		900		57.7		123,011		47.6
BBB	67,651		34.6		26,362		50.6		602		6.9		89		5.7		94,704		36.7
BIG	3,132		1.6		6,607		12.7		911		10.5		—		—		10,650		4.1
Net Par Outstanding (1)	$	195,837	100.0	%	$	52,083	100.0	%	$	8,717	100.0	%	$	1,559	100.0	%	$	258,196	100.0	%

1) As of September 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.

Assured Guaranty Ltd.

Financial Guaranty Profile (3 of 3)

As of September 30, 2024

(dollars in millions)

Geographic Distribution of Financial Guaranty Portfolio


	Net Par Outstanding		% of Total
U.S.:
U.S. public finance:
California	$	36,060	14.0	%
Texas	24,602		9.5
New York	18,495		7.2
Pennsylvania	17,173		6.6
Illinois	12,958		5.0
Florida	11,003		4.2
New Jersey	8,945		3.4
Michigan	4,845		1.9
Louisiana	4,800		1.9
Colorado	3,584		1.4
Other	53,372		20.7
Total U.S. public finance	195,837		75.8
U.S. structured finance (multiple states)	8,717		3.4
Total U.S.	204,554		79.2

Non-U.S.:
United Kingdom	43,189		16.7
Spain	1,665		0.7
France	1,579		0.6
Canada	1,361		0.5
Australia	1,326		0.5
Other	4,522		1.8
Total non-U.S.	53,642		20.8

Total net par outstanding	$	258,196	100.0	%

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

Assured Guaranty Ltd.

Specialty Business

(dollars in millions)


	As of September 30, 2024				As of December 31, 2023
	Gross Exposure (2)		Net Exposure (2)		Gross Exposure (2)		Net Exposure (2)
Insurance securitizations (1)	$	1,454	$	1,124	$	1,370	$	1,043
Diversified real estate	1,509		1,509		1,569		1,569
Pooled corporate obligations	694		694		488		488
Aircraft residual value insurance	308		176		355		200

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

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 September 30, 2024 and December 31, 2023.

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 September 30)			$	247,920											$	10,276
2024 4Q	$	1,987	245,933		$	7	$	57	$	(7)	$	107	$	164	10,112
2025	11,493		234,440		114		196		32		530		872		9,240
2026	10,838		223,602		246		180		39		571		1,036		8,204
2027	9,154		214,448		397		146		(9)		375		909		7,295
2028	9,449		204,999		233		151		54		567		1,005		6,290

2024-2028	42,921		204,999		997		730		109		2,150		3,986		6,290
2029-2033	54,674		150,325		106		429		284		3,077		3,896		2,394
2034-2038	46,439		103,886		38		380		69		544		1,031		1,363
2039-2043	35,257		68,629		—		—		16		765		781		582
After 2043	68,629		—		—		7		—		575		582		—
Total	$	247,920			$	1,141	$	1,546	$	478	$	7,111	$	10,276

Net par outstanding (end of period)


	1Q-23		2Q-23		3Q-23		4Q-23		1Q-24		2Q-24		3Q-24
Public finance - U.S.	$	180,837	$	186,323	$	185,973	$	190,289	$	189,895	$	194,593	$	195,837
Public finance - non-U.S.	45,909		47,658		45,748		49,007		48,237		49,583		52,083
Structured finance - U.S.	8,660		8,827		8,975		8,632		8,643		8,759		8,717
Structured finance - non-U.S.	977		1,205		1,137		1,225		1,369		1,461		1,559
Net par outstanding	$	236,383	$	244,013	$	241,833	$	249,153	$	248,144	$	254,396	$	258,196

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

Assured Guaranty Ltd.

Puerto Rico Profile (1 of 2)

As of September 30, 2024

(dollars in millions)

Exposure to Puerto Rico


	Par Outstanding				Debt Service Outstanding
	Gross		Net		Gross		Net
Total	$	865	$	851	$	1,136	$	1,119

Exposure to Puerto Rico by Company


	Net Par Outstanding
	AG		AG Re		Total Net Par Outstanding		Gross Par Outstanding
Defaulted Puerto Rico Exposures
PREPA	$	377	$	154	$	531	$	539
Total Defaulted	377		154		531		539
Resolved Puerto Rico Exposures (1)
Puerto Rico Highways and Transportation Authority (PRHTA) (Transportation revenue)	130		74		204		204
PRHTA (Highway revenue)	23		1		24		24
Total Resolved	153		75		228		228
Non-Defaulting Puerto Rico Exposures(2)
Puerto Rico Municipal Finance Agency (MFA)	76		15		91		97
University of Puerto Rico (U of PR)	1		—		1		1
Total Non-Defaulting	77		15		92		98
Total exposure to Puerto Rico	$	607	$	244	$	851	$	865

1) 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 general obligation bonds (New GO Bonds), new bonds backed by toll revenues (Toll Bonds, and together with New GO Bonds, New Recovery Bonds) and CVIs. All of the Toll Bonds have been sold or redeemed; therefore, the remaining amounts owed for the 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.

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

Assured Guaranty Ltd.

Puerto Rico Profile (2 of 2)

As of September 30, 2024

(dollars in millions)

Amortization Schedule of Net Par Outstanding of Puerto Rico


	2024 (4Q)		2025 (1Q)		2025 (2Q)		2025 (3Q)		2025 (4Q)		2026		2027		2028		2029		2030		2031		2032		2033		2034 - 2038		2039 - 2041		Total
Defaulted Puerto Rico Exposures
PREPA	$	—	$	—	$	—	$	68	$	—	$	105	$	105	$	68	$	39	$	44	$	75	$	14	$	4	$	9	$	—	$	531
Total Defaulted	—		—		—		68		—		105		105		68		39		44		75		14		4		9		—		531
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		—		35		15		13		7		5		—		—		—		—		—		91
U of PR	—		—		—		—		—		—		—		—		—		—		—		—		1		—		—		1
Total Non-Defaulting	—		—		—		16		—		35		15		13		7		5		—		—		1		—		—		92

Total	$	—	$	—	$	—	$	84	$	—	$	140	$	120	$	81	$	46	$	49	$	75	$	19	$	8	$	132	$	97	$	851

Amortization Schedule of Net Debt Service Outstanding of Puerto Rico


	2024 (4Q)		2025 (1Q)		2025 (2Q)		2025 (3Q)		2025 (4Q)		2026		2027		2028		2029		2030		2031		2032		2033		2034 - 2038		2039 - 2041		Total
Defaulted Puerto Rico Exposures
PREPA	$	3	$	10	$	2	$	78	$	2	$	126	$	122	$	80	$	47	$	52	$	81	$	15	$	5	$	9	$	—	$	632
Total Defaulted	3		10		2		78		2		126		122		80		47		52		81		15		5		9		—		632
Resolved Puerto Rico Exposures
PRHTA (Transportation revenue)	—		5		—		6		—		11		11		11		11		11		10		11		10		143		106		346
PRHTA (Highway revenue)	—		1		—		—		—		1		1		1		2		1		1		6		5		18		—		37
Total Resolved	—		6		—		6		—		12		12		12		13		12		11		17		15		161		106		383
Non-Defaulting Puerto Rico Exposures
MFA	—		2		—		18		—		39		17		14		7		6		—		—		—		—		—		103
U of PR	—		—		—		—		—		—		—		—		—		—		—		—		1		—		—		1
Total Non-Defaulting	—		2		—		18		—		39		17		14		7		6		—		—		1		—		—		104

Total	$	3	$	18	$	2	$	102	$	2	$	177	$	151	$	106	$	67	$	70	$	92	$	32	$	21	$	170	$	106	$	1,119

Assured Guaranty Ltd.

Direct Pooled Corporate Obligations Profile

As of September 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	$	667	58.4	%	41.0	%	48.0	%
AA	125		11.0		37.0		36.9
A	196		17.2		60.1		46.2
BBB	153		13.4		35.5		36.6
Total exposures	$	1,141	100.0	%	43.1	%	45.0	%

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	$	202	17.7	%	42.4	%	66.9	%	7
U.S. mortgage and real estate investment trusts	53		4.6		48.4		65.1		3
CLOs	886		77.7		42.9		38.7		10
Total exposures	$	1,141	100.0	%	43.1	%	45.0	%	20

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (1 of 3)

(dollars in millions)

BIG Exposures by Asset Exposure Type


	As of
	September 30,		December 31,
	2024		2023
U.S. public finance:
Healthcare	$	1,200	$	1,079
Municipal utilities	813		914
Tax backed	340		503
General obligation	306		286
Transportation	106		109
Higher education	96		100
Housing revenue	67		70
Investor-owned utilities	47		47
Infrastructure finance	45		45
Other public finance	112		118
Total U.S. public finance	3,132		3,271
Non-U.S. public finance:
Regulated utilities	4,792		—
Renewable energy	955		271
Infrastructure finance	820		815
Sovereign and sub-sovereign	40		45
Total non-U.S. public finance	6,607		1,131
Total public finance	9,739		4,402

U.S. structured finance:
RMBS	831		941
Insurance securitizations	40		40
Consumer receivables	40		52
Other structured finance	—		2
Total U.S. structured finance	911		1,035
Non-U.S. structured finance:
Total non-U.S. structured finance	—		—
Total structured finance	911		1,035
Total BIG net par outstanding	$	10,650	$	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.

Assured Guaranty Ltd.

Below Investment Grade Exposures (2 of 3)

(dollars in millions)

Net Par Outstanding by BIG Surveillance Category (1)


	As of
	September 30,		December 31,
	2024		2023
BIG Category 1
U.S. public finance	$	1,342	$	1,257
Non-U.S. public finance	6,052		1,131
U.S. structured finance	91		22
Non-U.S. structured finance	—		—
Total BIG Category 1	7,485		2,410
BIG Category 2
U.S. public finance	944		926
Non-U.S. public finance	555		—
U.S. structured finance	51		63
Non-U.S. structured finance	—		—
Total BIG Category 2	1,550		989
BIG Category 3
U.S. public finance	846		1,088
Non-U.S. public finance	—		—
U.S. structured finance	769		950
Non-U.S. structured finance	—		—
Total BIG Category 3	1,615		2,038
BIG Total	$	10,650	$	5,437

1) The Company assigns each BIG exposure to one of the three BIG surveillance categories below, which generally represent the following: BIG 1: Below-investment-grade exposures for which there are possible losses, on a present value basis, and the aggregate probability weighting of scenarios with losses is less than 50%. BIG 2: Below-investment-grade exposures for which there are possible losses, on a present value basis, and the aggregate probability weighting of scenarios with losses is at least 50%, but for which no claims (other than claims that the Company expects to be reimbursed within one year) have yet been paid. BIG 3: Below-investment-grade exposures for which losses are expected, on a present value basis, and the aggregate probability weighting of scenarios with losses is at least 50%, and for which claims have been paid that the Company does not expect to be reimbursed within one year.

For purposes of classifying BIG exposures into one of the three BIG categories, the Company calculates the present value of projected claim payments and recoveries using the pre-tax book yield of the relevant insurance subsidiary’s investment portfolio as the applicable discount rate.

For financial statement measurement purposes, the Company uses risk-free rates (as determined each quarter) for discounting, rather than pre-tax book yield of the investment portfolio, to calculate the expected losses to be paid. Expected losses to be paid (recovered) are based on probability weighted scenarios and serve as the basis for the loss reserves reported in accordance with U.S. GAAP.

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (3 of 3)

As of September 30, 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

Puerto Rico Electric Power Authority

531

CCC

Palomar Health

375

BB+

Puerto Rico Highways & Transportation Authority

228

CCC

Jackson Water & Sewer System, Mississippi

151

Puerto Rico Municipal Finance Agency

CCC

New Jersey City University

Stockton City, California

Harrisburg Parking System, Pennsylvania

San Jacinto River Authority (GRP Project), Texas

BB+

Indiana University of Pennsylvania, Pennsylvania

CCC

Total U.S. public finance

2,561

Non-U.S. public finance:

Southern Water Services Limited

2,544

Thames Water Utilities Finance Plc

2,248

Coventry & Rugby Hospital Company (Walsgrave Hospital) Plc

555

B+

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

291

BB+

Hypersol Solar Inversiones, S.A.U.

284

BB+

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

264

B+

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

123

BB+

Q Energy - Phase IV - Anselma Issuer, S.A.

117

BB+

Road Management Services PLC (A13 Highway)

104

B+

Total non-U.S. public finance

6,530

Total public finance

9,091

U.S. structured finance:

RMBS:

Option One 2007-FXD2

15.9%

Option One Mortgage Loan Trust 2007-HL1

CCC

21.4%

Argent Securities Inc. 2005-W4

CCC

9.0%

Nomura Asset Accept. Corp. 2007-1

CCC

16.0%

Total RMBS-U.S. structured finance

342

Total non-U.S. structured finance

—

Total structured finance

342

Total

9,433

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

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

Assured Guaranty Ltd.

Largest Exposures by Sector (1 of 3)

As of September 30, 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)

2,387

BBB

Pennsylvania (Commonwealth of)

2,148

BBB+

Metro Washington Airports Authority (Dulles Toll Road)

1,653

BBB+

Lower Colorado River Authority

1,642

JFK New Terminal One, New York

1,600

BBB-

Alameda Corridor Transportation Authority, California

1,360

BBB

New York Power Authority

1,352

AA-

New York Metropolitan Transportation Authority

1,344

A-

North Texas Tollway Authority

1,339

A+

Foothill/Eastern Transportation Corridor Agency, California

1,265

BBB+

South Carolina Public Service Authority - Santee Cooper

1,157

BBB

Brightline Trains Florida LLC

1,133

BBB-

Central Florida Expressway Authority, Florida

1,054

A+

North Carolina Turnpike Authority

1,044

BBB

CommonSpirit Health, Illinois

1,000

A-

San Joaquin Hills Transportation, California

985

BBB

Yankee Stadium LLC New York City Industrial Development Authority

926

BBB

Municipal Electric Authority of Georgia

899

BBB+

Illinois (State of)

882

BBB

San Diego Family Housing, LLC

880

Philadelphia School District, Pennsylvania

869

A-

Chicago Water, Illinois

864

BBB+

Metropolitan Pier and Exposition Authority, Illinois

841

BBB-

Montefiore Medical Center, New York

835

BBB-

ProMedica Healthcare Obligated Group, Ohio

820

Dade County Seaport, Florida

795

A-

Pittsburgh Water & Sewer, Pennsylvania

787

A-

Houston Airport System, Texas

767

Chicago Public Schools, Illinois

748

BBB-

California (State of)

746

AA-

Maine (State of)

712

Nassau County, New York

686

AA-

Tucson (City of), Arizona

679

A+

Pennsylvania Turnpike Commission

663

A-

Wisconsin (State of)

659

Massachusetts (Commonwealth of) Water Resources

656

Clark County School District, Nevada

642

A-

Chicago-O'Hare International Airport, Illinois

641

A-

Philadelphia (City of), Pennsylvania

640

A-

Anaheim (City of), California

639

A-

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

637

BBB-

New York (City of), New York

635

AA-

Pittsburgh International Airport, Pennsylvania

617

A-

Chicago (City of) Wastewater Transmission, Illinois

603

BBB+

Private Transaction

592

BBB-

Mets Queens Ballpark

590

BBB

Harris County - Houston Sports Authority, Texas

559

BBB

Palomar Health

559

BBB-

Philadelphia Water & Wastewater, Pennsylvania

554

Los Angeles International Airport (Customer Facility Charge), California

546

Total top 50 U.S. public finance exposures

46,631

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

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

Assured Guaranty Ltd.

Largest Exposures by Sector (2 of 3)

As of September 30, 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

Private US Insurance Securitization

1,100

AA-

Private US Insurance Securitization

940

AA-

Private US Insurance Securitization

457

AA-

Private US Insurance Securitization

410

AA-

Private US Insurance Securitization

395

AA-

SLM Student Loan Trust 2007-A

132

Private Middle Market CLO

129

AAA

Private Middle Market CLO

125

BBB

Private US Insurance Securitization

121

Private Middle Market CLO

120

CWABS 2007-4

101

BBB

Private Balloon Note Guarantee

100

Option One 2007-FXD2

Option One Mortgage Loan Trust 2007-HL1

CCC

Argent Securities Inc. 2005-W4

CCC

Private Subscription Finance Transaction

A-

Private US Insurance Securitization

DB Master Finance LLC

BBB

CAPCO - Excess SIPC Excess of Loss Reinsurance

BBB

Private Balloon Note Guarantee

BBB

Private Subscription Finance Transaction

Private Other Structured Finance Transaction

A-

Nomura Asset Accept. Corp. 2007-1

CCC

Private Balloon Note Guarantee

Total top 25 U.S. structured finance exposures

6,088

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

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

Assured Guaranty Ltd.

Largest Exposures by Sector (3 of 3)

As of September 30, 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

2,544

Thames Water Utilities Finance Plc

United Kingdom

2,248

Southern Gas Networks PLC

United Kingdom

2,193

BBB+

Dwr Cymru Financing Limited

United Kingdom

1,943

A-

Anglian Water Services Financing PLC

United Kingdom

1,842

A-

National Grid Gas PLC

United Kingdom

1,739

A-

Yorkshire Water Services Finance Plc

United Kingdom

1,323

BBB

Channel Link Enterprises Finance PLC

France, United Kingdom

1,302

BBB

Quebec Province

Canada

1,114

AA-

British Broadcasting Corporation (BBC)

United Kingdom

1,042

A+

Severn Trent Water Utilities Finance Plc

United Kingdom

1,041

BBB+

Capital Hospitals (Issuer) PLC

United Kingdom

1,028

BBB-

Verbund, Lease and Sublease of Hydro-Electric Equipment

Austria

950

AAA

United Utilities Water PLC

United Kingdom

943

A-

Heathrow Funding Limited

United Kingdom

931

BBB

Wessex Water Services Finance Plc

United Kingdom

806

BBB+

National Grid Company PLC

United Kingdom

778

BBB+

Aspire Defence Finance plc

United Kingdom

750

BBB+

Verdun Participations 2 S.A.S.

France

722

BBB-

South West Water UK

United Kingdom

666

BBB+

South East Water

United Kingdom

624

BBB

Private International Sub-Sovereign Transaction

United Kingdom

581

A+

Campania Region - Healthcare receivable

Italy

564

BBB-

Coventry & Rugby Hospital Company (Walsgrave Hospital) Plc

United Kingdom

555

B+

University of Sussex

United Kingdom

533

BBB

NewHospitals (St Helens & Knowsley) Finance PLC

United Kingdom

532

BBB+

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

United Kingdom

510

BBB-

Central Nottinghamshire Hospitals PLC

United Kingdom

507

BBB-

Derby Healthcare PLC

United Kingdom

486

BBB

Sydney Airport Finance Company

Australia

484

BBB+

The Hospital Company (QAH Portsmouth) Limited

United Kingdom

469

BBB

Envestra Limited

Australia

439

A-

Sutton and East Surrey Water plc

United Kingdom

417

BBB

International Infrastructure Pool

United Kingdom

394

AAA

International Infrastructure Pool

United Kingdom

394

AAA

International Infrastructure Pool

United Kingdom

394

AAA

University of Essex, United Kingdom

United Kingdom

391

BBB+

South Lanarkshire Schools

United Kingdom

373

BBB

Western Power Distribution (South West) PLC

United Kingdom

360

BBB+

Northumbrian Water PLC

United Kingdom

340

BBB+

Private International Sub-Sovereign Transaction

United Kingdom

332

Catalyst Healthcare (Romford) Financing PLC

United Kingdom

332

BBB

Comision Federal De Electricidad (CFE) El Cajon Project

Mexico

313

BBB-

Japan Expressway Holding and Debt Repayment Agency

Japan

307

A+

Western Power Distribution (South Wales) PLC

United Kingdom

301

BBB+

Portsmouth Water, United Kingdom

United Kingdom

301

BBB

Bakethin Finance Plc

United Kingdom

299

A-

South Staffordshire Water PLC

United Kingdom

294

A-

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

Spain

291

BB+

Private International Sub-Sovereign Transaction

United Kingdom

288

Total top 50 non-U.S. exposures

38,310

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

Asset Management Segment

Assured Guaranty Ltd.

Asset Management Segment Results

(dollars in millions)


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2024		2023		2024		2023

Segment revenues	$	2	$	—	$	10	$	71
Segment expenses	2		—		6		75
Equity in earnings (losses) of investees	4		—		2		—
Segment adjusted operating income (loss) before income taxes	4		—		6		(4)
Less: Provision (benefit) for income taxes	—		—		1		(1)
Segment adjusted operating income (loss)	$	4	$	—	$	5	$	(3)

Corporate Division

Assured Guaranty Ltd.

Corporate Division Results

(dollars in millions)


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2024		2023		2024		2023

Revenues
Gain on sale of asset management subsidiaries	$	—	$	255	$	—	$	255
Other	4		4		13		8
Total revenues	4		259		13		263

Expenses
Interest expense	24		26		75		73
Employee compensation and benefit expenses	7		10		25		28
Other operating expenses	6		21		28		64
Total expenses	37		57		128		165
Adjusted operating income (loss) before income taxes	(33)		202		(115)		98
Less: Provision (benefit) for income taxes	(4)		47		(14)		37
Adjusted operating income (loss)	$	(29)	$	155	$	(101)	$	61

Other

Assured Guaranty Ltd.

Other Results (1 of 2)

(dollars in millions)


	Three Months Ended September 30, 2024
	FG VIEs		CIVs		Intersegment Eliminations and Reclassifications		Total Other
Revenues
Net earned premiums	$	(1)	$	—	$	—	$	(1)
Net investment income	(1)		—		(2)		(3)
Fair value gains (losses) on FG VIEs	(7)		—		—		(7)
Fair value gains (losses) on CIVs	—		21		—		21
Other income (loss)	(1)		(1)		—		(2)
Total revenues	(10)		20		(2)		8
Expenses

Interest expense	—		—		(2)		(2)
Total expenses	—		—		(2)		(2)
Equity in earnings (losses) of investees	—		(14)		—		(14)
Adjusted operating income (loss) before income taxes	(10)		6		—		(4)
Less: Provision (benefit) for income taxes	(2)		—		—		(2)
Less: Noncontrolling interests	—		5		—		5
Adjusted operating income (loss)	$	(8)	$	1	$	—	$	(7)


	Three Months Ended September 30, 2023
	FG VIEs		CIVs		Intersegment Eliminations and Reclassifications		Total Other
Revenues
Net earned premiums	$	(1)	$	—	$	—	$	(1)
Net investment income	(1)		—		(2)		(3)

Fair value gains (losses) on FG VIEs	6		—		—		6
Fair value gains (losses) on CIVs	—		(4)		—		(4)

Other income (loss)	(2)		—		—		(2)
Total revenues	2		(4)		(2)		(4)
Expenses
Loss expense (benefit)	(1)		—		—		(1)
Interest expense	—		—		(2)		(2)

Total expenses	(1)		—		(2)		(3)
Equity in earnings (losses) of investees	—		(7)		—		(7)
Adjusted operating income (loss) before income taxes	3		(11)		—		(8)
Less: Provision (benefit) for income taxes	1		(3)		—		(2)
Less: Noncontrolling interests	—		2		—		2
Adjusted operating income (loss)	$	2	$	(10)	$	—	$	(8)

Assured Guaranty Ltd.

Other Results (2 of 2)

(dollars in millions)


	Nine Months Ended September 30, 2024
	FG VIEs		CIVs		Intersegment Eliminations and Reclassifications		Total Other
	(in millions)
Revenues
Net earned premiums	$	(2)	$	—	$	—	$	(2)
Net investment income	(2)		—		(7)		(9)

Fair value gains (losses) on FG VIEs	(11)		—		—		(11)
Fair value gains (losses) on CIVs	—		54		—		54

Other income (loss)	(2)		(2)		—		(4)
Total revenues	(17)		52		(7)		28
Expenses
Loss expense (benefit)	(5)		—		—		(5)
Interest expense	—		—		(7)		(7)

Total expenses	(5)		—		(7)		(12)
Equity in earnings (losses) of investees	—		(38)		—		(38)
Adjusted operating income (loss) before income taxes	(12)		14		—		2
Less: Provision (benefit) for income taxes	(2)		—		—		(2)
Less: Noncontrolling interests	—		12		—		12
Adjusted operating income (loss)	$	(10)	$	2	$	—	$	(8)


	Nine Months Ended September 30, 2023
	FG VIEs		CIVs		Intersegment Eliminations and Reclassifications		Total Other
	(in millions)
Revenues
Net earned premiums	$	(3)	$	—	$	—	$	(3)
Net investment income	(2)		—		(7)		(9)
Asset management fees	—		(25)		14		(11)
Fair value gains (losses) on FG VIEs	(2)		—		—		(2)
Fair value gains (losses) on CIVs	—		60		—		60

Foreign exchange gains (losses) on remeasurement	—		(1)		—		(1)
Other income (loss)	(3)		(3)		—		(6)
Total revenues	(10)		31		7		28
Expenses
Loss expense (benefit)	6		—		—		6
Interest expense	—		—		(7)		(7)
Other operating expenses	—		(1)		14		13
Total expenses	6		(1)		7		12
Equity in earnings (losses) of investees	—		(35)		—		(35)
Adjusted operating income (loss) before income taxes	(16)		(3)		—		(19)
Less: Provision (benefit) for income taxes	(3)		(5)		—		(8)
Less: Noncontrolling interests	—		19		—		19
Adjusted operating income (loss)	$	(13)	$	(17)	$	—	$	(30)

Summary

Assured Guaranty Ltd.

Summary of Financial and Statistical Data

(dollars in millions, except per share amounts)


	As of and for the Nine Months Ended September 30, 2024			Year Ended December 31,
				2023			2022			2021			2020
GAAP Summary Statements of Operations Data
Net earned premiums	$	300		$	344		$	494		$	414		$	485
Net investment income	247			365			269			269			297
Total expenses	305			733			536			465			729
Income (loss) before income taxes	458			640			187			383			386
Net income (loss) attributable to AGL	358			739			124			389			362
Net income (loss) attributable to AGL per diluted share	6.44			12.30			1.92			5.23			4.19

GAAP Summary Balance Sheet Data
Total investments and cash	$	8,993		$	9,212		$	8,472		$	9,728		$	10,000
Total assets	12,291			12,539			16,843			18,208			15,334
Unearned premium reserve	3,631			3,658			3,620			3,716			3,735
Loss and LAE reserve	253			376			296			869			1,088
Long-term debt	1,698			1,694			1,675			1,673			1,224
Shareholders’ equity attributable to AGL	5,728			5,713			5,064			6,292			6,643
Shareholders’ equity attributable to AGL per share	111.09			101.63			85.80			93.19			85.66

Other Financial Information (GAAP Basis)
Financial guaranty:
Net debt service outstanding (end of period)	$	411,637		$	397,636		$	369,951		$	367,360		$	366,233
Gross debt service outstanding (end of period)	412,138			398,037			370,172			367,770			366,692
Net par outstanding (end of period)	258,196			249,153			233,258			236,392			234,153
Gross par outstanding (end of period)	258,677			249,535			233,438			236,765			234,571

Other Financial Information (Statutory Basis)(1)
Financial guaranty:
Net debt service outstanding (end of period)	$	410,985		$	396,448		$	366,883		$	362,013		$	360,392
Gross debt service outstanding (end of period)	411,486			396,849			367,103			362,423			360,852
Net par outstanding (end of period)	257,394			247,833			230,294			231,742			229,008
Gross par outstanding (end of period)	257,876			248,215			230,474			232,115			229,426

Claims-paying resources(2)
Policyholders' surplus	$	4,475		$	4,807		$	5,155		$	5,572		$	5,077
Contingency reserve	1,374			1,296			1,202			1,225			1,557
Qualified statutory capital	5,849			6,103			6,357			6,797			6,634
Unearned premium reserve and net deferred ceding commission income	2,970			2,955			2,941			2,972			2,983
Loss and LAE reserves	113			145			165			167			202
Total policyholders' surplus and reserves	8,932			9,203			9,463			9,936			9,819
Present value of installment premium	1,022			1,062			955			883			858
CCS and standby line of credit	400			400			400			400			400
Total claims-paying resources	$	10,354		$	10,665		$	10,818		$	11,219		$	11,077

Ratios:
Net exposure to qualified statutory capital	45		:1	41		:1	36		:1	34		:1	35		:1
Capital ratio	71		:1	66		:1	58		:1	53		:1	54		:1
Financial resources ratio	40		:1	37		:1	34		:1	32		:1	33		:1
Adjusted statutory net exposure to claims-paying resources	25		: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.	$	28,460		$	41,902		$	36,954		$	35,572		$	33,596
Public finance - non-U.S.	2,442			3,286			756			1,890			1,860
Structured finance - U.S.	1,261			2,130			1,120			1,319			508
Structured finance - non-U.S.	1,932			3,084			551			431			254
Total gross debt service written	$	34,095		$	50,402		$	39,381		$	39,212		$	36,218

Net debt service written	$	33,961		$	50,402		$	39,381		$	39,212		$	35,965
Net par written	20,469			28,960			22,047			26,656			23,012
Gross par written	20,603			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.

Assured Guaranty Ltd.

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

(dollars in millions, except per share amounts)


	Nine Months Ended September 30, 2024		Year Ended December 31,
			2023		2022		2021		2020
Total GWP	$	254	$	357	$	360	$	377	$	454
Less: Installment GWP and other GAAP adjustments (2)	148		247		145		158		191
Upfront GWP	106		110		215		219		263
Plus: Installment premiums and other (3)	175		294		160		142		127
Total PVP	$	281	$	404	$	375	$	361	$	390

PVP:
Public finance - U.S.	$	193	$	212	$	257	$	235	$	292
Public finance - non-U.S.	44		83		68		79		82
Structured finance - U.S.	24		68		43		42		14
Structured finance - non-U.S.	20		41		7		5		2
Total PVP	$	281	$	404	$	375	$	361	$	390

Adjusted operating income reconciliation:
Net income (loss) attributable to AGL	$	358	$	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	11		106		(18)		(64)		65
Fair value gains (losses) on CCS	(12)		(35)		24		(28)		(1)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	42		51		(110)		(21)		42
Total pre-tax adjustments	43		108		(160)		(98)		124
Less tax effect on pre-tax adjustments	(8)		(17)		17		17		(18)
Adjusted operating income (loss)	$	323	$	648	$	267	$	470	$	256

Adjusted operating income per diluted share reconciliation:
Net income (loss) attributable to AGL per diluted share	$	6.44	$	12.30	$	1.92	$	5.23	$	4.19
Less pre-tax adjustments:
Realized gains (losses) on investments	0.03		(0.23)		(0.87)		0.20		0.21
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	0.21		1.75		(0.27)		(0.85)		0.75
Fair value gains (losses) on CCS	(0.21)		(0.57)		0.37		(0.38)		(0.01)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.76		0.84		(1.72)		(0.29)		0.49
Total pre-tax adjustments	0.79		1.79		(2.49)		(1.32)		1.44
Tax effect on pre-tax adjustments	(0.15)		(0.27)		0.27		0.23		(0.22)
Adjusted operating income (loss) per diluted share	$	5.80	$	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.

Assured Guaranty Ltd.

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

(dollars in millions, except per share amounts)


	As of September 30, 2024		As of December 31,
			2023		2022		2021		2020
Adjusted book value reconciliation:
Shareholders’ equity attributable to AGL	$	5,728	$	5,713	$	5,064	$	6,292	$	6,643
Less pre-tax adjustments:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives	45		34		(71)		(54)		9
Fair value gains (losses) on CCS	1		13		47		23		52
Unrealized gain (loss) on investment portfolio	(211)		(361)		(523)		404		611
Less taxes	18		37		68		(72)		(116)
Adjusted operating shareholders' equity	5,875		5,990		5,543		5,991		6,087
Pre-tax adjustments:
Less: Deferred acquisition costs	172		161		147		131		119
Plus: Net present value of estimated net future revenue	189		199		157		160		182
Plus: Net deferred premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,370		3,436		3,428		3,402		3,355
Plus taxes	(680)		(699)		(602)		(599)		(597)
Adjusted book value	$	8,582	$	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 $-)	$	(5)	$	5	$	17	$	32	$	2
Adjusted book value (net of tax provision (benefit) of $(2), $0, $3, $3, and $(2))	$	(9)	$	—	$	11	$	23	$	(8)

Adjusted book value per share reconciliation:
Shareholders' equity attributable to AGL per share	$	111.09	$	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	0.02		0.22		0.80		0.34		0.66
Unrealized gain (loss) on investment portfolio	(4.10)		(6.40)		(8.86)		5.99		7.89
Less taxes	0.32		0.66		1.15		(1.07)		(1.50)
Adjusted operating shareholders' equity per share	113.96		106.54		93.92		88.73		78.49
Pre-tax adjustments:
Less: Deferred acquisition costs	3.33		2.87		2.48		1.95		1.54
Plus: Net present value of estimated net future revenue	3.67		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	65.35		61.12		58.10		50.40		43.27
Plus taxes	(13.18)		(12.41)		(10.22)		(8.88)		(7.70)
Adjusted book value per share	$	166.47	$	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	$	(0.08)	$	0.07	$	0.28	$	0.47	$	0.03
Adjusted book value per share	$	(0.17)	$	—	$	0.19	$	0.34	$	(0.10)

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

Glossary

Financial Guaranty Insurance

Net Par Outstanding and Internal Ratings

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

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

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

Performance Indicators

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

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

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

Sectors

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

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.

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, diversified real estate, insurance securitizations, pooled corporate obligations and aircraft residual value insurance (RVI) transactions.

Non-GAAP Financial Measures

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

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

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

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

•CIVs in which certain subsidiaries invest.

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

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

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

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

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

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

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

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

Non-GAAP Financial Measures (continued)

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

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

5) 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.

Non-GAAP Financial Measures (continued)

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

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

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

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

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

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

Assured Guaranty Ltd.

30 Woodbourne Avenue

Hamilton HM 08

Bermuda

(441) 279-5705

www.assuredguaranty.com

Contacts:

Equity and Fixed Income Investors:

Robert Tucker

Senior Managing Director, Investor Relations and Corporate Communications

(212) 339-0861

rtucker@agltd.com

Michael Walker

Managing Director, Fixed Income Investor Relations

(212) 261-5575

mwalker@agltd.com

Andre Thomas

Managing Director, Equity Investor Relations

(212) 339-3551

athomas@agltd.com

Media:

Ashweeta Durani

Director, Media Relations

(212) 408-6042

adurani@agltd.com