ASSURED GUARANTY LTD - FORM 8-K - EX-99.2 - AGL FINANCIAL SUPPLEMENT

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8-K - 8-K - ASSURED GUARANTY LTD	a8-kq32012aglpressreleases.htm
EX-99.1 - AGL EARNINGS RELEASE - ASSURED GUARANTY LTD	agl3q12pressrelease.htm

Assured Guaranty Ltd.

September 30, 2012

Financial Supplement



Table of Contents		Page
	Selected Financial Highlights	1
	Consolidated Statements of Operations (unaudited)	2
	Net Income (Loss) Reconciliation to Operating Income	3
	Consolidated Balance Sheets (unaudited)	5
	Adjusted Book Value	6
	Claims Paying Resources	7
	New Business Production	8
	Financial Guaranty Gross Par Written	9
	New Business Production by Quarter	10
	Available-for-Sale Investment Portfolio and Cash	11
	Estimated Net Exposure Amortization and Estimated Future Net Premium and Credit Derivative Revenues	12
	Expected Amortization of Net Par Outstanding	13
	Present Value of Financial Guaranty Insurance Net Expected Loss to be Expensed	14
	Financial Guaranty Profile	15
	Direct Pooled Corporate Obligations Profile	19
	Consolidated U.S. RMBS Profile	20
	Direct U.S. RMBS Profile	21
	Direct U.S. Commercial Real Estate Profile	23
	Direct U.S. Consumer Receivables Profile	24
	Below Investment Grade Exposures	25
	Largest Exposures by Sector	30
	Rollforward of Net Expected Loss and Loss Adjustment Expenses to be Paid	34
	Financial Guaranty Insurance and Credit Derivative U.S. RMBS Representations and Warranties Benefit Development	35
	Losses Incurred	36
	Effect of Adoption of New Accounting Guidance on Acquisition Costs	37
	Summary Financial and Statistical Data	38
	Glossary	39
	Non-GAAP Financial Measures	42

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 Securities and Exchange Commission (‘‘SEC’’), including its Annual Report on Form 10-K for the year ended December 31, 2011 and its Quarterly Reports on Form 10-Q for the quarterly periods ended March 31, 2012, June 30, 2012 and September 30, 2012.

Some amounts in this financial supplement may not add due to rounding.

Cautionary Statement Regarding Forward Looking Statements:

Any forward looking statements made in this supplement reflect the current views of Assured Guaranty with respect to future events and financial performance and are made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such statements involve risks and uncertainties that may cause actual results to differ materially from those set forth in these statements. Assured Guaranty's forward looking statements could be affected by many events. These events include (1) 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 Assured Guaranty or any of its subsidiaries and/or of transactions that Assured Guaranty’s subsidiaries have insured, all of which have occurred in the past; (2) developments in the world’s financial and capital markets that adversely affect issuers’ payment rates, Assured Guaranty’s loss experience, its access to capital, its unrealized (losses) gains on derivative financial instruments or its investment returns; (3) changes in the world’s credit markets, segments thereof or general economic conditions; (4) the impact of ratings agency action with respect to sovereign debt and the resulting effect on the value of securities in the Company's investment portfolio and collateral posted by and to the Company; (5) more severe or frequent losses implicating the adequacy of Assured Guaranty’s expected loss estimates; (6) the impact of market volatility on the mark-to-market of Assured Guaranty’s contracts written in credit default swap form; (7) reduction in the amount of insurance opportunities available to Assured Guaranty; (8) deterioration in the financial condition of Assured Guaranty's reinsurers, the amount and timing of reinsurance recoverables actually received and the risk that reinsurers may dispute amounts owed to Assured Guaranty under its reinsurance agreements; (9) the possibility that Assured Guaranty will not realize insurance loss recoveries or damages expected from originators, sellers, sponsors, underwriters or servicers of residential mortgage-backed securities transactions; (10) the possibility that budget shortfalls or other factors will result in credit losses or impairments on obligations of state and local governments that the Company insures or reinsures; (11) increased competition, including from new entrants into the financial guaranty industry; (12) changes in applicable accounting policies or practices; (13) changes in applicable laws or regulations, including insurance and tax laws; (14) other governmental actions; (15) difficulties with the execution of Assured Guaranty’s business strategy; (16) contract cancellations; (17) Assured Guaranty’s dependence on customers; (18) loss of key personnel; (19) adverse technological developments; (20) the effects of mergers, acquisitions and divestitures; (21) natural or man-made catastrophes; (22) other risks and uncertainties that have not been identified at this time; (23) management’s response to these factors; and (24) other risk factors identified in Assured Guaranty’s filings with the SEC. Readers are cautioned not to place undue reliance on these forward looking statements, which speak only as of the dates on which they are made. Assured Guaranty undertakes no obligation to publicly update or revise any forward looking statements, whether as a result of new information, future events or otherwise, except as required by law.

Assured Guaranty Ltd.

Selected Financial Highlights

(dollars in millions, except per share amounts)



			Three Months Ended						Nine Months Ended
			September 30,						September 30,
			2012			2011			2012			2011
Operating income reconciliation:
	Operating income		$	166		$	38		$	351		$	429
	Plus after-tax adjustments:
		Realized gains (losses) on investments	0			(13		)	(5		)	(14		)
		Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(37		)	800			(394		)	509
		Fair value gains (losses) on committed capital securities	(2		)	2			(8		)	2
		Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and loss adjustment expense ("LAE") reserves	4			(15		)	14			(2		)
		Effect of consolidating financial guaranty variable interest entities ("FG VIEs")	11			(51		)	78			(67		)
	Net Income		$	142		$	761		$	36		$	857


Earnings per diluted share:
	Operating income		$	0.85		$	0.21		$	1.85		$	2.30
	Plus after-tax adjustments:
		Realized gains (losses) on investments	0.00			(0.07		)	(0.02		)	(0.07		)
		Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(0.19		)	4.34			(2.08		)	2.73
		Fair value gains (losses) on committed capital securities	(0.01		)	0.01			(0.04		)	0.01
		Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.02			(0.08		)	0.07			(0.01		)
		Effect of consolidating FG VIEs	0.06			(0.28		)	0.41			(0.36		)
	Net income (loss)		$	0.73		$	4.13		$	0.19		$	4.60

		Effective tax rate on operating income	22.5		%	32.4		%	24.2		%	26.2		%
		Effective tax rate on net income	20.6		%	27.9		%	3.7		%	27.2		%

Return on equity ("ROE") calculations ⁽¹⁾⁽²⁾:
	ROE, excluding unrealized gain (loss) on investment portfolio		12.9		%	74.9		%	1.1		%	28.6		%
	Operating ROE		11.8		%	3.0		%	8.6		%	11.7		%

New Business:
		Gross par written	$	3,189		$	4,608		$	12,775		$	11,300
		Present value of new business production ("PVP") ⁽³⁾	$	35		$	51		$	141		$	155

									As of
									September 30,			December 31,
Other information:									2012			2011
		Net debt service outstanding							$	809,728		$	845,665
		Net par outstanding							536,393			558,048
		Claims paying resources ⁽⁴⁾							12,487			12,839

1) Effective January 1, 2012, the Company adopted, and applied retroactively, new guidance on acquisition costs. See page 37 for the effect of that adoption on prior periods' results.

2) Quarterly ROE calculations represent annualized returns.

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

4) See page 7 for additional detail on claims paying resources.

Assured Guaranty Ltd.

Consolidated Statements of Operations (unaudited)

(dollars in millions, except per share amounts)



				Three Months Ended						Nine Months Ended
				September 30,						September 30,
				2012			2011 ⁽¹⁾			2012			2011⁽¹⁾
Revenues:
	Net earned premiums			$	222		$	211		$	635		$	695
	Net investment income			102			95			301			295
	Net realized investment gains (losses)			2			(11		)	0			(13		)
	Net change in fair value of credit derivatives:
		Realized gains (losses) and other settlements		2			0			(78		)	25
		Net unrealized gains (losses)		(38		)	1,156			(388		)	830
			Net change in fair value of credit derivatives	(36		)	1,156			(466		)	855
	Fair value gains (losses) on committed capital securities			(2		)	2			(12		)	3
	Fair value gains (losses) on FG VIEs			38			(99		)	174			(154		)
	Other income			16			(9		)	112			59
			Total revenues	342			1,345			744			1,740

Expenses:
	Loss and loss adjustment expenses			90			215			459			313
	Amortization of deferred acquisition costs			4			4			14			13
	Interest expense			21			25			71			74
	Other operating expenses			48			46			163			163
		Total expenses		163			290			707			563

Income (loss) before income taxes				179			1,055			37			1,177
	Provision (benefit) for income taxes			37			294			1			320
Net income (loss)				$	142		$	761		$	36		$	857

Less after-tax adjustments:
	Realized gains (losses) on investments			0			(13		)	(5		)	(14		)
	Non-credit impairment unrealized fair value gains (losses) on credit derivatives			(37		)	800			(394		)	509
	Fair value gains (losses) on committed capital securities			(2		)	2			(8		)	2
	Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves			4			(15		)	14			(2		)
	Effect of consolidating FG VIEs			11			(51		)	78			(67		)
Operating income				$	166		$	38		$	351		$	429

Weighted average shares outstanding
	Basic shares outstanding			194.0			183.2			187.6			183.7
	Diluted shares outstanding ⁽²⁾			194.7			184.0			189.3			186.3
	Shares outstanding at the end of period ⁽³⁾			194.0			182.2

Effect of refundings and accelerations, net
	Net earned premiums from refundings and accelerations			$	73		$	27		$	178		$	77
	Operating income effect			47			19			116			53
	Operating income per diluted share effect			0.24			0.10			0.61			0.29

1) Effective January 1, 2012, the Company adopted, and applied retroactively, new guidance on acquisition costs. See page 37 for the effect of that adoption on prior periods' results.

2) Non-GAAP diluted shares outstanding were 194.7 million and 184.0 million for the three months ended September 30, 2012 and 2011, respectively and 189.3 million and 186.3 million for the nine months ended September 30, 2012 and September 30, 2011, respectively.

3) On June 1, 2012, AGL issued 13.4 million common shares in connection with the 3,450,000 equity units it issued in June 2009. Each of the equity units included a forward purchase contract under which the holders were required to purchase such common shares for an aggregate purchase price of $173 million. As a result of the settlement of the forward purchase contracts, the equity units ceased to exist.

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

Assured Guaranty Ltd.

Net Income (Loss) Reconciliation to Operating Income (1 of 2)

(dollars in millions)



				Three Months Ended										Three Months Ended
				September 30, 2012										September 30, 2011
				GAAP Income As Reported			Less: Operating Income Adjustments					Non-GAAP Operating Income Results		GAAP Income As Reported ⁽¹⁾			Less: Operating Income Adjustments					Non-GAAP Operating Income Results ⁽¹⁾
Revenues:
	Net earned premiums			$	222		$	(17	)	(2	)	$	239	$	211		$	(20	)	(2	)	$	231
	Net investment income			102			4			(2	)	98		95			(4		)	(2	)	99
	Net realized investment gains (losses)			2			0			(3	)	2		(11		)	(12		)	(3	)	1
	Net change in fair value of credit derivatives:
		Realized gains (losses) and other settlements		2			2					—		0			0					—
		Net unrealized gains (losses)		(38		)	(38		)			—		1,156			1,156					—
		Credit derivative revenues		—			(33		)			33		—			(42		)			42
			Net change in fair value of credit derivatives	(36		)	(69		)	(4	)	33		1,156			1,114			(4	)	42
	Fair value gains (losses) on committed capital securities			(2		)	(2		)	(5	)	—		2			2			(5	)	—
	Fair value gains (losses) on FG VIEs			38			38			(2	)	—		(99		)	(99		)	(2	)	—
	Other income			16			1			(6	)	15		(9		)	(21		)	(6	)	12
			Total revenues	342			(45		)			387		1,345			960					385

Expenses:
	Loss and loss adjustment expenses
		Financial guaranty insurance		90			1			(2	)	89		215			(38		)	(2	)	253
		Credit derivatives		—			(11		)	(4	)	11		—			(1		)	(4	)	1
	Amortization of deferred acquisition costs			4			—					4		4			—					4
	Interest expense			21			—					21		25			—					25
	Other operating expenses			48			—					48		46			—					46
		Total expenses		163			(10		)			173		290			(39		)			329

Income (loss) before income taxes				179			(35		)			214		1,055			999					56
	Provision (benefit) for income taxes			37			(11		)	(7	)	48		294			276			(7	)	18
Net income (loss)				$	142		$	(24	)			$	166	$	761		$	723				$	38


1)	Effective January 1, 2012, the Company adopted, and applied retroactively, new guidance on acquisition costs. This had a de minimis effect on net and operating income for the third quarter 2011.


2)	Adjustments primarily related to elimination of the effects of consolidating FG VIEs.


3)	Adjustments to eliminate realized gains (losses) on available-for-sale investments.


4)	Adjustments to eliminate non-economic fair value gains (losses) on credit derivatives and reclassification to revenues and loss expense.


5)	Adjustments to eliminate fair value gain (loss) on committed capital securities.


6)	Adjustments primarily related to elimination of foreign exchange gains (losses) on revaluation of net premiums receivable.


7)	Tax effect of the above adjustments.

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

Assured Guaranty Ltd.

Net Income (Loss) Reconciliation to Operating Income (2 of 2)

(dollars in millions)



				Nine Months Ended										Nine Months Ended
				September 30, 2012										September 30, 2011
				GAAP Income As Reported			Less: Operating Income Adjustments					Non-GAAP Operating Income Results		GAAP Income As Reported ⁽¹⁾			Less: Operating Income Adjustments					Non-GAAP Operating Income Results ⁽¹⁾
Revenues:
	Net earned premiums			$	635		$	(50	)	(2	)	$	685	$	695		$	(57	)	(2	)	$	752
	Net investment income			301			10			(2	)	291		295			(5		)	(2	)	300
	Net realized investment gains (losses)			0			(6		)	(3	)	6		(13		)	(12		)	(3	)	(1		)
	Net change in fair value of credit derivatives:
		Realized gains (losses) and other settlements		(78		)	(78		)			—		25			25					—
		Net unrealized gains (losses)		(388		)	(388		)			—		830			830					—
		Credit derivative revenues		—			(96		)			96		—			(151		)			151
			Net change in fair value of credit derivatives	(466		)	(562		)	(4	)	96		855			704			(4	)	151
	Fair value gains (losses) on committed capital securities			(12		)	(12		)	(5	)	—		3			3			(5	)	—
	Fair value gains (losses) on FG VIEs			174			174			(2	)	—		(154		)	(154		)	(2	)	—
	Other income			112			10			(6	)	102		59			20			(6	)	39
			Total revenues	744			(436		)			1,180		1,740			499					1,241

Expenses:
	Loss and loss adjustment expenses
		Financial guaranty insurance		459			(1		)	(2	)	460		313			(106		)	(2	)	419
		Credit derivatives		—			(9		)	(4	)	9		—			8			(4	)	(8		)
	Amortization of deferred acquisition costs			14			—					14		13			—					13
	Interest expense			71			—					71		74			—					74
	Other operating expenses			163			—					163		163			—					163
		Total expenses		707			(10		)			717		563			(98		)			661

Income (loss) before income taxes				37			(426		)			463		1,177			597					580
	Provision (benefit) for income taxes			1			(111		)	(7	)	112		320			169			(7	)	151
Net income (loss)				$	36		$	(315	)			$	351	$	857		$	428				$	429


1)	Effective January 1, 2012, the Company adopted, and applied retroactively, new guidance on acquisition costs. See page 37 for the effect of that adoption on prior periods' results.


2)	Adjustments primarily related to elimination of the effects of consolidating FG VIEs.


3)	Adjustments to eliminate realized gains (losses) on available-for-sale investments.


4)	Adjustments to eliminate non-economic fair value gains (losses) on credit derivatives and reclassification to revenues and loss expense.


5)	Adjustments to eliminate fair value gain (loss) on committed capital securities.


6)	Adjustments primarily related to elimination of foreign exchange gains (losses) on revaluation of net premiums receivable and reclassification of termination fees on credit derivative contracts.


7)	Tax effect of the above adjustments.

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

Assured Guaranty Ltd.

Consolidated Balance Sheets (unaudited)

(dollars in millions)



		As of:
		September 30,		December 31,
		2012		2011 ⁽¹⁾
Assets:
	Investment portfolio:
	Fixed maturity securities, available-for-sale, at fair value	$	10,318	$	10,142
	Short-term investments, at fair value	564		734
	Other invested assets	205		223
	Total investment portfolio	11,087		11,099

	Cash	133		215
	Premiums receivable, net of ceding commissions payable	944		1,003
	Ceded unearned premium reserve	550		709
	Deferred acquisition costs	127		132
	Reinsurance recoverable on unpaid losses	56		69
	Salvage and subrogation recoverable	430		368
	Credit derivative assets	450		469
	Deferred tax asset, net	729		804
	Current income tax receivable	78		76
	FG VIE assets, at fair value	2,693		2,819
	Other assets	286		262
Total assets		$	17,563	$	18,025

Liabilities and shareholders' equity:
Liabilities:
	Unearned premium reserve	$	5,332	$	5,963
	Loss and loss adjustment expense reserve	594		679
	Reinsurance balances payable, net	185		171
	Long-term debt	840		1,038
	Credit derivative liabilities	2,151		1,773
	FG VIE liabilities with recourse, at fair value	2,169		2,397
	FG VIE liabilities without recourse, at fair value	1,018		1,061
	Other liabilities	322		291
Total liabilities		12,611		13,373

Shareholders' equity:
	Common stock	2		2
	Additional paid-in capital	2,722		2,570
	Retained earnings	1,693		1,708
	Accumulated other comprehensive income	531		368
	Deferred equity compensation	4		4
Total shareholders' equity		4,952		4,652
Total liabilities and shareholders' equity		$	17,563	$	18,025

1) Effective January 1, 2012, the Company adopted, and applied retroactively, new guidance on acquisition costs. See page 37 for the effect of that adoption on

prior periods' results.

Assured Guaranty Ltd.

Adjusted Book Value

(dollars in millions, except per share amounts)



			As of:
			September 30, 2012						December 31, 2011 ⁽¹⁾
			Total			Per Share ⁽²⁾			Total			Per Share
Reconciliation of shareholders' equity to adjusted book value:
	Shareholders' equity		$	4,952		$	25.53		$	4,652		$	25.52
	Less after-tax adjustments:
		Effect of consolidating FG VIEs	(335		)	(1.73		)	(405		)	(2.22		)
		Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(901		)	(4.64		)	(498		)	(2.74		)
		Fair value gains (losses) on committed capital securities	27			0.14			35			0.19
		Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	496			2.56			319			1.75
	Operating shareholders' equity		$	5,665		29.20			$	5,201		28.54
	After-tax adjustments:
		Less: Deferred acquisition costs	169			0.87			174			0.95
		Plus: Net present value of estimated net future credit derivative revenue	246			1.27			302			1.66
		Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,392			17.49			3,658			20.07
	Adjusted book value		$	9,134		$	47.09		$	8,987		$	49.32

1) Effective January 1, 2012, the Company adopted, and applied retroactively, new guidance on acquisition costs. See page 37 for the effect of that adoption on

prior periods' results.

2) On June 1, 2012, AGL issued 13.4 million common shares in connection with the 3,450,000 equity units it issued in June 2009. Each of the equity units

included a forward purchase contract under which the holders were required to purchase such common shares for an aggregate purchase price of $173

million. As a result of the settlement of the forward purchase contracts, the equity units ceased to exist.

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

Assured Guaranty Ltd.

Claims Paying Resources

(dollars in millions)



		As of September 30, 2012
		Assured Guaranty Municipal Corp.			Assured Guaranty Corp.			Assured Guaranty Re Ltd. ⁽¹⁾			Municipal and Infrastructure Assurance Corporation ⁽²⁾		Eliminations ⁽³⁾			Consolidated
Claims paying resources
Policyholders' surplus		$	1,785		$	916		$	1,121		$	76	$	(300	)	$	3,598
Contingency reserve		1,479			800			—			—		—			2,279
	Qualified statutory capital	3,264			1,716			1,121			76		(300		)	5,877
Unearned premium reserve		2,154			790			1,006			—		—			3,950
Loss and LAE reserves ^{(4) (5)}		6			352			226			—		—			584
	Total policyholders' surplus and reserves	5,424			2,858			2,353			76		(300		)	10,411
Present value of installment premium ⁽⁵⁾		476			347			218			—		—			1,041
Standby line of credit/stop loss		200			200			200			—		—			600
Excess of loss reinsurance facility		435			435			—			—		(435		)	435
	Total claims paying resources	$	6,535		$	3,840		$	2,771		$	76	$	(735	)	$	12,487

Net par outstanding ⁽⁶⁾		$	294,768		$	97,661		$	125,258		$	—	$	(1,549	)	$	516,138
Net debt service outstanding ⁽⁶⁾		446,078			143,616			201,719			—		(3,674		)	787,739

Ratios:
	Net par outstanding to qualified statutory capital	90		:1	57		:1	112		:1	N/A					88		:1
Capital ratio ⁽⁷⁾		137		:1	84		:1	180		:1	N/A					134		:1
Financial resources ratio ⁽⁸⁾		68		:1	37		:1	73		:1	N/A					63		:1

1) Assured Guaranty Re Ltd. ("AG Re") numbers represent the Company's estimate of U.S. statutory accounting practices prescribed or permitted by insurance regulatory authorities.

2) Assured Guaranty US Holdings Inc. acquired Municipal and Infrastructure Assurance Corporation ("MIAC") from Radian Asset Assurance Inc. on May 31, 2012. As of September 30, 2012, MIAC has not written any business.

3) In 2009, Assured Guaranty Corp. ("AGC") issued a $300.0 million note payable to Assured Guaranty Municipal Corp. ("AGM"). Net par and net debt service outstanding eliminations relate to second-to-pay policies under which an Assured Guaranty insurance subsidiary guarantees an obligation already insured by another Assured Guaranty insurance subsidiary.

4) Reserves are reduced by approximately $1.3 billion for benefit related to representation and warranty recoverables.

5) Includes financial guaranty insurance and credit derivatives.

6) Net par outstanding and net debt service outstanding are presented on a statutory basis. Under statutory accounting, such amounts 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).

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

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

Assured Guaranty Ltd.

New Business Production

(dollars in millions)



			Three Months Ended						Nine Months Ended
			September 30,						September 30,
			2012			2011			2012		2011
Consolidated new business production analysis:
	PVP
	Public finance - U.S.:
		Assumed from Radian	$	—		$	—		$	22	$	—
		Primary markets	23			34			94		97
		Secondary markets	7			6			13		22
	Public finance - non-U.S.:
		Primary markets	—			—			1		—
		Secondary markets	—			—			—		—
	Structured finance - U.S.		5			11			11		29
	Structured finance - non-U.S.		—			—			—		7
	Total PVP		$	35		$	51		$	141	$	155


	Total PVP		$	35		$	51		$	141	$	155
		Less: PVP of credit derivatives	—			—			—		—
	PVP of financial guaranty insurance		35			51			141		155
		Less: financial guaranty installment premium PVP	5			11			12		36
	Total: financial guaranty upfront gross written premiums ("GWP")		30			40			129		119
		Plus: financial guaranty installment GWP ⁽¹⁾	(5		)	(18		)	15		(92		)
	Total GWP		$	25		$	22		$	144	$	27


Consolidated financial guaranty gross par written:
	Public finance - U.S.:
		Assumed from Radian	$	—		$	—		$	1,797	$	—
		Primary markets	2,507			4,078			9,906		9,256
		Secondary markets	500			264			817		953
	Public finance - non-U.S.:
		Primary markets	—			—			35		—
		Secondary markets	—			—			—		—
	Structured finance - U.S.		182			266			220		1,091
	Structured finance - non-U.S.		—			—			—		—
	Total		$	3,189		$	4,608		$	12,775	$	11,300

1) Represents present value of new business on installment policies plus GWP adjustment on existing installment deals due to changes in assumptions and any cancellations of assumed reinsurance contracts.

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

Assured Guaranty Ltd.

Financial Guaranty Gross Par Written

(dollars in millions)

Financial Guaranty Gross Par Written by Asset Type



			Three Months Ended			Nine Months Ended
			September 30, 2012			September 30, 2012
			Gross Par Written		Avg. Internal Rating	Gross Par Written		Avg. Internal Rating
Sector
U.S. public finance
	General obligation		$	1,902	A	$	8,331	A-
	Municipal utilities		483		A	1,532		A-
	Tax backed		186		A	1,021		A
	Higher education		144		A	667		A-
	Healthcare		15		A	407		A-
	Transportation		277		A	488		A-
	Other public finance		—		-	74		A
		Total U.S. public finance	3,007		A	12,520		A-
Non-U.S. public finance:
		Total non-U.S. public finance	—		-	35		BBB-
Total public finance			$	3,007	A	$	12,555	A-

U.S. structured finance:
	Commercial receivables		$	182	AA	$	182	AA
	Other structure finance		—		-	38		A-
		Total U.S. structured finance	182		AA	220		AA
Non-U.S. structured finance:
		Total non-U.S. structured finance	—		-	—		-
Total structured finance			$	182	AA	$	220	AA

Total gross par written			$	3,189	A	$	12,775	A-

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

Assured Guaranty Ltd.

New Business Production by Quarter

(dollars in millions)



																					Nine Months
		1Q-11			2Q-11			3Q-11			4Q-11		1Q-12		2Q-12			3Q-12			2011			2012
PVP:
Public finance - U.S.:
	Assumed from Radian	$	—		$	—		$	—		$	—	$	22	$	—		$	—		$	—		$	22
	Primary markets	27			36			34			52		27		44			23			97			94
	Secondary markets	7			9			6			3		3		3			7			22			13
Public finance - non-U.S.:
	Primary markets	—			—			—			3		—		1			—			—			1
	Secondary markets	—			—			—			—		—		—			—			—			—
Structured finance - U.S.		11			7			11			30		4		2			5			29			11
Structured finance - non-U.S.		7			—			—			—		—		—			—			7			—
Total PVP		$	52		$	52		$	51		$	88	$	56	$	50		$	35		$	155		$	141


Total PVP		$	52		$	52		$	51		$	88	$	56	$	50		$	35		$	155		$	141
	Less: PVP of credit derivatives	—			—			—			—		—		—			—			—			—
PVP of financial guaranty insurance		52			52			51			88		56		50			35			155			141
	Less: financial guaranty installment premium PVP	19			6			11			33		4		3			5			36			12
Total: financial guaranty upfront GWP		33			46			40			55		52		47			30			119			129
	Plus: financial guaranty installment GWP⁽¹⁾	(45		)	(29		)	(18		)	45		36		(16		)	(5		)	(92		)	15
Total GWP		$	(12	)	$	17		$	22		$	100	$	88	$	31		$	25		$	27		$	144

Consolidated financial guaranty gross par written ⁽²⁾:
Public finance - U.S.:
	Assumed from Radian	$	—		$	—		$	—		$	—	$	1,797	$	—		$	—		$	—		$	1,797
	Primary markets	1,886			3,292			4,078			4,759		2,902		4,497			2,507			9,256			9,906
	Secondary markets	333			356			264			124		144		173			500			953			817
Public finance - non-U.S.:
	Primary markets	—			—			—			127		—		35			—			—			35
	Secondary markets	—			—			—			—		—		—			—			—			—
Structured finance - U.S.		100			725			266			582		38		—			182			1,091			220
Structured finance - non-U.S.		—			—			—			—		—		—			—			—			—
	Total	$	2,319		$	4,373		$	4,608		$	5,592	$	4,881	$	4,705		$	3,189		$	11,300		$	12,775

2) Includes committed amount including undrawn revolvers.

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

Assured Guaranty Ltd.

Available-for-Sale Investment Portfolio and Cash

As of September 30, 2012

(dollars in millions)



			Amortized Cost		Pre-Tax Book Yield		After-Tax Book Yield		Fair Value		Annualized Investment Income ⁽¹⁾
Investment portfolio, available-for-sale:
Fixed maturity securities:
	U.S. Treasury securities and obligations of U.S. government agencies		$	431	2.34	%	1.74	%	$	455	$	10
	Agency obligations		312		3.82		3.17		354		12
	Foreign government securities		286		2.98		1.96		306		9
	Obligations of states and political subdivisions		3,804		3.99		3.77		4,157		152
	Insured obligations of state and political subdivisions⁽²⁾		1,409		4.77		4.52		1,557		67
	Corporate securities		947		3.52		2.92		1,030		33
	Mortgage-backed securities ("MBS")⁽³⁾:
		Residential MBS ("RMBS") ⁽⁴⁾	1,534		5.37		4.16		1,477		82
		Commercial MBS ("CMBS")	475		3.99		3.39		514		19
	Asset-backed securities⁽⁵⁾		532		7.38		5.14		561		39
		Total fixed maturity securities	9,730		4.35	%	3.75	%	10,411		423
Short-term investments			553		0.08		0.06		553		1
Cash ⁽⁶⁾			129		—				129		—
		Total	$	10,412	4.12	%	3.55	%	$	11,093	$	424

Less: FG VIEs			126		11.64		7.57		78		15

		Total	$	10,286	4.03	%	3.51	%	$	11,015	$	409



Ratings⁽⁷⁾:			Fair Value		% of Portfolio
	U.S. Treasury securities and obligations of U.S. government agencies		$	455	4.4	%
	Agency obligations		354		3.4	%
	AAA/Aaa		1,938		18.6	%
	AA/Aa		5,526		53.1	%
	A/A		1,485		14.3	%
	BBB		37		0.3	%
	Below investment grade ("BIG")⁽⁸⁾		613		5.9	%
	Not rated		3		0.0	%
		Total fixed maturity securities, available-for-sale	10,411		100.0	%

	Less: FG VIEs		93

		Total fixed maturity securities, available-for-sale	$	10,318


Duration of fixed maturity securities and short-term investments (in years):					4.6

Average ratings of fixed maturity securities and short-term investments					AA


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


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

A+. Includes $321 million insured by AGC and AGM.


3)	Includes $105 million in U.S. subprime RMBS, which has an average rating of BIG.


4)	Includes investments purchased for loss mitigation purposes.


5)	Contains no collateralized debt obligations ("CDOs") of asset-backed securities ("ABS").


6)	Represents operating cash and is not included in yield calculations.


7)	Ratings are represented by the lower of the Moody's and S&P classifications except for bonds purchased for loss mitigation or risk management strategies which use internal ratings classifications.


8)	Included in the investment portfolio are securities purchased or obtained as part of loss mitigation or other risk management strategies of $1,849 million in par with carrying value of $611 million.

Assured Guaranty Ltd.

Estimated Net Exposure Amortization⁽¹⁾ and Estimated Future 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 ⁽³⁾		Accretion of Discount		Future Net Premiums Earned		Future Credit Derivative Revenues ⁽⁴⁾		Total

2012 (as of September 30)				$	809,728
2012 Q4		$	16,584	793,144		$	141	$	6	$	147	$	27	$	174
2013		64,385		728,759		490		23		513		95		608
2014		66,869		661,890		433		22		455		69		524
2015		56,642		605,248		379		20		399		47		446
2016		44,722		560,526		343		19		362		37		399

2012-2016		249,202		560,526		1,786		90		1,876		275		2,151
2017-2021		183,666		376,860		1,294		74		1,368		98		1,466
2022-2026		146,528		230,332		814		49		863		52		915
2027-2031		101,179		129,153		498		31		529		39		568
After 2031		129,153		—		509		26		535		42		577
	Total	$	809,728			$	4,901	$	270	$	5,171	$	506	$	5,677

1) Represents the future expected amortization of current debt service outstanding (principal and interest), assuming no advance refundings, as of September 30, 2012. Actual amortization differs from expected maturities because borrowers may have the right to call or prepay guaranteed obligations and because of management's assumptions on structured finance amortization.

2) See page 14 for ‘‘Present Value of Financial Guaranty Insurance Net Expected Loss to be Expensed.’’

3) GAAP basis. Excludes $364 million in expected present value of net earned premiums related to FG VIEs.

4) Excludes contracts with credit impairment.

Assured Guaranty Ltd.

Expected Amortization of Net Par Outstanding

(dollars in millions)

Structured Finance



		Estimated Net Par Amortization
		U.S. and Non-U.S. Pooled Corporate		U.S. RMBS		Financial Products ⁽¹⁾		Other Structured Finance		Total		Estimated Ending Net Par Outstanding

2012 (as of September 30)												$	98,497
2012 Q4		$	1,892	$	995	$	110	$	837	$	3,834	94,663
2013		11,685		3,261		672		2,118		17,736		76,927
2014		18,484		2,830		515		1,735		23,564		53,363
2015		10,104		2,695		279		2,719		15,797		37,566
2016		4,254		1,997		163		1,221		7,635		29,931

2012-2016		46,419		11,778		1,739		8,630		68,566		29,931
2017-2021		9,168		4,636		318		3,078		17,200		12,731
2022-2026		508		1,600		467		2,128		4,703		8,028
2027-2031		423		406		668		855		2,352		5,676
After 2031		2,724		640		752		1,560		5,676		—
	Total structured finance	$	59,242	$	19,060	$	3,944	$	16,251	$	98,497

Public Finance



		Estimated Net Par Amortization		Estimated Ending Net Par Outstanding

2012 (as of September 30)				$	437,896
2012 Q4		$	6,954	430,942
2013		24,834		406,108
2014		22,974		383,134
2015		21,906		361,228
2016		19,347		341,881

2012-2016		96,015		341,881
2017-2021		92,443		249,438
2022-2026		90,008		159,430
2027-2031		66,603		92,827
After 2031		92,827		—
	Total public finance	$	437,896

Net par outstanding (end of period)



		1Q-11		2Q-11		3Q-11		4Q-11		1Q-12		2Q-12		3Q-12
Public finance - U.S.		$	417,367	$	413,274	$	408,065	$	403,073	$	416,499	$	409,877	$	399,176
Public finance - non-U.S.		41,828		41,226		39,267		39,046		39,913		38,769		38,720
Structured finance - U.S.		113,108		103,978		97,969		92,234		87,784		83,430		78,504
Structured finance - non-U.S.		29,984		28,718		26,424		23,695		22,902		20,858		19,993
	Total	$	602,287	$	587,196	$	571,725	$	558,048	$	567,098	$	552,934	$	536,393

1) See Glossary for description of financial products.

Assured Guaranty Ltd.

Present Value ("PV") of Financial Guaranty Insurance Net Expected Loss to be Expensed

As of September 30, 2012

(dollars in millions)



		Net Expected Loss to be Expensed ⁽¹⁾
		Operating⁽²⁾		GAAP⁽²⁾

2012 Q4		$	30	$	25
2013		110		75
2014		71		49
2015		53		38
2016		47		35

2012-2016		311		222
2017-2021		163		124
2022-2026		81		66
2027-2031		57		34
After 2031		59		30
	Total expected PV of net expected loss to be expensed	671		476
Discount		311		235
	Total future value	$	982	$	711

1) The expected present value of net loss to be expensed is discounted by weighted-average risk free rates ranging from 0.0% to 3.19% for U.S. dollar denominated obligations.

2) Operating income includes net expected loss to be expensed on consolidated FG VIEs. Losses on consolidated FG VIEs are eliminated for GAAP.

Assured Guaranty Ltd.

Financial Guaranty Profile (1 of 4)

(dollars in millions)

Net Par Outstanding and Average Rating by Asset Type



			September 30, 2012			December 31, 2011
			Net Par Outstanding		Avg. Internal Rating	Net Par Outstanding		Avg. Internal Rating
U.S. public finance:
	General obligation		$	172,985	A+	$	173,061	A+
	Tax backed		76,326		A+	78,006		A+
	Municipal utilities		63,023		A	65,204		A
	Transportation		36,117		A	35,396		A
	Healthcare		19,080		A	19,495		A
	Higher education		15,930		A+	15,677		A+
	Housing		5,415		AA-	5,696		AA-
	Infrastructure finance		4,211		BBB	4,110		BBB
	Investor-owned utilities		1,093		A-	1,124		A-
	Other public finance		4,996		A	5,304		A-
		Total U.S. public finance	399,176		A	403,073		A+
Non-U.S. public finance:
	Infrastructure finance		15,582		BBB	15,405		BBB
	Regulated utilities		12,896		BBB+	13,260		BBB+
	Pooled infrastructure		3,184		AA-	3,130		AA-
	Other public finance		7,058		A+	7,251		A+
		Total non-U.S. public finance	38,720		BBB+	39,046		BBB+
Total public finance			$	437,896	A	$	442,119	A

U.S. structured finance:
	Pooled corporate obligations		$	44,286	AAA	$	51,520	AAA
	RMBS		19,060		BB+	21,567		BB+
	CMBS and other commercial real estate related exposures		4,353		AAA	4,774		AAA
	Financial products		3,944		AA-	5,217		AA-
	Consumer receivables		2,486		BBB+	4,326		AA-
	Insurance securitizations		1,790		A+	1,893		A+
	Commercial receivables		1,054		BBB+	1,214		BBB
	Structured credit		311		CCC+	424		B-
	Other structured finance		1,220		BBB+	1,299		A-
		Total U.S. structured finance	78,504		AA-	92,234		AA-

Non-U.S. structured finance:
	Pooled corporate obligations		14,956		AAA	17,731		AAA
	Commercial receivables		1,532		A-	1,865		A-
	RMBS		1,427		AA-	1,598		AA
	Insurance securitizations		923		CCC-	964		CCC-
	Structured credit		679		BBB	979		BBB
	CMBS and other commercial real estate related exposures		99		AAA	180		AAA
	Other structured finance		377		Super Senior	378		Super Senior
		Total non-U.S. structured finance	19,993		AA	23,695		AA
Total structured finance			$	98,497	AA-	$	115,929	AA-

Total net par outstanding			$	536,393	A+	$	558,048	A+

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

Assured Guaranty Ltd.

Financial Guaranty Profile (2 of 4)

As of September 30, 2012

(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.				Consolidated
Ratings:		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding(1)		%		Net Par Outstanding		%		Net Par Outstanding		%
Super senior		$	—	—	%	$	1,119	2.9	%	$	13,714	17.5	%	$	4,818	24.1	%	$	19,651	3.7	%
AAA		4,575		1.2	%	1,392		3.6	%	30,745		39.2	%	8,504		42.5	%	45,216		8.4	%
AA		131,488		32.9	%	950		2.4	%	9,996		12.7	%	725		3.6	%	143,159		26.7	%
A		215,989		54.1	%	10,281		26.5	%	4,500		5.7	%	1,476		7.4	%	232,246		43.3	%
BBB		42,353		10.6	%	22,712		58.7	%	4,093		5.2	%	2,594		13.0	%	71,752		13.4	%
BIG		4,771		1.2	%	2,266		5.9	%	15,456		19.7	%	1,876		9.4	%	24,369		4.5	%
	Total net par outstanding	$	399,176	100.0	%	$	38,720	100.0	%	$	78,504	100.0	%	$	19,993	100.0	%	$	536,393	100.0	%

1) Beginning in the first quarter 2012, the Company decided to classify those portions of risks benefiting from reimbursement obligations collateralized by eligible assets held in trust in acceptable reimbursement structures as the higher of 'AA' or their current internal rating. As of Third Quarter 2012, the Company applied this policy to the Bank of America Agreement and the Deutsche Bank Agreement.

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

Assured Guaranty Ltd.

Financial Guaranty Profile (3 of 4)

As of September 30, 2012

(dollars in millions)

Geographic Distribution of Financial Guaranty Portfolio



			Net Par Outstanding		% of Total
U.S.:
Public finance
	California		$	57,874	10.8	%
	New York		33,294		6.2	%
	Pennsylvania		31,395		5.9	%
	Texas		29,940		5.6	%
	Illinois		26,469		4.9	%
	Florida		24,932		4.7	%
	New Jersey		16,807		3.1	%
	Michigan		15,807		3.0	%
	Massachusetts		10,740		2.0	%
	Ohio		10,148		1.9	%
	Other states		141,770		26.4	%
		Total public finance	399,176		74.5	%
	Structured finance (multiple states)		78,504		14.6	%
		Total U.S.	477,680		89.1	%

Non-U.S.:
	United Kingdom		23,623		4.4	%
	Australia		7,886		1.5	%
	Canada		4,260		0.8	%
	France		3,808		0.7	%
	Italy		2,291		0.4	%
	Other		16,845		3.1	%
		Total non-U.S.	58,713		10.9	%

Total net par outstanding			$	536,393	100.0	%

Assured Guaranty Ltd.

Financial Guaranty Profile (4 of 4)

As of September 30, 2012

(dollars in millions)

Net Economic Exposure to Selected European Countries



			Greece		Hungary		Ireland		Italy		Portugal		Spain		Total
Sovereign and sub-sovereign exposure:
	Public finance		$	—	$	—	$	—	$	992	$	108	$	260	$	1,360
	Infrastructure finance		—		423		23		326		99		167		1,038
		Total sovereign and sub-sovereign exposure	—		423		23		1,318		207		427		2,398
Non-sovereign exposure:
	Regulated utilities		—		—		—		228		—		9		237
	RMBS		—		219		135		491		—		—		845
	Commercial receivables		—		1		18		26		14		17		76
	Pooled corporate obligations		25		—		187		227		14		527		980
		Total non-sovereign exposure	25		220		340		972		28		553		2,138
		Total	$	25	$	643	$	363	$	2,290	$	235	$	980	$	4,536

		Total BIG	$	—	$	511	$	8	$	242	$	125	$	410	$	1,296

Note: While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, including U.S. dollars, Euros and British pounds sterling. Included in the tables above is $135 million of reinsurance assumed on a 2004 - 2006 pool of Irish residential mortgages that is part of the Company’s remaining legacy mortgage reinsurance business. One of the residential mortgage-backed securities included in the table above includes residential mortgages in both Italy and Germany, and only the portion of the transaction equal to the portion of the original mortgage pool in Italian mortgages is shown in the table.

Assured Guaranty Ltd.

Direct Pooled Corporate Obligations Profile

As of September 30, 2012

(dollars in millions)

Distribution of Direct Pooled Corporate Obligations by Ratings



			Net Par Outstanding		% of Total		Avg. Initial Credit Enhancement		Avg. Current Credit Enhancement
Ratings:
	Super Senior		$	14,796	25.6	%	31.3	%	30.8	%
	AAA		34,929		60.4	%	30.8	%	30.1	%
	AA		2,024		3.5	%	40.0	%	36.5	%
	A		409		0.7	%	45.3	%	44.3	%
	BBB		2,159		3.7	%	35.9	%	28.8	%
	BIG		3,521		6.1	%	39.2	%	22.2	%
		Total exposures	$	57,838	100.0	%	32.1	%	30.1	%

Distribution of Direct Pooled Corporate Obligations by Asset Class



			Net Par Outstanding		% of Total		Avg. Initial Credit Enhancement		Avg. Current Credit Enhancement		Avg. Rating
Asset class:
	CBOs/CLOs		$	34,767	60.1	%	31.8	%	32.1	%	AAA
	Synthetic investment grade pooled corporates		9,601		16.6	%	21.6	%	19.8	%	AAA
	Market value CDOs of corporates		4,186		7.2	%	33.4	%	28.5	%	AAA
	Synthetic high yield pooled corporates		2,719		4.7	%	47.2	%	40.5	%	AAA
	Trust preferred
		Banks and insurance	3,004		5.2	%	46.5	%	34.7	%	BBB-
		U.S. mortgage and real estate investment trusts	2,039		3.5	%	50.5	%	35.1	%	BB
		European mortgage and real estate investment trusts	818		1.5	%	36.8	%	34.1	%	BBB-
	Other pooled corporates		704		1.2	%	0.4	%	0.2	%	BBB-
		Total exposures	$	57,838	100.0	%	32.1	%	30.1	%	AAA

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

Assured Guaranty Ltd.

Consolidated U.S. RMBS Profile

As of September 30, 2012

(dollars in millions)

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



Ratings:			Prime First Lien⁽¹⁾		Closed End Seconds		HELOC		Alt-A First Lien⁽¹⁾		Option ARMs⁽¹⁾		Subprime First Lien⁽¹⁾		Total Net Par Outstanding
	AAA		$	5	$	0	$	77	$	265	$	—	$	2,307	$	2,655
	AA		119		122		156		489		389		1,543		2,818
	A		2		0		252		10		34		843		1,140
	BBB		46		—		21		288		111		528		995
	BIG		490		863		2,851		3,708		1,219		2,320		11,452
		Total exposures	$	663	$	985	$	3,358	$	4,760	$	1,753	$	7,541	$	19,060

Distribution of U.S. RMBS by Year Insured⁽²⁾ and Type of Exposure



Year insured:			Prime First Lien		Closed End Seconds		HELOC		Alt-A First Lien		Option ARMs		Subprime First Lien		Total Net Par Outstanding
	2004 and prior		$	35	$	1	$	252	$	104	$	39	$	1,417	$	1,848
	2005		171		—		763		594		70		222		1,821
	2006		109		443		986		391		297		3,125		5,352
	2007		348		541		1,356		2,375		1,268		2,682		8,571
	2008		—		—		—		1,296		79		95		1,470
		Total exposures	$	663	$	985	$	3,358	$	4,760	$	1,753	$	7,541	$	19,060

Distribution of U.S. RMBS by Rating and Year Insured



Year insured:			AAA Rated			AA Rated			A Rated			BBB Rated			BIG Rated			Total
	2004 and prior		$	1,199		$	81		$	56		$	183		$	329		$	1,848
	2005		152			213			—			74			1,382			1,821
	2006		1,174			1,258			824			191			1,904			5,352
	2007		6			1,267			260			468			6,570			8,571
	2008		125			—			—			79			1,266			1,470
		Total exposures	$	2,655		$	2,818		$	1,140		$	995		$	11,452		$	19,060

	% of Total		13.9		%	14.8		%	6.0		%	5.2		%	60.1		%	100.0		%

2) Assured Guaranty has not insured any U.S. RMBS transactions since 2008.

Note: Please refer to the Glossary for a description of performance indicators and sectors.

Assured Guaranty Ltd.

Direct U.S. RMBS Profile (1 of 2)

As of September 30, 2012

(dollars in millions)

Distribution of Direct U.S. RMBS Insured January 1, 2005 or Later by Exposure Type, Average Pool Factor, Subordination, Cumulative Losses and 60+ Day Delinquencies

U.S. Prime First Lien



Year insured			Net Par Outstanding		Pool Factor		Subordination		Cumulative Losses		60+ Day Delinquencies		Number of Transactions
	2005		$	168	33.3	%	4.7	%	2.0	%	12.4	%	6
	2006		109		53.3	%	8.7	%	0.3	%	17.5	%	1
	2007		348		44.7	%	6.1	%	5.3	%	20.3	%	1
	2008		—		—	%	—	%	—	%	—	%	—
		Total	$	625	43.1	%	6.1	%	3.5	%	17.7	%	8

U.S. Closed End Seconds



Year insured			Net Par Outstanding		Pool Factor		Subordination		Cumulative Losses		60+ Day Delinquencies		Number of Transactions
	2005		$	—	—	%	—	%	—	%	—	%	—
	2006		434		12.9	%	—	%	62.4	%	7.6	%	2
	2007		541		15.3	%	—	%	68.8	%	8.6	%	10
	2008		—		—	%	—	%	—	%	—	%	—
		Total	$	974	14.2	%	—	%	65.9	%	8.2	%	12

U.S. HELOC



Year insured			Net Par Outstanding		Pool Factor		Subordination		Cumulative Losses		60+ Day Delinquencies		Number of Transactions
	2005		$	716	15.4	%	2.9	%	16.3	%	12.4	%	6
	2006		967		24.4	%	3.2	%	35.6	%	8.4	%	7
	2007		1,356		39.0	%	2.9	%	31.3	%	6.3	%	9
	2008		—		—	%	—	%	—	%	—	%	—
		Total	$	3,040	28.8	%	3.0	%	29.1	%	8.4	%	22

U.S. Alt-A First Lien



Year insured			Net Par Outstanding		Pool Factor		Subordination		Cumulative Losses		60+ Day Delinquencies		Number of Transactions
	2005		$	592	30.0	%	8.5	%	6.9	%	18.7	%	21
	2006		391		35.9	%	0.0	%	19.3	%	39.5	%	7
	2007		2,375		45.0	%	2.1	%	15.1	%	32.2	%	12
	2008		1,296		42.2	%	18.9	%	14.7	%	27.3	%	5
		Total	$	4,654	41.6	%	7.4	%	14.3	%	29.7	%	45

Note: Please refer to the Glossary for a description of performance indicators and sectors.

Assured Guaranty Ltd.

Direct U.S. RMBS Profile (2 of 2)

As of September 30, 2012

(dollars in millions)

Distribution of Direct U.S. RMBS Insured January 1, 2005 or Later by Exposure Type, Average Pool Factor, Subordination, Cumulative Losses and 60+ Day Delinquencies

U.S. Option ARMs



Year insured			Net Par Outstanding		Pool Factor		Subordination		Cumulative Losses		60+ Day Delinquencies		Number of Transactions
	2005		$	63	19.2	%	8.4	%	10.9	%	24.9	%	3
	2006		291		40.7	%	—	%	19.0	%	46.0	%	5
	2007		1,268		44.6	%	1.4	%	19.5	%	38.2	%	11
	2008		79		47.0	%	48.2	%	14.4	%	32.6	%	1
		Total	$	1,700	43.1	%	3.6	%	18.9	%	38.8	%	20

U.S. Subprime First Lien



Year insured			Net Par Outstanding		Pool Factor		Subordination		Cumulative Losses		60+ Day Delinquencies		Number of Transactions
	2005		$	212	37.8	%	25.1	%	6.9	%	34.4	%	4
	2006		3,119		20.3	%	61.5	%	18.1	%	35.6	%	4
	2007		2,682		46.6	%	16.7	%	22.8	%	44.1	%	13
	2008		78		58.9	%	22.3	%	17.3	%	33.5	%	1
		Total	$	6,092	33.0	%	40.0	%	19.8	%	39.3	%	22

Note: Please refer to the Glossary for a description of performance indicators and sectors.

Assured Guaranty Ltd.

Direct U.S. Commercial Real Estate Profile

As of September 30, 2012

(dollars in millions)

Distribution of Direct U.S. CMBS Insured January 1, 2005 or Later by Exposure Type, Internal Rating, Average Pool Factor, Subordination, Cumulative Losses and 60+ Day Delinquencies

U.S. CMBS



Rating:			Net Par Outstanding		Pool Factor		Subordination		Cumulative Losses		60+ Day Delinquencies		Number of Transactions
	Super senior		$	3,167	72.4	%	39.4	%	2.3	%	8.1	%	145
	AAA		235		69.7	%	28.5	%	3.0	%	12.3	%	14
	AA		—		—	%	—	%	—	%	—	%	—
	A		71		24.4	%	29.8	%	2.0	%	15.9	%	1
	BBB		—		—	%	—	%	—	%	—	%	—
	BIG		—		—	%	—	%	—	%	—	%	—
		Total exposures	$	3,473	71.3	%	38.4	%	2.3	%	8.6	%	160

CDOs of U.S. Commercial Real Estate and CMBS⁽¹⁾



		Net Par Outstanding		% of Total		Avg. Initial Credit Enhancement		Avg. Current credit Enhancement
CDOs of commericial real estate		$	584	96.1	%	50.0	%	54.6	%
CDOs of CMBS⁽²⁾		23		3.9	%	31.3	%	84.5	%
	Total exposures	$	607	100.0	%	49.3	%	55.7	%

1) Represents other U.S. Commercial Real Estate not included in the table above.

2) Relates to vintages 2003 and prior.

Note: Please refer to the Glossary for a description of performance indicators and sectors.

Assured Guaranty Ltd.

Direct U.S. Consumer Receivables Profile

As of September 30, 2012

(dollars in millions)

Distribution of Direct U.S. Consumer Receivables by Rating



Rating:			Credit Cards		Student Loans		Manufactured Housing		Auto		Total Net Par Outstanding
	Super senior		$	0	$	—	$	—	$	—	$	0
	AAA		—		392		—		215		607
	AA		—		—		57		38		95
	A		—		—		—		—		—
	BBB		—		869		37		—		906
	BIG		—		—		133		—		133
		Total exposures	$	0	$	1,261	$	227	$	253	$	1,741


Average rating			Super Senior		A-		BB-		AAA		A-
Average initial credit enhancement			N/A		7.2%		27.5%		19.5%		11.6%
Average current credit enhancement			N/A		10.1%		25.5%		47.2%		17.5%

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (1 of 5)

(dollars in millions)

BIG Exposures by Asset Exposure Type



			BIG Net Par Outstanding⁽¹⁾
			September 30, 2012		December 31, 2011⁽²⁾
U.S. public finance:
	Infrastructure finance		$	1,680	$	1,335
	General obligation		1,141		966
	Municipal utilities		658		672
	Tax backed		495		459
	Transportation		243		246
	Healthcare		60		134
	Higher education		18		20
	Housing		2		0
	Other public finance		474		675
		Total U.S. public finance	4,771		4,507
Non-U.S. public finance:
	Infrastructure finance		1,899		1,924
	Regulated utilities		—		9
	Other public finance		367		395
		Total non-U.S. public finance	2,266		2,328
Total public finance			$	7,037	$	6,835

U.S. structured finance:
	RMBS		$	11,452	$	13,203
	Pooled corporate obligations		3,005		3,628
	Consumer receivables		360		466
	Structured credit		311		361
	Commercial receivables		182		202
	Other structured finance		146		148
		Total U.S. structured finance	15,456		18,008
Non-U.S. structured finance:
	Insurance securitizations		923		923
	Pooled corporate obligations		812		980
	RMBS		125		—
	Commercial receivables		16		16
		Total non-U.S. structured finance	1,876		1,919
Total structured finance			$	17,332	$	19,927
Total BIG net par outstanding			$	24,369	$	26,762

1) Securities purchased for loss mitigation purposes represented $1,563 million and $1,293 million of gross par outstanding as of September 30, 2012 and December 31, 2011, respectively. In addition, under the terms of certain credit derivative contracts, the Company has obtained the obligations referenced in such contracts and recorded it in invested assets in the consolidated balance sheets. Such amounts totaled $243 million and $222 million in gross par outstanding as of September 30, 2012 and December 31, 2011, respectively.

2) Beginning in the first quarter 2012, the Company decided to classify those portions of risks benefiting from reimbursement obligations collateralized by eligible assets held in trust in acceptable reimbursement structures as the higher of 'AA' or their current internal rating. As of Third Quarter 2012, the Company applied this policy to the Bank of America Agreement and the Deutsche Bank Agreement. The Bank of America Agreement was entered into in April 2011 and the reclassification in the first quarter 2012 resulted in a decrease in BIG net par outstanding as of December 31, 2011 of $1,452 million from that previously reported.

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (2 of 5)

(dollars in millions)

Net Par Outstanding by BIG Category⁽¹⁾



				Financial Guaranty Insurance and Credit Derivatives Surveillance Categories⁽²⁾
				September 30, 2012		December 31, 2011⁽³⁾
Category 1
	U.S. public finance			$	3,288	$	3,395
	Non-U.S. public finance			2,266		2,046
	U.S. structured finance			2,693		5,882
	Non-U.S. structured finance			908		927
		Total Category 1		9,155		12,250
Category 2
	U.S. public finance			665		274
	Non-U.S. public finance			—		282
	U.S. structured finance			5,169		4,383
	Non-U.S. structured finance			41		42
		Total Category 2		5,875		4,981
Category 3
	U.S. public finance			818		838
	Non-U.S. public finance			—		—
	U.S. structured finance			7,594		7,743
	Non-U.S. structured finance			927		950
		Total Category 3		9,339		9,531
			BIG Total	$	24,369	$	26,762

1) Assured Guaranty's surveillance department is responsible for monitoring our portfolio of credits and maintains a list of BIG credits. BIG Category 1: Below investment grade transactions showing sufficient deterioration to make lifetime losses possible, but for which none are currently expected. Transactions on which claims have been paid but are expected to be fully reimbursed (other than investment grade transactions on which only liquidity claims have been paid) are in this category. BIG Category 2: Below investment grade transactions for which lifetime losses are expected but for which no claims (other than liquidity claims) have yet been paid. BIG Category 3: Below investment grade transactions for which lifetime losses are expected and on which claims (other than liquidity claims) have been paid. Transactions remain in this category when claims have been paid and only a recoverable remains.

2) Securities purchased for loss mitigation purposes represented $1,563 million and $1,293 million of gross par outstanding as of September 30, 2012 and December 31, 2011, respectively. In addition, under the terms of certain credit derivative contracts, the Company has obtained the underlying collateral of transactions and recorded it in invested assets in the consolidated balance sheets. Such amounts totaled $243 million and $222 million in gross par outstanding as of September 30, 2012 and December 31, 2011, respectively.

3) Beginning in the first quarter 2012, the Company decided to classify those portions of risks benefiting from reimbursement obligations collateralized by eligible assets held in trust in acceptable reimbursement structures as the higher of 'AA' or their current internal rating. As of Third Quarter 2012, the Company applied this policy to the Bank of America Agreement and the Deutsche Bank Agreement. The Bank of America Agreement was entered into in April 2011 and the reclassification in the first quarter 2012 resulted in a decrease in BIG net par outstanding as of December 31, 2011 of $1,452 million from that previously reported.

Assured Guaranty Ltd.

Below Investment Grade Exposures (3 of 5)

As of September 30, 2012

(dollars in millions)

Public Finance BIG Exposures Greater Than $50 Million



			Net Par Outstanding		Internal Rating
Name or description
U.S. public finance:
	Skyway Concession Company LLC		$	1,102	BB
	Jefferson County Alabama Sewer		479		D
	Detroit (City of) Michigan		355		BB
	Louisville Arena Authority Inc.		336		BB
	San Joaquin Hills California Transportation		243		BB-
	GMAC Military Housing Trust XVIII (Hickam Air Force Base)		216		BB
	Lackawanna County, Pennsylvania		182		BB-
	Jefferson County Alabama School Sales Tax		174		BB
	Stockton City, California		160		D
	Woonsocket (City of), Rhode Island		152		BB
	Guaranteed Student Loan Transaction		148		B
	Guaranteed Student Loan Transaction		130		B
	Orlando Tourist Development Tax - Florida		118		B+
	Harrisburg (City of) Pennsylvania General Obligation		95		B-
	Puerto Rico Public Finance Corporation - Commonwealth Appropriation		86		BB+
	Rockland County New York		83		BB+
	Xenia Rural Water District, Iowa		81		B
	Bessemer City, Alabama - Water Revenue		58		BB+
	Guaranteed Student Loan Transaction		55		CCC
		Total	$	4,253

Non-U.S. public finance:
	Reliance Rail Finance Pty. Limited		$	694	BB
	M6 Duna Autopalya Koncesszios Zartkoruen Mukodo Reszvenytarsasag		386		BB
	Cross City Tunnel Motorway Finance Limited		319		BB
	Valencia Fair		249		BB-
	Aeroporti Di Roma (ADR) Romulus Finance S.R.L. (Rome Airport)		242		BB
	Autovia de la Mancha, S.A. (Vineyards2/Spain/Project/IIG/Swap)		140		BB-
	Alte Liebe I Limited (Wind Farm)		84		BB
	Metropolitano de Porto Lease and Sublease of Railroad Equipment		57		B+
		Total	$	2,171
Total			$	6,424

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (4 of 5)

As of September 30, 2012

(dollars in millions)

Structured Finance BIG Exposures Greater Than $50 Million



				Net Par Outstanding		Internal Rating	Current Credit Enhancement	60+ Day Delinquencies
Name or description
U.S. structured finance:
	U.S. RMBS:
		Deutsche Alt-A Securities Mortgage Loan 2007-2		$	679	CCC	0.0%	30.2%
		MABS 2007-NCW (includes $34.1 million purchased, 7% owned)⁽¹⁾		515		B	22.5%	59.5%
		Private Residential Mortgage Transaction		373		B	9.9%	27.4%
		Countrywide HELOC 2006-I		370		CCC	0.0%	5.8%
		Private Residential Mortgage Transaction		361		B	17.3%	26.5%
		Option One 2007-FXD2		356		CCC	10.9%	25.8%
		MortgageIT Securities Corp. Mortgage Loan 2007-2		348		B	6.1%	20.3%
		Private Residential Mortgage Transaction		336		CCC	5.8%	27.9%
		Deutsche Alt-A Securities Mortgage Loan 2007-3		335		B	1.9%	23.5%
		Countrywide HELOC 2006-F (includes $93.5 million purchased, 30% owned)⁽¹⁾		307		CCC	0.0%	15.4%
		Private Residential Mortgage Transaction		307		CCC	2.3%	31.8%
		Nomura Asset Accept. Corp. 2007-1 (includes $0.7 million purchased, 0.2% owned)⁽¹⁾		291		CCC	0.0%	41.3%
		Private Residential Mortgage Transaction		285		BB	14.0%	26.7%
		AAA Trust 2007-2 (includes $103.1 million purchased, 36% owned)⁽¹⁾		283		CCC	15.5%	39.5%
		Terwin Mortgage Trust 2006-12SL (100% owned)⁽¹⁾		247		B	—%	9.6%
		MASTR 2007-3 (NEGAM) (includes $48.5 purchased, 20% owned)		245		CCC	0.0%	49.8%
		Countrywide Home Equity Loan Trust 2005-J		239		CCC	0.0%	18.2%
		Countrywide Home Equity Loan Trust 2007-D		232		CCC	0.0%	6.7%
		Countrywide HELOC 2005-D		232		CCC	0.0%	12.4%
		Terwin Mortgage Trust 2007-1SL (100% owned)⁽¹⁾		203		B	—%	8.4%
		Countrywide HELOC 2007-A (includes $18.0 million purchased, 9% owned)⁽¹⁾		195		CCC	0.0%	5.2%
		Terwin Mortgage Trust 2006-10SL (includes $142.9 million purchased, 77% owned)⁽¹⁾		187		CCC	—%	5.1%
		GMACM 2004-HE3		180		B	0.0%	3.0%
		Countrywide HELOC 2007-B		180		CCC	0.0%	4.7%
		Soundview 2007-WMC1		179		CCC	—%	67.4%
		Private Residential Mortgage Transaction		169		BB	22.9%	31.8%
		New Century 2005-A		153		CCC	18.4%	33.3%
		FHABS 2007-HE1 HELOC		150		BB	0.0%	3.4%
		Renaissance (DELTA) 2007-3 (includes $132.5 million purchased, 91% owned)⁽¹⁾		146		CCC	8.2%	31.1%
		IndyMac 2007-H1 HELOC		140		CCC	0.0%	6.2%
		FHABS 2006-HE2 HELOC		126		BB	0.0%	3.8%
		CSAB 2006-3		120		CCC	0.0%	46.8%
		MARM 2007-1(FKA MASTR 2007-OA1)(includes $0.9 million purchased, 1% owned)⁽¹⁾		118		CCC	0.0%	36.3%
		Countrywide HELOC 2005-C		110		CCC	0.0%	10.7%
		Lehman Excess Trust 2007-16N		92		CCC	0.0%	48.3%
		Taylor Bean & Whitaker 2007-2 (includes $24.3 million purchased, 28% owned)⁽¹⁾		86		CCC	0.0%	20.7%
		Soundview Home Loan Trust 2008-1		78		BB	22.3%	33.5%
		CSAB 2006-2 (includes $11.7 million purchased, 15% owned)⁽¹⁾		78		CCC	0.0%	42.2%
		FlagStar HELOC 2005-1		77		BB	24.5%	3.9%
		FlagStar HELOC 2006-2		76		CCC	26.6%	4.5%
		American Home Mortgage Assets Trust 2007-4		74		CCC	0.0%	35.2%
		MASTR Asset-Backed Securities Trust 2005-NC2		73		CCC	—%	28.4%
		CSMC 2007-3 (includes $8.2 million purchased, 13% owned)⁽¹⁾		62		CCC	0.0%	30.3%
		Terwin Mortgage Trust 2005-16HE		62		CCC	—%	24.6%
		NAAC 2007-S2 (includes $1.8 million purchased, 3% owned)⁽¹⁾		60		CCC	0.0%	9.9%
		CWALT Alternative Loan Trust 2007-HY9		57		CCC	0.2%	47.8%
		Terwin Mortgage Trust 2007-6ALT (100% owned)⁽¹⁾		55		CCC	0.0%	38.8%
		Countrywide HELOC 2006-H (includes $20.0 million purchased, 36% owned)⁽¹⁾		55		CCC	—%	16.2%
		CSAB Mortgage-Backed Trust 2007-1 (includes $10.1 million purchased, 20% owned)⁽¹⁾		51		CCC	0.0%	34.4%
			Subtotal U.S. RMBS	$	9,733

1) Represents amounts of gross par which were purchased or obtained as part of loss mitigation strategies and recorded as part of the investment portfolio.

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (5 of 5)

As of September 30, 2012

(dollars in millions)

Structured Finance BIG Exposures Greater Than $50 Million (continued)



					Net Par Outstanding		Internal Rating	Current Credit Enhancement
Name or description
U.S. structured finance:
	Other:
		Taberna Preferred Funding IV, LTD			$	292	CCC	24.3%
		Taberna Preferred Funding III, LTD			287		CCC	16.0%
		Alesco Preferred Funding XVI, LTD.			241		B+	10.7%
		Taberna Preferred Funding II, LTD.			220		CCC	22.7%
		Alesco Preferred Funding XVII, LTD.			201		B+	17.7%
		Attentus CDO I Limited			195		BB	35.5%
		Trapeza CDO XI			158		BB-	35.3%
		Taberna Preferred Funding VI, LTD			152		CCC	17.8%
		US Capital Funding IV, LTD			142		B-	15.2%
		Alesco Preferred Funding VI			141		BB+	31.4%
		Preferred Term Securities XIX, LTD.			141		BB+	31.2%
		Weinstein Film Securitization			138		CCC	N/A
		Alesco Preferred Funding VII			130		BB+	32.5%
		NRG Peaker (100% owned)⁽¹⁾⁽²⁾			130		CCC	N/A
		Trapeza CDO X, LTD.			124		BB-	37.4%
		Taberna Preferred Funding VIII, LTD			117		BB	46.3%
		Preferred Term Securities XVI, LTD.			116		B	23.7%
		Taberna Preferred Funding VIII, LTD			112		BB	46.3%
		Private Other Non-Municipal Transaction (100% owned)⁽¹⁾			111		CCC	N/A
		National Collegiate Trust Series 2007-4			81		CCC	N/A
		America West Airlines Series 2000-1 G-1			76		BB	N/A
		Conseco Finance Manufactured Housing Series 2001-2			75		CCC	15.4%
		National Collegiate Trust Series 2007-3			69		CCC	N/A
		CAPCO - Excess SIPC Excess of Loss Reinsurance			63		BB	N/A
		GreenPoint 2000-4			58		CCC	7.7%
		Preferred Term Securities XVIII, LTD.			57		BB	33.6%
		Preferred Term Securities XX, LTD.			52		BB	27.6%
			Subtotal other		$	3,679
				Subtotal U.S. structured finance	$	13,412

Non-U.S. structured finance:
	Ballantyne Re Plc (includes $169.8 million purchased, 34% owned)⁽¹⁾				$	500	CC	N/A
	Orkney Re II, Plc				423		CCC	N/A
	Gleneagles Funding LTD (1st Issue)				230		BB	N/A
	FHB 8.95% 2016				125		BB+	N/A
	Augusta Funding Limited 07 Perpetual Note Issue				81		BB	N/A
	Private Pooled Corporate Transaction				81		BB	N/A
	Augusta Funding Limited 05 Perpetual Note Issue				80		BB	N/A
	Private Pooled Corporate Transaction				64		BB	N/A
	Private Pooled Corporate Transaction				56		BB	N/A
				Subtotal Non-U.S. structured finance	$	1,640
	Total				$	15,052

1) Represents amounts of gross par which were purchased or obtained as part of loss mitigation strategies and recorded as part of the investment portfolio.

2) Net par shown is net of $80 million of ceded par. The Company owns 100% of the collateral in the insured transaction.

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

Assured Guaranty Ltd.

Largest Exposures by Sector (1 of 4)

As of September 30, 2012

(dollars in millions)

50 Largest U.S. Public Finance Exposures



Credit Name			Net Par Outstanding		Internal Rating
	New Jersey (State of)		$	4,323	A+
	California (State of)		3,444		BBB+
	New York (City of) New York		3,281		AA-
	Massachusetts (Commonwealth of)		2,965		AA
	Chicago (City of) Illinois		2,770		A+
	New York MTA Transportation Authority		2,599		A
	New York (State of)		2,573		A+
	Miami-Dade County Florida Aviation Authority - Miami International Airport		2,444		A
	Los Angeles California Unified School District		2,279		AA-
	Puerto Rico (Commonwealth of)		2,216		BBB-
	Port Authority of New York and New Jersey		2,209		AA-
	Houston Texas Water and Sewer Authority		2,130		AA-
	Wisconsin (State of)		2,116		A+
	Illinois (State of)		2,001		A
	University of California Board of Regents		1,925		AA
	Washington (State of)		1,911		AA
	Philadelphia (City of) Pennsylvania		1,909		BBB
	Pennsylvania (Commonwealth of)		1,823		AA-
	Michigan (State of)		1,699		A+
	Chicago-O'Hare International Airport		1,656		A
	Los Angeles California Department of Water & Power - Electric Revenue Bonds		1,601		AA-
	Illinois Toll Highway Authority		1,571		AA
	New York City Municipal Water Finance Authority		1,571		AA
	Miami-Dade County Florida School Board		1,539		A-
	Arizona (State of)		1,503		A
	Long Island Power Authority		1,474		A-
	Chicago Illinois Public Schools		1,455		A+
	Atlanta Georgia Water & Sewer System		1,422		BBB+
	New Jersey Turnpike Authority		1,414		A-
	Massachusetts (Commonwealth of) State Sales Tax		1,409		AA
	Metro Washington Airport Authority		1,405		A+
	Massachusetts (Commonwealth of) Water Resources		1,365		AA
	Philadelphia Pennsylvania School District		1,305		A
	Puerto Rico Highway and Transportation Authority		1,265		BBB
	Georgia Board of Regents		1,254		A
	Orlando-Orange County Expressway Authority, Florida		1,180		A+
	Kentucky (Commonwealth of)		1,163		A+
	California State University System Trustee		1,152		A+
	Connecticut (State of)		1,147		AA-
	Pennsylvania Turnpike Commission		1,113		A-
	Detroit Michigan Sewer		1,111		BBB+
	District of Columbia		1,110		A+
	Skyway Concession Company LLC		1,102		BB
	North Texas Tollway Authority		1,087		A
	Broward County Florida School Board		1,044		A+
	New York State Thruway - Highway Trust Fund		1,044		AA-
	New York State Thruway Authority		1,024		A
	Louisiana (State of) Gas and Fuel Tax		1,010		AA
	San Diego County, California Water		984		AA
	Garden State Preservation Trust, New Jersey Open Space & Farmland		982		AA
		Total top 50 U.S. public finance exposures	$	86,079

Note: 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 4)

As of September 30, 2012

(dollars in millions)

50 Largest U.S. Structured Finance Exposures



Credit Name			Net Par Outstanding		Internal Rating	Credit Enhancement
	Fortress Credit Opportunities I, LP.		$	1,328	AA	32.3%
	Stone Tower Credit Funding		1,254		AAA	26.5%
	Synthetic Investment Grade Pooled Corporate CDO		1,189		AAA	13.5%
	Synthetic High Yield Pooled Corporate CDO		978		AAA	40.1%
	Synthetic Investment Grade Pooled Corporate CDO		768		Super Senior	14.9%
	Synthetic Investment Grade Pooled Corporate CDO		763		Super Senior	29.0%
	Synthetic Investment Grade Pooled Corporate CDO		745		Super Senior	28.3%
	Synthetic High Yield Pooled Corporate CDO		734		AAA	37.4%
	Mizuho II Synthetic CDO		718		A	N/A
	Synthetic Investment Grade Pooled Corporate CDO		708		Super Senior	22.5%
	Deutsche Alt-A Securities Mortgage Loan 2007-2		679		CCC	0.0%
	280 Funding I		660		AAA	38.3%
	Synthetic Investment Grade Pooled Corporate CDO		655		AAA	15.8%
	ARES Enhanced Credit Opportunities Fund		594		AAA	33.9%
	Eastland CLO, LTD		532		Super Senior	39.4%
	Synthetic Investment Grade Pooled Corporate CDO		516		Super Senior	14.4%
	MABS 2007-NCW (includes $34.1 million purchased, 7% owned)		516		B	22.5%
	Denali CLO VII, LTD.		497		AAA	19.8%
	Synthetic High Yield Pooled Corporate CDO		496		AAA	46.7%
	Shenandoah Trust Capital I Term Securities		484		A+	N/A
	Churchill Financial Cayman		467		AAA	35.2%
	Phoenix CLO II		452		AAA	21.5%
	SLM Private Credit Student Trust 2007-A		450		BBB-	13.2%
	LIICA Holdings, LLC		428		AA	N/A
	KKR Financial CLO 2007-1		409		AAA	51.6%
	Grayson CLO		399		Super Senior	30.0%
	SLM Private Credit Student Loan Trust 2007-6		392		AAA	3.7%
	Synthetic Investment Grade Pooled Corporate CDO		380		Super Senior	29.5%
	Private Residential Mortgage Transaction		373		B	9.9%
	Countrywide HELOC 2006-I		370		CCC	0.0%
	ARES Enhanced Credit Opportunities Fund		369		AAA	33.9%
	Symphony Credit Opportunities Fund		364		AAA	26.5%
	Stone Tower CLO V		362		Super Senior	28.8%
	Private Residential Mortgage Transaction		361		B	17.3%
	Synthetic Investment Grade Pooled Corporate CDO		360		Super Senior	14.4%
	SLM Private Credit Student Loan Trust 2006-C		356		BBB-	12.2%
	Option One 2007-FXD2		356		CCC	10.9%
	MortgageIT Securities Corp. Mortgage Loan 2007-2		348		B	6.1%
	MUIR GROVE CLO		345		AAA	21.8%
	Southfork CLO LTD. Series 2005-A1		345		AAA	31.3%
	Synthetic Investment Grade Pooled Corporate CDO		343		AAA	16.5%
	CIFC Funding 2006-1		342		AAA	24.1%
	CENTURION CDO 9		340		AAA	22.7%
	Private Residential Mortgage Transaction		336		CCC	5.8%
	Deutsche Alt-A Securities Mortgage Loan 2007-3		335		B	1.9%
	Private Other Structured Finance Transaction		332		A-	N/A
	Countrywide HELOC 2006-F (includes $93.5 million purchased, 30% owned)		307		CCC	0.0%
	Cent CDO 15 Limited		307		Super Senior	18.5%
	Private Residential Mortgage Transaction		307		CCC	2.3%
	Prudential Closed Block Reinsurance Treaty		300		A+	N/A
		Total top 50 U.S. structured finance exposures	$	25,749

Note: 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 4)

As of September 30, 2012

(dollars in millions)

25 Largest Non-U.S. Exposures



Credit Name			Net Par Outstanding		Internal Rating
	Quebec Province		$	2,384	A+
	Sydney Airport Finance Company		1,574		BBB
	Thames Water Utility Finance PLC		1,534		A-
	Channel Link Enterprises Finance PLC		945		BBB
	Fortress Credit Investments I		917		AAA
	Southern Gas Networks PLC		859		BBB
	International AAA Sovereign Debt Synthetic CDO		821		AAA
	Capital Hospitals (Issuer) PLC		759		BBB-
	Campania Region - Healthcare receivable		727		BBB-
	Japan Expressway Holding and Debt Repayment Agency		712		AA
	Southern Water Services Limited		699		A-
	Reliance Rail Finance Pty. Limited		694		BB
	Essential Public Infrastructure Capital II		688		Super Senior
	International Infrastructure Pool		688		A-
	International Infrastructure Pool		688		A-
	International Infrastructure Pool		688		A-
	Societe des Autoroutes du Nord et de l'est de France S.A.		669		BBB+
	Envestra Limited		557		BBB-
	Central Nottinghamshire Hospitals PLC		555		BBB
	Powercor Australia LLC		539		A-
	Synthetic Investment Grade Pooled Corporate CDO		528		Super Senior
	NewHospitals (St Helens & Knowsley) Finance PLC		507		AA-
	Scotland Gas Networks Plc (A2)		502		BBB
	Ballantyne Re Plc (includes $169.8 million purchased, 34% owned)⁽¹⁾		500		CC
	Integrated Accomodation Services PLC		496		BBB+
		Total top 25 non-U.S. exposures	$	20,230

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

Assured Guaranty Ltd.

Largest Exposures by Sector (4 of 4)

As of September 30, 2012

(dollars in millions)

10 Largest U.S. Residential Mortgage Servicer Exposures



Servicer:			Net Par Outstanding
	Bank of America, N.A.⁽¹⁾		$	6,201
	Wells Fargo Bank, N.A.		2,314
	Homeward Residential, Inc.		2,159
	Ally Financial, Inc.⁽²⁾		1,586
	Specialized Loan Servicing LLC		1,442
	Ocwen Loan Servicing, LLC		1,394
	JPMorgan Chase Bank		1,148
	Select Portfolio Servicing, Inc.		838
	OneWest Bank Group LLC		473
	Carrington Mortgage Services, LLC		327
		Total top 10 U.S. residential mortgage servicer exposures	$	17,882

10 Largest U.S. Healthcare Exposures

Credit Name:

Net Par Outstanding

Internal Rating

State

CHRISTUS Health

444

A+

MultiCare Health System

444

A+

Methodist Healthcare, TN

373

Hospital Sisters Health Services Inc Obligated Group

345

AA-

Catholic Health Partners

336

A+

Children's National Medical Center (DC)

329

BBB+

Bon Secours Health System Obligated Group

326

A-

Carolina HealthCare System

319

AA-

Iowa Health System

318

A+

Virtua Health - New Jersey

315

A+

Total top 10 U.S. healthcare exposures

3,549

(1) Includes Countrywide Home Loans Servicing LP.

(2) Includes GMAC Mortgage LLC, Residential Funding Corp and Homecomings Financial Network, Inc.

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

Assured Guaranty Ltd.

Rollforward of Net Expected Loss and LAE to be Paid

(dollars in millions)

Rollforward of Net Expected Loss and LAE to be Paid for the Three Months Ended September 30, 2012



Financial Guaranty Insurance Contracts and Credit Derivatives				Net Expected Loss to be Paid as of June 30, 2012			Economic Loss development During 3Q-12⁽¹⁾			(Paid) Recovered Losses During 3Q-12			Net Expected Loss to be Paid as of September 30, 2012
U.S. RMBS
	First lien:
		Prime first lien		$	4		$	1		$	—		$	5
		Alt-A first lien		321			14			(24		)	311
		Option ARMs		3			3			(96		)	(90		)
		Subprime first lien		236			13			(10		)	239
			Total first lien	564			31			(130		)	465
	Second lien:
		Closed end seconds		(29		)	4			—			(25		)
		HELOC		(64		)	(13		)	(30		)	(107		)
			Total second lien	(93		)	(9		)	(30		)	(132		)
Total U.S. RMBS				471			22			(160		)	333
TruPS				50			5			(2		)	53
Other structured finance				320			(3		)	(2		)	315
U.S. public finance				59			7			(56		)	10
Non-U.S. public finance				302			33			(289		)	46
			Subtotal	1,202			64			(509		)	757
Other				(4		)	—			—			(4		)
Total				$	1,198		$	64		$	(509	)	$	753

Rollforward of Net Expected Loss and LAE to be Paid for the Nine Months Ended September 30, 2012



Financial Guaranty Insurance Contracts and Credit Derivatives				Net Expected Loss to be Paid as of December 31, 2011			Economic Loss development During 2012⁽¹⁾			(Paid) Recovered Losses During 2012			Net Expected Loss to be Paid as of September 30, 2012
U.S. RMBS
	First lien:
		Prime first lien		$	2		$	3		$	—		$	5
		Alt-A first lien		295			27			(11		)	311
		Option ARMs		210			12			(312		)	(90		)
		Subprime first lien		241			39			(41		)	239
			Total first lien	748			81			(364		)	465
	Second lien:
		Closed end seconds		(86		)	—			61			(25		)
		HELOC		(31		)	9			(85		)	(107		)
			Total second lien	(117		)	9			(24		)	(132		)
Total U.S. RMBS				631			90			(388		)	333
TruPS				64			(6		)	(5		)	53
Other structured finance				342			7			(34		)	315
U.S. public finance				16			65			(71		)	10
Non-U.S. public finance				51			215			(220		)	46
			Subtotal	1,104			371			(718		)	757
Other				2			(6		)	—			(4		)
Total				$	1,106		$	365		$	(718	)	$	753

1) Includes the effect of changes in the Company's estimate of future recovery on representations and warranties ("R&W").

Assured Guaranty Ltd.

Financial Guaranty Insurance and Credit Derivative U.S. RMBS R&W Benefit Development

(dollars in millions)

Financial Guaranty Insurance and Credit Derivatives U.S. RMBS Benefit Development for the Three Months Ended September 30, 2012



			Future Net R&W Benefit at June 30, 2012		R&W Economic Loss Development During 3Q-12			R&W Recovered During 3Q-12			Future Net R&W Benefit at September 30, 2012
Financial guaranty insurance:
	Prime first lien		$	4	$	—		$	—		$	4
	Alt-A first lien		160		2			(3		)	159
	Option ARMs		697		(9		)	(81		)	607
	Subprime first lien		93		11			—			104
	Closed end seconds		137		2			(3		)	136
	HELOC		122		6			(8		)	120
		Subtotal	$	1,213	$	12		$	(95	)	$	1,130

Credit derivatives
	Alt-A first lien		$	227	$	(2	)	$	—		$	225
	Option ARMs		14		2			—			16
		Subtotal	$	241	$	—		$	—		$	241

Total			$	1,454	$	12		$	(95	)	$	1,371

Financial Guaranty Insurance and Credit Derivatives U.S. RMBS R&W Benefit Development for the Nine Months Ended September 30, 2012



			Future Net R&W Benefit at December 31, 2011		R&W Economic Loss Development During 3Q-12		R&W Recovered During 3Q-12			Future Net R&W Benefit at September 30, 2012
Financial guaranty insurance:
	Prime first lien		$	3	$	1	$	—		$	4
	Alt-A first lien		203		23		(67		)	159
	Option ARMs		714		50		(157		)	607
	Subprime first lien		101		3		—			104
	Closed end seconds		224		—		(88		)	136
	HELOC		190		6		(76		)	120
		Subtotal	$	1,435	$	83	$	(388	)	$	1,130

Credit derivatives
	Alt-A first lien		$	204	$	21	$	—		$	225
	Option ARMs		11		5		—			16
		Subtotal	$	215	$	26	$	—		$	241

Total			$	1,650	$	109	$	(388	)	$	1,371

Financial Guaranty Insurance and Credit Derivatives U.S. RMBS Policies with R&W Benefit



			Number of Risks as of		Debt Service as of
			September 30, 2012	December 31, 2011	September 30, 2012		December 31, 2011
Financial guaranty insurance:
	Prime first lien		1	1	$	36	$	42
	Alt-A first lien		19	22	1,414		1,733
	Option ARMs		9	12	912		1,460
	Subprime first lien		5	5	813		906
	Closed end seconds		4	4	237		361
	HELOC		4	15	174		2,978
		Subtotal	42	59	$	3,586	$	7,480

Credit derivatives
	Alt-A first lien		7	7	$	2,768	$	2,939
	Option ARMs		1	1	348		383
		Subtotal	8	8	$	3,116	$	3,322

Total			50	67	$	6,702	$	10,802

Assured Guaranty Ltd.

Losses Incurred

As of September 30, 2012

(dollars in millions)



Financial Guaranty Insurance Contracts and Credit Derivatives				Total Net Par Outstanding for BIG Transactions⁽¹⁾		3Q-12 Losses Incurred			2012 Losses Incurred			Net Reserve and Credit Impairment			Net Salvage and Subrogation Assets		Net Expected Loss to be Expensed
U.S. RMBS
	First lien:
		Prime first lien		$	490	$	1		$	2		$	3		—		1
		Alt-A first lien		3,708		22			41			178			—		124
		Option ARMs		1,219		23			101			97			212		116
		Subprime first lien		2,321		9			39			148			—		79
			Total first lien	7,738		55			183			426			212		320
	Second lien:
		Closed end seconds		863		5			6			8			67		92
		HELOC		2,851		2			21			41			194		154
			Total second lien	3,714		7			27			49			261		246
Total U.S. RMBS				11,452		62			210			475			473		566
TruPS				2,977		—			(37		)	37			—		2
Other structured finance				2,903		(2		)	23			286			5		52
U.S. public finance				4,771		2			47			80			103		33
Non-U.S. public finance				2,266		38			232			29			—		18
			Subtotal	24,369		100			475			907			581		671

Effect of consolidating FG VIEs				—		1			(1		)	(65		)	(204	)	(195	)

			Subtotal	24,369		101			474			842			377		476

Other				—		—			(6		)	2			6		—

Total				$	24,369	$	101		$	468		$	844		383		476



		Insurance Reserves		Credit Impairment on Credit Derivative Contracts ⁽²⁾		Reserve and Credit Impairment		Salvage and Subrogation Recoverable			Net
Gross		$	594	$	322	$	916	$	430		$	486
Ceded		56		16		72		47		(3)	25
	Net	$	538	$	306	$	844	$	383		$	461

1) As of September 30, 2012, securities purchased for loss mitigation purposes represented $1,563 million of gross par outstanding. In addition, under the terms of certain credit derivative contracts, the Company has obtained the underlying collateral of transactions and recorded it in invested assets in the consolidated balance sheets. Such amounts totaled $243 million in gross par outstanding.

2) Credit derivative assets and liabilities recorded on the balance sheet considers estimates of expected losses.

3) Recorded in "reinsurance balances payable, net" on the consolidated balance sheets.

Assured Guaranty Ltd.

Effect of Adoption of New Accounting Guidance on Acquisition Costs

(dollars in millions, except per share amounts)



					Year Ended December 31,
		As of and for Nine Months Ended September 30, 2011			2011			2010			2009			2008
GAAP Income Statement Data
	Amortization of deferred acquisition costs	$	(11	)	$	(14	)	$	(12	)	$	(10	)	$	(8	)
	Other operating expenses	15			19			(26		)	17			22
	Total expenses	4			5			15			7			14
	Income (loss) before income taxes	(4		)	(5		)	(15		)	(7		)	(14		)
	Net income (loss) attributable to Assured Guaranty Ltd.	(2		)	(3		)	(9		)	(4		)	(9		)
	Net income (loss) attributable to Assured Guaranty Ltd. per diluted share	(0.01		)	(0.02		)	(0.05		)	(0.03		)	(0.10		)

GAAP Balance Sheet Data
	Deferred acquisition costs	(98		)	(99		)	(94		)	(80		)	(72		)
	Shareholders’ equity attributable to Assured Guaranty Ltd.	(66		)	(67		)	(64		)	(55		)	(50		)
	Book value attributable to Assured per share	(0.36		)	(0.37		)	(0.35		)	(0.30		)	(0.56		)

Non-GAAP Financial Measures⁽¹⁾
	Operating income	(2		)	(3		)	(9		)	(5		)	(9		)
	Operating income per diluted share	(0.01		)	(0.02		)	(0.05		)	(0.03		)	(0.11		)
	Operating shareholders' equity	(66		)	(67		)	(64		)	(55		)	(50		)
	Operating shareholders' equity per share	(0.36		)	(0.37		)	(0.35		)	(0.30		)	(0.56		)

1) The adoption of new accounting guidance on acquisition costs had no effect on adjusted book value and adjusted book value per share.

Assured Guaranty Ltd.

Summary Financial and Statistical Data

(dollars in millions, except per share amounts)



						Year Ended December 31,
			As of and for Nine Months Ended September 30, 2012			2011		2010		2009		2008
GAAP Summary Income Statement Data
	Net earned premiums		$	635		$	920	$	1,187	$	930	$	261
	Net investment income		301			396		361		262		163
	Realized gains and other settlements on credit derivatives		(78		)	6		153		164		118
	Total expenses		707			790		779		808		455
	Income (loss) before income taxes		37			1,029		535		109		98
	Net income (loss) attributable to Assured Guaranty Ltd.		36			773		484		82		60
	Net income (loss) attributable to Assured Guaranty Ltd. per diluted share		0.19			4.16		2.56		0.63		0.67

GAAP Summary Balance Sheet Data
	Total investments and cash		$	11,220		$	11,314	$	10,849	$	11,013	$	3,644
	Total assets		17,563			18,025		19,778		16,725		4,505
	Unearned premium reserve		5,332			5,963		6,973		8,381		1,234
	Loss and LAE reserve		594			679		574		300		197
	Long-term debt		840			1,038		1,053		1,066		347
	Shareholders’ equity attributable to Assured Guaranty Ltd.		4,952			4,652		3,669		3,455		1,876
	Book value attributable to Assured per share		25.53			25.52		19.97		18.76		20.62

Non-GAAP Financial Measures
	Operating income		$	351		$	601	$	655	$	278	$	65
	Operating income per diluted share		1.85			3.24		3.46		2.15		0.73
	Adjusted book value		9,134			8,987		8,989		8,887		3,818
	PVP		141			243		363		640		823

Other Financial Information (GAAP Basis)
	Net debt service outstanding (end of period)		$	809,728		$	845,665	$	927,143	$	958,265	$	348,816
	Gross debt service outstanding (end of period)		863,808			936,132		1,029,982		1,095,037		354,858
	Net par outstanding (end of period)		536,393			558,048		617,131		640,422		222,722
	Gross par outstanding (end of period)		569,583			614,342		681,248		726,929		227,164

Other Financial Information (Statutory Basis)⁽¹⁾
	Net debt service outstanding (end of period)		$	787,739		$	829,545	$	905,131	$	942,193	$	348,816
	Gross debt service outstanding (end of period)		840,554			917,719		1,004,096		1,076,039		354,858
	Net par outstanding (end of period)		516,138			543,100		598,843		626,274		222,722
	Gross par outstanding (end of period)		548,183			597,290		659,765		709,786		227,164

	Consolidated qualified statutory capital		5,877			5,688		4,915		4,841		2,310
	Consolidated policyholders' surplus and reserves		10,411			10,626		10,247		10,409		3,652

	Ratios:
		Par insured to statutory capital	88		:1	95:1		122:1		129:1		96:1
		Capital ratio⁽²⁾	134		:1	146:1		184:1		195:1		151:1
		Financial resources ratio⁽³⁾	63		:1	65:1		72:1		72:1		70:1

	Gross debt service written:
		Public finance - U.S.	$	19,547		$	26,630	$	48,990	$	87,940	$	68,265
		Public finance - non-U.S.	40			208		51		894		3,350
		Structured finance - U.S.	223			1,731		2,962		2,501		13,972
		Structured finance - non-U.S.	—			—		—		—		5,490
	Total gross debt service written		$	19,810		$	28,569	$	52,003	$	91,335	$	91,077

	Net debt service written		$	19,810		$	28,569	$	52,003	$	91,335	$	89,871
	Net par written		12,775			16,892		30,759		49,759		55,418
	Gross par written		12,775			16,892		30,759		49,921		56,140

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

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

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

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

Glossary

Net Par Outstanding and Internal Ratings

Internal Rating for the Company’s ratings scale 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. The super senior category, which is not generally used by rating agencies, is used by the Company in instances where Assured Guaranty's AAA-rated exposure on its internal rating scale has additional credit enhancement due to either (a) the existence of another security rated AAA that is subordinated to Assured Guaranty's exposure or (b) Assured Guaranty's exposure benefiting from a different form of credit enhancement that would pay any claims first in the event that any of the exposures incurs a loss, and such credit enhancement, in management's opinion, causes Assured Guaranty's attachment point to be materially above the AAA attachment point.

Net par outstanding is insured par exposure net of reinsurance cessions.

Performance Indicators

The performance information described below is obtained from third parties and/or provided by the trustee and may be subject to restatement or correction:

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.

Cumulative Losses are defined as net charge-offs on the underlying loan collateral divided by the original collateral balance.

Pool Factor is the percentage of the current collateral balance divided by the original collateral balance of the transactions at inception.

Subordination represents the sum of subordinate tranches and overcollateralization, expressed as a percentage of total transaction size, and does not include any benefit from excess spread collections that may be used to absorb losses. Many of the closed-end second lien RMBS transactions insured by the Company have unique structures whereby the collateral may be written down for losses without a corresponding write-down of the obligations insured by the Company. Many of these transactions are currently undercollateralized, with the principal amount of collateral being less than the principal amount of the obligation insured by the Company. The Company is not required to pay principal shortfalls until legal maturity (rather than making timely principal payments), and takes the undercollateralization into account when estimating expected losses for these transactions.

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 December 31, 2011.

Public Finance:

General Obligation Bonds are full faith and credit bonds 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 ad valorem 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. They include tax-backed revenue bonds, general fund obligations and lease revenue bonds. Tax-backed obligations may be secured by a lien on specific pledged tax revenues, such as a gasoline or excise 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. Bonds in this category also include moral obligations of municipalities or governmental authorities.

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 bonds, 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.

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.

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.

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

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.

Regulated Utilities Obligations are issued by government‑-regulated providers of essential services and commodities, including electric, water and gas utilities. The majority of the Company's international regulated utility business is conducted in the United Kingdom.

Pooled Infrastructure Obligations are synthetic asset‑-backed obligations that take the form of CDS 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.

Other Public Finance primarily includes government insured student loans, government-sponsored project finance and structured municipal transactions, which includes excess of loss reinsurance on portfolios of municipal credits.

Structured Finance:

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.

Residential Mortgage-Backed Securities (‘‘RMBS’’) and Home Equity Securities are obligations backed by closed-end first mortgage loans and closed- and open-end second mortgage loans or home equity loans on one-to-four family residential properties, including condominiums and cooperative apartments. First mortgage loan products in these transactions include fixed rate, adjustable rate (‘‘ARM’’) and option adjustable-rate (‘‘Option ARM’’) mortgages. 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, usually as determined by credit score and/or credit history. An Alt-A borrower is generally defined as a prime quality borrower that lacks certain ancillary characteristics, such as fully documented income.

Additional insured obligations within RMBS include Home Equity Lines of Credit (“HELOCs”), which refers to a type of residential mortgage-backed transaction backed by second-lien loan collateral consisting of home equity lines of credit. U.S. Prime First Lien is a type of residential mortgage-backed securities transaction backed primarily by prime first-lien loan collateral plus an insignificant amount of other miscellaneous RMBS transactions.

CBOs/CLOs (collateralized bond obligations and collateralized loan obligations) are asset-backed securities largely backed by non-investment grade/high yield collateral.

Commercial Mortgage-Backed Securities (‘‘CMBS’’) are obligations backed by pools of commercial mortgages. The collateral supporting CMBS include office, multifamily, retail, hotel, industrial and other specialized or mixed-use properties.

Financial Products is the guaranteed investment contracts ("GICs") portion of the former Financial Products Business of AGMH. AGM has issued financial guaranty insurance policies on the GICs and in respect of the GICs business that cannot be revoked or cancelled. Assured Guaranty is indemnified against exposure to the former financial products business by Dexia SA and certain of its affiliates. In addition, the French and Belgian governments have issued guaranties in respect of the GICs portion of the financial products business. The financial products business is currently being run off.

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

Commercial Receivables Securities are obligations backed by equipment loans or leases, fleet auto financings, business loans and trade receivables. Credit support is derived from the cash flows generated by the underlying obligations, as well as property or equipment values as applicable.

Glossary (continued)

Sectors (continued)

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

Structured Credit Securities include program-wide credit enhancement for commercial paper conduits in the U.S., and securities issued in whole business securitizations and intellectual property securitizations. Program-wide credit enhancement generally involves insuring against the default of ABS in a bank-sponsored commercial paper conduit. Securities issued in whole business and intellectual property securitizations are backed by revenue-producing assets sold to a limited-purpose company by an operating company, including franchise agreements, lease agreements, intellectual property and real property.

Other Structured Finance Securities are obligations backed by assets not generally described in any of the other described categories. One such type of asset is a tax benefit to be realized by an investor in one of the Federal or state programs that permit such investor to receive a credit against taxes (such as Federal corporate income tax or state insurance premium tax) for making qualified investments in specified enterprises, typically located in designated low-income areas.

Non-GAAP Financial Measures

The Company references financial measures that are not in accordance with accounting principles generally accepted in the United States of America (“GAAP”).

Management and the board of directors utilize non-GAAP measures in evaluating the Company’s financial performance and as a basis for determining senior management incentive compensation. By providing these non-GAAP financial measures, investors, analysts and financial news reporters have access to the same information that management reviews internally. In addition, Assured Guaranty’s presentation of non-GAAP financial measures is consistent with how analysts calculate their estimates of Assured Guaranty’s financial results in their research reports on Assured Guaranty and with how investors, analysts and the financial news media evaluate Assured Guaranty’s financial results.

The following paragraphs define each non-GAAP financial measure and describe why it is useful. A reconciliation of the non-GAAP financial measure and the most directly comparable GAAP financial measure, if available, is presented within this financial supplement. Non-GAAP financial measures should not be viewed as substitutes for their most directly comparable GAAP measures.

Operating Income: Management believes that operating income is a useful measure because it clarifies the understanding of the underwriting results of the Company’s financial guaranty insurance business, and also includes financing costs and net investment income, and enables investors and analysts to evaluate the Company’s financial results as compared with the consensus analyst estimates distributed publicly by financial databases. Operating income is defined as net income (loss) attributable to Assured Guaranty Ltd., as reported under GAAP, adjusted for the following:

1) Elimination of the after-tax 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. Trends in the underlying profitability of the Company’s business can be more clearly identified without the fluctuating effects of these transactions.

2) Elimination of the after-tax non-credit-impairment unrealized fair value gains (losses) on credit derivatives, which is the amount 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. Additionally, such adjustments present all financial guaranty contracts on a more consistent basis of accounting, whether or not they are subject to derivative accounting rules.

3) Elimination of the after-tax fair value gains (losses) on the Company’s committed capital securities. Such amounts 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.

4) Elimination of the after-tax foreign exchange gains (losses) on remeasurement of net premium receivables and loss and LAE reserves. Long-dated receivables constitute a significant portion of the net premium receivable balance and represent the present value of future contractual or expected collections. Therefore, the current period’s foreign exchange remeasurement gains (losses) are not necessarily indicative of the total foreign exchange gains (losses) that the Company will ultimately recognize.

5) Elimination of the effects of consolidating FG VIEs in order to present all financial guaranty contracts on a more consistent basis of accounting, whether or not GAAP requires consolidation. GAAP requires the Company to consolidate certain VIEs that have issued debt obligations insured by the Company even though the Company does not own such VIEs.

Operating Shareholders’ Equity: Management believes that operating shareholders’ equity is a useful measure because it presents the equity of Assured Guaranty Ltd. with all financial guaranty contracts accounted for on a more consistent basis and excludes fair value adjustments that are not expected to result in economic loss. Many investors, analysts and financial news reporters use operating shareholders’ equity as the principal financial measure for valuing Assured Guaranty Ltd.’s current share price or projected share price and also as the basis of their decision to recommend, buy or sell Assured Guaranty Ltd.’s common shares. Many of the Company’s fixed income investors also use operating shareholders’ equity to evaluate the Company’s capital adequacy. Operating shareholders’ equity is the basis of the calculation of adjusted book value (see below). Operating shareholders’ equity is defined as shareholders’ equity attributable to Assured Guaranty Ltd. , as reported under GAAP, adjusted for the following:

1) Elimination of the effects of consolidating FG VIEs in order to present all financial guaranty contracts on a more consistent basis of accounting, whether or not GAAP requires consolidation. GAAP requires the Company to consolidate certain VIEs that have issued debt obligations insured by the Company even though the Company does not own such VIEs.

Non-GAAP Financial Measures (continued)

Operating Shareholders’ Equity (continued):

4) Elimination of the after-tax unrealized gains (losses) on the Company’s investments, that are recorded as a component of accumulated other comprehensive income ("AOCI") (excluding foreign exchange remeasurement). 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 should not recognize an economic gain or loss.

Operating return on equity (‘‘Operating ROE’’): Operating ROE represents operating income for a specified period divided by the average of operating shareholders’ equity at the beginning and the end of that period. Management believes that 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 operating ROE to evaluate Assured Guaranty Ltd.’s share price and as the basis of their decision to recommend, buy or sell the Assured Guaranty Ltd. common shares. Quarterly and year-to-date operating ROE are calculated on an annualized basis.

Adjusted Book Value: Management believes that adjusted book value is a useful measure because it enables an evaluation of the net present value of the Company’s in-force premiums and revenues in addition to operating shareholders’ equity. The 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. Many investors, analysts and financial news reporters use adjusted book value to evaluate Assured Guaranty Ltd.’s share price and as the basis of their decision to recommend, buy or sell the Assured Guaranty Ltd. common shares. Adjusted book value is operating shareholders’ equity, as defined above, further adjusted for the following:

1) Elimination of after-tax 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 after-tax net present value of estimated net future credit derivative revenue. See below.

3) Addition of the after-tax value of the unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed, net of reinsurance. This amount represents the expected future net earned premiums, net of expected losses to be expensed. Net expected losses to be expensed are not reflected in GAAP equity.

Net present value of estimated net future credit derivative revenue: Management believes that this amount is a useful measure because it enables an evaluation of the value of future estimated credit derivative revenue. There is no corresponding GAAP financial measure. This amount represents the present value of estimated future revenue from the Company’s credit derivative in-force book of business, net of reinsurance, ceding commissions and premium taxes for contracts without expected economic losses, and is discounted at 6%. Estimated net future credit derivative revenue may change from period to period 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.

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 for Assured Guaranty by taking into account the value of estimated future installment premiums on all new contracts underwritten in a reporting period as well as premium supplements and additional installment premium on existing contracts as to which the issuer has the right to call the insured obligation but has not exercised such right, whether in insurance or credit derivative contract form, which GAAP gross premiums written and the net credit derivative premiums received and receivable portion of net realized gains and other settlement on credit derivatives (“Credit Derivative Revenues”) do not adequately measure. PVP in respect of financial guaranty 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, in each case, discounted at 6%. For purposes of the PVP calculation, management discounts estimated future installment premiums on insurance contracts at 6%, while under GAAP, these amounts 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 future net earned or written premiums and Credit Derivative Revenues may differ from PVP 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

Managing Director, Investor Relations and Corporate Communications

(212) 339-0861

rtucker@assuredguaranty.com

Michael Walker

Managing Director, Fixed Income Investor Relations

(212) 261-5575

mwalker@assuredguaranty.com

Ross Aron

Vice President, Equity Investor Relations

(212) 261-5509

raron@assuredguaranty.com

Media:

Ashweeta Durani

Vice President, Corporate Communications

(212) 408-6042

adurani@assuredguaranty.com

ASSURED GUARANTY LTD - FORM 8-K - EX-99.2 - AGL FINANCIAL SUPPLEMENT - November 8, 2012

Attached files