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

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EX-99.1 - AGL PRESS RELEASE - ASSURED GUARANTY LTD	agl4q19pressrelease.htm
8-K - 8-K - ASSURED GUARANTY LTD	a8-k4q2019agl.htm

Assured Guaranty Ltd.

December 31, 2019

Financial Supplement



Table of Contents		Page
	Selected Financial Highlights	1
	Consolidated Balance Sheets (unaudited)	3
	Consolidated Statements of Operations (unaudited)	4
	Results by Segment	5
	Selected Financial Highlights GAAP to Non-GAAP Reconciliations	7
	Investment Portfolio and Cash	10
	Insurance Segment:	11
	Insurance Segment Results	12
	Claims-Paying Resources	13
	New Business Production	14
	Gross Par Written	15
	New Business Production by Quarter	16
	Estimated Net Exposure Amortization and Estimated Future Financial Guaranty Net Premium and Credit Derivative Revenues	17
	Rollforward of Net Expected Loss and Loss Adjustment Expenses to be Paid	18
	Loss Measures	19
	Net Expected Loss to be Expensed	20
	Financial Guaranty Profile	21
	Specialty Insurance and Reinsurance Exposure	24
	Expected Amortization of Net Par Outstanding	25
	Exposure to Puerto Rico	26
	U.S. RMBS Profile	29
	Direct Pooled Corporate Obligations Profile	30
	Below Investment Grade Exposures	31
	Largest Exposures by Sector	34
	Asset Management Segment	37
	Asset Management Results	38
	Corporate Division	40
	Corporate Results	41
	Other	42
	Other Results	43
	Summary	45
	Summary of Financial and Statistical Data	46
	Summary of GAAP to Non-GAAP Reconciliations	47
	Glossary	49
	Glossary	50
	Non-GAAP Financial Measures	53

This financial supplement should be read in conjunction with documents filed by Assured Guaranty Ltd. (AGL and, together with its subsidiaries, Assured Guaranty or the Company) with the United States (U.S.) Securities and Exchange Commission (SEC), including its Annual Report on Form 10-K for the year ended December 31, 2019.

Cautionary Statement Regarding Forward Looking Statements:

Any forward looking statements made in this supplement reflect the current views of Assured Guaranty with respect to future events and financial performance and are made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such statements involve risks and uncertainties that may cause actual results to differ materially from those set forth in these statements. Assured Guaranty's forward looking statements could be affected by many events. These events include (1) changes in the world’s credit markets, segments thereof, interest rates, credit spreads or general economic conditions; (2) developments in the world’s financial and capital markets that adversely affect insured obligors’ repayment rates, Assured Guaranty’s insurance loss or recovery experience, investments of Assured Guaranty or assets it manages; (3) reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty's insurance; (4) the loss of investors in Assured Guaranty's asset management strategies or the failure to attract new investors to Assured Guaranty's asset management business; (5) the possibility that budget or pension shortfalls or other factors will result in credit losses or impairments on obligations of state, territorial and local governments and their related authorities and public corporations that Assured Guaranty insures or reinsures; (6) insured losses in excess of those expected by Assured Guaranty or the failure of Assured Guaranty to realize loss recoveries that are assumed in its expected loss estimates for insurance exposures; (7) increased competition, including from new entrants into the financial guaranty industry; (8) poor performance of Assured Guaranty's asset management strategies compared to the performance of the asset management strategies of Assured Guaranty's competitors; (9) the possibility that investments made by Assured Guaranty for its investment portfolio, including alternative investments and investments it manages, do not result in the benefits anticipated or subject Assured Guaranty to reduced liquidity at a time it requires liquidity or to unanticipated consequences; (10) the impact of market volatility on the mark-to-market of Assured Guaranty’s assets and liabilities subject to mark-to-market, including certain of its investments, most of its contracts written in credit default swap (CDS) form, and variable interest entities (VIEs) as well as on the mark-to-market of assets Assured Guaranty manages; (11) rating agency action, including a ratings downgrade, a change in outlook, the placement of ratings on watch for downgrade, or a change in rating criteria, at any time, of AGL or any of its insurance subsidiaries, and/or of any securities AGL or any of its subsidiaries have issued, and/or of transactions that AGL’s insurance subsidiaries have insured; (12) the inability of Assured Guaranty to access external sources of capital on acceptable terms; (13) changes in applicable accounting policies or practices; (14) changes in applicable laws or regulations, including insurance, bankruptcy and tax laws, or other governmental actions; (15) the failure of Assured Guaranty to successfully integrate the business of BlueMountain Capital Management, LLC (BlueMountain) and its associated entities; (16) the possibility that acquisitions made by Assured Guaranty, including its acquisition of BlueMountain (BlueMountain Acquisition), do not result in the benefits anticipated or subject Assured Guaranty to unanticipated consequences; (17) difficulties with the execution of Assured Guaranty’s business strategy; (18) loss of key personnel; (19) the effects of mergers, acquisitions and divestitures; (20) natural or man-made catastrophes or pandemics; (21) other risk factors identified in AGL’s filings with the U.S. SEC; (22) other risks and uncertainties that have not been identified at this time; and; (23) management’s response to these factors. Assured Guaranty undertakes no obligation to update publicly or review any forward looking statement, whether as a result of new information, future developments or otherwise, except as required by law.

Assured Guaranty Ltd.

Selected Financial Highlights (1 of 2)

(dollars in millions, except per share amounts)



	Three Months Ended						Year Ended
	December 31,						December 31,
	2019			2018			2019			2018
GAAP Highlights
Net income (loss) attributable to AGL	$	137		$	88		$	402		$	521
Net income (loss) attributable to AGL per diluted share	1.42			0.83			4.00			4.68
Weighted average shares outstanding
Basic shares outstanding	95.0			105.2			99.3			110.0
Diluted shares outstanding⁽²⁾	96.1			106.4			100.2			111.3
Effective tax rate on net income	2.0		%	12.8		%	13.7		%	10.2		%
GAAP return on equity (ROE) ⁽⁴⁾	8.2		%	5.4		%	6.1		%	7.8		%

Non-GAAP Highlights⁽¹⁾
Adjusted operating income (loss)⁽¹⁾⁽⁶⁾
Insurance	$	133		$	129		$	512		$	582
Asset Management	(10		)	—			(10		)	—
Corporate	(32		)	(34		)	(111		)	(96		)
Other	(4		)	(3		)	—			(4		)
Adjusted operating income (loss)	87			92			391			482
Adjusted operating income (loss) per diluted share ⁽¹⁾⁽⁶⁾	0.90			0.87			3.91			4.34
Effective tax rate on adjusted operating income ⁽³⁾	3.5		%	11.8		%	13.8		%	8.9		%
Adjusted operating ROE ^(1)(4)(9)	5.6		%	5.8		%	6.2		%	7.5		%
Insurance Segment
Gross written premiums (GWP)	$	518		$	96		$	677		$	612
Present value of new business production (PVP) ⁽¹⁾	286			96			463			663
Gross par written	12,554			4,850			24,353			24,624
Asset Management Segment
Collateralized loan obligations (CLOs) net inflows	$	885		$	—		$	885		$	—
Wind-down funds net outflows	(1,297		)	—			(1,297		)	—

	As of
	December 31, 2019						December 31, 2018
	Amount			Per Share			Amount			Per Share
Shareholders' equity attributable to AGL	$	6,639		$	71.18		$	6,555		$	63.23
Adjusted operating shareholders' equity ⁽¹⁾⁽⁷⁾	6,246			66.96			6,342			61.17
Adjusted book value ⁽¹⁾⁽⁸⁾	9,035			96.86			8,922			86.06
Gain (loss) related to the effect of consolidating VIEs (VIE consolidation) included in adjusted operating shareholders' equity	7			0.07			3			0.03
Gain (loss) related to VIE consolidation included in adjusted book value	(4		)	(0.05		)	(15		)	(0.15		)

Shares outstanding at the end of period	93.3						103.7
Exposure
Financial guaranty net debt service outstanding	$	374,130					$	371,586
Financial guaranty net par outstanding	236,807						241,802

Claims-paying resources ⁽⁵⁾	11,162						11,815


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


2)	Non-GAAP diluted shares outstanding were the same as diluted shares calculated in accordance with accounting principles generally accepted in the United States of America (GAAP) since both net income and adjusted operating income were positive for all periods.


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


4)	Quarterly ROE calculations represent annualized returns. See page 8 for additional information on calculation.


5)	See page 13 for additional detail on claims-paying resources.


6)	"Adjusted operating income" was formerly known as "Non-GAAP operating income."


7)	"Adjusted operating shareholders' equity" was formerly known as "Non-GAAP operating shareholders' equity."


8)	"Adjusted book value" was formerly known as "Non-GAAP adjusted book value."


9)	"Adjusted operating ROE" was formerly known as "Non-GAAP operating ROE."

Assured Guaranty Ltd.

Selected Financial Highlights (2 of 2)

(dollars in millions, except per share amounts)



	Three Months Ended				Year Ended
	December 31,				December 31,
	2019		2018		2019		2018
Effect of refundings and terminations on GAAP measures:
Net earned premiums, pre-tax	$	39	$	28	$	122	$	159
Net change in fair value of credit derivatives, pre-tax	—		—		—		6

Net income effect	30		21		84		129
Net income per diluted share	0.31		0.20		0.84		1.16

Effect of refundings and terminations on non-GAAP measures:
Operating net earned premiums and credit derivative revenues⁽¹⁾, pre-tax	39		28		122		163
Adjusted operating income⁽¹⁾ effect	30		21		84		126
Adjusted operating income per diluted share ⁽¹⁾	0.31		0.20		0.84		1.14


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

Assured Guaranty Ltd.

Consolidated Balance Sheets (unaudited)

(dollars in millions)



	As of
	December 31,		December 31,
	2019		2018
Assets:
Investment portfolio:
Fixed maturity securities, available-for-sale, at fair value	$	8,854	$	10,089
Short-term investments, at fair value	1,268		729
Other invested assets	118		55
Total investment portfolio	10,240		10,873

Cash	169		104
Premiums receivable, net of commissions payable	1,286		904
Deferred acquisition costs	111		105
Salvage and subrogation recoverable	747		490
Financial guaranty variable interest entities' (FG VIEs') assets, at fair value	442		569
Assets of consolidated investment vehicles	572		—
Goodwill and other intangible assets	216		24
Other assets	543		534
Total assets	$	14,326	$	13,603

Liabilities and shareholders' equity:
Liabilities:
Unearned premium reserve	$	3,736	$	3,512
Loss and loss adjustment expense (LAE) reserve	1,050		1,177
Long-term debt	1,235		1,233
Credit derivative liabilities	191		209
FG VIEs' liabilities with recourse, at fair value	367		517
FG VIEs' liabilities without recourse, at fair value	102		102
Liabilities of consolidated investment vehicles	482		—
Other liabilities	511		298
Total liabilities	7,674		7,048

Redeemable noncontrolling interests in consolidated investment vehicles	7		—
Shareholders' equity:
Common stock	1		1
Additional paid-in capital	—		86
Retained earnings	6,295		6,374
Accumulated other comprehensive income	342		93
Deferred equity compensation	1		1
Total shareholders' equity attributable to AGL	6,639		6,555
Nonredeemable noncontrolling interests	6		—
Total shareholders' equity	6,645		6,555
Total liabilities, redeemable noncontrolling interests and shareholders’ equity	$	14,326	$	13,603

Assured Guaranty Ltd.

Consolidated Statements of Operations (unaudited)

(dollars in millions, except per share amounts)



			Three Months Ended						Year Ended
			December 31,						December 31,
			2019			2018			2019			2018
Revenues
	Net earned premiums		$	123		$	125		$	476		$	548
	Net investment income		82			98			378			395
	Asset management fees		22			—			22			—
	Net realized investment gains (losses)		10			(18		)	22			(32		)
	Net change in fair value of credit derivatives		19			9			(6		)	112
	Fair value gains (losses) on FG VIEs		—			3			42			14
	Foreign exchange gains (losses) on remeasurement		48			(15		)	24			(37		)
	Commutation gains (losses)		—			—			1			(16		)
	Other income (loss)		(8		)	11			4			17
		Total revenues	296			213			963			1,001
Expenses
	Loss and LAE		18			21			93			64
	Interest expense		22			23			89			94
	Amortization of deferred acquisition costs		5			4			18			16
	Employee compensation and benefit expenses		60			40			178			152
	Other operating expenses		54			25			125			96
		Total expenses	159			113			503			422
Income (loss) before provision for income taxes and equity in net earnings of investees			137			100			460			579
Equity in net earnings of investees			1			1			4			1
Income (loss) before income taxes			138			101			464			580
Provision (benefit) for income taxes			2			13			63			59
Net income (loss)			136			88			401			521
Less: Redeemable noncontrolling interests			(1		)	—			(1		)	—
Net income (loss) attributable to AGL			$	137		$	88		$	402		$	521

Earnings per share:
	Basic		$	1.43		$	0.84		$	4.04		$	4.73
	Diluted		$	1.42		$	0.83		$	4.00		$	4.68

Assured Guaranty Ltd.

Results by Segment (1 of 2)

(in millions)

Results by Segment for the Three Months Ended December 31, 2019 and December 31, 2018



	Three Months Ended December 31, 2019
	Insurance			Asset Management			Corporate			Other			Total

Revenues
Net earned premiums and credit derivative revenues	$	129		$	—		$	—		$	(2	)	$	127
Net investment income	85			—			1			(4		)	82
Asset management fees	—			22			—			—			22
Fair value gains (losses) on FG VIEs	—			—			—			—			—
Commutation gains (losses)	—			—			—			—			—
Other income (loss)	6			—			—			7			13
Total revenues	220			22			1			1			244

Expenses
Loss expense	20			—			—			2			22
Interest expense	—			—			25			(3		)	22
Amortization of deferred acquisition cost (DAC) and intangible assets	5			3			—			—			8
Employee compensation and benefit expenses	32			24			4			—			60
Other operating expenses	23			7			11			10			51
Total expenses	80			34			40			9			163
Equity in net earnings of investees	(1		)	—			—			2			1
Income (loss) before income taxes	139			(12		)	(39		)	(6		)	82
Provision (benefit) for income taxes	6			(2		)	(7		)	(1		)	(4		)
Noncontrolling interests	—			—			—			(1		)	(1		)
Adjusted operating income (loss)	$	133		$	(10	)	$	(32	)	$	(4	)	$	87



	Three Months Ended December 31, 2018
	Insurance			Asset Management		Corporate			Other			Total

Revenues
Net earned premiums and credit derivative revenues	$	133		$	—	$	—		$	(3	)	$	130
Net investment income	99			—		1			(2		)	98
Asset management fees	—			—		—			—			—
Fair value gains (losses) on FG VIEs	—			—		—			3			3
Commutation gains (losses)	—			—		—			—			—
Other income (loss)	(1		)	—		(8		)	—			(9		)
Total revenues	231			—		(7		)	(2		)	222

Expenses
Loss expense	24			—		—			3			27
Interest expense	—			—		24			(1		)	23
Amortization of DAC and intangible assets	4			—		—			—			4
Employee compensation and benefit expenses	35			—		5			—			40
Other operating expenses	21			—		4			—			25
Total expenses	84			—		33			2			119
Equity in net earnings of investees	1			—		—			—			1
Income (loss) before income taxes	148			—		(40		)	(4		)	104
Provision (benefit) for income taxes	19			—		(6		)	(1		)	12
Noncontrolling interests	—			—		—			—			—
Adjusted operating income (loss)	$	129		$	—	$	(34	)	$	(3	)	$	92

Assured Guaranty Ltd.

Results by Segment (2 of 2)

(in millions)

Results by Segment for the Year Ended December 31, 2019 and December 31, 2018



	Year Ended December 31, 2019
	Insurance		Asset Management			Corporate			Other			Total

Revenues
Net earned premiums and credit derivative revenues	$	511	$	—		$	—		$	(18	)	$	493
Net investment income	383		—			4			(9		)	378
Asset management fees	—		22			—			—			22
Fair value gains (losses) on FG VIEs	—		—			—			42			42
Commutation gains (losses)	1		—			—			—			1
Other income (loss)	22		—			(1		)	7			28
Total revenues	917		22			3			22			964

Expenses
Loss expense	86		—			—			20			106
Interest expense	—		—			94			(5		)	89
Amortization of DAC and intangible assets	18		3			—			—			21
Employee compensation and benefit expenses	137		24			17			—			178
Other operating expenses	83		7			22			10			122
Total expenses	324		34			133			25			516
Equity in net earnings of investees	2		—			—			2			4
Income (loss) before income taxes	595		(12		)	(130		)	(1		)	452
Provision (benefit) for income taxes	83		(2		)	(19		)	—			62
Noncontrolling interests	—		—			—			(1		)	(1		)
Adjusted operating income (loss)	$	512	$	(10	)	$	(111	)	$	—		$	391



	Year Ended December 31, 2018
	Insurance			Asset Management		Corporate			Other			Total

Revenues
Net earned premiums and credit derivative revenues	$	580		$	—	$	—		$	(12	)	$	568
Net investment income	396			—		6			(7		)	395
Asset management fees	—			—		—			—			—
Fair value gains (losses) on FG VIEs	—			—		—			14			14
Commutation gains (losses)	(16		)	—		—			—			(16		)
Other income (loss)	32			—		(34		)	—			(2		)
Total revenues	992			—		(28		)	(5		)	959

Expenses
Loss expense	70			—		—			3			73
Interest expense	—			—		97			(3		)	94
Amortization of DAC and intangible assets	16			—		—			—			16
Employee compensation and benefit expenses	134			—		18			—			152
Other operating expenses	82			—		14			—			96
Total expenses	302			—		129			—			431
Equity in net earnings of investees	1			—		—			—			1
Income (loss) before income taxes	691			—		(157		)	(5		)	529
Provision (benefit) for income taxes	109			—		(61		)	(1		)	47
Noncontrolling interests	—			—		—			—			—
Adjusted operating income (loss)	$	582		$	—	$	(96	)	$	(4	)	$	482

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (1 of 3)

(dollars in millions, except per share amounts)



Adjusted Operating Income Reconciliation	Three Months Ended						Year Ended
	December 31,						December 31,
	2019			2018			2019			2018

Net income (loss) attributable to AGL	$	137		$	88		$	402		$	521
Less pre-tax adjustments:
Realized gains (losses) on investments	10			(18		)	22			(32		)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	19			10			(10		)	101
Fair value gains (losses) on committed capital securities (CCS)⁽¹⁾	(18		)	17			(22		)	14
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	45			(12		)	22			(32		)
Total pre-tax adjustments	56			(3		)	12			51
Less tax effect on pre-tax adjustments	(6		)	(1		)	(1		)	(12		)
Adjusted operating income (loss)	$	87		$	92		$	391		$	482

Per diluted share:
Net income (loss) attributable to AGL	$	1.42		$	0.83		$	4.00		$	4.68
Less pre-tax adjustments:
Realized gains (losses) on investments	0.11			(0.17		)	0.22			(0.29		)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	0.19			0.09			(0.11		)	0.90
Fair value gains (losses) on CCS⁽¹⁾	(0.18		)	0.16			(0.22		)	0.13
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.46			(0.11		)	0.21			(0.29		)
Total pre-tax adjustments	0.58			(0.03		)	0.10			0.45
Less tax effect on pre-tax adjustments	(0.06		)	(0.01		)	(0.01		)	(0.11		)
Adjusted operating income (loss)	$	0.90		$	0.87		$	3.91		$	4.34

1) Included in other income (loss) in the consolidated statements of operations.

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

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (2 of 3)

(dollars in millions)



ROE Reconciliation and Calculation
	December 31,		September 30,			December 31,			September 30,			December 31,
	2019		2019			2018			2018			2017
Shareholders' equity attributable to AGL	$	6,639	$	6,652		$	6,555		$	6,583		$	6,839
Adjusted operating shareholders' equity	6,246		6,222			6,342			6,420			6,521
Gain (loss) related to VIE consolidation included in adjusted operating shareholders' equity	7		12			3			3			5

			Three Months Ended						Year Ended
			December 31,						December 31,
			2019			2018			2019			2018
Net income (loss) attributable to AGL			$	137		$	88		$	402		$	521
Adjusted operating income (loss)			87			92			391			482

Average shareholders' equity attributable to AGL			$	6,646		$	6,569		$	6,597		$	6,697
Average adjusted operating shareholders' equity			6,234			6,381			6,294			6,432
Gain (loss) related to VIE consolidation included in average adjusted operating shareholders' equity			10			3			5			4

GAAP ROE ⁽¹⁾			8.2		%	5.4		%	6.1		%	7.8		%
Adjusted operating ROE ⁽¹⁾			5.6		%	5.8		%	6.2		%	7.5		%


1)	Quarterly ROE calculations represent annualized returns.

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

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (3 of 3)

(dollars in millions)



	As of
	December 31,			September 30,			December 31,			September 30,			December 31,
	2019			2019			2018			2018			2017
Reconciliation of shareholders' equity attributable to AGL to adjusted book value:
Shareholders' equity attributable to AGL	$	6,639		$	6,652		$	6,555		$	6,583		$	6,839
Less pre-tax reconciling items:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(56		)	(74		)	(45		)	(55		)	(146		)
Fair value gains (losses) on CCS	52			70			74			57			60
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	486			529			247			215			487
Less taxes	(89		)	(95		)	(63		)	(54		)	(83		)
Adjusted operating shareholders' equity	6,246			6,222			6,342			6,420			6,521
Pre-tax reconciling items:
Less: Deferred acquisition costs	111			107			105			103			101
Plus: Net present value of estimated net future revenue	192			195			204			211			146
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,296			2,892			3,005			3,012			2,966
Plus taxes	(588		)	(500		)	(524		)	(528		)	(512		)
Adjusted book value	$	9,035		$	8,702		$	8,922		$	9,012		$	9,020

Gain (loss) related to VIE consolidation included in adjusted operating shareholders' equity (net of tax (provision) benefit of $(2), $(3), $(1), $(1) and $(2))	7			12			3			3			5

Gain (loss) related to VIE consolidation included in adjusted book value (net of tax benefit of $1, $-, $4, $4 and $3)	(4		)	—			(15		)	(14		)	(14		)

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

Assured Guaranty Ltd.

Investment Portfolio and Cash

As of December 31, 2019

(dollars in millions)



			Amortized Cost		Pre-Tax Book Yield		After-Tax Book Yield		Fair Value		Annualized Investment Income ⁽¹⁾
Investment portfolio:
Fixed maturity securities, available-for-sale:
	Obligations of states and political subdivisions⁽²⁾⁽⁴⁾		$	4,036	3.66	%	3.38	%	$	4,340	$	148
	U.S. government and agencies		137		4.10		3.54		147		6
	Corporate securities ⁽⁴⁾		2,137		3.08		2.70		2,221		66
	Mortgage-backed securities:
		Residential mortgage-backed securities (RMBS) ⁽³⁾⁽⁴⁾	745		4.69		3.96		775		35
		Commercial mortgage-backed securities	402		3.49		3.01		419		14
	Asset-backed securities ⁽⁴⁾		684		5.32		4.29		720		36
	Non-U.S. government securities		230		1.34		1.34		232		3
		Total fixed maturity securities	8,371		3.68		3.26		8,854		308
Short-term investments			1,268		1.40		1.18		1,268		18
Cash ⁽⁵⁾			169		—		—		169		—
		Total	$	9,808	3.38	%	2.99	%	$	10,291	$	326




Ratings⁽⁶⁾:			Fair Value		% of Portfolio
	U.S. government and agencies		$	147	1.7	%
	AAA/Aaa		1,436		16.2	%
	AA/Aa		3,844		43.4	%
	A/A		1,880		21.2	%
	BBB		730		8.2	%
	Below investment grade (BIG)⁽⁷⁾		758		8.6	%
	Not rated		59		0.7	%
		Total fixed maturity securities, available-for-sale	$	8,854	100.0	%



Duration of fixed maturity securities and short-term investments (in years):					4.1

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.

Includes obligations of state and local political subdivisions that have been insured by other financial guarantors. The underlying ratings of these bonds, after giving effect to the lower of the rating assigned by S&P Global Ratings, a division of Standard & Poor's Financial Services LLC (S&P) or Moody's Investors Service, Inc. (Moody's), average A. Includes fair value of $10 million insured by Assured Guaranty Municipal Corp. (AGM).

3) Includes fair value of $236 million in subprime RMBS, which has an average rating of BIG.


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


5)	Cash is not included in the yield calculation.


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


7)	Includes below investment grade securities that were purchased or obtained as part of loss mitigation or other risk management strategies of $1,101 million in par with carrying value of $758 million.

Insurance Segment

Assured Guaranty Ltd.

Insurance Segment Results

(dollars in millions)



	Three Months Ended						Year Ended
	December 31,						December 31,
	2019			2018			2019		2018
Revenues
Net earned premiums and credit derivative revenues	$	129		$	133		$	511	$	580
Net investment income	85			99			383		396
Commutation gains (losses)	—			—			1		(16		)
Other income (loss)	6			(1		)	22		32
Total revenues	220			231			917		992

Expenses
Loss expense	20			24			86		70
Amortization of deferred acquisition costs	5			4			18		16
Employee compensation and benefit expenses	32			35			137		134
Other operating expenses	23			21			83		82
Total expenses	80			84			324		302
Equity in net earnings of investees	(1		)	1			2		1
Adjusted operating income (loss) before income taxes	139			148			595		691
Provision (benefit) for income taxes	6			19			83		109
Adjusted operating income (loss)	$	133		$	129		$	512	$	582

Assured Guaranty Ltd.

Claims-Paying Resources

(dollars in millions)



	As of December 31, 2019
	Assured Guaranty Municipal Corp.		Assured Guaranty Corp.		Municipal Assurance Corp.			Assured Guaranty Re Ltd. ⁽⁸⁾		Eliminations⁽³⁾			Consolidated
Claims-paying resources
Policyholders' surplus	$	2,691	$	1,775	$	276		$	799	$	(485	)	$	5,056
Contingency reserve⁽¹⁾	986		621		192			—		(192		)	1,607
Qualified statutory capital	3,677		2,396		468			799		(677		)	6,663
Unearned premium reserve and net deferred ceding commission income⁽¹⁾	2,027		431		143			583		(223		)	2,961
Loss and LAE reserves ⁽¹⁾	196		151		(1		)	182		1			529
Total policyholders' surplus and reserves	5,900		2,978		610			1,564		(899		)	10,153
Present value of installment premium	296		151		—			162		—			609
CCS	200		200		—			—		—			400
Total claims-paying resources (including proportionate MAC ownership for AGM and AGC)⁽²⁾	6,396		3,329		610			1,726		(899		)	11,162
Adjustment for MAC ⁽⁴⁾	370		240		—			—		(610		)	—
Total claims-paying resources (excluding proportionate MAC ownership for AGM and AGC)⁽²⁾	$	6,026	$	3,089	$	610		$	1,726	$	(289	)	$	11,162

Statutory net exposure ⁽⁵⁾	$	129,562	$	22,937	$	18,150		$	61,990	$	(514	)	$	232,125
Equity method adjustment ⁽⁴⁾	11,017		7,133		—			—		(18,150		)	—
Adjusted statutory net exposure ⁽¹⁾	$	140,579	$	30,070	$	18,150		$	61,990	$	(18,664	)	$	232,125

Net debt service outstanding ⁽⁵⁾	$	212,011	$	35,172	$	26,808		$	96,001	$	(1,221	)	$	368,771
Equity method adjustment ⁽⁴⁾	16,273		10,535		—			—		(26,808		)	—
Adjusted net debt service outstanding ⁽¹⁾	$	228,284	$	45,707	$	26,808		$	96,001	$	(28,029	)	$	368,771
Ratios:
Adjusted net exposure to qualified statutory capital	38:1		13:1		39:1			78:1					35:1
Capital ratio ⁽⁶⁾	62:1		19:1		57:1			120:1					55:1
Financial resources ratio ⁽⁷⁾	36:1		14:1		44:1			56:1					33:1
Adjusted statutory net exposure to claims-paying resources (incl. MAC adj. for AGM and AGC)	22:1		9:1		30:1			36:1					21:1

The numbers shown for AGM and Assured Guaranty Corp. (AGC) have been adjusted to include their indirect share of Municipal Assurance Corp. (MAC). AGM and AGC own 60.7% and 39.3%, respectively, of the outstanding stock of Municipal Assurance Holdings Inc., which owns 100% of the outstanding common stock of MAC. AGM has been adjusted to include 100% share of Assured Guaranty (Europe) plc, AGM's United Kingdom subsidiary. Amounts include financial guaranty insurance and credit derivatives.


2)	The excess of loss reinsurance facility represented the $180 million portion placed with an unaffiliated reinsurer of a $400 million aggregate excess-of-loss reinsurance facility for the benefit of AGC, AGM and MAC, which became effective January 1, 2018. The facility terminated on January 1, 2020.

Eliminations are primarily for (i) intercompany surplus notes between AGM and AGC, and (ii) MAC amounts, whose proportionate share are included in AGM and AGC based on ownership percentages, and (iii) eliminations of intercompany deferred ceding commissions. Net exposure and net debt service outstanding eliminations relate to second-to-pay policies under which an Assured Guaranty insurance subsidiary guarantees an obligation already insured by another Assured Guaranty insurance subsidiary, and net exposure related to intercompany cessions from AGM and AGC to MAC.


4)	Represents adjustments for AGM's and AGC's interest and indirect ownership of MAC.


5)	Net exposure and net debt service outstanding are presented on a statutory basis.


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


7)	The financial resources ratio is calculated by dividing adjusted net debt service outstanding by total claims-paying resources (including MAC adjustment for AGM and AGC).


8)	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, except for contingency reserves.

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

Assured Guaranty Ltd.

New Business Production

(dollars in millions)

Reconciliation of GWP to PVP for the Three Months Ended December 31, 2019 and December 31, 2018



	Three Months Ended										Three Months Ended
	December 31, 2019										December 31, 2018
	Public Finance				Structured Finance						Public Finance				Structured Finance
	U.S.		Non - U.S.		U.S.		Non - U.S.		Total		U.S.		Non - U.S.		U.S.			Non - U.S.		Total
Total GWP	$	79	$	383	$	53	$	3	$	518	$	93	$	4	$	(1	)	$	—	$	96
Less: Installment GWP and other GAAP adjustments⁽¹⁾	—		383		52		1		436		25		3		(1		)	—		27
Upfront GWP	79		—		1		2		82		68		1		—			—		69
Plus: Installment premium PVP	—		187		17		—		204		21		2		1			3		27
Total PVP	$	79	$	187	$	18	$	2	$	286	$	89	$	3	$	1		$	3	$	96

Gross par written	$	6,452	$	5,635	$	422	$	45	$	12,554	$	4,555	$	96	$	25		$	174	$	4,850

Reconciliation of GWP to PVP for the Year Ended December 31, 2019 and December 31, 2018



	Year Ended											Year Ended
	December 31, 2019											December 31, 2018
	Public Finance					Structured Finance						Public Finance				Structured Finance
	U.S.			Non - U.S.		U.S. ⁽²⁾		Non - U.S.		Total		U.S.		Non - U.S.		U.S.		Non - U.S.		Total
Total GWP	$	198		$	417	$	57	$	5	$	677	$	320	$	115	$	167	$	10	$	612
Less: Installment GWP and other GAAP adjustments⁽¹⁾	(3		)	417		55		—		469		34		75		9		1		119
Upfront GWP	201			—		2		5		208		286		40		158		9		493
Plus: Installment premium PVP⁽²⁾	—			211		43		1		255		105		54		8		3		170
Total PVP	$	201		$	211	$	45	$	6	$	463	$	391	$	94	$	166	$	12	$	663

Gross par written	$	16,337		$	6,347	$	1,581	$	88	$	24,353	$	19,572	$	3,817	$	902	$	333	$	24,624


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


2)	Includes PVP of credit derivatives assumed in the Syncora Guarantee Inc. (SGI) transaction in 2018.

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

Assured Guaranty Ltd.

Gross Par Written

(dollars in millions)

Gross Par Written by Asset Type



	Three Months Ended			Year Ended
	December 31, 2019			December 31, 2019
	Gross Par Written		Avg. Internal Rating	Gross Par Written		Avg. Internal Rating
Sector:
U.S. public finance:
General obligation	$	2,479	A-	$	7,549	A-
Transportation	2,043		BBB+	2,986		BBB+
Municipal utilities	750		A-	1,883		A-
Tax backed	283		A-	1,784		A-
Healthcare	652		BBB	1,552		BBB+
Higher education	245		A	454		A-
Housing revenue	—		--	62		BBB-
Infrastructure finance	—		--	25		BBB+
Other	—		--	42		A
Total U.S. public finance	6,452		BBB+	16,337		A-
Non-U.S. public finance:
Sovereign and sub-sovereign	5,423		AA-	5,423		AA-
Infrastructure finance	212		BBB	426		BBB+
Regulated utilities	—		--	262		A-
Renewable energy	—		--	236		BBB
Total non-U.S. public finance	5,635		AA-	6,347		A+
Total public finance	$	12,087	A	$	22,684	A

U.S. structured finance:
Life insurance transactions	$	365	AA-	$	985	AA-
Pooled corporate obligations	—		--	465		A+
Structured credit	57		BBB	105		BBB
Other	—		--	26		A-
Total U.S. structured finance	422		A+	1,581		A+
Non-U.S. structured finance:
Commercial receivables	45		BBB+	88		BBB+
Total non-U.S. structured finance	45		BBB+	88		BBB+
Total structured finance	$	467	A+	$	1,669	A+

Total gross par written	$	12,554	A	$	24,353	A

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

Assured Guaranty Ltd.

New Business Production by Quarter

(dollars in millions)



																	Year Ended
	1Q-18		2Q-18		3Q-18		4Q-18		1Q-19		2Q-19		3Q-19		4Q-19		2018		2019
PVP:
Public finance - U.S.	$	35	$	234	$	33	$	89	$	32	$	44	$	46	$	79	$	391	$	201
Public finance - non-U.S.	26		53		12		3		4		7		13		187		94		211
Structured finance - U.S.	—		158		7		1		5		3		19		18		166		45
Structured finance - non-U.S.	—		9		—		3		1		—		3		2		12		6
Total PVP	$	61	$	454	$	52	$	96	$	42	$	54	$	81	$	286	$	663	$	463

Reconciliation of GWP to PVP:

Total GWP	$	73	$	393	$	50	$	96	$	39	$	51	$	69	$	518	$	612	$	677
Less: Installment GWP and other GAAP adjustments	22		58		12		27		5		7		21		436		119		469
Upfront GWP	51		335		38		69		34		44		48		82		493		208
Plus: Installment premium PVP	10		119		14		27		8		10		33		204		170		255
Total PVP	$	61	$	454	$	52	$	96	$	42	$	54	$	81	$	286	$	663	$	463

Gross par written:
Public finance - U.S.	$	2,004	$	10,675	$	2,338	$	4,555	$	2,016	$	3,657	$	4,212	$	6,452	$	19,572	$	16,337
Public finance - non-U.S.	187		3,345		189		96		176		299		237		5,635		3,817		6,347
Structured finance - U.S.	11		393		473		25		494		227		438		422		902		1,581
Structured finance - non-U.S.	—		158		1		174		21		—		22		45		333		88
Total	$	2,202	$	14,571	$	3,001	$	4,850	$	2,707	$	4,183	$	4,909	$	12,554	$	24,624	$	24,353

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

Assured Guaranty Ltd.

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

and Credit Derivative Revenues

(dollars in millions)



						Financial Guaranty Insurance ⁽²⁾
		Estimated Net Debt Service Amortization		Estimated Ending Net Debt Service Outstanding		Expected PV Net Earned Premiums		Accretion of Discount		Effect of FG VIE Consolidation on Expected PV Net Earned Premiums and Accretion of Discount		Future Credit Derivative Revenues ⁽³⁾
2019 (as of December 31)				$	374,130
2020 Q1		$	6,429	367,701		$	80	$	6	$	1	$	3
2020 Q2		4,992		362,709		79		5		1		3
2020 Q3		7,114		355,595		77		5		1		3
2020 Q4		5,997		349,598		75		5		1		3
2021		22,991		326,607		284		20		4		11
2022		20,600		306,007		263		19		3		10
2023		17,985		288,022		245		18		3		10
2024		19,010		269,012		227		17		3		10

2020-2024		105,118		269,012		1,330		95		17		53
2025-2029		84,339		184,673		909		66		13		42
2030-2034		68,060		116,613		634		43		12		34
2035-2039		49,793		66,820		368		28		7		26
After 2039		66,820		—		494		49		—		24
	Total	$	374,130			$	3,735	$	281	$	49	$	179


1)	Represents the future expected amortization of current debt service outstanding (principal and interest), assuming no advance refundings, as of December 31, 2019. Actual amortization differs from expected maturities because borrowers may have the right to call or prepay guaranteed obligations, terminations and because of management's assumptions on structured finance amortization.


2)	See page 20, ‘‘Net Expected Loss to be Expensed.’’


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

Assured Guaranty Ltd.

Rollforward of Net Expected Loss and LAE to be Paid

(dollars in millions)

Rollforward of Net Expected Loss and LAE to be Paid⁽¹⁾ for the Three Months Ended December 31, 2019



	Net Expected Loss to be Paid (Recovered) as of September 30, 2019		Economic Loss Development / (Benefit) During 4Q-19			(Paid) Recovered Losses During 4Q-19			Net Expected Loss to be Paid (Recovered) as of December 31, 2019
Public Finance:
U.S. public finance	$	520	$	20		$	(9	)	$	531
Non-U.S public finance	28		(5		)	—			23
Public Finance	548		15			(9		)	554

Structured Finance:
U.S. RMBS ⁽²⁾	135		(11		)	22			146
Other structured finance	35		9			(7		)	37
Structured Finance	170		(2		)	15			183
Total	$	718	$	13		$	6		$	737

Rollforward of Net Expected Loss and LAE to be Paid⁽¹⁾ for the Year Ended December 31, 2019



	Net Expected Loss to be Paid (Recovered) as of December 31, 2018		Economic Loss Development / (Benefit) During 2019			(Paid) Recovered Losses During 2019			Net Expected Loss to be Paid (Recovered) as of December 31, 2019
Public Finance:
U.S. public finance	$	832	$	224		$	(525	)	$	531
Non-U.S public finance	32		(9		)	—			23
Public Finance	864		215			(525		)	554

Structured Finance:
U.S. RMBS ⁽²⁾	293		(234		)	87			146
Other structured finance	26		18			(7		)	37
Structured Finance	319		(216		)	80			183
Total	$	1,183	$	(1	)	$	(445	)	$	737


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


2)	Includes future net representations and warranties (R&W) payable of $53 million as of December 31, 2019 and receivable of $5 million as of December 31, 2018.

Assured Guaranty Ltd.

Loss Measures

As of December 31, 2019

(dollars in millions)



			Three Months Ended December 31, 2019								Year Ended December 31, 2019
	Total Net Par Outstanding for BIG Transactions		Loss and LAE			Loss and LAE included in Adjusted Operating Income (1)			Effect of FG VIE Consolidation (2)		Loss and LAE			Loss and LAE included in Adjusted Operating Income (1)			Effect of FG VIE Consolidation (2)
Public finance:
U.S. public finance	$	5,771	$	19		$	19		$	—	$	247		$	247		$	—
Non-U.S public finance	898		—			—			—		(7		)	(7		)	—
Public finance	6,669		19			19			—		240			240			—
Structured finance:
U.S. RMBS	1,618		(4		)	(2		)	2		(154		)	(156		)	20
Other structured finance	219		3			5			—		7			22			—
Structured finance	1,837		(1		)	3			2		(147		)	(134		)	20
Total	$	8,506	$	18		$	22		$	2	$	93		$	106		$	20


1)	Adjusted operating income includes financial guaranty insurance and credit derivatives.

The "Effect of FG VIE Consolidation" column represents amounts included in the consolidated statements of operations and adjusted operating income that the Company removes to arrive at the core financial measures that management uses in certain of its compensation calculations and its decision making process. Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

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

Assured Guaranty Ltd.

Net Expected Loss to be Expensed⁽¹⁾

As of December 31, 2019

(dollars in millions)



		GAAP

2020 Q1		$	9
2020 Q2		9
2020 Q3		9
2020 Q4		9
2021		35
2022		34
2023		32
2024		33
2020-2024		170
2025-2029		138
2030-2034		91
2035-2039		32
After 2039		8
	Total expected present value of net expected loss to be expensed⁽²⁾	439
Future accretion		105
	Total expected future loss and LAE	$	544


1)	The present value of net expected loss to be paid is discounted using risk free rates ranging from 0.0% to 2.45% for U.S. dollar denominated obligations.


2)	Excludes $33 million related to FG VIEs, which are eliminated in consolidation.

Assured Guaranty Ltd.

Financial Guaranty Profile (1 of 3)

(dollars in millions)

Net Par Outstanding and Average Rating by Asset Type



			December 31, 2019			December 31, 2018
			Net Par Outstanding		Avg. Internal Rating	Net Par Outstanding		Avg. Internal Rating
U.S. public finance:
	General obligation		$	73,467	A-	$	78,800	A-
	Tax backed		37,047		A-	40,616		A-
	Municipal utilities		26,195		A-	28,402		A-
	Transportation		16,209		BBB+	15,197		A-
	Healthcare		7,148		A-	6,750		A-
	Higher education		5,916		A-	6,643		A-
	Infrastructure finance		5,429		A-	5,489		A-
	Housing revenue		1,321		BBB+	1,435		BBB+
	Investor-owned utilities		655		A-	846		A-
	Renewable energy		210		A-	215		BBB+
	Other public finance		1,890		A-	2,169		A-
		Total U.S. public finance	175,487		A-	186,562		A-
Non-U.S. public finance:
	Regulated utilities		18,995		BBB+	18,124		BBB+
	Infrastructure finance		17,952		BBB	17,166		BBB
	Sovereign and sub-sovereign		11,341		A+	6,094		A
	Renewable energy		1,555		A	1,346		A
	Pooled infrastructure		1,416		AAA	1,373		AAA
		Total non-U.S. public finance	51,259		A-	44,103		BBB+
Total public finance			$	226,746	A-	$	230,665	A-

U.S. structured finance:
	RMBS		$	3,546	BBB-	$	4,270	BBB-
	Life insurance transactions		1,776		AA-	1,435		A+
	Pooled corporate obligations		1,401		AA-	1,215		AA-
	Financial products		1,019		AA-	1,094		AA-
	Consumer receivables		962		A-	1,255		A-
	Other structured finance		596		BBB+	675		A-
		Total U.S. structured finance	9,300		A-	9,944		A-

Non-U.S. structured finance:
	RMBS		427		A	576		A-
	Pooled corporate obligations		55		BB+	126		A
	Other structured finance		279		A+	491		A
		Total non-U.S. structured finance	761		A	1,193		A
Total structured finance			$	10,061	A-	$	11,137	A-

Total			$	236,807	A-	$	241,802	A-

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

Assured Guaranty Ltd.

Financial Guaranty Profile (2 of 3)

As of December 31, 2019

(dollars in millions)

Distribution by Ratings of Financial Guaranty Portfolio



		Public Finance - U.S.				Public Finance - Non-U.S.				Structured Finance - U.S.				Structured Finance - Non-U.S.				Total
Ratings:		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%
AAA		$	381	0.2	%	$	2,541	5.0	%	1,258		13.5	%	181		23.8	%	$	4,361	1.8	%
AA		19,847		11.3		5,142		10.0		4,010		43.1		38		5.0		29,037		12.3
A		94,488		53.9		15,627		30.4		1,030		11.1		184		24.2		111,329		47.0
BBB		55,000		31.3		27,051		52.8		1,206		13.0		317		41.6		83,574		35.3
BIG		5,771		3.3		898		1.8		1,796		19.3		41		5.4		8,506		3.6
	Net Par Outstanding (1)	$	175,487	100.0	%	$	51,259	100.0	%	$	9,300	100.0	%	$	761	100.0	%	$	236,807	100.0	%


1)	As of December 31, 2019, excludes $1.4 billion of net par attributable to loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG.

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

Assured Guaranty Ltd.

Financial Guaranty Profile (3 of 3)

As of December 31, 2019

(dollars in millions)

Geographic Distribution of Financial Guaranty Portfolio



			Net Par Outstanding		% of Total

U.S.:
U.S. public finance:
	California		$	33,368	14.1	%
	Pennsylvania		15,895		6.7
	Texas		14,860		6.3
	New York		14,682		6.2
	Illinois		13,977		5.9
	New Jersey		10,504		4.4
	Florida		7,107		3.0
	Michigan		5,345		2.3
	Puerto Rico		4,270		1.8
	Louisiana		4,167		1.8
	Other		51,312		21.7
		Total U.S. public finance	175,487		74.2
U.S. structured finance			9,300		3.9
		Total U.S.	184,787		78.1

Non-U.S.:
	United Kingdom		38,450		16.2
	France		3,130		1.3
	Canada		2,495		1.1
	Australia		2,112		0.9
	Austria		1,250		0.5
	Other		4,583		1.9
		Total non-U.S.	52,020		21.9

Total net par outstanding			$	236,807	100.0	%

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

Assured Guaranty Ltd.

Specialty Insurance and Reinsurance Exposure

As of December 31, 2019

(dollars in millions)



	Gross Exposure				Net Exposure
	As of December 31, 2019		As of December 31, 2018		As of December 31, 2019		As of December 31, 2018
Life insurance transactions (1)	$	1,046	$	880	$	898	$	763
Aircraft residual value insurance policies	398		340		243		218


1)	The life insurance transactions net exposure is projected to increase to approximately $1.0 billion by December 31, 2023.

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			Other Structured Finance		Total		Estimated Ending Net Par Outstanding

2019 (as of December 31)													$	10,061
2020 Q1		$	36	$	153	$	22		$	132	$	343	9,718
2020 Q2		19		153		6			75		253		9,465
2020 Q3		34		157		(12		)	119		298		9,167
2020 Q4		29		140		(9		)	85		245		8,922
2021		251		456		3			407		1,117		7,805
2022		217		393		20			46		676		7,129
2023		197		365		12			158		732		6,397
2024		69		285		17			126		497		5,900

2020-2024		852		2,102		59			1,148		4,161		5,900
2025-2029		195		743		197			717		1,852		4,048
2030-2034		137		193		664			923		1,917		2,131
2035-2039		181		502		96			919		1,698		433
After 2039		91		6		3			333		433		—
	Total structured finance	$	1,456	$	3,546	$	1,019		$	4,040	$	10,061

Public Finance



		Estimated Net Par Amortization		Estimated Ending Net Par Outstanding

2019 (as of December 31)				$	226,746
2020 Q1		$	3,440	223,306
2020 Q2		2,297		221,009
2020 Q3		4,209		216,800
2020 Q4		3,315		213,485
2021		12,212		201,273
2022		10,806		190,467
2023		8,632		181,835
2024		10,308		171,527

2020-2024		55,219		171,527
2025-2029		48,500		123,027
2030-2034		42,901		80,126
2035-2039		33,820		46,306
After 2039		46,306		—
	Total public finance	$	226,746

Net par outstanding (end of period)



		1Q-18		2Q-18		3Q-18		4Q-18		1Q-19		2Q-19		3Q-19		4Q-19
Public finance - U.S.		$	201,337	$	200,378	$	190,418	$	186,562	$	181,408	$	180,537	$	176,515	$	175,487
Public finance - non-U.S.		43,747		45,442		44,735		44,103		44,615		44,488		42,882		51,259
Structured finance - U.S.		10,681		10,749		10,611		9,944		10,337		9,549		9,226		9,300
Structured finance - non-U.S.		1,324		1,235		1,176		1,193		965		793		752		761
	Net par outstanding	$	257,089	$	257,804	$	246,940	$	241,802	$	237,325	$	235,367	$	229,375	$	236,807

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

Assured Guaranty Ltd.

Exposure to Puerto Rico (1 of 3)

As of December 31, 2019

(dollars in millions)

Exposure to Puerto Rico



	Par Outstanding				Debt Service Outstanding
	Gross		Net		Gross		Net
Total	$	4,458	$	4,270	$	6,956	$	6,691

Exposure to Puerto Rico by Risk



	Net Par Outstanding
	AGM		AGC		AG Re		Eliminations (1)			Total Net Par Outstanding		Gross Par Outstanding
Commonwealth Constitutionally Guaranteed
Commonwealth of Puerto Rico - General Obligation Bonds⁽²⁾	$	611	$	268	$	375	$	(1	)	$	1,253	$	1,294
Puerto Rico Public Buildings Authority (PBA) ⁽²⁾	7		139		1		(7		)	140		145
Public Corporations - Certain Revenues Potentially Subject to Clawback
Puerto Rico Highways and Transportation Authority (PRHTA) (Transportation revenue) ⁽²⁾	223		481		186		(79		)	811		842
PRHTA (Highways revenue) ⁽²⁾	345		74		35		—			454		515
Puerto Rico Convention Center District Authority (PRCCDA)	—		152		—		—			152		152
Puerto Rico Infrastructure Financing Authority (PRIFA)	—		15		1		—			16		16
Other Public Corporations
Puerto Rico Electric Power Authority (PREPA) ⁽²⁾	525		71		226		—			822		838
Puerto Rico Aqueduct and Sewer Authority (PRASA) ⁽³⁾	—		284		89		—			373		373
Puerto Rico Municipal Finance Agency (MFA) ⁽³⁾	153		33		62		—			248		282
University of Puerto Rico (U of PR) ⁽³⁾	—		1		—		—			1		1
Total exposure to Puerto Rico	$	1,864	$	1,518	$	975	$	(87	)	$	4,270	$	4,458


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


2)	As of the date of this filing, the seven-member financial oversight board established by the Puerto Rico Oversight, Management, and Economic Stability Act (PROMESA) has certified a filing under Title III of PROMESA for these exposures.


3)	As of the date of this filing, the Company has not paid claims on these credits.

Assured Guaranty Ltd.

Exposure to Puerto Rico (2 of 3)

As of December 31, 2019

(dollars in millions)

Amortization Schedule of Net Par Outstanding of Puerto Rico



	2020 Q1		2020 Q2		2020 Q3		2020 Q4		2021		2022		2023		2024		2025		2026		2027		2028		2029		2030 -2034		2035 -2039		2040 -2044		2045 -2047		Total
Commonwealth Constitutionally Guaranteed
Commonwealth of Puerto Rico - General Obligation Bonds	$	—	$	—	$	141	$	—	$	15	$	37	$	14	$	73	$	68	$	34	$	90	$	33	$	64	$	419	$	265	$	—	$	—	$	1,253
PBA	—		—		5		—		13		—		7		—		6		11		40		1		—		38		19		—		—		140
Public Corporations - Certain Revenues Potentially Subject to Clawback
PRHTA (Transportation revenue)	—		—		25		—		18		28		33		4		29		24		29		34		47		166		292		82		—		811
PRHTA (Highway revenue)	—		—		22		—		35		6		32		33		34		1		—		9		11		177		94		—		—		454
PRCCDA	—		—		—		—		—		—		—		—		—		—		19		—		—		76		57		—		—		152
PRIFA	—		—		—		—		—		—		2		—		—		—		—		—		—		—		7		7		—		16
Other Public Corporations
PREPA	—		—		48		—		28		28		95		93		68		106		105		68		39		140		4		—		—		822
PRASA	—		—		—		—		—		—		—		1		25		27		28		29		—		—		2		15		246		373
MFA	—		—		45		—		40		40		22		18		17		34		12		10		6		4		—		—		—		248
U of PR	—		—		—		—		—		—		—		—		—		—		—		—		—		1		—		—		—		1
Total	$	—	$	—	$	286	$	—	$	149	$	139	$	205	$	222	$	247	$	237	$	323	$	184	$	167	$	1,021	$	740	$	104	$	246	$	4,270

Assured Guaranty Ltd.

Exposure to Puerto Rico (3 of 3)

As of December 31, 2019

(dollars in millions)

Amortization Schedule of Net Debt Service Outstanding of Puerto Rico



	2020 Q1		2020 Q2		2020 Q3		2020 Q4		2021		2022		2023		2024		2025		2026		2027		2028		2029		2030 -2034		2035 -2039		2040 -2044		2045 -2047		Total
Commonwealth Constitutionally Guaranteed
Commonwealth of Puerto Rico - General Obligation Bonds	$	33	$	—	$	173	$	—	$	74	$	94	$	70	$	128	$	119	$	82	$	136	$	74	$	103	$	572	$	294	$	—	$	—	$	1,952
PBA	4		—		9		—		20		6		13		6		13		17		45		3		3		50		20		—		—		209
Public Corporations - Certain Revenues Potentially Subject to Clawback
PRHTA (Transportation revenue)	21		—		46		—		59		68		72		41		65		59		63		66		78		294		356		89		—		1,377
PRHTA (Highway revenue)	12		—		34		—		58		27		52		51		51		17		15		25		26		233		101		—		—		702
PRCCDA	3		—		3		—		7		7		7		7		7		7		26		6		6		103		61		—		—		250
PRIFA	—		—		—		—		1		1		3		1		1		1		1		—		1		3		10		8		—		31
Other Public Corporations
PREPA	17		3		65		3		63		62		128		121		91		126		122		81		47		155		5		—		—		1,089
PRASA	10		—		10		—		19		19		19		20		44		44		44		44		14		68		70		82		272		779
MFA	6		—		52		—		50		48		28		23		21		37		14		11		6		5		—		—		—		301
U of PR	—		—		—		—		—		—		—		—		—		—		—		—		—		1		—		—		—		1
Total	$	106	$	3	$	392	$	3	$	351	$	332	$	392	$	398	$	412	$	390	$	466	$	310	$	284	$	1,484	$	917	$	179	$	272	$	6,691

Assured Guaranty Ltd.

U.S. RMBS Profile

As of December 31, 2019

(dollars in millions)

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



Ratings:	Prime First Lien		Alt-A First Lien		Option ARMs		Subprime First Lien		Second Lien		Total Net Par Outstanding
AAA	$	21	$	125	$	18	$	830	$	1	$	995
AA	17		108		12		206		1		344
A	13		—		—		27		106		146
BBB	—		39		—		7		397		443
BIG	59		340		34		1,013		172		1,618
Total exposures	$	110	$	612	$	64	$	2,083	$	677	$	3,546

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



Year insured:	Prime First Lien		Alt-A First Lien		Option ARMs		Subprime First Lien		Second Lien		Total Net Par Outstanding
2004 and prior	$	22	$	21	$	1	$	581	$	47	$	672
2005	50		217		24		222		132		645
2006	38		42		11		280		217		588
2007	—		332		28		957		281		1,598
2008	—		—		—		43		—		43
Total exposures	$	110	$	612	$	64	$	2,083	$	677	$	3,546

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

Assured Guaranty Ltd.

Direct Pooled Corporate Obligations Profile

As of December 31, 2019

(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:
	AAA		$	211	15.0	%	47.0%	74.4%
	AA		784		55.8		40.0%	48.9%
	A		274		19.5		43.1%	46.0%
	BBB		95		6.8		35.7%	35.6%
	BIG		40		2.9		N/A	N/A
		Total exposures	$	1,404	100.0	%	41.2%	50.4%

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:
Trust preferred
Banks and insurance	$	552	39.3	%	44.2%	59.3%	AA
U.S. mortgage and real estate investment trusts	114		8.1		47.3%	63.5%	A
Collateralized bond obligations / collateralized loan obligations	624		44.5		37.5%	40.2%	AA-
Other pooled corporates	114		8.1		N/A	N/A	A+
Total exposures	$	1,404	100.0	%	41.2%	50.4%	AA-

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (1 of 3)

(dollars in millions)

BIG Exposures by Asset Exposure Type



	As of December 31, 2019		As of December 31, 2018
U.S. public finance:
General obligation	$	1,969	$	2,146
Tax backed	1,858		2,263
Municipal utilities	1,472		1,487
Higher education	178		217
Transportation	100		85
Infrastructure finance	35		2
Healthcare	32		55
Housing revenue	17		18
Renewable energy	3		5
Other public finance	107		110
Total U.S. public finance	5,771		6,388
Non-U.S. public finance:
Infrastructure finance	444		608
Sovereign and sub-sovereign	415		387
Renewable energy	39		46
Total non-U.S. public finance	898		1,041
Total public finance	$	6,669	$	7,429

U.S. structured finance:
RMBS	$	1,618	$	2,387
Consumer receivables	108		125
Life insurance transactions	40		85
Other structured finance	30		35
Total U.S. structured finance	1,796		2,632
Non-U.S. structured finance:
Pooled corporate obligations	40		42
RMBS	—		45
Other structured finance	1		12
Total non-U.S. structured finance	41		99
Total structured finance	$	1,837	$	2,731
Total BIG net par outstanding	$	8,506	$	10,160

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (2 of 3)

(dollars in millions)

Net Par Outstanding by BIG Category⁽¹⁾



	December 31, 2019		December 31, 2018
BIG Category 1
U.S. public finance	$	1,582	$	1,767
Non-U.S. public finance	854		796
U.S. structured finance	191		397
Non-U.S. structured finance	40		98
Total BIG Category 1	2,667		3,058
BIG Category 2
U.S. public finance	430		399
Non-U.S. public finance	—		245
U.S. structured finance	136		293
Non-U.S. structured finance	—		—
Total BIG Category 2	566		937
BIG Category 3
U.S. public finance	3,759		4,222
Non-U.S. public finance	44		—
U.S. structured finance	1,469		1,942
Non-U.S. structured finance	1		1
Total BIG Category 3	5,273		6,165
BIG Total	$	8,506	$	10,160

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

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (3 of 3)

As of December 31, 2019

(dollars in millions)

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



	Net Par Outstanding		Internal Rating (1)	60+ Day Delinquencies
Name or description
U.S. public finance:
Puerto Rico, General Obligation, Appropriations and Guarantees of the Commonwealth	$	1,409	CCC
Puerto Rico Highways & Transportation Authority	1,265		CCC
Puerto Rico Electric Power Authority	822		CCC
Puerto Rico Aqueduct & Sewer Authority	373		CCC
Puerto Rico Municipal Finance Agency	248		CCC
Jackson Water & Sewer System, Mississippi	185		BB
Virgin Islands Public Finance Authority	166		BB
Puerto Rico Convention Center District Authority	152		CCC
Stockton Pension Obligation Bonds, California	107		B
Penn Hills School District, Pennsylvania	107		BB
Alabama State University (Montgomery)	78		BB+
Pennsylvania Economic Development Financing Authority (Capitol Region Parking System)	76		BB
Atlantic City, New Jersey	56		BB
Coatesville Area School District, Pennsylvania	53		BB
Virgin Islands Water and Power Authority	53		CCC
Total U.S. public finance	$	5,150

Non-U.S. public finance:
Valencia Fair	$	303	BB+
Road Management Services PLC (A13 Highway)	192		B+
M6 Duna Autopalya Koncesszios Zartkoruen Mukodo Reszvenytarsasag	139		BB+
CountyRoute (A130) plc	78		BB-
Total non-U.S. public finance	$	712
Total	$	5,862

U.S. structured finance:
RMBS:
Option One 2007-FXD2	$	178	CCC	15.2%
Soundview 2007-WMC1	156		CCC	28.4%
Option One Mortgage Loan Trust 2007-Hl1	110		CCC	24.7%
Nomura Asset Accept. Corp. 2007-1	106		CCC	15.8%
Argent Securities Inc., Asset Backed Pass Through Certificates 2005-W4	93		CCC	14.6%
New Century 2005-A	86		CCC	12.9%
MABS 2007-NCW	64		BB	18.7%
Ace 2007-D1	53		CCC	25.1%
Ace Home Equity Loan Trust 2007-SL1	52		CCC	3.7%
Subtotal RMBS	$	898

Non-RMBS:
National Collegiate Trust Series 2006-2	$	59	CCC	2.9%
Subtotal non-RMBS	$	59
Total U.S. structured finance	$	957

Total non-U.S. structured finance	$	—
Total	$	957


1)	Transactions below B- are categorized as CCC.

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

Assured Guaranty Ltd.

Largest Exposures by Sector (1 of 3)

As of December 31, 2019

(dollars in millions)

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



Credit Name:		Net Par Outstanding		Internal Rating (1)
	New Jersey (State of)	$	4,224	BBB
	Pennsylvania (Commonwealth of)	1,978		A-
	Illinois (State of)	1,803		BBB
	New York Metropolitan Transportation Authority	1,630		A-
	Puerto Rico, General Obligation, Appropriations and Guarantees of the Commonwealth	1,409		CCC
	Puerto Rico Highways & Transportation Authority	1,265		CCC
	Chicago (City of) Illinois	1,158		BBB
	North Texas Tollway Authority	1,120		A
	California (State of)	1,082		AA-
	Wisconsin (State of)	1,053		A+
	CommonSpirit Health, Colorado	1,000		A-
	Foothills - Eastern Transportation Corridor, California	996		BBB
	New York (City of) New York	994		AA-
	Metro Washington Airports Authority (Dulles Toll Road)	971		BBB
	Great Lakes Water Authority (Sewerage), Michigan	970		A-
	San Diego Family Housing, LLC Military Housing	951		AA
	Massachusetts (Commonwealth of)	951		AA-
	Philadelphia School District, Pennsylvania	927		A-
	Chicago Public Schools, Illinois	912		BBB-
	Massachusetts (Commonwealth of) Water Resources	875		AA
	Metropolitan Pier & Exposition Authority, Illinois	868		BBB-
	Port Authority of New York & New Jersey	864		BBB-
	Suffolk County, New York	851		BBB
	Alameda Corridor Transportation Authority, California	823		BBB+
	Puerto Rico Electric Power Authority	822		CCC
	Long Island Power Authority	806		A-
	Pennsylvania Turnpike Commission	805		A-
	ProMedica Healthcare Obligated Group	750		BBB
	Nassau County, New York	706		A-
	Jefferson County Alabama Sewer	699		BBB
	Philadelphia (City of) Pennsylvania	680		BBB+
	Connecticut (State of)	675		A-
	Arizona (State of)	660		A+
	Regional Transportation Authority, Illinois	656		AA-
	Georgia Board of Regents	638		A
	Pittsburgh Water & Sewer, Pennsylvania	618		A-
	LCOR Alexandria LLC	600		BBB+
	North Carolina Turnpike Authority - Triangle Expressway	575		BBB-
	Oglethorpe Power Corporation, Georgia	575		BBB
	Garden State Preservation Trust (Open Space & Farmland), New Jersey	544		BBB+
	Sacramento County, California	527		A-
	New Jersey Turnpike Authority, New Jersey	517		A-
	Clark County School District, Nevada	505		BBB+
	Clarksville Natural Gas Acquisition Corporation, Tennessee	487		A
	Yankee Stadium LLC New York City Industrial Development Authority	469		BBB
	Montefiore Medical Center, New York	463		BBB
	New Haven (City of), Connecticut	446		BBB-
	Harris County - Houston Sports Authority, Texas	434		A-
	New York State Thruway Authority	433		A-
	Great Lakes Water Authority (Water), Michigan	429		A-
	Total top 50 U.S. public finance exposures	$	45,194


1)	Transactions below B- are categorized as CCC.

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

Assured Guaranty Ltd.

Largest Exposures by Sector (2 of 3)

As of December 31, 2019

(dollars in millions)

25 Largest U.S. Structured Finance Exposures



Credit Name:		Net Par Outstanding		Internal Rating (1)
	Private US Insurance Securitization	$	530	AA
	Private US Insurance Securitization	500		AA-
	SLM Private Credit Student Trust 2007-A	417		A+
	Private US Insurance Securitization	340		AA-
	Fortress Credit Opportunities VII CLO Limited	257		AA-
	Private US Insurance Securitization	213		AA-
	ABPCI Direct Lending Fund CLO I Ltd	208		A
	SLM Private Credit Student Loan Trust 2006-C	194		AA-
	Option One 2007-FXD2	177		CCC
	Brightwood Fund III Static 2018-1, LLC	159		AA
	Soundview 2007-WMC1	156		CCC
	Timberlake Financial, LLC Floating Insured Notes	148		BBB+
	CWABS 2007-4	117		A+
	New Century Home Equity Loan Trust 2006-1	111		AAA
	Soundview Home Equity Loan Trust 2006-OPT1	111		AAA
	Option One Mortgage Loan Trust 2007-Hl1	110		CCC
	Nomura Asset Accept. Corp. 2007-1	106		CCC
	Countrywide HELOC 2006-I	104		A
	CWALT Alternative Loan Trust 2007-HY9	96		A
	OwnIt Mortgage Loan ABS Certificates 2006-3	95		AAA
	Argent Securities Inc., Asset Backed Pass Through Certificates 2005-W4	93		CCC
	Structured Asset Investment Loan Trust 2006-1	87		AAA
	New Century 2005-A	86		CCC
	Countrywide 2007-13	82		AA-
	Preferred Term Securities XXIV, Ltd.	79		AA-
	Total top 25 U.S. structured finance exposures	$	4,576


1)	Transactions below B- are categorized as CCC.

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

Assured Guaranty Ltd.

Largest Exposures by Sector (3 of 3)

As of December 31, 2019

(dollars in millions)

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



Credit Name:		Country	Net Par Outstanding		Internal Rating
	Southern Water Services Limited	United Kingdom	$	2,760	A-
	Thames Water Utility Finance Plc	United Kingdom	2,068		A-
	Hydro-Quebec, Province of Quebec	Canada	2,013		A+
	Southern Gas Networks PLC	United Kingdom	1,739		BBB
	Societe des Autoroutes du Nord et de l'Est de France S.A.	France	1,689		BBB+
	Welsh Water PLC	United Kingdom	1,652		A-
	Anglian Water Services Financing	United Kingdom	1,502		A-
	National Grid Gas PLC	United Kingdom	1,314		BBB+
	British Broadcasting Corporation (BBC)	United Kingdom	1,305		A+
	Channel Link Enterprises Finance PLC	France, United Kingdom	1,234		BBB
	Verbund - Lease and Sublease of Hydro-Electric equipment	Austria	1,103		AAA
	Capital Hospitals (Barts)	United Kingdom	936		BBB-
	Aspire Defence Finance plc	United Kingdom	867		BBB+
	National Grid Company PLC	United Kingdom	718		BBB+
	Verdun Participations 2 S.A.S.	France	710		BBB-
	Yorkshire Water Services Finance Plc	United Kingdom	674		A-
	InspirED Education (South Lanarkshire) PLC	United Kingdom	626		BBB
	Sydney Airport Finance Company	Australia	623		BBB+
	Envestra Limited	Australia	618		A-
	Campania Region - Healthcare receivable	Italy	556		BB+
	Coventry & Rugby Hospital Company	United Kingdom	554		BBB-
	Severn Trent Water Utilities Finance Plc	United Kingdom	533		BBB+
	Derby Healthcare PLC	United Kingdom	522		BBB
	Wessex Water Services Finance plc	United Kingdom	491		BBB+
	Central Nottinghamshire Hospitals PLC	United Kingdom	478		BBB
	North Staffordshire PFI	United Kingdom	476		BBB-
	International Infrastructure Pool	United Kingdom	472		AAA
	International Infrastructure Pool	United Kingdom	472		AAA
	International Infrastructure Pool	United Kingdom	472		AAA
	NewHospitals (St Helens & Knowsley) Finance PLC	United Kingdom	470		BBB
	United Utilities Water PLC	United Kingdom	458		BBB+
	Comision Federal De Electricidad (CFE) El Cajon Project	Mexico	434		BBB-
	South East Water	United Kingdom	430		BBB+
	Scotland Gas Networks plc	United Kingdom	425		BBB
	NATS (En Route) PLC	United Kingdom	418		A
	The Hospital Company (QAH Portsmouth) Limited	United Kingdom	392		BBB
	Private International Sub-sovereign Transaction	United Kingdom	374		AA-
	BBI (DBCT) Finance Property Limited	Australia	372		BBB
	Octagon Healthcare Funding PLC	United Kingdom	337		BBB
	Private International Sub-sovereign Transaction	United Kingdom	329		AA
	St. James's Oncology Financing plc	United Kingdom	322		BBB
	Bakethin Finance Plc	United Kingdom	319		A-
	Catalyst Healthcare (Romford) Financing PLC	United Kingdom	315		BBB
	Integrated Accommodation Services PLC	United Kingdom	304		BBB+
	Valencia Fair	Spain	303		BB+
	Dali Capital (Northumbrian Water) PLC	United Kingdom	300		BBB+
	Western Power Distribution (South Wales) PLC	United Kingdom	298		BBB+
	MPC Funding Limited	Australia	294		BBB+
	The Republic of Poland	Poland	286		A-
	Private International Sub-sovereign Transaction	United Kingdom	285		AA-
	Total top 50 non-U.S. exposures		$	36,642

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

Asset Management Segment

Assured Guaranty Ltd.

Asset Management Results (1 of 2)

(dollars in millions)



	Three Months Ended December 31,			Year Ended December 31,
	2019			2019
Revenues
Management fees:
CLOs	$	3		$	3
Opportunity funds	2			2
Wind-down funds	13			13
Total management fees	18			18
Performance fees	4			4
Total asset management fees	22			22
Total revenues	22			22

Expenses
Amortization of intangible assets	3			3
Restructuring expenses	7			7
Employee compensation and benefit expenses	17			17
Other operating expenses	7			7
Total expenses	34			34
Adjusted operating income (loss) before income taxes	(12		)	(12		)
Provision (benefit) for income taxes	(2		)	(2		)
Adjusted operating income (loss)	$	(10	)	$	(10	)

Assured Guaranty Ltd.

Asset Management Results (2 of 2)

(dollars in millions)

Assets Under Management for the Three Months Ended December 31, 2019



	CLOs			Opportunity Funds			Wind-Down Funds			Total
Rollforward:
Assets under management (AUM), October 1, 2019	$	11,844		$	923		$	5,528		$	18,295

Inflows	977			165			—			1,142
Outflows:
Redemptions	—			—			(171		)	(171		)
Distributions	(92		)	(43		)	(1,126		)	(1,261		)
Total outflows	(92		)	(43		)	(1,297		)	(1,432		)
Net flows	885			122			(1,297		)	(290		)
Change in fund value	29			(22		)	(185		)	(178		)
AUM, end of period⁽¹⁾	$	12,758		$	1,023		$	4,046		$	17,827

Funded AUM⁽²⁾	$	12,721		$	796		$	3,980		$	17,497
Unfunded AUM⁽²⁾	37			227			66			330

Fee Earning AUM⁽³⁾	$	3,438		$	695		$	3,838		$	7,971
Non-Fee Earning AUM⁽³⁾	9,320			328			208			9,856

_____________________


1)	Includes $142 million and $49 million of AUM related to intercompany investments in Assured Investment Management opportunity funds and CLO fund, respectively.


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


3)	Fee Earning AUM refers to assets where Assured Investment Management collects fees or has elected not to waive or rebate fees to investors. Non-Fee Earning AUM refers to assets where Assured Investment Management does not collect fees or has elected to waive or rebate fees to investors.

Corporate Division

Assured Guaranty Ltd.

Corporate Results

(dollars in millions)



	Three Months Ended						Year Ended
	December 31,						December 31,
	2019			2018			2019			2018

Total revenues	$	1		$	(7	)	$	3		$	(28	)

Expenses
Interest expense	25			24			94			97
Employee compensation and benefit expenses	4			5			17			18
Other operating expenses	11			4			22			14
Total expenses	40			33			133			129
Adjusted operating income (loss) before income taxes	(39		)	(40		)	(130		)	(157		)
Provision (benefit) for income taxes	(7		)	(6		)	(19		)	(61		)
Adjusted operating income (loss)	$	(32	)	$	(34	)	$	(111	)	$	(96	)

Other

Assured Guaranty Ltd.

Other Results (1 of 2)

(dollars in millions)



	Three Months Ended December 31, 2019
	FG VIEs			Consolidated Investment Vehicles			Intersegment Eliminations and Reclasses			Total Other
	(in millions)
Revenues
Net earned premiums	$	(2	)	$	—		$	—		$	(2	)
Net investment income	(1		)	—			(3		)	(4		)
Fair value gains (losses) on FG VIEs	—			—			—			—
Other income (loss)	—			(3		)	10			7
Total revenues	(3		)	(3		)	7			1
Expenses
Loss and LAE	2			—			—			2
Interest expense	—			—			(3		)	(3		)
Other operating expenses	—			—			10			10
Total expenses	2			—			7			9
Equity in net earnings of investees	—			2			—			2
Adjusted operating income (loss) before income taxes	(5		)	(1		)	—			(6		)
Provision (benefit) for income taxes	(1		)	—			—			(1		)
Noncontrolling interests	—			(1		)	—			(1		)
Adjusted operating income (loss)	$	(4	)	$	—		$	—		$	(4	)



	Three Months Ended December 31, 2018
	FG VIEs			Consolidated Investment Vehicles		Intersegment Eliminations and Reclasses			Total Other
	(in millions)
Revenues
Net earned premiums	$	(3	)	$	—	$	—		$	(3	)
Net investment income	(1		)	—		(1		)	(2		)
Fair value gains (losses) on FG VIEs	3			—		—			3
Other income (loss)	—			—		—			—
Total revenues	(1		)	—		(1		)	(2		)
Expenses
Loss and LAE	3			—		—			3
Interest expense	—			—		(1		)	(1		)
Other operating expenses	—			—		—			—
Total expenses	3			—		(1		)	2
Equity in net earnings of investees	—			—		—			—
Adjusted operating income (loss) before income taxes	(4		)	—		—			(4		)
Provision (benefit) for income taxes	(1		)	—		—			(1		)
Noncontrolling interests	—			—		—			—
Adjusted operating income (loss)	$	(3	)	$	—	$	—		$	(3	)

Assured Guaranty Ltd.

Other Results (2 of 2)

(dollars in millions)



	Year Ended December 31, 2019
	FG VIEs			Consolidated Investment Vehicles			Intersegment Eliminations and Reclasses			Total Other
	(in millions)
Revenues
Net earned premiums	$	(18	)	$	—		$	—		$	(18	)
Net investment income	(4		)	—			(5		)	(9		)
Fair value gains (losses) on FG VIEs	42			—			—			42
Other income (loss)	—			(3		)	10			7
Total revenues	20			(3		)	5			22
Expenses
Loss and LAE	20			—			—			20
Interest expense	—			—			(5		)	(5		)
Other operating expenses	—			—			10			10
Total expenses	20			—			5			25
Equity in net earnings of investees	—			2			—			2
Adjusted operating income (loss) before income taxes	—			(1		)	—			(1		)
Provision (benefit) for income taxes	—			—			—			—
Noncontrolling interests	—			(1		)	—			(1		)
Adjusted operating income (loss)	$	—		$	—		$	—		$	—



	Year Ended December 31, 2018
	FG VIEs			Consolidated Investment Vehicles		Intersegment Eliminations and Reclasses			Total Other
	(in millions)
Revenues
Net earned premiums	$	(12	)	$	—	$	—		$	(12	)
Net investment income	(4		)	—		(3		)	(7		)
Fair value gains (losses) on FG VIEs	14			—		—			14
Other income (loss)	—			—		—			—
Total revenues	(2		)	—		(3		)	(5		)
Expenses
Loss and LAE	3			—		—			3
Interest expense	—			—		(3		)	(3		)
Other operating expenses	—			—		—			—
Total expenses	3			—		(3		)	—
Equity in net earnings of investees	—			—		—			—
Adjusted operating income (loss) before income taxes	(5		)	—		—			(5		)
Provision (benefit) for income taxes	(1		)	—		—			(1		)
Noncontrolling interests	—			—		—			—
Adjusted operating income (loss)	$	(4	)	$	—	$	—		$	(4	)

Summary

Assured Guaranty Ltd.

Summary of Financial and Statistical Data

(dollars in millions, except per share amounts)



			Year Ended December 31,
			2019			2018			2017			2016			2015
GAAP Summary Statements of Operations Data
	Net earned premiums		$	476		$	548		$	690		$	864		$	766
	Net investment income⁽¹⁾		378			395			417			408			423
	Total expenses		503			422			748			660			776
	Income (loss) before income taxes		460			580			991			1,017			1,431
	Net income (loss) attributable to AGL		402			521			730			881			1,056
	Net income (loss) attributable to AGL per diluted share		4.00			4.68			5.96			6.56			7.08

GAAP Summary Balance Sheet Data
	Total investments and cash		$	10,409		$	10,977		$	11,539		$	11,103		$	11,358
	Total assets		14,326			13,603			14,433			14,151			14,544
	Unearned premium reserve		3,736			3,512			3,475			3,511			3,996
	Loss and LAE reserve		1,050			1,177			1,444			1,127			1,067
	Long-term debt		1,235			1,233			1,292			1,306			1,300
	Shareholders’ equity attributable to AGL		6,639			6,555			6,839			6,504			6,063
	Shareholders’ equity attributable to AGL per share		71.18			63.23			58.95			50.82			43.96

Other Financial Information (GAAP Basis)
	Financial guaranty:
	Net debt service outstanding (end of period)		$	374,130		$	371,586		$	401,118		$	437,535		$	536,341
	Gross debt service outstanding (end of period)		375,776			375,080			408,492			455,000			559,470
	Net par outstanding (end of period)		236,807			241,802			264,952			296,318			358,571
	Gross par outstanding (end of period)		238,156			244,191			269,386			307,474			373,192

Other Financial Information (Statutory Basis)⁽²⁾
	Financial guaranty:
	Net debt service outstanding (end of period)		$	367,630		$	359,499		$	373,340		$	401,004		$	502,331
	Gross debt service outstanding (end of period)		369,251			362,974			380,478			417,072			524,104
	Net par outstanding (end of period)		230,984			230,664			239,003			262,468			327,306
	Gross par outstanding (end of period)		232,333			233,036			243,217			272,286			340,662

Claims-paying resources⁽³⁾
	Policyholders' surplus		$	5,056		$	5,148		$	5,305		$	5,126		$	4,631
	Contingency reserve		1,607			1,663			1,750			2,008			2,263
	Qualified statutory capital		6,663			6,811			7,055			7,134			6,894
	Unearned premium reserve and net deferred ceding commission income		2,961			2,950			2,849			2,672			3,225
	Loss and LAE reserves		529			1,023			1,092			888			1,043
	Total policyholders' surplus and reserves		10,153			10,784			10,996			10,694			11,162
	Present value of installment premium		609			451			445			500			645
	CCS and standby line of credit		400			400			400			400			400
	Excess of loss reinsurance facility		—			180			180			360			360
	Total claims-paying resources		$	11,162		$	11,815		$	12,021		$	11,954		$	12,567

	Ratios:
		Net exposure to qualified statutory capital	35		:1	34		:1	34		:1	37		:1	47		:1
		Capital ratio	55		:1	53		:1	53		:1	56		:1	73		:1
		Financial resources ratio	33		:1	31		:1	31		:1	34		:1	40		:1
		Adjusted statutory net exposure to claims-paying resources	21		:1	20		:1	20		:1	22		:1	26		:1

Par and Debt Service Written (FG and Specialty)
	Gross debt service written:
		Public finance - U.S.	$	28,054		$	31,989		$	26,988		$	25,423		$	25,832
		Public finance - non-U.S.	17,907			7,166			2,811			848			2,054
		Structured finance - U.S.	1,704			1,191			500			1,143			355
		Structured finance - non-U.S.	88			369			202			30			69
	Total gross debt service written		$	47,753		$	40,715		$	30,501		$	27,444		$	28,310

	Net debt service written		$	47,731		$	40,630		$	30,476		$	27,444		$	28,310
	Net par written		24,331			24,538			17,962			17,854			17,336
	Gross par written		24,353			24,624			18,024			17,854			17,336


1)	In the first quarter of 2019, the Company reclassified equity in net earnings of investees from net investment income to a separate line item on the consolidated statements of operations. Prior periods have been updated to reflect this change.


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


3)	See page 13 for additional detail on claims-paying resources.

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

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

Assured Guaranty Ltd.

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

(dollars in millions, except per share amounts)



	Year Ended December 31,
	2019			2018			2017			2016			2015
Total GWP	$	677		$	612		$	307		$	154		$	181
Less: Installment GWP and other GAAP adjustments ⁽²⁾	469			119			99			(10		)	55
Upfront GWP	208			493			208			164			126
Plus: Installment premium PVP	255			170			81			50			53
Total PVP	$	463		$	663		$	289		$	214		$	179

PVP:
Public finance - U.S.	$	201		$	391		$	196		$	161		$	124
Public finance - non-U.S.	211			94			66			25			27
Structured finance - U.S.	45			166			12			27			22
Structured finance - non-U.S.	6			12			15			1			6
Total PVP	$	463		$	663		$	289		$	214		$	179

Adjusted operating income reconciliation:
Net income (loss) attributable to AGL	$	402		$	521		$	730		$	881		$	1,056
Less pre-tax adjustments:
Realized gains (losses) on investments	22			(32		)	40			(30		)	(27		)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(10		)	101			43			36			505
Fair value gains (losses) on CCS	(22		)	14			(2		)	—			27
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	22			(32		)	57			(33		)	(15		)
Total pre-tax adjustments	12			51			138			(27		)	490
Less tax effect on pre-tax adjustments	(1		)	(12		)	(69		)	13			(144		)
Adjusted operating income (loss)	$	391		$	482		$	661		$	895		$	710


Adjusted operating income per diluted share reconciliation:
Net income (loss) attributable to AGL per diluted share	$	4.00		$	4.68		$	5.96		$	6.56		$	7.08
Less pre-tax adjustments:
Realized gains (losses) on investments	0.22			(0.29		)	0.33			(0.23		)	(0.18		)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(0.11		)	0.90			0.35			0.27			3.39
Fair value gains (losses) on CCS	(0.22		)	0.13			(0.02		)	—			0.18
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.21			(0.29		)	0.46			(0.25		)	(0.10		)
Total pre-tax adjustments	0.10			0.45			1.12			(0.21		)	3.29
Less tax effect on pre-tax adjustments	(0.01		)	(0.11		)	(0.57		)	0.09			(0.97		)
Adjusted operating income (loss) per diluted share	$	3.91		$	4.34		$	5.41		$	6.68		$	4.76


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


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

Assured Guaranty Ltd.

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

(dollars in millions, except per share amounts)



	As of December 31,
	2019			2018			2017			2016			2015
Adjusted book value reconciliation:
Shareholders' equity attributable to AGL	$	6,639		$	6,555		$	6,839		$	6,504		$	6,063
Less pre-tax adjustments:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(56		)	(45		)	(146		)	(189		)	(241		)
Fair value gains (losses) on CCS	52			74			60			62			62
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	486			247			487			316			373
Less taxes	(89		)	(63		)	(83		)	(71		)	(56		)
Adjusted operating shareholders' equity	6,246			6,342			6,521			6,386			5,925
Pre-tax adjustments:
Less: Deferred acquisition costs	111			105			101			106			114
Plus: Net present value of estimated net future revenue	192			204			146			136			169
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,296			3,005			2,966			2,922			3,384
Plus taxes	(588		)	(524		)	(512		)	(832		)	(968		)
Adjusted book value	$	9,035		$	8,922		$	9,020		$	8,506		$	8,396

Gain (loss) related to VIE consolidation included in adjusted operating shareholders' equity (net of tax (provision) benefit of $(2), $(1), $(2), $4 and $11)	$	7		$	3		$	5		$	(7	)	$	(21	)

Gain (loss) related to VIE consolidation included in adjusted book value (net of tax benefit of $1, $4, $3, $12 and $22)	$	(4	)	$	(15	)	$	(14	)	$	(24	)	$	(43	)

Adjusted book value per share reconciliation:
Shareholders' equity attributable to AGL per share	$	71.18		$	63.23		$	58.95		$	50.82		$	43.96
Less pre-tax adjustments:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(0.60		)	(0.44		)	(1.26		)	(1.48		)	(1.75		)
Fair value gains (losses) on CCS	0.56			0.72			0.52			0.48			0.45
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	5.21			2.39			4.20			2.47			2.71
Less taxes	(0.95		)	(0.61		)	(0.71		)	(0.54		)	(0.41		)
Adjusted operating shareholders' equity per share	66.96			61.17			56.20			49.89			42.96
Pre-tax adjustments:
Less: Deferred acquisition costs	1.19			1.01			0.87			0.83			0.83
Plus: Net present value of estimated net future revenue	2.05			1.96			1.26			1.07			1.23
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	35.34			28.98			25.56			22.83			24.53
Plus taxes	(6.30		)	(5.04		)	(4.41		)	(6.50		)	(7.02		)
Adjusted book value per share	$	96.86		$	86.06		$	77.74		$	66.46		$	60.87

Gain (loss) related to VIE consolidation included in adjusted operating shareholders' equity per share	$	0.07		$	0.03		$	0.03		$	(0.06	)	$	(0.15	)

Gain (loss) related to VIE consolidation included in adjusted book value per share	$	(0.05	)	$	(0.15	)	$	(0.12	)	$	(0.18	)	$	(0.31	)


1)	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

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

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

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

Performance Indicators

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

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

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

Sectors

Below are brief descriptions of selected types of public and structured finance obligations that the Company insures and reinsures. For a more complete description, please refer to Assured Guaranty Ltd.’s Annual Report on Form 10-K for the year ended December 31, 2019.

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.

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.

Glossary (continued)

Sectors (continued)

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

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

Investor-Owned Utility Bonds are obligations primarily 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.

Renewable Energy Bonds are obligations backed by renewable energy sources, such as solar, wind farm, hydroelectric, geothermal and fuel cell.

Regulated Utility 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 credit default swap obligations or credit-linked notes that reference either infrastructure finance obligations or a pool of such obligations, with a defined deductible to cover credit risks associated with the referenced obligations.

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

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

Structured Finance:

Residential Mortgage-Backed Securities are obligations backed by closed-end and open-end first and second lien mortgage loans on one-to-four family residential properties, including condominiums and cooperative apartments. First lien 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.

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

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

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

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

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

Glossary (continued)

Definitions for Asset Management Segment

The Company uses AUM as a metric to measure progress in its Asset Management segment. The Company uses measures of its AUM in its decision making process and intends to use a measure of change in AUM in its calculation of certain components of management compensation. Investors also use AUM to evaluate companies that participate in the asset management business. AUM refers to the assets managed, advised or serviced by the Asset Management segment and equals the sum of the following:


•	the net asset value of the opportunity and wind-down funds plus any unfunded commitments;

•

the amount of aggregate collateral balance and principal cash of Assured Investment Management's CLOs, including CLO equity that may be held by Assured Investment Management funds. This also includes CLO assets managed by BlueMountain Fuji Management, LLC (BM Fuji). BlueMountain is not the investment manager of BM Fuji CLOs, but rather has entered into a services agreement and a secondment agreement with BM Fuji pursuant to which BlueMountain provides certain services associated with the management of BM Fuji-advised CLOs and acts in the capacity of service provider.

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

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

"Third-party assets under management" or "3^rd Party AUM" refers to the assets Assured Investment Management manages or advises on behalf of third-party investors. This includes current and former employee investments in Assured Investment Management's funds. For CLOs, this also includes CLO equity that may be held by Assured Investment Management's funds.

"Intercompany assets under management" or "Intercompany AUM" refers to the assets Assured Investment Management manages or advises on behalf of the Company. This includes investments from affiliates of Assured Guaranty along with general partners' investments of BlueMountain (or its affiliates) into the funds.

"Funded assets under management" or "Funded AUM" refers to assets that have been deployed or invested into the funds or CLOs.

"Unfunded assets under management" or "Unfunded AUM" refers to unfunded capital commitments from closed-end funds and CLO warehouse fund.

"Fee earning assets under management" or "Fee Earning AUM" refers to assets where Assured Investment Management collects fees and has elected not to waive or rebate fees to investor.

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

Non-GAAP Financial Measures

To reflect the key financial measures that management analyzes in evaluating the Company’s operations and progress towards long-term goals, the Company discloses both financial measures determined in accordance with GAAP and financial measures not determined in accordance with GAAP (non-GAAP financial measures).

Financial measures identified as non-GAAP should not be considered substitutes for GAAP financial measures. The primary limitation of non-GAAP financial measures is the potential lack of comparability to financial measures of other companies, whose definitions of non-GAAP financial measures may differ from those of the Company.

By disclosing non-GAAP financial measures, the Company gives investors, analysts and financial news reporters access to information that management and the Board of Directors review internally. The Company believes its presentation of non-GAAP financial measures, along with the effect of VIE consolidation, provides information that is necessary for analysts to calculate their estimates of Assured Guaranty’s financial results in their research reports on Assured Guaranty and for investors, analysts and the financial news media to evaluate Assured Guaranty’s financial results.

GAAP requires the Company to consolidate certain FG VIEs and investment vehicles. The Company does not own such FG VIEs and its exposure is limited to its obligation under the financial guaranty insurance contract, which is captured in the Insurance segment results. The economic effect of its consolidated investment vehicles is also captured in its Insurance segment results through the insurance subsidiaries' economic interest in such vehicles. Management and the Board of Directors use non-GAAP financial measures further adjusted to remove VIE consolidation (which the Company refers to as its core financial measures), as well as GAAP financial measures and other factors, to evaluate the Company’s results of operations, financial condition and progress towards long-term goals. The Company uses these core financial measures in its decision making process and in its calculation of certain components of management compensation. Wherever possible, the Company has separately disclosed the effect of VIE consolidation.

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

Management believes that many investors, analysts and financial news reporters also use adjusted book value, further adjusted to remove the effect of VIE consolidation, to evaluate AGL’s share price and as the basis of their decision to recommend, buy or sell the AGL common shares. Adjusted operating income further adjusted for the effect of VIE consolidation enables investors and analysts to evaluate the Company’s financial results in comparison with the consensus analyst estimates distributed publicly by financial databases.

The core financial measures that the Company uses to help determine compensation are: (1) adjusted operating income, further adjusted to remove the effect of VIE consolidation, (2) adjusted operating shareholders' equity, further adjusted to remove the effect of VIE consolidation, (3) growth in adjusted book value per share, further adjusted to remove the effect of VIE consolidation, and (4) PVP.

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

Adjusted Operating Income: Management believes that adjusted operating income is a useful measure because it clarifies the understanding of the underwriting results and financial condition of the Company and presents the results of operations of the Company excluding the fair value adjustments on credit derivatives and CCS that are not expected to result in economic gain or loss, as well as other adjustments described below. Management further adjusts adjusted operating income by removing VIE consolidation to arrive at its core operating income measure. Adjusted operating income is defined as net income (loss) attributable to AGL, as reported under GAAP, adjusted for the following:

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

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

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

Non-GAAP Financial Measures (continued)

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

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

Adjusted Operating Shareholders’ Equity and Adjusted Book Value: Management believes that adjusted operating shareholders’ equity is a useful measure because it presents the equity of the Company excluding the fair value adjustments on investments, credit derivatives and CCS that are not expected to result in economic gain or loss, along with other adjustments described below. Management further adjusts adjusted operating shareholders’ equity by removing VIE consolidation to arrive at its core operating shareholders' equity and core adjusted book value.

Adjusted operating shareholders’ equity is the basis of the calculation of adjusted book value (see below). Adjusted operating shareholders’ equity is defined as shareholders’ equity attributable to AGL, as reported under GAAP, adjusted for the following:

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

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

3) Elimination of unrealized gains (losses) on the Company’s investments that are recorded as a component of accumulated other comprehensive income (AOCI) (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.

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

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

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

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

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

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

The unearned premiums and revenues included in adjusted book value will be earned in future periods, but actual earnings may differ materially from the estimated amounts used in determining current adjusted book value due to changes in foreign exchange rates, prepayment speeds, terminations, credit defaults and other factors.

Non-GAAP Financial Measures (continued)

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

Net Present Value of Estimated Net Future Revenue: Management believes that this amount is a useful measure because it enables an evaluation of the value of future estimated revenue for contracts other than financial guaranty insurance contracts (such as specialty insurance and reinsurance contracts and credit derivatives). There is no corresponding GAAP financial measure. This amount represents the present value of estimated future revenue from these contracts, net of reinsurance, ceding commissions and premium taxes, for contracts without expected economic losses, and is discounted at 6%. Estimated net future 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 the Company 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 management believes GAAP gross written premiums and the net credit derivative premiums received and receivable portion of net realized gains and other settlements on credit derivatives (Credit Derivative Realized Gains (Losses)) do not adequately measure. PVP in respect of contracts written in a specified period is defined as gross upfront and installment premiums received and the present value of gross estimated future installment premiums, discounted, in each case, at 6%. Under GAAP, financial guaranty installment premiums are discounted at a risk free rate. Additionally, under GAAP, management records future installment premiums on financial guaranty insurance contracts covering non-homogeneous pools of assets based on the contractual term of the transaction, whereas for PVP purposes, management records an estimate of the future installment premiums the Company expects to receive, which may be based upon a shorter period of time than the contractual term of the transaction. Actual future earned or written premiums and Credit Derivative Realized Gains (Losses) 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

Senior Managing Director, Investor Relations and Corporate Communications

(212) 339-0861

rtucker@agltd.com

Michael Walker

Managing Director, Fixed Income Investor Relations

(212) 261-5575

mwalker@agltd.com

Andre Thomas

Managing Director, Equity Investor Relations

(212) 339-3551

athomas@agltd.com

Media:

Ashweeta Durani

Vice President, Corporate Communications

(212) 408-6042

adurani@agltd.com

ASSURED GUARANTY LTD - FORM 8-K - EX-99.2 - AGL FINANCIAL SUPPLEMENT - February 27, 2020

Attached files