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

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8-K - 8-K - ASSURED GUARANTY LTD	a8-kq12020agl.htm
EX-99.1 - AGL PRESS RELEASE - ASSURED GUARANTY LTD	agl1q20pressrelease.htm

Assured Guaranty Ltd.

March 31, 2020

Financial Supplement



Table of Contents		Page
	Selected Financial Highlights	1
	Condensed Consolidated Balance Sheets (unaudited)	3
	Condensed Consolidated Statements of Operations (unaudited)	4
	Results by Segment	5
	Selected Financial Highlights GAAP to Non-GAAP Reconciliations	6
	Investment Portfolio and Cash	9
	Insurance Segment:	10
	Insurance Segment Results	11
	Claims-Paying Resources	12
	New Business Production	13
	Gross Par Written	14
	New Business Production by Quarter	15
	Estimated Net Exposure Amortization and Estimated Future Financial Guaranty Net Premium and Credit Derivative Revenues	16
	Rollforward of Net Expected Loss and Loss Adjustment Expenses to be Paid	17
	Loss Measures	18
	Net Expected Loss to be Expensed	19
	Financial Guaranty Profile	20
	Specialty Insurance and Reinsurance Exposures	23
	Expected Amortization of Net Par Outstanding	24
	Exposure to Puerto Rico	25
	U.S. RMBS Profile	28
	Direct Pooled Corporate Obligations Profile	29
	Below Investment Grade Exposures	30
	Largest Exposures by Sector	33
	Asset Management Segment	36
	Asset Management Results	37
	Corporate Division	39
	Corporate Results	40
	Other	41
	Other Results	42
	Summary	43
	Summary of Financial and Statistical Data	44
	Summary of GAAP to Non-GAAP Reconciliations	45
	Glossary	47
	Glossary	47
	Non-GAAP Financial Measures	50

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 and its Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2020.

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) the development, course and duration of the COVID-19 pandemic and the governmental and private actions taken in response, and the global consequences of the pandemic and such actions, including their impact on the factors listed below; (2) changes in the world’s credit markets, segments thereof, interest rates, credit spreads or general economic conditions; (3) 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; (4) reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty's insurance; (5) 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; (6) 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; (7) 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; (8) increased competition, including from new entrants into the financial guaranty industry; (9) poor performance of Assured Guaranty's asset management strategies compared to the performance of the asset management strategies of Assured Guaranty's competitors; (10) 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; (11) 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 form, and variable interest entities as well as on the mark-to-market of assets Assured Guaranty manages; (12) 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; (13) the inability of Assured Guaranty to access external sources of capital on acceptable terms; (14) changes in applicable accounting policies or practices; (15) changes in applicable laws or regulations, including insurance, bankruptcy and tax laws, or other governmental actions; (16) the failure of Assured Guaranty to successfully integrate the business of BlueMountain Capital Management, LLC (BlueMountain) and its associated entities; (17) 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; (18) difficulties with the execution of Assured Guaranty’s business strategy; (19) loss of key personnel; (20) the effects of mergers, acquisitions and divestitures; (21) natural or man-made catastrophes or pandemics; (22) other risk factors identified in AGL’s filings with the U.S. SEC; (23) other risks and uncertainties that have not been identified at this time; and; (24) 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
					March 31,
					2020			2019
GAAP Highlights
Net income (loss) attributable to AGL					$	(55	)	$	54
Net income (loss) attributable to AGL per diluted share					(0.59		)	0.52
Weighted average shares outstanding
Basic shares outstanding					92.6			103.0
Diluted shares outstanding⁽²⁾					92.6			104.0
Effective tax rate on net income					7.1		%	7.8		%
GAAP return on equity (ROE) ⁽⁴⁾					(3.4		)%	3.3		%

Non-GAAP Highlights ⁽¹⁾
Adjusted operating income (loss)⁽¹⁾⁽⁶⁾
Insurance					$	85		$	111
Asset Management					(9		)	—
Corporate					(39		)	(25		)
Other					(4		)	—
Adjusted operating income (loss)					$	33		$	86
Adjusted operating income (loss) per diluted share ⁽¹⁾⁽⁶⁾					$	0.36		$	0.82
Effective tax rate on adjusted operating income⁽³⁾					24.7		%	13.1		%
Adjusted operating ROE^(1)(4)(9)					2.2		%	5.4		%
Insurance Segment
Gross written premiums (GWP)					$	64		$	39
Present value of new business production (PVP) ⁽¹⁾					51			42
Gross par written					3,033			2,707
Asset Management Segment
Wind-down funds net outflows					$	(875	)	$	—

	As of
	March 31, 2020				December 31, 2019
	Amount		Per Share		Amount			Per Share
Shareholders' equity attributable to AGL	$	6,240	$	69.35	$	6,639		$	71.18
Adjusted operating shareholders' equity ⁽¹⁾⁽⁷⁾	6,051		67.25		6,246			66.96
Adjusted book value ⁽¹⁾⁽⁸⁾	8,820		98.02		9,047			96.99
Gain (loss) related to the effect of consolidating variable interest entities (VIE consolidation) included in adjusted operating shareholders' equity	12		0.14		7			0.07
Gain (loss) related to VIE consolidation included in adjusted book value	2		0.03		(4		)	(0.05		)

Shares outstanding at the end of period	90.0				93.3

Exposure
Financial guaranty net debt service outstanding	$	363,893			$	374,130
Financial guaranty net par outstanding	230,898				236,807

Claims-paying resources ⁽⁵⁾	11,011				11,357


1)	Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement and for a description of the changes to the discount rates used in the calculation of non-GAAP financial measure. The prior period has been recast to present these measures at 3%, instead of a 6% discount rate.


2)	Non-GAAP diluted shares outstanding were 93.4 million and 104.0 million for the three months ended as of March 31, 2020 and 2019, respectively.


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 7 for additional information on calculation.


5)	See page 12 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
	March 31,
	2020		2019
Effect of refundings and terminations on GAAP measures:
Net earned premiums, pre-tax	$	15	$	26
Net income effect	11		19
Net income per diluted share	0.12		0.18

Effect of refundings and terminations on non-GAAP measures:
Operating net earned premiums and credit derivative revenues⁽¹⁾, pre-tax	$	15	$	26
Adjusted operating income⁽¹⁾effect	11		19
Adjusted operating income per diluted share ⁽¹⁾	0.12		0.18


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

Assured Guaranty Ltd.

Condensed Consolidated Balance Sheets (unaudited)

(dollars in millions)



	As of
	March 31,		December 31,
	2020		2019
Assets
Investment portfolio:
Fixed-maturity securities available-for-sale	$	8,568	$	8,854
Short-term investments, at fair value	933		1,268
Other invested assets	121		118
Total investment portfolio	9,622		10,240
Cash	139		169
Premiums receivable, net of commissions payable	1,233		1,286
Deferred acquisition costs	113		111
Salvage and subrogation recoverable	820		747
Financial guaranty variable interest entities' (FG VIEs') assets, at fair value	368		442
Assets of consolidated investment vehicles	645		572
Goodwill and other intangible assets	212		216
Other assets	593		543
Total assets	$	13,745	$	14,326
Liabilities and shareholders' equity
Unearned premium reserve	$	3,706	$	3,736
Loss and loss adjustment expense (LAE) reserve	1,050		1,050
Long-term debt	1,221		1,235
Credit derivative liabilities	265		191
FG VIEs' liabilities with recourse, at fair value	312		367
FG VIEs' liabilities without recourse, at fair value	82		102
Liabilities of consolidated investment vehicles	431		482
Other liabilities	405		511
Total liabilities	7,472		7,674

Redeemable noncontrolling interests in consolidated investment vehicles	8		7

Common stock	1		1
Retained earnings	6,100		6,295
Accumulated other comprehensive income	138		342
Deferred equity compensation	1		1
Total shareholders' equity attributable to Assured Guaranty Ltd.	6,240		6,639
Nonredeemable noncontrolling interests	25		6
Total shareholders' equity	6,265		6,645
Total liabilities, redeemable noncontrolling interests and shareholders' equity	$	13,745	$	14,326

Assured Guaranty Ltd.

Condensed Consolidated Statements of Operations (unaudited)

(dollars in millions, except per share amounts)



	Three Months Ended
	March 31,
	2020			2019
Revenues
Net earned premiums	$	103		$	118
Net investment income	80			98
Asset management fees	23			—
Net realized investment gains (losses)	(5		)	(12		)
Net change in fair value of credit derivatives	(77		)	(22		)
Fair value gains (losses) on committed capital securities (CCS)	48			(9		)
Fair value gains (losses) on FG VIEs	(9		)	5
Fair value gains (losses) on consolidated investment vehicles	(12		)	—
Foreign exchange gain (loss) on remeasurement	(62		)	11
Other income (loss)	7			6
Total revenues	96			195
Expenses
Loss and LAE	20			46
Interest expense	22			23
Amortization of deferred acquisition costs (DAC)	3			6
Employee compensation and benefit expenses	64			41
Other operating expenses	45			23
Total expenses	154			139
Income (loss) before provision for income taxes and equity in net earnings of investees	(58		)	56
Equity in net earnings of investees	(4		)	2
Income (loss) before income taxes	(62		)	58
Provision (benefit) for income taxes	(4		)	4
Net income (loss)	(58		)	54
Less: Noncontrolling interests	(3		)	—
Net income (loss) attributable to AGL	$	(55	)	$	54

Earnings per share:
Basic	$	(0.59	)	$	0.52
Diluted	$	(0.59	)	$	0.52

Assured Guaranty Ltd.

Results by Segment

(in millions)

Results by Segment for the Three Months Ended March 31, 2020 and March 31, 2019



	Three Months Ended March 31, 2020
	Insurance			Asset Management			Corporate			Other			Total

Revenues
Net earned premiums and credit derivative revenues	$	107		$	—		$	—		$	(1	)	$	106
Net investment income	83			—			1			(4		)	80
Asset management fees	—			16			—			7			23
Fair value gains (losses) on FG VIEs	—			—			—			(9		)	(9		)
Fair value gains (losses) on consolidated investment vehicles	—			—			—			(12		)	(12		)
Other income (loss)	6			1			(5		)	—			2
Total revenues	196			17			(4		)	(19		)	190

Expenses
Loss expense	18			—			—			(6		)	12
Interest expense	—			—			25			(3		)	22
Amortization of DAC and intangible assets	3			3			—			—			6
Employee compensation and benefit expenses	41			18			5			—			64
Other operating expenses	22			7			5			8			42
Total expenses	84			28			35			(1		)	146
Equity in net earnings of investees	(9		)	—			(5		)	10			(4		)
Income (loss) before income taxes	103			(11		)	(44		)	(8		)	40
Provision (benefit) for income taxes	18			(2		)	(5		)	(1		)	10
Noncontrolling interests	—			—			—			(3		)	(3		)
Adjusted operating income (loss)	$	85		$	(9	)	$	(39	)	$	(4	)	$	33



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

Revenues
Net earned premiums and credit derivative revenues	$	126	$	—	$	—		$	(3	)	$	123
Net investment income	99		—		1			(2		)	98
Fair value gains (losses) on FG VIEs	—		—		—			5			5
Other income (loss)	9		—		(1		)	—			8
Total revenues	234		—		—			—			234

Expenses
Loss expense	44		—		—			1			45
Interest expense	—		—		24			(1		)	23
Amortization of DAC and intangible assets	6		—		—			—			6
Employee compensation and benefit expenses	37		—		4			—			41
Other operating expenses	20		—		3			—			23
Total expenses	107		—		31			—			138
Equity in net earnings of investees	1		—		1			—			2
Income (loss) before income taxes	128		—		(30		)	—			98
Provision (benefit) for income taxes	17		—		(5		)	—			12
Noncontrolling interests	—		—		—			—			—
Adjusted operating income (loss)	$	111	$	—	$	(25	)	$	—		$	86

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
	March 31,
	2020			2019

Net income (loss) attributable to AGL	$	(55	)	$	54
Less pre-tax adjustments:
Realized gains (losses) on investments	(5		)	(12		)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(88		)	(28		)
Fair value gains (losses) on CCS	48			(9		)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	(57		)	9
Total pre-tax adjustments	(102		)	(40		)
Less tax effect on pre-tax adjustments	14			8
Adjusted operating income (loss)	$	33		$	86

Per diluted share:
Net income (loss) attributable to AGL	$	(0.59	)	$	0.52
Less pre-tax adjustments:
Realized gains (losses) on investments	(0.06		)	(0.12		)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(0.95		)	(0.26		)
Fair value gains (losses) on CCS	0.52			(0.09		)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	(0.62		)	0.09
Total pre-tax adjustments	(1.11		)	(0.38		)

Tax effect on pre-tax adjustments	0.16			0.08

Adjusted operating income (loss) (1)	$	0.36		$	0.82


1)	Based on the non-GAAP diluted shares outstanding, which were 93.4 million and 104.0 million for the three months ended as of March 31, 2020 and 2019, respectively.

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
	March 31,		December 31,		March 31,			December 31,
	2020		2019		2019			2018
Shareholders' equity attributable to AGL	$	6,240	$	6,639	$	6,669		$	6,555
Adjusted operating shareholders' equity	6,051		6,246		6,341			6,342
Gain (loss) related to VIE consolidation included in adjusted operating shareholders' equity	12		7		3			3

					Three Months Ended
					March 31,
					2020			2019
Net income (loss) attributable to AGL					$	(55	)	$	54
Adjusted operating income (loss)					33			86

Average shareholders' equity attributable to AGL					$	6,440		$	6,612
Average adjusted operating shareholders' equity					6,149			6,342
Gain (loss) related to VIE consolidation included in average adjusted operating shareholders' equity					10			5

GAAP ROE ⁽¹⁾					(3.4		)%	3.3		%
Adjusted operating ROE ⁽¹⁾					2.2		%	5.4		%


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
	March 31,			December 31,			March 31,			December 31,
	2020			2019			2019			2018
Reconciliation of shareholders' equity attributable to AGL to adjusted book value ⁽¹⁾:
Shareholders' equity attributable to AGL	$	6,240		$	6,639		$	6,669		$	6,555
Less pre-tax reconciling items:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(144		)	(56		)	(73		)	(45		)
Fair value gains (losses) on CCS	101			52			65			74
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	275			486			419			247
Less taxes	(43		)	(89		)	(83		)	(63		)
Adjusted operating shareholders' equity	6,051			6,246			6,341			6,342
Pre-tax reconciling items:
Less: Deferred acquisition costs	113			111			104			105
Plus: Net present value of estimated net future revenue	193			206			214			219
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,273			3,296			2,972			3,005
Plus taxes	(584		)	(590		)	(518		)	(526		)
Adjusted book value	$	8,820		$	9,047		$	8,905		$	8,935

Gain (loss) related to VIE consolidation included in adjusted operating shareholders' equity (net of tax (provision) benefit of $(4), $(2), $(1), and $(1))	$	12		$	7		$	3		$	3

Gain (loss) related to VIE consolidation included in adjusted book value (net of tax (provision) benefit of $(2), $1, $5, and $4)	$	2		$	(4	)	$	(20	)	$	(15	)

(1)

See Non-GAAP Financial Measures set forth at the end of this Financial Supplement for a description of the changes to the discount rates used in the calculation of non-GAAP financial measure. The discount rate used for net present value of estimated net future revenues as of March 31, 2020 is 3%. The prior periods have been recast to present the net present value of net future revenues discounted at 3% instead of 6%.

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 March 31, 2020

(dollars in millions)



	Amortized Cost		Allowance for Credit Losses			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⁾	$	3,952	$	(11	)	3.63	%	3.35	%	$	4,204	$	143
U.S. government and agencies	160		—			3.72		3.23		175		6
Corporate securities ⁽⁴⁾	2,292		(39		)	2.94		2.59		2,233		66
Mortgage-backed securities:
Residential mortgage-backed securities (RMBS) ⁽³⁾⁽⁴⁾	737		(16		)	4.78		4.02		717		35
Commercial mortgage-backed securities	399		—			3.49		3.01		414		14
Asset-backed securities ⁽⁴⁾	687		(7		)	5.48		4.41		653		37
Non-U.S. government securities	183		—			1.13		1.13		172		2
Total fixed maturity securities	8,410		(73		)	3.63		3.22		8,568		303
Short-term investments	933		—			0.41		0.34		933		4
Cash ⁽⁵⁾	139		—			—		—		139		—
Total	$	9,482	$	(73	)	3.31	%	2.93	%	$	9,640	$	307



Ratings⁽⁶⁾:	Fair Value		% of Portfolio
U.S. government and agencies	$	175	2.0		%
AAA/Aaa	1,379		16.1
AA/Aa	3,689		43.1
A/A	1,898		22.1
BBB	728		8.5
Below-investment-grade (BIG)⁽⁷⁾	648		7.6
Not rated	51		0.6
Total fixed maturity securities, available-for-sale	$	8,568	100.0		%


Duration of fixed maturity securities and short-term investments (in years):			4.0

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 $190 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 $1,086 million in par with carrying value of $636 million.

Insurance Segment

Assured Guaranty Ltd.

Insurance Segment Results

(dollars in millions)



	Three Months Ended
	March 31,
	2020			2019
Revenues
Net earned premiums and credit derivative revenues	$	107		$	126
Net investment income	83			99
Other income (loss)	6			9
Total revenues	196			234

Expenses
Loss expense	18			44
Amortization of DAC	3			6
Employee compensation and benefit expenses	41			37
Other operating expenses	22			20
Total expenses	84			107
Equity in net earnings of investees	(9		)	1
Adjusted operating income (loss) before income taxes	103			128
Provision (benefit) for income taxes	18			17
Adjusted operating income (loss)	$	85		$	111

Assured Guaranty Ltd.

Claims-Paying Resources

(dollars in millions)



	As of March 31, 2020
	Assured Guaranty Municipal Corp.		Assured Guaranty Corp.		Municipal Assurance Corp.			Assured Guaranty Re Ltd. ⁽⁷⁾		Eliminations⁽²⁾			Consolidated
Claims-paying resources
Policyholders' surplus	$	2,573	$	1,668	$	277		$	823	$	(478	)	$	4,863
Contingency reserve⁽¹⁾	997		623		196			—		(196		)	1,620
Qualified statutory capital	3,570		2,291		473			823		(674		)	6,483
Unearned premium reserve and net deferred ceding commission income⁽¹⁾	1,997		423		136			573		(214		)	2,915
Loss and LAE reserves ⁽¹⁾	145		130		(2		)	162		2			437
Total policyholders' surplus and reserves	5,712		2,844		607			1,558		(886		)	9,835
Present value of installment premium⁽⁸⁾	389		188		—			199		—			776
CCS	200		200		—			—		—			400
Total claims-paying resources (including proportionate MAC ownership for AGM and AGC)	6,301		3,232		607			1,757		(886		)	11,011
Adjustment for MAC ⁽³⁾	368		239		—			—		(607		)	—
Total claims-paying resources (excluding proportionate MAC ownership for AGM and AGC)	$	5,933	$	2,993	$	607		$	1,757	$	(279	)	$	11,011

Statutory net exposure ⁽⁴⁾	$	127,664	$	22,082	$	17,379		$	60,503	$	(575	)	$	227,053
Equity method adjustment ⁽³⁾	10,549		6,830		—			—		(17,379		)	—
Adjusted statutory net exposure ⁽¹⁾	$	138,213	$	28,912	$	17,379		$	60,503	$	(17,954	)	$	227,053

Net debt service outstanding ⁽⁴⁾	$	207,899	$	33,729	$	25,643		$	93,382	$	(1,242	)	$	359,411
Equity method adjustment ⁽³⁾	15,565		10,078		—			—		(25,643		)	—
Adjusted net debt service outstanding ⁽¹⁾	$	223,464	$	43,807	$	25,643		$	93,382	$	(26,885	)	$	359,411
Ratios:
Adjusted net exposure to qualified statutory capital	39:1		13:1		37:1			74:1					35:1
Capital ratio ⁽⁵⁾	63:1		19:1		54:1			113:1					55:1
Financial resources ratio ⁽⁶⁾	35:1		14:1		42:1			53:1					33:1
Adjusted statutory net exposure to claims-paying resources (incl. MAC adj. for AGM and AGC)	22:1		9:1		29:1			34:1					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.

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.


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


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


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


6)	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).


7)	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.


8)	Discount rate was changed to 3% in first quarter 2020 from a 6% discount rate.

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 March 31, 2020 and March 31, 2019 ⁽¹⁾



	Three Months Ended										Three Months Ended
	March 31, 2020										March 31, 2019
	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	$	29	$	34	$	1	$	—	$	64	$	30		$	2	$	6	$	1	$	39
Less: Installment GWP and other GAAP adjustments⁽²⁾	—		34		1		—		35		(2		)	2		5		—		5
Upfront GWP	29		—		—		—		29		32			—		1		1		34
Plus: Installment premium PVP	—		21		1		—		22		—			4		4		—		8
Total PVP	$	29	$	21	$	1	$	—	$	51	$	32		$	4	$	5	$	1	$	42

Gross par written	$	2,641	$	377	$	15	$	—	$	3,033	$	2,016		$	176	$	494	$	21	$	2,707


1)	See Non-GAAP Financial Measures set forth at the end of this Financial Supplement for a description of the changes to the discount rates used in the calculation of non-GAAP financial measure. The discount rate used for PVP as of March 31, 2020 is 3%. Prior period has been recast to present PVP discounted at 3% instead of 6%.


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.

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
	March 31, 2020
	Gross Par Written		Avg. Internal Rating
Sector:
U.S. public finance
General obligation	$	1,070	A-
Healthcare	438		BBB-
Transportation	324		A-
Higher education	254		BBB
Tax backed	250		BBB+
Municipal utilities	246		BBB+
Housing revenue	59		BBB-
Total U.S. public finance	2,641		BBB+
Non-U.S. public finance:
Renewable energy	377		BBB+
Total non-U.S. public finance	377		BBB+
Total public finance	3,018		BBB+

U.S. structured finance:
Structured credit	15		BBB
Total U.S. structured finance	15		BBB
Non-U.S. structured finance:
Total non-U.S. structured finance	—		--
Total structured finance	15		BBB

Total gross par written	$	3,033	BBB+

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

Assured Guaranty Ltd.

New Business Production by Quarter

(dollars in millions)




	1Q-19		2Q-19		3Q-19		4Q-19		1Q-20
PVP⁽¹⁾:
Public finance - U.S.	$	32	$	44	$	46	$	79	$	29
Public finance - non-U.S.	4		8		16		280		21
Structured finance - U.S.	5		3		25		20		1
Structured finance - non-U.S.	1		1		2		3		—
Total PVP	$	42	$	56	$	89	$	382	$	51

Reconciliation of GWP to PVP:

Total GWP	$	39	$	51	$	69	$	518	$	64
Less: Installment GWP and other GAAP adjustments	5		7		21		436		35
Upfront GWP	34		44		48		82		29
Plus: Installment premium PVP	8		12		41		300		22
Total PVP ⁽¹⁾	$	42	$	56	$	89	$	382	$	51

Gross par written:
Public finance - U.S.	$	2,016	$	3,657	$	4,212	$	6,452	$	2,641
Public finance - non-U.S.	176		299		237		5,635		377
Structured finance - U.S.	494		227		438		422		15
Structured finance - non-U.S.	21		—		22		45		—
Total	$	2,707	$	4,183	$	4,909	$	12,554	$	3,033


1)	See Non-GAAP Financial Measures set forth at the end of this Financial Supplement for a description of the changes to the discount rates used in the calculation of non-GAAP financial measure. Prior periods have been recast to present PVP discounted at 3% for first quarter 2020 and all quarters of 2019, instead of a 6% discount rate.

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⁾
2020 (as of March 31)			$	363,893
2020 Q2	$	5,379	358,514		$	80	$	5	$	(1	)	$	3
2020 Q3	7,263		351,251		78		5		(1		)	3
2020 Q4	5,973		345,278		76		5		(1		)	3
2021	22,899		322,379		287		19		(4		)	11
2022	20,512		301,867		265		18		(4		)	10
2023	17,775		284,092		246		17		(3		)	9
2024	18,641		265,451		229		16		(3		)	9

2020-2024	98,442		265,451		1,261		85		(17		)	48
2025-2029	83,012		182,439		914		63		(12		)	40
2030-2034	67,053		115,386		641		41		(12		)	32
2035-2039	49,221		66,165		376		27		(7		)	24
After 2039	66,165		—		507		46		—			19
Total	$	363,893			$	3,699	$	262	$	(48	)	$	163


1)	Represents the future expected amortization of current debt service outstanding (principal and interest), assuming no advance refundings, as of March 31, 2020. 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 19, ‘‘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 March 31, 2020



	Net Expected Loss to be Paid/(Recovered) as of December 31, 2019		Economic Loss Development/(Benefit) During 1Q-20			(Paid)/Recovered Losses During 1Q-20			Net Expected Loss to be Paid/(Recovered) as of March 31, 2020
Public Finance:
U.S. public finance ⁽²⁾	$	531	$	56		$	(94	)	$	493
Non-U.S public finance	23		3			—			26
Public Finance	554		59			(94		)	519

Structured Finance:
U.S. RMBS⁽³⁾	146		(63		)	21			104
Other structured finance	37		1			(1		)	37
Structured Finance	183		(62		)	20			141
Total	$	737	$	(3	)	$	(74	)	$	660


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)	The total net expected loss for troubled U.S. public finance exposures is net of a credit for estimated future recoveries of claims already paid was $911 million as of March 31, 2020 and $819 million as of December 31, 2019.


3)	Includes future net representations and warranties payable of $106 million as of March 31, 2020 and $53 million as of December 31, 2019.

Assured Guaranty Ltd.

Loss Measures

As of March 31, 2020

(dollars in millions)



			Three Months Ended March 31, 2020
	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)
Public finance:
U.S. public finance	$	5,630	$	59		$	59		$	—
Non-U.S public finance	837		—			—			—
Public finance	6,467		59			59			—
Structured finance:
U.S. RMBS	1,580		(42		)	(50		)	(6		)
Other structured finance	191		3			3			—
Structured finance	1,771		(39		)	(47		)	(6		)
Total	$	8,238	$	20		$	12		$	(6	)


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

The "Effect of FG VIE Consolidation" column represents amounts included in the condensed 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 March 31, 2020

(dollars in millions)



	GAAP

2020 Q2	$	9
2020 Q3	9
2020 Q4	9
Subtotal 2020	27
2021	35
2022	35
2023	33
2024	32

2025-2029	134
2030-2034	90
2035-2039	32
After 2039	9
Total expected present value of net expected loss to be expensed⁽²⁾	427
Future accretion	59
Total expected future loss and LAE	$	486


1)	The present value of net expected loss to be paid is discounted using risk free rates ranging from 0.0% to 1.39% 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



	As of March 31, 2020			As of December 31, 2019
	Net Par Outstanding		Avg. Internal Rating	Net Par Outstanding		Avg. Internal Rating
U.S. public finance:
General obligation	$	72,340	A-	$	73,467	A-
Tax backed	35,715		A-	37,047		A-
Municipal utilities	25,926		A-	26,195		A-
Transportation	16,105		BBB+	16,209		BBB+
Healthcare	7,256		BBB+	7,148		A-
Higher education	5,977		A-	5,916		A-
Infrastructure finance	5,384		A-	5,429		A-
Housing revenue	1,363		BBB+	1,321		BBB+
Investor-owned utilities	654		A-	655		A-
Renewable energy	207		A-	210		A-
Other public finance	1,868		A-	1,890		A-
Total public finance	172,795		A-	175,487		A-
Non-U.S. public finance:
Regulated utilities	17,825		BBB+	18,995		BBB+
Infrastructure finance	16,684		BBB	17,952		BBB
Sovereign and sub-sovereign	10,834		A+	11,341		A+
Renewable energy	1,905		A	1,555		A
Pooled infrastructure	1,327		AAA	1,416		AAA
Total non-U.S. public finance	48,575		A-	51,259		A-
Total public finance	$	221,370	A-	$	226,746	A-

U.S. structured finance:
RMBS	$	3,393	BBB-	$	3,546	BBB-
Life insurance transactions	1,794		AA-	1,776		AA-
Pooled corporate obligations	1,350		AA-	1,401		AA-
Consumer receivables	909		A-	962		A-
Financial products	806		AA-	1,019		AA-
Other structured finance	554		BBB+	596		BBB+
Total U.S. structured finance	8,806		A-	9,300		A-

Non-U.S. structured finance:
RMBS	401		A	427		A
Pooled corporate obligations	55		BB+	55		BB+
Other structured finance	266		A+	279		A+
Total non-U.S. structured finance	722		A	761		A
Total structured finance	$	9,528	A-	$	10,061	A-

Total	$	230,898	A-	$	236,807	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 March 31, 2020

(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	$	375	0.2	%	$	2,453	5.1	%	$	1,182	13.4	%	$	176	24.4	%	$	4,186	1.8	%
AA	19,037		11.0		4,921		10.1		3,753		42.7		35		4.8		27,746		12.0
A	92,788		53.7		14,621		30.1		1,031		11.7		172		23.8		108,612		47.0
BBB	54,965		31.8		25,743		53.0		1,110		12.6		298		41.3		82,116		35.6
BIG	5,630		3.3		837		1.7		1,730		19.6		41		5.7		8,238		3.6
Net Par Outstanding⁽¹⁾	$	172,795	100.0	%	$	48,575	100.0	%	$	8,806	100.0	%	$	722	100.0	%	$	230,898	100.0	%


1)	As of March 31, 2020, 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 March 31, 2020

(dollars in millions)

Geographic Distribution of Financial Guaranty Portfolio



	Net Par Outstanding		% of Total
U.S.:
U.S. public finance:
California	$	33,270	14.4	%
Pennsylvania	15,790		6.8
New York	15,141		6.6
Texas	14,628		6.3
Illinois	13,143		5.7
New Jersey	10,060		4.4
Florida	7,099		3.1
Michigan	5,361		2.3
Puerto Rico	4,270		1.8
Colorado	4,149		1.8
Other	49,884		21.6
Total U.S. public finance	172,795		74.8
U.S. structured finance	8,806		3.8
Total U.S.	181,601		78.6

Non-U.S.:
United Kingdom	35,899		15.6
France	3,063		1.3
Canada	2,425		1.1
Australia	1,850		0.8
Austria	1,252		0.5
Other	4,808		2.1
Total non-U.S.	49,297		21.4

Total net par outstanding	$	230,898	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 March 31, 2020

(dollars in millions)



	Gross Exposure				Net Exposure
	As of March 31, 2020		As of December 31, 2019		As of March 31, 2020		As of December 31, 2019
Life insurance transactions ⁽¹⁾	$	1,091	$	1,046	$	940	$	898
Aircraft residual value insurance policies ⁽²⁾	393		398		238		243
Total	$	1,484	$	1,444	$	1,178	$	1,141


1)	The life insurance transactions net exposure is projected to increase to approximately $1.0 billion by September 30, 2026.


2)	As of March 31, 2020, $30 million of aircraft residual value insurance exposure was rated BIG.

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

2020 (as of March 31)												$	9,528
2020 Q2	$	20	$	161	$	5		$	76	$	262	9,266
2020 Q3	33		165		(9		)	111		300		8,966
2020 Q4	29		148		(7		)	86		256		8,710
2021	224		472		2			474		1,172		7,538
2022	243		405		16			49		713		6,825
2023	196		349		10			148		703		6,122
2024	67		301		13			126		507		5,615

2020-2024	812		2,001		30			1,070		3,913		5,615
2025-2029	197		705		159			713		1,774		3,841
2030-2034	134		182		537			915		1,768		2,073
2035-2039	169		499		78			887		1,633		440
After 2039	93		6		2			339		440		—
Total structured finance	$	1,405	$	3,393	$	806		$	3,924	$	9,528

Public Finance



	Estimated Net Par Amortization		Estimated Ending Net Par Outstanding

2020 (as of March 31)			$	221,370
2020 Q2	$	2,713	218,657
2020 Q3	4,473		214,184
2020 Q4	3,254		210,930
2021	12,184		198,746
2022	10,798		187,948
2023	8,566		179,382
2024	10,032		169,350

2020-2024	52,020		169,350
2025-2029	47,671		121,679
2030-2034	42,255		79,424
2035-2039	33,332		46,092
After 2039	46,092		—
Total public finance	$	221,370

Net par outstanding (end of period)



	1Q-19		2Q-19		3Q-19		4Q-19		1Q-20
Public finance - U.S.	$	181,408	$	180,537	$	176,515	$	175,487	$	172,795
Public finance - non-U.S.	44,615		44,488		42,882		51,259		48,575
Structured finance - U.S.	10,337		9,549		9,226		9,300		8,806
Structured finance - non-U.S.	965		793		752		761		722
Net par outstanding	$	237,325	$	235,367	$	229,375	$	236,807	$	230,898

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 March 31, 2020

(dollars in millions)

Exposure to Puerto Rico



	Par Outstanding				Debt Service Outstanding
	Gross		Net		Gross		Net
Total	$	4,458	$	4,270	$	6,845	$	6,585

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		140		—		(7		)	140		145
Public Corporations - Certain Revenues Potentially Subject to Clawback
Puerto Rico Highways and Transportation Authority (PRHTA) (Transportation revenue) ⁽²⁾	223		480		187		(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 March 31, 2020

(dollars in millions)

Amortization Schedule of Net Par Outstanding of Puerto Rico



	2020 (2Q)		2020 (3Q)		2020 (4Q)		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 March 31, 2020

(dollars in millions)

Amortization Schedule of Net Debt Service Outstanding of Puerto Rico



	2020 (2Q)		2020 (3Q)		2020 (4Q)		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	$	—	$	173	$	—	$	74	$	94	$	70	$	128	$	119	$	82	$	136	$	74	$	103	$	572	$	294	$	—	$	—	$	1,919
PBA	—		9		—		20		6		13		6		13		17		45		3		3		50		20		—		—		205
Public Corporations - Certain Revenues Potentially Subject to Clawback
PRHTA (Transportation revenue)	—		46		—		59		68		72		41		65		59		63		66		78		294		356		89		—		1,356
PRHTA (Highway revenue)	—		34		—		58		27		52		51		51		17		15		25		26		233		101		—		—		690
PRCCDA	—		3		—		7		7		7		7		7		7		26		6		6		103		61		—		—		247
PRIFA	—		—		—		1		1		3		1		1		1		1		—		1		3		10		8		—		31
Other Public Corporations
PREPA	3		65		3		63		62		128		121		91		126		122		81		47		155		5		—		—		1,072
PRASA	—		10		—		19		19		19		20		44		44		44		44		14		68		70		82		272		769
MFA	—		52		—		50		48		28		23		21		37		14		11		6		5		—		—		—		295
U of PR	—		—		—		—		—		—		—		—		—		—		—		—		1		—		—		—		1
Total	$	3	$	392	$	3	$	351	$	332	$	392	$	398	$	412	$	390	$	466	$	310	$	284	$	1,484	$	917	$	179	$	272	$	6,585

Assured Guaranty Ltd.

U.S. RMBS Profile

As of March 31, 2020

(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	$	14	$	120	$	17	$	780	$	—	$	931
AA	34		101		11		188		3		337
A	—		29		—		27		125		181
BBB	—		9		—		7		348		364
BIG	57		329		32		995		167		1,580
Total exposures	$	105	$	588	$	60	$	1,997	$	643	$	3,393

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	$	21	$	18	$	1	$	539	$	44	$	623
2005	48		213		23		219		123		626
2006	36		41		10		263		206		556
2007	—		316		26		934		270		1,546
2008	—		—		—		42		—		42
Total exposures	$	105	$	588	$	60	$	1,997	$	643	$	3,393

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 March 31, 2020

(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	$	201	14.9	%	47.1%	75.4%
AA	748		55.1	%	40.4%	50.1%
A	274		20.2	%	43.1%	46.2%
BBB	94		6.9	%	35.7%	36.2%
BIG	40		2.9	%	N/A	N/A
Total exposures	$	1,357	100.0	%	41.5%	51.2%

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	$	538	39.7	%	44.2%	59.6%	AA
U.S. mortgage and real estate investment trusts	110		8.1		47.4%	64.1%	A
Collateralized bond obligations / collateralized loan obligations	595		43.8		37.9%	41.3%	A+
Other pooled corporates	114		8.4		N/A	N/A	A+
Total exposures	$	1,357	100.0	%	41.5%	51.2%	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
	March 31,		December 31,
	2020		2019
U.S. public finance:
Tax backed	$	1,855	$	1,858
General obligation	1,840		1,969
Municipal utilities	1,472		1,472
Higher education	173		178
Transportation	99		100
Infrastructure finance	35		35
Healthcare	32		32
Housing revenue	17		17
Renewable energy	—		3
Other public finance	107		107
Total U.S. public finance	5,630		5,771
Non-U.S. public finance:
Sovereign and sub-sovereign	405		415
Infrastructure finance	393		444
Renewable energy	39		39
Total non-U.S. public finance	837		898
Total public finance	$	6,467	$	6,669

U.S. structured finance:
RMBS	$	1,580	$	1,618
Consumer receivables	103		108
Life insurance transactions	40		40
Other structured finance	7		30
Total U.S. structured finance	1,730		1,796
Non-U.S. structured finance:
Pooled corporate obligations	40		40
Other structured finance	1		1
Total non-U.S. structured finance	41		41
Total structured finance	$	1,771	$	1,837
Total BIG net par outstanding	$	8,238	$	8,506

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (2 of 3)

(dollars in millions)

Net Par Outstanding by BIG Category⁽¹⁾



	As of
	March 31,		December 31,
	2020		2019
BIG Category 1
U.S. public finance	$	1,441	$	1,582
Non-U.S. public finance	793		854
U.S. structured finance	195		191
Non-U.S. structured finance	40		40
Total BIG Category 1	2,469		2,667
BIG Category 2
U.S. public finance	430		430
Non-U.S. public finance	—		—
U.S. structured finance	123		136
Non-U.S. structured finance	—		—
Total BIG Category 2	553		566
BIG Category 3
U.S. public finance	3,759		3,759
Non-U.S. public finance	44		44
U.S. structured finance	1,412		1,469
Non-U.S. structured finance	1		1
Total BIG Category 3	5,216		5,273
BIG Total	$	8,238	$	8,506

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 March 31, 2020

(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 City, California	107		B
Harrisburg Parking System, Pennsylvania	76		BB
Alabama State University	75		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	$	5,040

Non-U.S. public finance:
Valencia Fair	$	295	BB+
Road Management Services PLC (A13 Highway)	172		B+
M6 Duna Autopalya Koncesszios Zartkoruen Mukodo Reszvenytarsasag	119		BB+
CountyRoute (A130) plc	70		BB-
Total non-U.S. public finance	$	656
Total	$	5,696


U.S. structured finance:
RMBS:
Option One 2007-FXD2	$	172	CCC	14.9%
Soundview 2007-WMC1	155		CCC	27.0%
Option One Mortgage Loan Trust 2007-HL1	110		CCC	24.2%
Nomura Asset Accept. Corp. 2007-1	102		CCC	17.5%
Argent Securities Inc., Asset Backed Pass Through Certificates 2005-W4	93		CCC	13.2%
New Century 2005-A	84		CCC	14.4%
MABS 2007-NCW	62		BB	18.4%
ACE 2007-SL1	52		CCC	3.0%
ACE 2007-D1	52		CCC	22.3%
Subtotal RMBS	$	882

Non-RMBS:
National Collegiate Trust Series 2006-2	$	57	CCC	3.0%
Subtotal non-RMBS	$	57
Total U.S. structured finance	$	939

Total non-U.S. structured finance	$	—
Total	$	939


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 March 31, 2020

(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)	$	3,897	BBB
Pennsylvania (Commonwealth of)	1,978		A-
New York Metropolitan Transportation Authority	1,891		A-
Illinois (State of)	1,752		BBB
Puerto Rico, General Obligation, Appropriations and Guarantees of the Commonwealth	1,409		CCC
Puerto Rico Highways & Transportation Authority	1,265		CCC
North Texas Tollway Authority	1,127		A
California (State of)	1,062		AA-
Foothills - Eastern Transportation Corridor, California	1,001		BBB
CommonSpirit Health, Colorado	1,000		A-
New York (City of), New York	992		AA-
Metro Washington Airports Authority (Dulles Toll Road)	990		BBB
Great Lakes Water Authority (Sewerage), Michigan	970		A-
Massachusetts (Commonwealth of)	951		AA-
San Diego Family Housing, LLC	944		AA
Philadelphia School District, Pennsylvania	912		A-
Chicago Public Schools, Illinois	912		BBB-
Metropolitan Pier and Exposition Authority, Illinois	887		BBB-
Massachusetts (Commonwealth of) Water Resources	875		AA
Port Authority of New York and New Jersey	864		BBB-
Suffolk County, New York	847		BBB
Alameda Corridor Transportation Authority, California	833		BBB+
Long Island Power Authority	832		A-
Puerto Rico Electric Power Authority	822		CCC
Pennsylvania Turnpike Commission	773		A-
Wisconsin (State of)	753		A+
ProMedica Healthcare Obligated Group, Ohio	750		BBB
Montefiore Medical Center, New York	749		BBB-
Nassau County, New York	708		A-
Jefferson County Alabama Sewer	704		BBB
Philadelphia (City of), Pennsylvania	684		BBB+
Connecticut (State of)	675		A-
Arizona (State of)	660		A+
Regional Transportation Authority (Sales Tax), Illinois	659		AA-
Georgia Board of Regents	635		A
Pittsburgh Water & Sewer, Pennsylvania	618		A-
LCOR Alexandria LLC	594		BBB+
North Carolina Turnpike Authority	584		BBB-
Oglethorpe Power Corporation, Georgia	575		BBB
Chicago (City of), Illinois	553		BBB
Garden State Preservation Trust (Open Space & Farmland), New Jersey	547		BBB+
Sacramento County, California	527		A-
New Jersey Turnpike Authority	519		A-
Clark County School District, Nevada	506		BBB+
Yankee Stadium LLC New York City Industrial Development Authority	457		BBB
New Haven (City of), Connecticut	445		BBB-
New York State Thruway Authority	445		A-
Harris County - Houston Sports Authority, Texas	438		A-
Great Lakes Water Authority (Water), Michigan	429		A-
Oregon School Boards Association, Oregon	424		AA-
Total top 50 U.S. public finance exposures	$	44,424


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 March 31, 2020

(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	395		A+
Private US Insurance Securitization	352		AA-
Fortress Credit Opportunities VII CLO Limited	257		AA-
Private US Insurance Securitization	224		AA-
ABPCI Direct Lending Fund CLO I Ltd	208		A
SLM Private Credit Student Loan Trust 2006-C	181		AA-
Option One 2007-FXD2	172		CCC
Soundview 2007-WMC1	155		CCC
Timberlake Financial, LLC Floating Insured Notes	141		BBB+
Brightwood Fund III Static 2018-1, LLC	130		AA
CWABS 2007-4	115		A+
Soundview Home Equity Loan Trust 2006-OPT1	111		AAA
New Century Home Equity Loan Trust 2006-1	111		AAA
Option One Mortgage Loan Trust 2007-HL1	110		CCC
Nomura Asset Accept. Corp. 2007-1	102		CCC
Countrywide HELOC 2006-I	98		A
OwnIt Mortgage Loan ABS Certificates 2006-3	93		AAA
Argent Securities Inc., Asset Backed Pass Through Certificates 2005-W4	93		CCC
CWALT Alternative Loan Trust 2007-HY9	88		A+
New Century 2005-A	84		CCC
Structured Asset Investment Loan Trust 2006-1	82		AAA
Countrywide 2007-13	80		AA
Preferred Term Securities XXIV, Ltd.	79		AA-
Total top 25 U.S. structured finance exposures	$	4,491


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 March 31, 2020

(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	$	2,589	A-
Quebec Province	Canada	1,993		A+
Thames Water Utility Finance PLC	United Kingdom	1,944		A-
Societe des Autoroutes du Nord et de l'Est de France S.A.	France	1,662		BBB+
Southern Gas Networks PLC	United Kingdom	1,635		BBB
Dwr Cymru Financing Limited (Welsh Water Plc)	United Kingdom	1,552		A-
Anglian Water Services Financing PLC	United Kingdom	1,411		A-
National Grid Gas PLC	United Kingdom	1,237		BBB+
British Broadcasting Corporation (BBC)	United Kingdom	1,212		A+
Channel Link Enterprises Finance PLC	France, United Kingdom	1,174		BBB
Verbund (Lease and Sublease of Hydro-Electric equipment)	Austria	1,104		AAA
Capital Hospitals (Issuer) PLC	United Kingdom	867		BBB-
Aspire Defence Finance plc	United Kingdom	801		BBB+
Verdun Participations 2 S.A.S.	France	702		BBB-
National Grid Company PLC	United Kingdom	675		BBB+
Yorkshire Water Services Finance Plc	United Kingdom	631		A-
South Lanarkshire Schools	United Kingdom	573		BBB
Sydney Airport Finance Company	Australia	547		BBB+
Campania Region - Healthcare receivable	Italy	547		BB+
Envestra Limited	Australia	541		A-
Coventry & Rugby Hospital Company Plc Walsgrave Hospital Guaranteed Secured	United Kingdom	521		BBB-
Severn Trent Water Utilities Finance Plc	United Kingdom	500		BBB+
Derby Healthcare PLC	United Kingdom	489		BBB
Wessex Water Services Finance plc	United Kingdom	462		BBB+
International Infrastructure Pool	United Kingdom	442		AAA
International Infrastructure Pool	United Kingdom	442		AAA
International Infrastructure Pool	United Kingdom	442		AAA
Central Nottinghamshire Hospitals PLC	United Kingdom	441		BBB
North Staffordshire PFI, 32-year EIB Index-Linked Facility	United Kingdom	440		BBB-
NewHospitals (St Helens & Knowsley) Finance PLC	United Kingdom	436		BBB
United Utilities Water PLC	United Kingdom	431		BBB+
Comision Federal De Electricidad (CFE) El Cajon Project	Mexico	424		BBB-
South East Water	United Kingdom	405		BBB+
Scotland Gas Networks plc	United Kingdom	399		BBB
Q Energy II	Spain	378		BBB+
NATS (En Route) PLC	United Kingdom	365		A
The Hospital Company (QAH Portsmouth) Limited	United Kingdom	361		BBB
Private International Sub-Sovereign Transaction	United Kingdom	350		AA-
BBI (DBCT) Finance Pty Limited	Australia	325		BBB
Octagon Healthcare Funding PLC	United Kingdom	316		BBB
Private International Sub-Sovereign Transaction	United Kingdom	309		AA
Bakethin Finance Plc	United Kingdom	297		A-
Leeds Hospital - St. James's Oncology Financing plc	United Kingdom	297		BBB
Valencia Fair	Spain	295		BB+
Catalyst Healthcare (Romford) Financing PLC	United Kingdom	292		BBB
Republic of Poland	Poland	289		A-
Dali Capital PLC-Northumbrian Water	United Kingdom	281		BBB+
Western Power Distribution (South Wales) PLC	United Kingdom	279		BBB+
Integrated Accommodation Services PLC	United Kingdom	272		BBB+
Private International Sub-Sovereign Transaction	United Kingdom	267		AA-
Total top 50 non-U.S. exposures		$	34,644

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 March 31, 2020
Revenues
Management fees:
Collateralized loan obligations (CLOs)	$	5
Opportunity funds	2
Wind-down funds	9
Total management fees	16
Other income	1
Total revenues	17

Expenses
Amortization of intangible assets	3
Employee compensation and benefit expenses	18
Other operating expenses	7
Total expenses	28
Adjusted operating income (loss) before income taxes	(11		)
Provision (benefit) for income taxes	(2		)
Adjusted operating income (loss)	$	(9	)

Assured Guaranty Ltd.

Asset Management Results (2 of 2)

(dollars in millions)

Assets Under Management for the Three Months Ended March 31, 2020



	CLOs			Opportunity Funds			Wind-Down Funds			Total
Rollforward:
Assets under management (AUM), December 31, 2019	$	12,758		$	1,023		$	4,046		$	17,827

Inflows	—			88			—			88
Outflows:
Redemptions	—			—			—			—
Distributions	(67		)	(85		)	(875		)	(1,027		)
Total outflows	(67		)	(85		)	(875		)	(1,027		)
Net flows	(67		)	3			(875		)	(939		)
Change in fund value	(46		)	(57		)	(306		)	(409		)
AUM, March 31, 2020 ⁽¹⁾	$	12,645		$	969		$	2,865		$	16,479

As of March 31, 2020:
Funded AUM ⁽²⁾	$	12,634		$	849		$	2,843		$	16,326
Unfunded AUM ⁽²⁾	11			120			22			153

Fee Earning AUM ⁽³⁾	$	6,038		$	814		$	2,601		$	9,453
Non-Fee Earning AUM ⁽³⁾	6,607			155			264			7,026

As of December 31, 2019:
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 AUM of the insurance company subsidiaries (intercompany AUM) of $216 million in opportunity funds and $41 million in a CLO Warehouse Fund (US) L.P.


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
	March 31,
	2020			2019

Total revenues	$	(4	)	$	—

Expenses
Interest expense	25			24
Employee compensation and benefit expenses	5			4
Other operating expenses	5			3
Total expenses	35			31
Equity in net earnings of investees	(5		)	1
Adjusted operating income (loss) before income taxes	(44		)	(30		)
Provision (benefit) for income taxes	(5		)	(5		)
Adjusted operating income (loss)	$	(39	)	$	(25	)

Other

Assured Guaranty Ltd.

Other Results

(dollars in millions)



	Three Months Ended March 31, 2020
	FG VIEs			Consolidated Investment Vehicles			Intersegment Eliminations and Reclasses			Total Other
	(in millions)
Revenues
Net earned premiums	$	(1	)	$	—		$	—		$	(1	)
Net investment income	(1		)	—			(3		)	(4		)
Asset management fees	—			(1		)	8			7
Fair value gains (losses) on FG VIEs	(9		)	—			—			(9		)
Fair value gains (losses) on consolidated investment vehicles	—			(12		)	—			(12		)
Total revenues	(11		)	(13		)	5			(19		)
Expenses
Loss and LAE	(6		)	—			—			(6		)
Interest expense	—			—			(3		)	(3		)
Other operating expenses	—			—			8			8
Total expenses	(6		)	—			5			(1		)
Equity in net earnings of investees	—			10			—			10
Adjusted operating income (loss) before income taxes	(5		)	(3		)	—			(8		)
Provision (benefit) for income taxes	(1		)	—			—			(1		)
Noncontrolling interests	—			(3		)	—			(3		)
Adjusted operating income (loss)	$	(4	)	$	—		$	—		$	(4	)



	Three Months Ended March 31, 2019
	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	5			—		—			5
Total revenues	1			—		(1		)	—
Expenses
Loss and LAE	1			—		—			1
Interest expense	—			—		(1		)	(1		)
Other operating expenses	—			—		—			—
Total expenses	1			—		(1		)	—
Equity in net earnings of investees	—			—		—			—
Adjusted operating income (loss) before income taxes	—			—		—			—
Provision (benefit) for income taxes	—			—		—			—
Noncontrolling interests	—			—		—			—
Adjusted operating income (loss)	$	—		$	—	$	—		$	—

Summary

Assured Guaranty Ltd.

Summary of Financial and Statistical Data

(dollars in millions, except per share amounts)



	As of and for Three Months Ended March 31, 2020			Year Ended December 31,
	As of and for Three Months Ended March 31, 2020			2019			2018			2017			2016
GAAP Summary Statements of Operations Data
Net earned premiums	$	103		$	476		$	548		$	690		$	864
Net investment income	80			378			395			417			408
Total expenses	154			503			422			748			660
Income (loss) before income taxes	(62		)	460			580			991			1,017
Net income (loss) attributable to AGL	(55		)	402			521			730			881
Net income (loss) attributable to AGL per diluted share	(0.59		)	4.00			4.68			5.96			6.56

GAAP Summary Balance Sheet Data
Total investments and cash	$	9,761		$	10,409		$	10,977		$	11,539		$	11,103
Total assets	13,745			14,326			13,603			14,433			14,151
Unearned premium reserve	3,706			3,736			3,512			3,475			3,511
Loss and LAE reserve	1,050			1,050			1,177			1,444			1,127
Long-term debt	1,221			1,235			1,233			1,292			1,306
Shareholders’ equity attributable to AGL	6,240			6,639			6,555			6,839			6,504
Shareholders’ equity attributable to AGL per share	69.35			71.18			63.23			58.95			50.82

Other Financial Information (GAAP Basis)
Financial guaranty:
Net debt service outstanding (end of period)	$	363,893		$	374,130		$	371,586		$	401,118		$	437,535
Gross debt service outstanding (end of period)	365,356			375,776			375,080			408,492			455,000
Net par outstanding (end of period)	230,898			236,807			241,802			264,952			296,318
Gross par outstanding (end of period)	232,153			238,156			244,191			269,386			307,474

Other Financial Information (Statutory Basis)⁽¹⁾
Financial guaranty:
Net debt service outstanding (end of period)	$	358,233		$	367,630		$	359,499		$	373,340		$	401,004
Gross debt service outstanding (end of period)	359,696			369,251			362,974			380,478			417,072
Net par outstanding (end of period)	225,875			230,984			230,664			239,003			262,468
Gross par outstanding (end of period)	227,131			232,333			233,036			243,217			272,286

Claims-paying resources⁽²⁾
Policyholders' surplus	$	4,863		$	5,056		$	5,148		$	5,305		$	5,126
Contingency reserve	1,620			1,607			1,663			1,750			2,008
Qualified statutory capital	6,483			6,663			6,811			7,055			7,134
Unearned premium reserve and net deferred ceding commission income	2,915			2,961			2,950			2,849			2,672
Loss and LAE reserves	437			529			1,023			1,092			888
Total policyholders' surplus and reserves	9,835			10,153			10,784			10,996			10,694
Present value of installment premium ⁽³⁾	776			804			577			559			616
CCS and standby line of credit	400			400			400			400			400
Excess of loss reinsurance facility	—			—			180			180			360
Total claims-paying resources	$	11,011		$	11,357		$	11,941		$	12,135		$	12,070

Ratios:
Net exposure to qualified statutory capital	35		:1	35		:1	34		:1	34		:1	37		:1
Capital ratio	55		:1	55		:1	53		:1	53		:1	56		:1
Financial resources ratio	33		:1	32		:1	30		:1	31		:1	33		:1
Adjusted statutory net exposure to claims-paying resources	21		:1	20		:1	19		:1	20		:1	22		:1

Par and Debt Service Written (FG and specialty)
Gross debt service written:
Public finance - U.S.	$	4,248		$	28,054		$	31,989		$	26,988		$	25,423
Public finance - non-U.S.	434			17,907			7,166			2,811			848
Structured finance - U.S.	19			1,704			1,191			500			1,143
Structured finance - non-U.S.	—			88			369			202			30
Total gross debt service written	$	4,701		$	47,753		$	40,715		$	30,501		$	27,444

Net debt service written	$	4,701		$	47,731		$	40,630		$	30,476		$	27,444
Net par written	3,033			24,331			24,538			17,962			17,854
Gross par written	3,033			24,353			24,624			18,024			17,854


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


2)	See page 12 for additional detail on claims-paying resources.


3)	Discount rate was changed from 6% to 3% in first quarter 2020. Prior periods have been updated to reflect the change.

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)



	Three Months Ended March 31, 2020			Year Ended December 31,
	Three Months Ended March 31, 2020			2019			2018			2017			2016
Total GWP	$	64		$	677		$	612		$	307		$	154
Less: Installment GWP and other GAAP adjustments ⁽²⁾	35			469			119			99			(10		)
Upfront GWP	29			208			493			208			164
Plus: Installment premium PVP	22			361			204			107			61
Total PVP ⁽³⁾	$	51		$	569		$	697		$	315		$	225

PVP ⁽³⁾:
Public finance - U.S.	$	29		$	201		$	402		$	197		$	161
Public finance - non-U.S.	21			308			116			89			29
Structured finance - U.S.	1			53			167			14			34
Structured finance - non-U.S.	—			7			12			15			1
Total PVP	$	51		$	569		$	697		$	315		$	225

Adjusted operating income reconciliation:
Net income (loss) attributable to AGL	$	(55	)	$	402		$	521		$	730		$	881
Less pre-tax adjustments:
Realized gains (losses) on investments	(5		)	22			(32		)	40			(30		)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(88		)	(10		)	101			43			36
Fair value gains (losses) on CCS	48			(22		)	14			(2		)	—
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	(57		)	22			(32		)	57			(33		)
Total pre-tax adjustments	(102		)	12			51			138			(27		)
Less tax effect on pre-tax adjustments	14			(1		)	(12		)	(69		)	13
Adjusted operating income (loss)	$	33		$	391		$	482		$	661		$	895

Adjusted operating income per diluted share reconciliation:
Net income (loss) attributable to AGL per diluted share	$	(0.59	)	$	4.00		$	4.68		$	5.96		$	6.56
Less pre-tax adjustments:
Realized gains (losses) on investments	(0.06		)	0.22			(0.29		)	0.33			(0.23		)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(0.95		)	(0.11		)	0.90			0.35			0.27
Fair value gains (losses) on CCS	0.52			(0.22		)	0.13			(0.02		)	—
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	(0.62		)	0.21			(0.29		)	0.46			(0.25		)
Total pre-tax adjustments	(1.11		)	0.10			0.45			1.12			(0.21		)

Tax effect on pre-tax adjustments	0.16			(0.01		)	(0.11		)	(0.57		)	0.09

Adjusted operating income (loss) per diluted share	$	0.36		$	3.91		$	4.34		$	5.41		$	6.68


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.


3)	See Non-GAAP Financial Measures set forth at the end of this Financial Supplement for a description of the changes to the discount rates used in the calculation of non-GAAP financial measure. The discount rate used for PVP as of March 31, 2020 is 3%. The prior periods have been recast to present PVP discounted at 3% instead of 6%.

Assured Guaranty Ltd.

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

(dollars in millions, except per share amounts)



	As of March 31, 2020			As of December 31,
	As of March 31, 2020			2019			2018			2017			2016
Adjusted book value reconciliation:
Shareholders' equity attributable to AGL	$	6,240		$	6,639		$	6,555		$	6,839		$	6,504
Less pre-tax adjustments:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(144		)	(56		)	(45		)	(146		)	(189		)
Fair value gains (losses) on CCS	101			52			74			60			62
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	275			486			247			487			316
Less taxes	(43		)	(89		)	(63		)	(83		)	(71		)
Adjusted operating shareholders' equity	6,051			6,246			6,342			6,521			6,386
Pre-tax adjustments:
Less: Deferred acquisition costs	113			111			105			101			106
Plus: Net present value of estimated net future revenue	193			206			219			162			147
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,273			3,296			3,005			2,966			2,922
Plus taxes	(584		)	(590		)	(526		)	(515		)	(835		)
Adjusted book value	$	8,820		$	9,047		$	8,935		$	9,033		$	8,514

Gain (loss) related to VIE consolidation included in adjusted operating shareholders' equity (net of tax (provision) benefit of $(4), $(2), $(1), $(2), and $4)	$	12		$	7		$	3		$	5		$	(7	)

Gain (loss) related to VIE consolidation included in adjusted book value (net of tax (provision) benefit of $(2), $1, $4, $3, and $12)	$	2		$	(4	)	$	(15	)	$	(14	)	$	(24	)

Adjusted book value per share reconciliation:
Shareholders' equity attributable to AGL per share	$	69.35		$	71.18		$	63.23		$	58.95		$	50.82
Less pre-tax adjustments:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(1.60		)	(0.60		)	(0.44		)	(1.26		)	(1.48		)
Fair value gains (losses) on CCS	1.12			0.56			0.72			0.52			0.48
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	3.06			5.21			2.39			4.20			2.47
Less taxes	(0.48		)	(0.95		)	(0.61		)	(0.71		)	(0.54		)
Adjusted operating shareholders' equity per share	67.25			66.96			61.17			56.20			49.89
Pre-tax adjustments:
Less: Deferred acquisition costs	1.26			1.19			1.01			0.87			0.83
Plus: Net present value of estimated net future revenue	2.14			2.20			2.11			1.40			1.15
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	36.37			35.34			28.98			25.56			22.83
Plus taxes	(6.48		)	(6.32		)	(5.07		)	(4.43		)	(6.52		)
Adjusted book value per share	$	98.02		$	96.99		$	86.18		$	77.86		$	66.52

Gain (loss) related to VIE consolidation included in adjusted operating shareholders' equity per share	$	0.14		$	0.07		$	0.03		$	0.03		$	(0.06	)

Gain (loss) related to VIE consolidation included in adjusted book value per share	$	0.03		$	(0.05	)	$	(0.15	)	$	(0.12	)	$	(0.18	)

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; and

•

the amount of aggregate collateral balance and principal cash of BlueMountain'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 BlueMountain 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 BlueMountain manages or advises on behalf of third-party investors. This includes current and former employee investments in Assured Investment Management funds. For CLOs, this also includes CLO equity that may be held by Assured Investment Management funds.

"Intercompany assets under management" or "Intercompany AUM" refers to the assets BlueMountain 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 BlueMountain collects fees and has elected not to waive or rebate fees to investors.

"Non-fee earning assets under management" or "Non-Fee Earning AUM" refers to assets where BlueMountain does not collect fees or has elected to waive or rebate fees to investors. BlueMountain reserves the right to waive some or all fees for certain investors, including investors affiliated with BlueMountain and/or the Company. Further, to the extent that the Company's wind-down and/or opportunity funds are invested in BlueMountain managed CLOs, BlueMountain 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 BlueMountain.

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 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.

The Company also provides the effect of VIE consolidation that is embedded in each non-GAAP financial measure, as applicable, which the Company believes may also be useful to investors, analysts and 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 the consolidated FG VIEs and its exposure is limited to its obligation under the financial guaranty insurance contract. The Insurance segment presents the economic effect of the financial guaranty contracts associated with the consolidated FG VIEs. The Company does own a substantial ownership interest in its consolidated investment vehicles, which is reflected in the Insurance segment.

Management and the Board of Directors use non-GAAP financial measures further adjusted to remove the effect of 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 core financial measures in its decision making process and in its calculation of certain components of management compensation.

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.

In the first quarter of 2020, the Company changed the discount rate used in the calculation of PVP and net present value of estimated future net revenues, which is a component of adjusted book value. Beginning in 2020, the discount rate will be the approximate average pre-tax fixed book yield of fixed-maturity securities purchased in the prior calendar year, excluding loss mitigation bonds. In prior periods the discount rate was a constant 6% discount rate. The Company made these changes and recast prior periods to better reflect the then current interest rate environment. The reconciliation tables of GAAP to non-GAAP financial measures for PVP and ABV indicate the new discount rate for each relevant period. 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 of the Company. Adjusted operating income is defined as net income (loss) attributable to AGL, as reported under GAAP, adjusted for the following:

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

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

Non-GAAP Financial Measures (continued)

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

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

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

Adjusted Operating Shareholders’ Equity and Adjusted Book Value: Management believes that adjusted operating shareholders’ equity is a useful measure because it excludes the fair value adjustments on investments, credit derivatives and CCS that are not expected to result in economic gain or loss.

Adjusted operating shareholders’ equity is 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 present value of the expected future net earned premiums, net of the present value of expected losses to be expensed, which are not reflected in GAAP equity.

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

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

Non-GAAP Financial Measures (continued)

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

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

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

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

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

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

Assured Guaranty Ltd.

30 Woodbourne Avenue

Hamilton HM 08

Bermuda

(441) 279-5705

www.assuredguaranty.com

Contacts:

Equity and Fixed Income Investors:

Robert Tucker

Senior Managing Director, Investor Relations and Corporate Communications

(212) 339-0861

rtucker@agltd.com

Michael Walker

Managing Director, Fixed Income Investor Relations

(212) 261-5575

mwalker@agltd.com

Andre Thomas

Managing Director, Equity Investor Relations

(212) 339-3551

athomas@agltd.com

Media:

Ashweeta Durani

Vice President, Corporate Communications

(212) 408-6042

adurani@agltd.com

ASSURED GUARANTY LTD - FORM 8-K - EX-99.2 - AGL FINANCIAL SUPPLEMENT - May 7, 2020

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