ASSURED GUARANTY LTD - FORM 8-K - EX-99.2

Attached files

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EX-99.1 - EX-99.1 - ASSURED GUARANTY LTD	agl3q20pressrelease.htm
8-K - 8-K - ASSURED GUARANTY LTD	ago-20201105.htm

Assured Guaranty Ltd.

September 30, 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	7
	Fixed-Maturity Securities, Short-Term Investments and Cash	10
	Insurance Segment:	11
	Insurance Segment Results	12
	Claims-Paying Resources	13
	New Business Production	14
	Gross Par Written	15
	New Business Production by Quarter	16
	Estimated Net Exposure Amortization and Estimated Future Financial Guaranty Net Premium and Credit Derivative Revenues	17
	Rollforward of Net Expected Loss and Loss Adjustment Expenses to be Paid	18
	Loss Measures	19
	Net Expected Loss to be Expensed	20
	Financial Guaranty Profile	21
	Specialty Insurance and Reinsurance Exposures	24
	Expected Amortization of Net Par Outstanding	25
	Exposure to Puerto Rico	26
	U.S. RMBS Profile	29
	Direct Pooled Corporate Obligations Profile	30
	Below Investment Grade Exposures	31
	Largest Exposures by Sector	34
	Asset Management Segment	37
	Asset Management Results	38
	Corporate Division	41
	Corporate Results	42
	Other	43
	Other Results	44
	Summary	46
	Summary of Financial and Statistical Data	47
	Summary of GAAP to Non-GAAP Reconciliations	48
	Glossary	50
	Glossary	50
	Non-GAAP Financial Measures	53

This financial supplement should be read in conjunction with documents filed by Assured Guaranty Ltd. (AGL and, together with its subsidiaries, Assured Guaranty or the Company) with the United States (U.S.) Securities and Exchange Commission (SEC), including its Annual Report on Form 10-K for the year ended December 31, 2019 and its Quarterly Report on Form 10-Q for the quarterly periods ended March 31, 2020, June 30, 2020, and September 30, 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, now known as Assured Investment Management LLC (AssuredIM); (17) the possibility that acquisitions made by Assured Guaranty, including its acquisition of BlueMountain, 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						Nine Months Ended
	September 30,						September 30,
	2020			2019			2020			2019
GAAP Highlights
Net income (loss) attributable to AGL	$	86		$	69		$	214		$	265
Net income (loss) attributable to AGL per diluted share	1.02			0.70			2.43			2.61
Weighted average shares outstanding
Basic shares outstanding	83.2			98.2			87.4			100.8
Diluted shares outstanding	83.8			98.9			88.0			101.6
Effective tax rate on net income	(12.0)		%	19.2		%	8.4		%	18.6		%
GAAP return on equity (ROE) (3)	5.3		%	4.2		%	4.3		%	5.4		%

Non-GAAP Highlights (1)
Adjusted operating income (loss)(1)(4)
Insurance	$	81		$	107		$	320		$	379
Asset Management	(12)			—			(30)			—
Corporate	(18)			(28)			(83)			(79)
Other	(3)			(2)			(7)			4
Adjusted operating income (loss)	$	48		$	77		$	200		$	304
Adjusted operating income (loss) per diluted share (1)(4)	0.58			0.79			2.28			3.00
Effective tax rate on adjusted operating income (2)	(32.7)		%	16.3		%	8.0		%	17.7		%
Adjusted operating ROE (1)(3)(5)	3.2		%	5.0		%	4.3		%	6.5		%
Insurance Segment
Gross written premiums (GWP)	$	121		$	69		$	334		$	159
Present value of new business production (PVP) (1)	117			89			264			187
Gross par written	7,432			4,909			16,477			11,799
Asset Management Segment
Collateralized loan obligation (CLO) net inflows	$	123		$	—		$	584		$	—
Opportunity funds net outflows	(27)			—			(77)			—
Liquid strategies net inflows	—			—			370			—
Wind-down funds net outflows	(228)			—			(1,644)			—
Total net flows	$	(132)		$	—		$	(767)		$	—

Effect of refundings and terminations on GAAP measures:
Net earned premiums, pre-tax	$	17		$	37		$	64		$	83
Net change in fair value of credit derivatives, pre-tax	1			—			1			—
Net income effect	14			20			50			54
Net income per diluted share	0.17			0.20			0.57			0.52

Effect of refundings and terminations on non-GAAP measures:
Operating net earned premiums and credit derivative revenues(6), pre-tax	$	18		$	37		$	65		$	83
Adjusted operating income(6) effect	14			20			50			54
Adjusted operating income per diluted share (6)	0.17			0.20			0.57			0.52

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

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

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

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

6) 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.

Selected Financial Highlights (2 of 2)

(dollars in millions, except per share amounts)


	As of
	September 30, 2020				December 31, 2019
	Amount		Per Share		Amount		Per Share
Shareholders' equity attributable to AGL	$	6,549	$	79.63	$	6,639	$	71.18
Adjusted operating shareholders' equity (1)(2)	6,070		73.80		6,246		66.96
Adjusted book value (1)(3)	8,885		108.02		9,047		96.99
Gain (loss) related to the effect of consolidating variable interest entities (VIE consolidation) included in adjusted operating shareholders' equity	1		0.01		7		0.07
Gain (loss) related to VIE consolidation included in adjusted book value	(8)		(0.11)		(4)		(0.05)

Shares outstanding at the end of period	82.2				93.3

Exposure
Financial guaranty net debt service outstanding	$	364,507			$	374,130
Financial guaranty net par outstanding	233,075				236,807

Claims-paying resources (4)	11,125				11,357

Assets under management (AUM)
CLOs	$	13,411			$	12,758
Opportunity funds	984				1,023
Liquid strategies	378				—
Wind-down funds	2,253				4,046
Total	$	17,026			$	17,827

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

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

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

Assured Guaranty Ltd.

Condensed Consolidated Balance Sheets (unaudited)

(dollars in millions)


	As of
	September 30,		December 31,
	2020		2019
Assets
Investment portfolio:
Fixed-maturity securities available-for-sale, at fair value	$	8,556	$	8,854
Short-term investments, at fair value	858		1,268
Other invested assets	113		118
Total investment portfolio	9,527		10,240
Cash	223		169
Premiums receivable, net of commissions payable	1,321		1,286
Deferred acquisition costs (DAC)	118		111
Salvage and subrogation recoverable	961		747
Financial guaranty variable interest entities' (FG VIEs') assets, at fair value	314		442
Assets of consolidated investment vehicles	1,539		572
Goodwill and other intangible assets	206		216
Other assets	486		543
Total assets	$	14,695	$	14,326
Liabilities and shareholders' equity
Unearned premium reserve	$	3,762	$	3,736
Loss and loss adjustment expense (LAE) reserve	982		1,050
Long-term debt	1,223		1,235
Credit derivative liabilities, at fair value	162		191
FG VIEs' liabilities with recourse, at fair value	336		367
FG VIEs' liabilities without recourse, at fair value	19		102
Liabilities of consolidated investment vehicles	1,092		482
Other liabilities	502		511
Total liabilities	8,078		7,674

Redeemable noncontrolling interests in consolidated investment vehicles	21		7

Common stock	1		1
Retained earnings	6,143		6,295
Accumulated other comprehensive income	404		342
Deferred equity compensation	1		1
Total shareholders' equity attributable to Assured Guaranty Ltd.	6,549		6,639
Nonredeemable noncontrolling interests	47		6
Total shareholders' equity	6,596		6,645
Total liabilities, redeemable noncontrolling interests and shareholders' equity	$	14,695	$	14,326

Assured Guaranty Ltd.

Condensed Consolidated Statements of Operations (unaudited)

(dollars in millions, except per share amounts)


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2020		2019		2020		2019
Revenues
Net earned premiums	$	107	$	123	$	331	$	353
Net investment income	71		88		229		296
Asset management fees	17		—		60		—
Net realized investment gains (losses)	13		16		12		12
Net change in fair value of credit derivatives	(3)		5		20		(25)
Fair value gains (losses) on FG VIEs	—		4		(8)		42
Fair value gains (losses) on consolidated investment vehicles	18		—		37		—
Foreign exchange gain (loss) on remeasurement	40		(21)		(20)		(24)
Commutation gains (losses)	—		—		38		1
Other income (loss)	5		(9)		37		12
Total revenues	268		206		736		667
Expenses
Loss and LAE	73		30		130		75
Interest expense	21		22		64		67
Amortization of DAC	4		3		11		13
Employee compensation and benefit expenses	57		38		167		118
Other operating expenses	41		27		128		71
Total expenses	196		120		500		344
Income (loss) before provision for income taxes and equity in net earnings of investees	72		86		236		323
Equity in net earnings of investees	7		—		3		3
Income (loss) before income taxes	79		86		239		326
Provision (benefit) for income taxes	(10)		17		20		61
Net income (loss)	89		69		219		265
Less: Noncontrolling interests	3		—		5		—
Net income (loss) attributable to AGL	$	86	$	69	$	214	$	265

Earnings per share:
Basic	$	1.03	$	0.71	$	2.45	$	2.63
Diluted	$	1.02	$	0.70	$	2.43	$	2.61

Assured Guaranty Ltd.

Results by Segment (1 of 2)

(in millions)

Results by Segment for the Three Months Ended September 30, 2020 and September 30, 2019


	Three Months Ended September 30, 2020
	Insurance		Asset Management		Corporate		Other		Total

Revenues
Net earned premiums and credit derivative revenues	$	113	$	—	$	—	$	(2)	$	111
Net investment income	75		—		—		(4)		71
Asset management fees	—		12		—		5		17
Fair value gains (losses) on FG VIEs	—		—		—		—		—
Fair value gains (losses) on consolidated investment vehicles	—		—		—		18		18
Commutation gains (losses)	—		—		—		—		—
Other income (loss)	1		2		12		—		15
Total revenues	189		14		12		17		232

Expenses
Loss expense	76		—		—		1		77
Interest expense	—		—		24		(3)		21
Amortization of DAC and intangible assets	4		3		—		—		7
Employee compensation and benefit expenses	35		19		3		—		57
Other operating expenses	19		7		5		7		38
Total expenses	134		29		32		5		200
Equity in net earnings of investees	20		—		—		(13)		7
Income (loss) before income taxes	75		(15)		(20)		(1)		39
Provision (benefit) for income taxes	(6)		(3)		(2)		(1)		(12)
Noncontrolling interests	—		—		—		3		3
Adjusted operating income (loss)	$	81	$	(12)	$	(18)	$	(3)	$	48


	Three Months Ended September 30, 2019
	Insurance		Asset Management		Corporate		Other		Total

Revenues
Net earned premiums and credit derivative revenues	$	129	$	—	$	—	$	(2)	$	127
Net investment income	89		—		1		(2)		88
Fair value gains (losses) on FG VIEs	—		—		—		4		4
Commutation gains (losses)	—		—		—		—		—
Other income (loss)	4		—		—		—		4
Total revenues	222		—		1		—		223

Expenses
Loss expense	37		—		—		3		40
Interest expense	—		—		23		(1)		22
Amortization of DAC and intangible assets	3		—		—		—		3
Employee compensation and benefit expenses	34		—		4		—		38
Other operating expenses	23		—		4		—		27
Total expenses	97		—		31		2		130
Equity in net earnings of investees	1		—		(1)		—		—
Income (loss) before income taxes	126		—		(31)		(2)		93
Provision (benefit) for income taxes	19		—		(3)		—		16
Noncontrolling interests	—		—		—		—		—
Adjusted operating income (loss)	$	107	$	—	$	(28)	$	(2)	$	77

Assured Guaranty Ltd.

Results by Segment (2 of 2)

(in millions)

Results by Segment for the Nine Months Ended September 30, 2020 and September 30, 2019


	Nine Months Ended September 30, 2020
	Insurance		Asset Management		Corporate		Other		Total

Revenues
Net earned premiums and credit derivative revenues	$	345	$	—	$	—	$	(4)	$	341
Net investment income	240		—		1		(12)		229
Asset management fees	—		40		—		20		60
Fair value gains (losses) on FG VIEs	—		—		—		(8)		(8)
Fair value gains (losses) on consolidated investment vehicles	—		—		—		37		37
Commutation gains (losses)	38		—		—		—		38
Other income (loss)	8		4		7		—		19
Total revenues	631		44		8		33		716

Expenses
Loss expense	133		—		—		(7)		126
Interest expense	—		—		72		(8)		64
Amortization of DAC and intangible assets	11		9		—		—		20
Employee compensation and benefit expenses	105		51		11		—		167
Other operating expenses	59		21		16		23		119
Total expenses	308		81		99		8		496
Equity in net earnings of investees	37		—		(5)		(29)		3
Income (loss) before income taxes	360		(37)		(96)		(4)		223
Provision (benefit) for income taxes	40		(7)		(13)		(2)		18
Noncontrolling interests	—		—		—		5		5
Adjusted operating income (loss)	$	320	$	(30)	$	(83)	$	(7)	$	200


	Nine Months Ended September 30, 2019
	Insurance		Asset Management		Corporate		Other		Total

Revenues
Net earned premiums and credit derivative revenues	$	382	$	—	$	—	$	(16)	$	366
Net investment income	298		—		3		(5)		296
Fair value gains (losses) on FG VIEs	—		—		—		42		42
Commutation gains (losses)	1		—		—		—		1
Other income (loss)	16		—		(1)		—		15
Total revenues	697		—		2		21		720

Expenses
Loss expense	66		—		—		18		84
Interest expense	—		—		69		(2)		67
Amortization of DAC and intangible assets	13		—		—		—		13
Employee compensation and benefit expenses	105		—		13		—		118
Other operating expenses	60		—		11		—		71
Total expenses	244		—		93		16		353
Equity in net earnings of investees	3		—		—		—		3
Income (loss) before income taxes	456		—		(91)		5		370
Provision (benefit) for income taxes	77		—		(12)		1		66
Noncontrolling interests	—		—		—		—		—
Adjusted operating income (loss)	$	379	$	—	$	(79)	$	4	$	304

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (1 of 3)

(dollars in millions, except per share amounts)


Adjusted Operating Income Reconciliation	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2020		2019		2020		2019

Net income (loss) attributable to AGL	$	86	$	69	$	214	$	265
Less pre-tax adjustments:
Realized gains (losses) on investments	13		16		12		12
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(3)		11		6		(29)
Fair value gains (losses) on committed capital securities (CCS)	(10)		(14)		13		(4)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	40		(20)		(15)		(23)
Total pre-tax adjustments	40		(7)		16		(44)
Less tax effect on pre-tax adjustments	(2)		(1)		(2)		5
Adjusted operating income (loss)	$	48	$	77	$	200	$	304

Per diluted share:
Net income (loss) attributable to AGL	$	1.02	$	0.70	$	2.43	$	2.61
Less pre-tax adjustments:
Realized gains (losses) on investments	0.16		0.16		0.14		0.11
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(0.03)		0.11		0.07		(0.28)
Fair value gains (losses) on CCS	(0.13)		(0.14)		0.14		(0.04)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.48		(0.20)		(0.17)		(0.22)
Total pre-tax adjustments	0.48		(0.07)		0.18		(0.43)
Tax effect on pre-tax adjustments	(0.04)		(0.02)		(0.03)		0.04
Adjusted operating income (loss)	$	0.58	$	0.79	$	2.28	$	3.00

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
	September 30,		June 30,		December 31,			September 30,			June 30,			December 31,
	2020		2020		2019			2019			2019			2018
Shareholders' equity attributable to AGL	$	6,549	$	6,444	$	6,639		$	6,652		$	6,722		$	6,555
Adjusted operating shareholders' equity	6,070		5,997		6,246			6,222			6,335			6,342
Gain (loss) related to VIE consolidation included in adjusted operating shareholders' equity	1		8		7			12			12			3

					Three Months Ended						Nine Months Ended
					September 30,						September 30,
					2020			2019			2020			2019
Net income (loss) attributable to AGL					$	86		$	69		$	214		$	265
Adjusted operating income (loss)					48			77			200			304

Average shareholders' equity attributable to AGL					$	6,497		$	6,687		$	6,594		$	6,604
Average adjusted operating shareholders' equity					6,034			6,279			6,158			6,282
Gain (loss) related to VIE consolidation included in average adjusted operating shareholders' equity					5			12			4			8

GAAP ROE (1)					5.3		%	4.2		%	4.3		%	5.4		%
Adjusted operating ROE (1)					3.2		%	5.0		%	4.3		%	6.5		%

1) Quarterly ROE calculations represent annualized returns.

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

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (3 of 3)

(dollars in millions)


	As of
	September 30,		June 30,		December 31,		September 30,		June 30,		December 31,
	2020		2020		2019		2019		2019		2018
Reconciliation of shareholders' equity attributable to AGL to adjusted book value(1):
Shareholders' equity attributable to AGL	$	6,549	$	6,444	$	6,639	$	6,652	$	6,722	$	6,555
Less pre-tax reconciling items:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(50)		(47)		(56)		(74)		(85)		(45)
Fair value gains (losses) on CCS	65		76		52		70		84		74
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	563		510		486		529		478		247
Less taxes	(99)		(92)		(89)		(95)		(90)		(63)
Adjusted operating shareholders' equity	6,070		5,997		6,246		6,222		6,335		6,342
Pre-tax reconciling items:
Less: Deferred acquisition costs	118		116		111		107		106		105
Plus: Net present value of estimated net future revenue	183		188		206		209		211		219
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,346		3,317		3,296		2,892		2,932		3,005
Plus taxes	(596)		(590)		(590)		(502)		(511)		(526)
Adjusted book value	$	8,885	$	8,796	$	9,047	$	8,714	$	8,861	$	8,935

Gain (loss) related to VIE consolidation included in adjusted operating shareholders' equity (net of tax (provision) benefit of $(1), $(2), $(2), $(3), $(3) and $(1))	$	1	$	8	$	7	$	12	$	12	$	3

Gain (loss) related to VIE consolidation included in adjusted book value (net of tax (provision) benefit of $2, $1, $1, $-, $1 and $4)	$	(8)	$	(2)	$	(4)	$	—	$	(2)	$	(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 September 30, 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.

Fixed-Maturity Securities, Short-Term Investments and Cash

As of September 30, 2020

(dollars in millions)


	Amortized Cost		Allowance for Credit Losses			Pre-Tax Book Yield		After-Tax Book Yield		Fair Value		Annualized Investment Income (1)
Fixed maturity securities, available-for-sale:
Obligations of states and political subdivisions(2)(4)	$	3,665	$	(11)		3.66	%	3.36	%	$	3,999	$	134
U.S. government and agencies	179		—			3.34		2.90		192		6
Corporate securities (4)	2,179		(39)			3.01		2.63		2,273		65
Mortgage-backed securities:
Residential mortgage-backed securities (RMBS) (3)(4)	612		(20)			4.97		4.17		606		30
Commercial mortgage-backed securities	367		—			3.51		3.03		396		13
Asset-backed securities (ABS)
CLOs	498		—			2.46		1.95		499		12
Other ABS (4)	434		(6)			7.05		5.69		448		31
Non-U.S. government securities	146		—			1.25		1.25		143		2
Total fixed maturity securities	8,080		(76)			3.63		3.20		8,556		293
Short-term investments	858		—			0.06		0.05		858		1
Cash (5)	223		—			—		—		223		—
Total	$	9,161	$	(76)		3.29	%	2.90	%	$	9,637	$	294



Ratings (6):	Fair Value		% of Portfolio
U.S. government and agencies	$	192	2.3		%
AAA/Aaa	1,296		15.1
AA/Aa	3,220		37.6
A/A	2,182		25.5
BBB	920		10.8
Below-investment-grade (BIG) (7)	692		8.1
Not rated	54		0.6
Total fixed maturity securities, available-for-sale	$	8,556	100.0		%


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

Average ratings of fixed maturity securities and short-term investments			A+

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

2) 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 $8 million insured by Assured Guaranty Municipal Corp. (AGM).

3) Includes fair value of $200 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 $1,062 million in par with carrying value of $691 million.

Insurance Segment

Assured Guaranty Ltd.

Insurance Segment Results

(dollars in millions)


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2020		2019		2020		2019
Revenues
Net earned premiums and credit derivative revenues	$	113	$	129	$	345	$	382
Net investment income	75		89		240		298
Commutation gains (losses)	—		—		38		1
Other income (loss)	1		4		8		16
Total revenues	189		222		631		697

Expenses
Loss expense	76		37		133		66
Amortization of DAC	4		3		11		13
Employee compensation and benefit expenses	35		34		105		105
Other operating expenses	19		23		59		60
Total expenses	134		97		308		244
Equity in net earnings of investees	20		1		37		3
Adjusted operating income (loss) before income taxes	75		126		360		456
Provision (benefit) for income taxes	(6)		19		40		77
Adjusted operating income (loss)	$	81	$	107	$	320	$	379

Assured Guaranty Ltd.

Claims-Paying Resources

(dollars in millions)


	As of September 30, 2020
	Assured Guaranty Municipal Corp.		Assured Guaranty Corp.		Municipal Assurance Corp.		Assured Guaranty Re Ltd. (7)		Eliminations(2)		Consolidated
Claims-paying resources
Policyholders' surplus	$	2,671	$	1,734	$	275	$	823	$	(478)	$	5,025
Contingency reserve(1)	1,042		627		204		—		(204)		1,669
Qualified statutory capital	3,713		2,361		479		823		(682)		6,694
Unearned premium reserve and net deferred ceding commission income(1)	2,111		400		119		573		(194)		3,009
Loss and LAE reserves (1)	106		(18)		(1)		134		1		222
Total policyholders' surplus and reserves	5,930		2,743		597		1,530		(875)		9,925
Present value of installment premium (8)	411		189		—		200		—		800
CCS	200		200		—		—		—		400
Total claims-paying resources (including proportionate MAC ownership for AGM and AGC)	6,541		3,132		597		1,730		(875)		11,125
Adjustment for MAC (3)	362		235		—		—		(597)		—
Total claims-paying resources (excluding proportionate MAC ownership for AGM and AGC)	$	6,179	$	2,897	$	597	$	1,730	$	(278)	$	11,125

Statutory net exposure (4)	$	134,270	$	21,216	$	14,892	$	59,895	$	(590)	$	229,683
Equity method adjustment (3)	9,039		5,853		—		—		(14,892)		—
Adjusted statutory net exposure (1)	$	143,309	$	27,069	$	14,892	$	59,895	$	(15,482)	$	229,683

Net debt service outstanding (4)	$	215,942	$	32,029	$	22,013	$	91,725	$	(1,266)	$	360,443
Equity method adjustment (3)	13,362		8,651		—		—		(22,013)		—
Adjusted net debt service outstanding (1)	$	229,304	$	40,680	$	22,013	$	91,725	$	(23,279)	$	360,443
Ratios:
Adjusted net exposure to qualified statutory capital	39:1		11:1		31:1		73:1				34:1
Capital ratio (5)	62:1		17:1		46:1		111:1				54:1
Financial resources ratio (6)	35:1		13:1		37:1		53:1				32:1
Adjusted statutory net exposure to claims-paying resources (incl. MAC adj. for AGM and AGC)	22:1		9:1		25:1		35:1				21:1

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 its United Kingdom and French insurance subsidiaries. Amounts include financial guaranty insurance and credit derivatives.

2) 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. Includes $1,108 million of specialty insurance and reinsurance exposure.

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 of 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 September 30, 2020 and September 30, 2019 (1)


	Three Months Ended										Three Months Ended
	September 30, 2020										September 30, 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	$	93	$	28	$	1	$	(1)	$	121	$	46	$	20	$	2	$	1	$	69
Less: Installment GWP and other GAAP adjustments(2)	—		28		1		(1)		28		—		20		2		(1)		21
Upfront GWP	93		—		—		—		93		46		—		—		2		48
Plus: Installment premium PVP	—		24		—		—		24		—		16		25		—		41
Total PVP	$	93	$	24	$	—	$	—	$	117	$	46	$	16	$	25	$	2	$	89

Gross par written	$	6,932	$	500	$	—	$	—	$	7,432	$	4,212	$	237	$	438	$	22	$	4,909

Reconciliation of GWP to PVP for the Nine Months Ended September 30, 2020 and September 30, 2019 (1)


	Nine Months Ended										Nine Months Ended
	September 30, 2020										September 30, 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	$	182	$	143	$	10	$	(1)	$	334	$	119	$	34	$	4	$	2	$	159
Less: Installment GWP and other GAAP adjustments(2)	—		143		10		(1)		152		(3)		34		3		(1)		33
Upfront GWP	182		—		—		—		182		122		—		1		3		126
Plus: Installment premium PVP	—		73		9		—		82		—		28		32		1		61
Total PVP	$	182	$	73	$	9	$	—	$	264	$	122	$	28	$	33	$	4	$	187

Gross par written	$	14,855	$	1,434	$	188	$	—	$	16,477	$	9,885	$	712	$	1,159	$	43	$	11,799

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 September 30, 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, 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			Nine Months Ended
	September 30, 2020			September 30, 2020
	Gross Par Written		Avg. Internal Rating	Gross Par Written		Avg. Internal Rating
Sector:
U.S. public finance
General obligation	$	2,578	A-	$	6,601	A-
Healthcare	1,472		BBB+	2,428		BBB
Municipal utilities	1,125		A-	2,179		A-
Taxed backed	895		A-	1,733		A-
Higher Education	861		BBB+	1,426		BBB+
Transportation	1		BBB-	429		BBB+
Housing revenue	—		—	59		BBB-
Total U.S. public finance	6,932		BBB+	14,855		A-
Non-U.S. public finance:
Renewable energy	383		BBB	1,103		BBB
Sovereign and sub-sovereign	—		—	214		A+
Infrastructure finance	117		BBB+	117		BBB+
Total non-U.S. public finance	500		BBB	1,434		BBB+
Total public finance	7,432		BBB+	16,289		A-

U.S. structured finance:
Insurance securitization	—		—	140		AA
Structured credit	—		—	48		BBB
Total U.S. structured finance	—		—	188		A+
Non-U.S. structured finance:
Total non-U.S. structured finance	—		—	—		—
Total structured finance	—		—	188		A+

Total gross par written	$	7,432	BBB+	$	16,477	A-

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

Assured Guaranty Ltd.

New Business Production by Quarter

(dollars in millions)


															Nine Months
	1Q-19		2Q-19		3Q-19		4Q-19		1Q-20		2Q-20		3Q-20		2019		2020
PVP (1):
Public finance - U.S.	$	32	$	44	$	46	$	79	$	29	$	60	$	93	$	122	$	182
Public finance - non-U.S.	4		8		16		280		21		28		24		28		73
Structured finance - U.S.	5		3		25		20		1		8		—		33		9
Structured finance - non-U.S.	1		1		2		3		—		—		—		4		—
Total PVP	$	42	$	56	$	89	$	382	$	51	$	96	$	117	$	187	$	264

Reconciliation of GWP to PVP:

Total GWP	$	39	$	51	$	69	$	518	$	64	$	149	$	121	$	159	$	334
Less: Installment GWP and other GAAP adjustments	5		7		21		436		35		89		28		33		152
Upfront GWP	34		44		48		82		29		60		93		126		182
Plus: Installment premium PVP	8		12		41		300		22		36		24		61		82
Total PVP (1)	$	42	$	56	$	89	$	382	$	51	$	96	$	117	$	187	$	264

Gross par written:
Public finance - U.S.	$	2,016	$	3,657	$	4,212	$	6,452	$	2,641	$	5,282	$	6,932	$	9,885	$	14,855
Public finance - non-U.S.	176		299		237		5,635		377		557		500		712		1,434
Structured finance - U.S.	494		227		438		422		15		173		—		1,159		188
Structured finance - non-U.S.	21		—		22		45		—		—		—		43		—
Total	$	2,707	$	4,183	$	4,909	$	12,554	$	3,033	$	6,012	$	7,432	$	11,799	$	16,477

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 of 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 September 30)			$	364,507
2020 Q4	$	5,975	358,532		$	83	$	5	$	1	$	3
2021	23,447		335,085		313		20		4		11
2022	20,855		314,230		287		18		4		10
2023	18,041		296,189		265		17		3		10
2024	18,931		277,258		244		16		3		9

2020-2024	87,249		277,258		1,192		76		15		43
2025-2029	84,518		192,740		956		65		12		40
2030-2034	69,574		123,166		669		43		12		32
2035-2039	51,231		71,935		400		28		7		24
After 2039	71,935		—		540		48		—		18
Total	$	364,507			$	3,757	$	260	$	46	$	157

1) Represents the future expected amortization of current debt service outstanding (principal and interest), assuming no advance refundings, as of September 30, 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 20, ‘‘Net Expected Loss to be Expensed.’’

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

Assured Guaranty Ltd.

Rollforward of Net Expected Loss and LAE to be Paid

(dollars in millions)

Rollforward of Net Expected Loss and LAE to be Paid(1) for the Three Months Ended September 30, 2020


	Net Expected Loss to be Paid/(Recovered) as of June 30, 2020		Economic Loss Development/(Benefit) During 3Q-20		(Paid)/Recovered Losses During 3Q-20		Net Expected Loss to be Paid/(Recovered) as of September 30, 2020
Public Finance:
U.S. public finance (2)	$	543	$	56	$	(336)	$	263
Non-U.S public finance	29		4		—		33
Public Finance	572		60		(336)		296

Structured Finance:
U.S. RMBS (3)	128		1		8		137
Other structured finance	35		9		(6)		38
Structured Finance	163		10		2		175
Total	$	735	$	70	$	(334)	$	471

Rollforward of Net Expected Loss and LAE to be Paid(1) for the Nine Months Ended September 30, 2020


	Net Expected Loss to be Paid/(Recovered) as of December 31, 2019		Economic Loss Development/(Benefit) During 2020		(Paid)/Recovered Losses During 2020		Net Expected Loss to be Paid/(Recovered) as of September 30, 2020
Public Finance:
U.S. public finance (2)	$	531	$	142	$	(410)	$	263
Non-U.S public finance	23		9		1		33
Public Finance	554		151		(409)		296

Structured Finance:
U.S. RMBS (3)	146		(61)		52		137
Other structured finance	37		11		(10)		38
Structured Finance	183		(50)		42		175
Total	$	737	$	101	$	(367)	$	471

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 $1,025 million as of September 30, 2020 and $819 million as of December 31, 2019, for claims already paid .

3) Includes future net representations and warranties payable of $82 million as of September 30, 2020 and $53 million as of December 31, 2019.

Assured Guaranty Ltd.

Loss Measures

As of September 30, 2020

(dollars in millions)


			Three Months Ended September 30, 2020						Nine Months Ended September 30, 2020
	Total Net Par Outstanding for BIG Transactions		GAAP Loss and LAE (1)		Loss and LAE included in Adjusted Operating Income (2)		Insurance Segment Loss and LAE (3)		GAAP Loss and LAE (1)		Loss and LAE included in Adjusted Operating Income (2)		Insurance Segment Loss and LAE (3)
Public finance:
U.S. public finance	$	5,351	$	61	$	61	$	61	$	153	$	153	$	153
Non-U.S public finance	860		3		3		3		3		3		3
Public finance	6,211		64		64		64		156		156		156
Structured finance:
U.S. RMBS	1,524		6		7		6		(32)		(39)		(32)
Other structured finance	232		3		6		6		6		9		9
Structured finance	1,756		9		13		12		(26)		(30)		(23)
Total	$	7,967	$	73	$	77	$	76	$	130	$	126	$	133

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

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

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

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

Assured Guaranty Ltd.

Net Expected Loss to be Expensed (1)

As of September 30, 2020

(dollars in millions)


	GAAP

2020 Q4	$	9
2021	38
2022	37
2023	33
2024	32

2025-2029	135
2030-2034	87
2035-2039	31
After 2039	9
Total expected present value of net expected loss to be expensed(2)	411
Future accretion	61
Total expected future loss and LAE	$	472

1) The present value of net expected loss to be paid is discounted using risk free rates ranging from 0.0% to 1.52% for U.S. dollar denominated obligations.

2) Excludes $32 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 September 30, 2020			As of December 31, 2019
	Net Par Outstanding		Avg. Internal Rating	Net Par Outstanding		Avg. Internal Rating
U.S. public finance:
General obligation	$	72,452	A-	$	73,467	A-
Tax backed	34,723		A-	37,047		A-
Municipal utilities	25,596		A-	26,195		A-
Transportation	15,503		BBB+	16,209		BBB+
Healthcare	8,688		BBB+	7,148		A-
Higher education	6,340		A-	5,916		A-
Infrastructure finance	5,393		A-	5,429		A-
Housing revenue	1,278		BBB	1,321		BBB+
Investor-owned utilities	645		A-	655		A-
Renewable energy	207		A-	210		A-
Other public finance	1,745		A-	1,890		A-
Total public finance	172,570		A-	175,487		A-
Non-U.S. public finance:
Regulated utilities	18,377		BBB+	18,995		BBB+
Infrastructure finance	17,451		BBB	17,952		BBB
Sovereign and sub-sovereign	11,368		A+	11,341		A+
Renewable energy	2,672		A-	1,555		A
Pooled infrastructure	1,374		AAA	1,416		AAA
Total non-U.S. public finance	51,242		A-	51,259		A-
Total public finance	$	223,812	A-	$	226,746	A-

U.S. structured finance:
RMBS	$	3,132	BBB-	$	3,546	BBB-
Life insurance transactions	1,987		AA-	1,776		AA-
Pooled corporate obligations	1,299		AA-	1,401		AA-
Financial products	826		AA-	1,019		AA-
Consumer receivables	815		A-	962		A-
Other structured finance	522		BBB	596		BBB+
Total U.S. structured finance	8,581		A-	9,300		A-

Non-U.S. structured finance:
RMBS	394		A	427		A
Pooled corporate obligations	55		BB+	55		BB+
Other structured finance	233		A+	279		A+
Total non-U.S. structured finance	682		A	761		A
Total structured finance	$	9,263	A-	$	10,061	A-

Total	$	233,075	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 September 30, 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	$	360	0.2	%	$	2,529	4.9	%	$	1,068	12.4	%	$	151	22.1	%	$	4,108	1.8	%
AA	17,046		9.9		5,053		9.9		3,887		45.3		35		5.1		26,021		11.2
A	91,769		53.2		10,628		20.7		1,001		11.7		177		26.0		103,575		44.4
BBB	58,044		33.6		32,172		62.8		910		10.6		278		40.8		91,404		39.2
BIG	5,351		3.1		860		1.7		1,715		20.0		41		6.0		7,967		3.4
Net Par Outstanding (1)	$	172,570	100.0	%	$	51,242	100.0	%	$	8,581	100.0	%	$	682	100.0	%	$	233,075	100.0	%

1) As of September 30, 2020, the Company excluded $1.4 billion of net par attributable to loss mitigation securities.

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

Assured Guaranty Ltd.

Financial Guaranty Profile (3 of 3)

As of September 30, 2020

(dollars in millions)

Geographic Distribution of Financial Guaranty Portfolio


	Net Par Outstanding		% of Total
U.S.:
U.S. public finance:
California	$	33,609	14.4	%
Pennsylvania	15,520		6.6
New York	15,460		6.6
Texas	14,845		6.4
Illinois	13,784		5.9
New Jersey	10,484		4.5
Florida	7,312		3.1
Michigan	5,327		2.3
Louisiana	4,856		2.1
Puerto Rico	4,097		1.8
Other	47,276		20.3
Total U.S. public finance	172,570		74.0
U.S. structured finance	8,581		3.7
Total U.S.	181,151		77.7

Non-U.S.:
United Kingdom	36,967		15.9
France	3,276		1.4
Canada	2,385		1.0
Australia	2,144		0.9
Spain	1,775		0.8
Other	5,377		2.3
Total non-U.S.	51,924		22.3

Total net par outstanding	$	233,075	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 September 30, 2020

(dollars in millions)


	Gross Exposure				Net Exposure
	As of				As of
	September 30, 2020		December 31, 2019		September 30, 2020		December 31, 2019
Life insurance transactions (1)	$	1,025	$	1,046	$	883	$	898
Aircraft residual value insurance policies (2)	380		398		225		243
Total	$	1,405	$	1,444	$	1,108	$	1,141

1) The life insurance transactions net exposure is projected to increase to approximately $0.9 billion by September 30, 2026.

2) As of September 30, 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 September 30)											$	9,263
2020 Q4	$	39	$	154	$	(8)	$	82	$	267	8,996
2021	293		478		2		476		1,249		7,747
2022	260		405		17		57		739		7,008
2023	147		318		10		149		624		6,384
2024	29		307		14		120		470		5,914

2020-2024	768		1,662		35		884		3,349		5,914
2025-2029	186		813		163		812		1,974		3,940
2030-2034	136		183		547		946		1,812		2,128
2035-2039	169		468		79		944		1,660		468
After 2039	95		6		2		365		468		—
Total structured finance	$	1,354	$	3,132	$	826	$	3,951	$	9,263

Public Finance


	Estimated Net Par Amortization		Estimated Ending Net Par Outstanding

2020 (as of September 30)			$	223,812
2020 Q4	$	3,348	220,464
2021	12,676		207,788
2022	11,036		196,752
2023	8,822		187,930
2024	10,263		177,667

2020-2024	46,145		177,667
2025-2029	48,402		129,265
2030-2034	44,065		85,200
2035-2039	34,651		50,549
After 2039	50,549		—
Total public finance	$	223,812

Net par outstanding (end of period)


	1Q-19		2Q-19		3Q-19		4Q-19		1Q-20		2Q-20		3Q-20
Public finance - U.S.	$	181,408	$	180,537	$	176,515	$	175,487	$	172,795	$	173,143	$	172,570
Public finance - non-U.S.	44,615		44,488		42,882		51,259		48,575		49,293		51,242
Structured finance - U.S.	10,337		9,549		9,226		9,300		8,806		8,822		8,581
Structured finance - non-U.S.	965		793		752		761		722		701		682
Net par outstanding	$	237,325	$	235,367	$	229,375	$	236,807	$	230,898	$	231,959	$	233,075

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 September 30, 2020

(dollars in millions)

Exposure to Puerto Rico


	Par Outstanding				Debt Service Outstanding
	Gross		Net		Gross		Net
Total	$	4,161	$	4,096	$	6,435	$	6,352

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)	$	574	$	185	$	353	$	—	$	1,112	$	1,150
Puerto Rico Public Buildings Authority (PBA) (2)	2		134		—		(2)		134		140
Public Corporations - Certain Revenues Potentially Subject to Clawback
Puerto Rico Highways and Transportation Authority (PRHTA) (Transportation revenue) (2)	244		472		180		(79)		817		817
PRHTA (Highway revenue) (2)	399		63		31		—		493		493
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)	489		71		215		—		775		787
Puerto Rico Aqueduct and Sewer Authority (PRASA) (3)	—		284		89		—		373		373
Puerto Rico Municipal Finance Agency (MFA) (3)	151		23		49		—		223		232
University of Puerto Rico (U of PR) (3)	—		1		—		—		1		1
Total exposure to Puerto Rico	$	1,859	$	1,400	$	918	$	(81)	$	4,096	$	4,161

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 September 30, 2020

(dollars in millions)

Amortization Schedule of Net Par Outstanding of Puerto Rico


	2020 (4Q)		2021 (1Q)		2021 (2Q)		2021 (3Q)		2021 (4Q)		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	$	—	$	—	$	—	$	15	$	—	$	37	$	14	$	73	$	68	$	34	$	90	$	33	$	64	$	419	$	265	$	—	$	—	$	1,112
PBA	—		—		—		13		—		—		7		—		6		11		40		1		—		38		18		—		—		134
Public Corporations - Certain Revenues Potentially Subject to Clawback
PRHTA (Transportation revenue)	—		—		—		18		—		28		33		4		29		24		29		34		49		180		307		82		—		817
PRHTA (Highway revenue)	—		—		—		35		—		40		32		33		34		1		—		10		13		192		103		—		—		493
PRCCDA	—		—		—		—		—		—		—		—		—		—		19		—		—		76		57		—		—		152
PRIFA	—		—		—		—		—		—		2		—		—		—		—		—		—		—		7		7		—		16
Other Public Corporations
PREPA	—		—		—		28		—		28		95		93		68		106		105		68		39		141		4		—		—		775
PRASA	—		—		—		—		—		—		—		1		25		27		28		29		—		—		2		15		246		373
MFA	—		—		—		44		—		43		23		19		18		37		15		12		7		5		—		—		—		223
U of PR	—		—		—		—		—		—		—		—		—		—		—		—		—		1		—		—		—		1
Total	$	—	$	—	$	—	$	153	$	—	$	176	$	206	$	223	$	248	$	240	$	326	$	187	$	172	$	1,052	$	763	$	104	$	246	$	4,096

Assured Guaranty Ltd.

Exposure to Puerto Rico (3 of 3)

As of September 30, 2020

(dollars in millions)

Amortization Schedule of Net Debt Service Outstanding of Puerto Rico


	2020 (4Q)		2021 (1Q)		2021 (2Q)		2021 (3Q)		2021 (4Q)		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	$	—	$	29	$	—	$	45	$	—	$	95	$	70	$	128	$	119	$	82	$	136	$	74	$	103	$	572	$	294	$	—	$	—	$	1,747
PBA	—		4		—		16		—		6		13		6		13		17		45		3		3		50		20		—		—		196
Public Corporations - Certain Revenues Potentially Subject to Clawback
PRHTA (Transportation revenue)	—		21		—		40		—		69		74		42		67		61		64		67		81		314		371		89		—		1,360
PRHTA (Highway revenue)	—		13		—		48		—		64		54		53		53		18		17		27		29		253		111		—		—		740
PRCCDA	—		3		—		3		—		7		7		7		7		7		26		6		6		103		61		—		—		243
PRIFA	—		—		—		—		—		1		2		1		1		1		1		1		1		3		10		8		—		30
Other Public Corporations
PREPA	3		15		3		43		3		62		128		122		91		126		122		80		47		157		5		—		—		1,007
PRASA	—		10		—		10		—		19		19		20		44		44		44		44		14		68		70		82		272		760
MFA	—		6		—		49		—		52		29		24		22		41		17		14		8		6		—		—		—		268
U of PR	—		—		—		—		—		—		—		—		—		—		—		—		—		1		—		—		—		1
Total	$	3	$	101	$	3	$	254	$	3	$	375	$	396	$	403	$	417	$	397	$	472	$	316	$	292	$	1,527	$	942	$	179	$	272	$	6,352

Assured Guaranty Ltd.

U.S. RMBS Profile

As of September 30, 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	$	5	$	115	$	14	$	681	$	—	$	815
AA	30		93		9		181		2		315
A	—		26		—		25		112		163
BBB	6		7		1		9		292		315
BIG	56		299		30		964		175		1,524
Total exposures	$	97	$	540	$	54	$	1,860	$	581	$	3,132

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	$	18	$	18	$	—	$	508	$	36	$	580
2005	41		190		21		211		109		572
2006	38		37		9		205		187		476
2007	—		295		24		896		249		1,464
2008	—		—		—		40		—		40
Total exposures	$	97	$	540	$	54	$	1,860	$	581	$	3,132

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 September 30, 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	$	198	15.1	%	47.1%	75.6%
AA	703		53.8	%	41.0%	51.6%
A	273		20.9	%	43.0%	46.2%
BBB	92		7.1	%	35.7%	36.9%
BIG	40		3.1	%	N/A	N/A
Total exposures	$	1,306	100.0	%	41.8%	52.2%

Distribution of Direct Pooled Corporate Obligations by Asset Class


	Net Par Outstanding		% of Total		Avg. Initial Credit Enhancement	Avg. Current Credit Enhancement	Number of Transactions	Avg. Rating
Asset class:
Trust preferred
Banks and insurance	$	530	40.6	%	44.3%	60.1%	14	AA
U.S. mortgage and real estate investment trusts	104		8.0		47.4%	64.5%	4	A
CLOs	558		42.7		38.5%	42.5%	3	A+
Other pooled corporates	114		8.7		N/A	N/A	3	A+
Total exposures	$	1,306	100.0	%	41.8%	52.2%	24	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
	September 30,		December 31,
	2020		2019
U.S. public finance:
Tax backed	$	1,874	$	1,858
General obligation	1,630		1,969
Municipal utilities	1,418		1,472
Higher education	146		178
Transportation	99		100
Infrastructure finance	33		35
Healthcare	30		32
Housing revenue	17		17
Renewable energy	—		3
Other public finance	104		107
Total U.S. public finance	5,351		5,771
Non-U.S. public finance:
Sovereign and sub-sovereign	440		415
Infrastructure finance	382		444
Renewable energy	38		39
Total non-U.S. public finance	860		898
Total public finance	$	6,211	$	6,669

U.S. structured finance:
RMBS	$	1,524	$	1,618
Consumer receivables	94		108
Life insurance transactions	40		40
Other structured finance	57		30
Total U.S. structured finance	1,715		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	$	1,756	$	1,837
Total BIG net par outstanding	$	7,967	$	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
	September 30,		December 31,
	2020		2019
BIG Category 1
U.S. public finance	$	1,318	$	1,582
Non-U.S. public finance	812		854
U.S. structured finance	250		191
Non-U.S. structured finance	40		40
Total BIG Category 1	2,420		2,667
BIG Category 2
U.S. public finance	429		430
Non-U.S. public finance	—		—
U.S. structured finance	99		136
Non-U.S. structured finance	—		—
Total BIG Category 2	528		566
BIG Category 3
U.S. public finance	3,604		3,759
Non-U.S. public finance	48		44
U.S. structured finance	1,366		1,469
Non-U.S. structured finance	1		1
Total BIG Category 3	5,019		5,273
BIG Total	$	7,967	$	8,506

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

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (3 of 3)

As of September 30, 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 Highways & Transportation Authority	$	1,310	CCC
Puerto Rico, General Obligation, Appropriations and Guarantees of the Commonwealth	1,262		CCC
Puerto Rico Electric Power Authority	775		CCC
Puerto Rico Aqueduct & Sewer Authority	373		CCC
Puerto Rico Municipal Finance Agency	223		CCC
Jackson Water & Sewer System, Mississippi	180		BB
Virgin Islands Public Finance Authority (Gross Receipts)	166		BB
Puerto Rico Convention Center District Authority	152		CCC
Stockton City, California	104		B
Harrisburg Parking System, Pennsylvania	77		BB
Alabama State University	74		BB+
Atlantic City, New Jersey	55		BB
Virgin Islands Water and Power Authority	52		CCC
Total U.S. public finance	$	4,803

Non-U.S. public finance:
Valencia Fair	$	328	BB+
Road Management Services PLC (A13 Highway)	169		B+
M6 Duna Autopalya Koncesszios Zrt.	109		BB+
CountyRoute (A130) plc	71		BB-
Total non-U.S. public finance	$	677
Total	$	5,480


U.S. structured finance:
RMBS:
Option One 2007-FXD2	$	163	CCC	25.0%
Soundview 2007-WMC1	154		CCC	41.6%
Option One Mortgage Loan Trust 2007-HL1	108		CCC	21.8%
Nomura Asset Accept. Corp. 2007-1	97		CCC	34.7%
Argent Securities Inc. 2005-W4	93		CCC	11.1%
New Century 2005-A	79		CCC	27.1%
MABS 2007-NCW	58		BB	28.2%
ACE 2007-SL1	52		CCC	2.2%
ACE 2007-D1	50		CCC	18.7%
Subtotal RMBS	$	854

Non-RMBS:
National Collegiate Trust Series 2006-2	$	51	CCC	1.4%
Subtotal non-RMBS	$	51
Total U.S. structured finance	$	905

Total non-U.S. structured finance	$	—
Total	$	905

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 September 30, 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)

3,993

BBB

New York Metropolitan Transportation Authority

1,893

A-

Pennsylvania (Commonwealth of)

1,866

A-

Illinois (State of)

1,705

BBB

Puerto Rico Highways & Transportation Authority

1,310

CCC

Puerto Rico, General Obligation, Appropriations and Guarantees of the Commonwealth

1,262

CCC

North Texas Tollway Authority

1,144

Metro Washington Airports Authority (Dulles Toll Road)

1,083

BBB

Foothill/Eastern Transportation Corridor Agency, California

1,011

BBB

CommonSpirit Health, IL

1,000

A-

California (State of)

995

AA-

New York (City of), New York

980

AA-

San Diego Family Housing, LLC

938

Philadelphia School District, Pennsylvania

917

A-

Chicago Public Schools, Illinois

913

BBB-

Great Lakes Water Authority (Sewerage), Michigan

897

A-

Port Authority of New York and New Jersey

865

BBB-

Massachusetts (Commonwealth of)

864

AA-

Alameda Corridor Transportation Authority, California

850

BBB+

Suffolk County, New York

826

BBB

Massachusetts (Commonwealth of) Water Resources

823

Long Island Power Authority

817

A-

Puerto Rico Electric Power Authority

775

CCC

Pennsylvania Turnpike Commission

773

A-

ProMedica Healthcare Obligated Group, Ohio

750

BBB

Montefiore Medical Center, New York

749

BBB-

Metropolitan Pier and Exposition Authority, Illinois

748

BBB-

Jefferson County Alabama Sewer

714

BBB

Nassau County, New York

704

A-

Clark County School District, Nevada

689

BBB+

Regional Transportation Authority (Sales Tax), Illinois

626

AA-

Connecticut (State of)

625

A-

Philadelphia (City of), Pennsylvania

623

BBB+

Pittsburgh Water & Sewer, Pennsylvania

595

A-

North Carolina Turnpike Authority

586

BBB-

Hayward Unified School District, California

585

LCOR Alexandria LLC

582

BBB+

Oglethorpe Power Corporation, Georgia

575

BBB

Georgia Board of Regents

568

Chicago (City of), Illinois

556

BBB

Garden State Preservation Trust, New Jersey Open Space & Farmland

553

BBB+

Wisconsin (State of)

521

A+

New Jersey Turnpike Authority

518

A-

Sacramento County, California

482

A-

San Bernardino City Unified School District, California

467

A+

Yankee Stadium LLC New York City Industrial Development Authority

462

BBB

New York State Thruway Authority

461

A-

Harris County - Houston Sports Authority, Texas

446

BBB

Jets Stadium Development, LLC

443

BBB

New Haven (City of), Connecticut

422

BBB-

Total top 50 U.S. public finance exposures

43,550

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 September 30, 2020

(dollars in millions)

25 Largest U.S. Structured Finance Exposures

Credit Name:

Net Par Outstanding

Internal
Rating (1)

Private US Insurance Securitization

530

Private US Insurance Securitization

500

AA-

Private US Insurance Securitization

361

AA-

SLM Student Loan Trust 2007-A

359

A+

Fortress Credit Opportunities VII CLO Limited

257

AA-

Private US Insurance Securitization

235

AA-

ABPCI Direct Lending Fund CLO I Ltd

208

Option One 2007-FXD2

163

CCC

SLM Student Loan Trust 2006-C

158

AA-

Soundview 2007-WMC1

154

CCC

Private US Insurance Securitization

138

Timberlake Financial, LLC Floating Insured Notes

126

BBB+

CWABS 2007-4

114

A+

New Century Home Equity Loan Trust 2006-1

111

AAA

Option One Mortgage Loan Trust 2007-HL1

108

CCC

Nomura Asset Accept. Corp. 2007-1

CCC

Soundview Home Equity Loan Trust 2006-OPT1

AAA

Brightwood Fund III Static 2018-1, LLC

Argent Securities Inc. 2005-W4

CCC

Countrywide HELOC 2006-I

OwnIt Mortgage Loan ABS Certificates 2006-3

AAA

CWALT Alternative Loan Trust 2007-HY9

New Century 2005-A

CCC

Preferred Term Securities XXIV, Ltd.

AA-

Structured Asset Investment Loan Trust 2006-1

AAA

Total top 25 U.S. structured finance exposures

4,391

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 September 30, 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

2,696

BBB

Quebec Province

Canada

1,945

A+

Thames Water Utility Finance PLC

United Kingdom

1,866

BBB

Societe des Autoroutes du Nord et de l'Est de France S.A.

France

1,811

BBB+

Southern Gas Networks PLC

United Kingdom

1,741

BBB

Dwr Cymru Financing Limited (Welsh Water Plc)

United Kingdom

1,617

A-

Anglian Water Services Financing PLC

United Kingdom

1,473

A-

National Grid Gas PLC

United Kingdom

1,292

BBB+

British Broadcasting Corporation (BBC)

United Kingdom

1,238

A+

Channel Link Enterprises Finance PLC

France, United Kingdom

1,220

BBB

Verbund, Lease and Sublease of Hydro-Electric Equipment

Austria

1,133

AAA

Capital Hospitals (Issuer) PLC

United Kingdom

890

BBB-

Aspire Defence Finance plc

United Kingdom

822

BBB+

Verdun Participations 2 S.A.S.

France

739

BBB-

Yorkshire Water Services Finance Plc

United Kingdom

662

A-

Sydney Airport Finance Company

Australia

635

BBB+

Envestra Limited

Australia

634

A-

Campania Region - Healthcare receivable

Italy

606

BB+

South Lanarkshire Schools

United Kingdom

586

BBB

National Grid Company PLC

United Kingdom

576

BBB+

Coventry & Rugby Hospital Company (Walsgrave Hospital) Plc

United Kingdom

534

BBB-

Severn Trent Water Utilities Finance Plc

United Kingdom

524

BBB+

Derby Healthcare PLC

United Kingdom

505

BBB

Wessex Water Services Finance Plc

United Kingdom

482

BBB+

International Infrastructure Pool

United Kingdom

458

AAA

International Infrastructure Pool

United Kingdom

458

AAA

International Infrastructure Pool

United Kingdom

458

AAA

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

United Kingdom

451

BBB-

Central Nottinghamshire Hospitals PLC

United Kingdom

450

BBB

United Utilities Water PLC

United Kingdom

449

BBB+

NewHospitals (St Helens & Knowsley) Finance PLC

United Kingdom

449

BBB+

South East Water

United Kingdom

422

BBB

Japan Expressway Holding and Debt Repayment Agency

Japan

418

A+

Scotland Gas Networks plc

United Kingdom

417

BBB

Comision Federal De Electricidad (CFE) El Cajon Project

Mexico

413

BBB-

Q Energy - Phase II

Spain

390

BBB+

Hypersol Solar Inversiones, S.A.U.

Spain

382

BBB

BBI (DBCT) Finance Pty Limited

Australia

380

BBB

The Hospital Company (QAH Portsmouth) Limited

United Kingdom

369

BBB

Private International Sub-Sovereign Transaction

United Kingdom

364

AA-

NATS (En Route) PLC

United Kingdom

353

A-

Q Energy - Phase III

Spain

346

BBB+

Valencia Fair

Spain

328

BB+

Octagon Healthcare Funding PLC

United Kingdom

326

BBB

Private International Sub-Sovereign Transaction

United Kingdom

321

Bakethin Finance Plc

United Kingdom

307

A-

Leeds Hospital - St. James's Oncology Financing plc

United Kingdom

301

BBB

Catalyst Healthcare (Romford) Financing PLC

United Kingdom

298

BBB

Republic of Poland

Poland

295

A-

Dali Capital PLC-Northumbrian Water

United Kingdom

293

BBB+

Total top 50 non-U.S. exposures

36,123

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

Asset Management Segment

Assured Guaranty Ltd.

Asset Management Segment Results (1 of 3)

(dollars in millions)


	Three Months Ended September 30, 2020		Nine Months Ended September 30, 2020
Revenues
Management fees:
CLOs	$	5	$	12
Opportunity funds and liquid strategies	2		7
Wind-down funds	5		21
Total management fees	12		40
Other income	2		4
Total revenues	14		44

Expenses
Amortization of intangible assets	3		9
Employee compensation and benefit expenses	19		51
Other operating expenses	7		21
Total expenses	29		81
Adjusted operating income (loss) before income taxes	(15)		(37)
Provision (benefit) for income taxes	(3)		(7)
Adjusted operating income (loss)	$	(12)	$	(30)

Assured Guaranty Ltd.

Asset Management Segment Results (2 of 3)

(dollars in millions)

Rollforward of Assets Under Management for the Three Months Ended September 30, 2020


	CLOs		Opportunity Funds		Liquid Strategies		Wind-Down Funds		Total
AUM, June 30, 2020	$	13,212	$	973	$	371	$	2,460	$	17,016

Inflows	168		—		—		—		168
Outflows:
Redemptions	—		—		—		—		—
Distributions	(45)		(27)		—		(228)		(300)
Total outflows	(45)		(27)		—		(228)		(300)
Net flows	123		(27)		—		(228)		(132)
Change in fund value	76		38		7		21		142
AUM, September 30, 2020	$	13,411	$	984	$	378	$	2,253	$	17,026

Rollforward of Assets Under Management for the Nine Months Ended September 30, 2020


	CLOs		Opportunity Funds		Liquid Strategies		Wind-Down Funds		Total
AUM, December 31, 2019	$	12,758	$	1,023	$	—	$	4,046	$	17,827

Inflows	909		118		370		—		1,397
Outflows:
Redemptions	—		—		—		—		—
Distributions	(325)		(195)		—		(1,644)		(2,164)
Total outflows	(325)		(195)		—		(1,644)		(2,164)
Net flows	584		(77)		370		(1,644)		(767)
Change in fund value	69		38		8		(149)		(34)
AUM, September 30, 2020	$	13,411	$	984	$	378	$	2,253	$	17,026

Assured Guaranty Ltd.

Asset Management Segment Results (3 of 3)

(dollars in millions)

Components of Assets Under Management as of September 30, 2020 and December 31, 2019


	CLOs		Opportunity Funds		Liquid Strategies		Wind-Down Funds		Total

As of September 30, 2020:
Funded AUM (1)	$	13,350	$	879	$	378	$	2,231	$	16,838
Unfunded AUM (1)	61		105		—		22		188

Fee Earning AUM (2)	$	8,001	$	805	$	378	$	2,093	$	11,277
Non-Fee Earning AUM (2)	5,410		179		—		160		5,749

Intercompany AUM
Funded AUM (1)	$	331	$	207	$	357	$	—	$	895
Unfunded AUM (1)	50		56		—		—		106

As of December 31, 2019:
Funded AUM (1)	$	12,721	$	796	$	—	$	3,980	$	17,497
Unfunded AUM (1)	37		227		—		66		330

Fee Earning AUM (2)	$	3,438	$	695	$	—	$	3,838	$	7,971
Non-Fee Earning AUM (2)	9,320		328		—		208		9,856

Intercompany AUM
Funded AUM (1)	$	19	$	58	$	—	$	—	$	77
Unfunded AUM (1)	30		84		—		—		114

1) 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.

2) Fee Earning AUM refers to assets where AssuredIM collects fees or has elected not to waive or rebate fees to investors. Non-Fee Earning AUM refers to assets where AssuredIM 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				Nine Months Ended
	September 30,				September 30,
	2020		2019		2020		2019

Total revenues	$	12	$	1	$	8	$	2

Expenses
Interest expense	24		23		72		69
Employee compensation and benefit expenses	3		4		11		13
Other operating expenses	5		4		16		11
Total expenses	32		31		99		93
Equity in net earnings of investees	—		(1)		(5)		—
Adjusted operating income (loss) before income taxes	(20)		(31)		(96)		(91)
Provision (benefit) for income taxes	(2)		(3)		(13)		(12)
Adjusted operating income (loss)	$	(18)	$	(28)	$	(83)	$	(79)

Other

Assured Guaranty Ltd.

Other Results (1 of 2)

(dollars in millions)


	Three Months Ended September 30, 2020
	FG VIEs		Consolidated Investment Vehicles		Intersegment Eliminations and Reclasses		Total Other
	(in millions)
Revenues
Net earned premiums	$	(2)	$	—	$	—	$	(2)
Net investment income	(1)		—		(3)		(4)
Asset management fees	—		(2)		7		5
Fair value gains (losses) on FG VIEs	—		—		—		—
Fair value gains (losses) on consolidated investment vehicles	—		18		—		18
Total revenues	(3)		16		4		17
Expenses
Loss and LAE	1		—		—		1
Interest expense	—		—		(3)		(3)
Other operating expenses	—		—		7		7
Total expenses	1		—		4		5
Equity in net earnings of investees	—		(13)		—		(13)
Adjusted operating income (loss) before income taxes	(4)		3		—		(1)
Provision (benefit) for income taxes	(1)		—		—		(1)
Noncontrolling interests	—		3		—		3
Adjusted operating income (loss)	$	(3)	$	—	$	—	$	(3)


	Three Months Ended September 30, 2019
	FG VIEs		Consolidated Investment Vehicles		Intersegment Eliminations and Reclasses		Total Other
	(in millions)
Revenues
Net earned premiums	$	(2)	$	—	$	—	$	(2)
Net investment income	(1)		—		(1)		(2)
Fair value gains (losses) on FG VIEs	4		—		—		4
Total revenues	1		—		(1)		—
Expenses
Loss and LAE	3		—		—		3
Interest expense	—		—		(1)		(1)
Other operating expenses	—		—		—		—
Total expenses	3		—		(1)		2
Equity in net earnings of investees	—		—		—		—
Adjusted operating income (loss) before income taxes	(2)		—		—		(2)
Provision (benefit) for income taxes	—		—		—		—
Noncontrolling interests	—		—		—		—
Adjusted operating income (loss)	$	(2)	$	—	$	—	$	(2)

Assured Guaranty Ltd.

Other Results (2 of 2)

(dollars in millions)


	Nine Months Ended September 30, 2020
	FG VIEs		Consolidated Investment Vehicles		Intersegment Eliminations and Reclasses		Total Other
	(in millions)
Revenues
Net earned premiums	$	(4)	$	—	$	—	$	(4)
Net investment income	(4)		—		(8)		(12)
Asset management fees	—		(4)		24		20
Fair value gains (losses) on FG VIEs	(8)		—		—		(8)
Fair value gains (losses) on consolidated investment vehicles	—		37		—		37
Total revenues	(16)		33		16		33
Expenses
Loss and LAE	(7)		—		—		(7)
Interest expense	—		—		(8)		(8)
Other operating expenses	—		(1)		24		23
Total expenses	(7)		(1)		16		8
Equity in net earnings of investees	—		(29)		—		(29)
Adjusted operating income (loss) before income taxes	(9)		5		—		(4)
Provision (benefit) for income taxes	(2)		—		—		(2)
Noncontrolling interests	—		5		—		5
Adjusted operating income (loss)	$	(7)	$	—	$	—	$	(7)


	Nine Months Ended September 30, 2019
	FG VIEs		Consolidated Investment Vehicles		Intersegment Eliminations and Reclasses		Total Other
	(in millions)
Revenues
Net earned premiums	$	(16)	$	—	$	—	$	(16)
Net investment income	(3)		—		(2)		(5)
Fair value gains (losses) on FG VIEs	42		—		—		42
Total revenues	23		—		(2)		21
Expenses
Loss and LAE	18		—		—		18
Interest expense	—		—		(2)		(2)
Other operating expenses	—		—		—		—
Total expenses	18		—		(2)		16
Equity in net earnings of investees	—		—		—		—
Adjusted operating income (loss) before income taxes	5		—		—		5
Provision (benefit) for income taxes	1		—		—		1
Noncontrolling interests	—		—		—		—
Adjusted operating income (loss)	$	4	$	—	$	—	$	4

Summary

Assured Guaranty Ltd.

Summary of Financial and Statistical Data

(dollars in millions, except per share amounts)


	As of and for the Nine Months Ended September 30, 2020			Year Ended December 31,
				2019			2018			2017			2016
GAAP Summary Statements of Operations Data
Net earned premiums	$	331		$	476		$	548		$	690		$	864
Net investment income	229			378			395			417			408
Total expenses	500			503			422			748			660
Income (loss) before income taxes	239			460			580			991			1,017
Net income (loss) attributable to AGL	214			402			521			730			881
Net income (loss) attributable to AGL per diluted share	2.43			4.00			4.68			5.96			6.56

GAAP Summary Balance Sheet Data
Total investments and cash	$	9,750		$	10,409		$	10,977		$	11,539		$	11,103
Total assets	14,695			14,326			13,603			14,433			14,151
Unearned premium reserve	3,762			3,736			3,512			3,475			3,511
Loss and LAE reserve	982			1,050			1,177			1,444			1,127
Long-term debt	1,223			1,235			1,233			1,292			1,306
Shareholders’ equity attributable to AGL	6,549			6,639			6,555			6,839			6,504
Shareholders’ equity attributable to AGL per share	79.63			71.18			63.23			58.95			50.82

Other Financial Information (GAAP Basis)
Financial guaranty:
Net debt service outstanding (end of period)	$	364,507		$	374,130		$	371,586		$	401,118		$	437,535
Gross debt service outstanding (end of period)	365,436			375,776			375,080			408,492			455,000
Net par outstanding (end of period)	233,075			236,807			241,802			264,952			296,318
Gross par outstanding (end of period)	233,960			238,156			244,191			269,386			307,474

Other Financial Information (Statutory Basis)(1)
Financial guaranty:
Net debt service outstanding (end of period)	$	359,335		$	367,630		$	359,499		$	373,340		$	401,004
Gross debt service outstanding (end of period)	360,263			369,251			362,974			380,478			417,072
Net par outstanding (end of period)	228,574			230,984			230,664			239,003			262,468
Gross par outstanding (end of period)	229,460			232,333			233,036			243,217			272,286

Claims-paying resources(2)
Policyholders' surplus	$	5,025		$	5,056		$	5,148		$	5,305		$	5,126
Contingency reserve	1,669			1,607			1,663			1,750			2,008
Qualified statutory capital	6,694			6,663			6,811			7,055			7,134
Unearned premium reserve and net deferred ceding commission income	3,009			2,961			2,950			2,849			2,672
Loss and LAE reserves	222			529			1,023			1,092			888
Total policyholders' surplus and reserves	9,925			10,153			10,784			10,996			10,694
Present value of installment premium (3)	800			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	$	11,125		$	11,357		$	11,941		$	12,135		$	12,070

Ratios:
Net exposure to qualified statutory capital	34		:1	35		:1	34		:1	34		:1	37		:1
Capital ratio	54		:1	55		:1	53		:1	53		:1	56		:1
Financial resources ratio	32		: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.	$	23,125		$	28,054		$	31,989		$	26,988		$	25,423
Public finance - non-U.S.	1,861			17,907			7,166			2,811			848
Structured finance - U.S.	315			1,704			1,191			500			1,143
Structured finance - non-U.S.	—			88			369			202			30
Total gross debt service written	$	25,301		$	47,753		$	40,715		$	30,501		$	27,444

Net debt service written	$	25,301		$	47,731		$	40,630		$	30,476		$	27,444
Net par written	16,477			24,331			24,538			17,962			17,854
Gross par written	16,477			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 13 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)


	Nine Months Ended September 30, 2020		Year Ended December 31,
			2019		2018		2017		2016
Total GWP	$	334	$	677	$	612	$	307	$	154
Less: Installment GWP and other GAAP adjustments (2)	152		469		119		99		(10)
Upfront GWP	182		208		493		208		164
Plus: Installment premium PVP	82		361		204		107		61
Total PVP (3)	$	264	$	569	$	697	$	315	$	225

PVP (3):
Public finance - U.S.	$	182	$	201	$	402	$	197	$	161
Public finance - non-U.S.	73		308		116		89		29
Structured finance - U.S.	9		53		167		14		34
Structured finance - non-U.S.	—		7		12		15		1
Total PVP	$	264	$	569	$	697	$	315	$	225

Adjusted operating income reconciliation:
Net income (loss) attributable to AGL	$	214	$	402	$	521	$	730	$	881
Less pre-tax adjustments:
Realized gains (losses) on investments	12		22		(32)		40		(30)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	6		(10)		101		43		36
Fair value gains (losses) on CCS	13		(22)		14		(2)		—
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	(15)		22		(32)		57		(33)
Total pre-tax adjustments	16		12		51		138		(27)
Less tax effect on pre-tax adjustments	(2)		(1)		(12)		(69)		13
Adjusted operating income (loss)	$	200	$	391	$	482	$	661	$	895

Adjusted operating income per diluted share reconciliation:
Net income (loss) attributable to AGL per diluted share	$	2.43	$	4.00	$	4.68	$	5.96	$	6.56
Less pre-tax adjustments:
Realized gains (losses) on investments	0.14		0.22		(0.29)		0.33		(0.23)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	0.07		(0.11)		0.90		0.35		0.27
Fair value gains (losses) on CCS	0.14		(0.22)		0.13		(0.02)		—
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	(0.17)		0.21		(0.29)		0.46		(0.25)
Total pre-tax adjustments	0.18		0.10		0.45		1.12		(0.21)
Tax effect on pre-tax adjustments	(0.03)		(0.01)		(0.11)		(0.57)		0.09
Adjusted operating income (loss) per diluted share	$	2.28	$	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.

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 September 30, 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 September 30, 2020		As of December 31,
			2019		2018		2017		2016
Adjusted book value reconciliation:
Shareholders' equity attributable to AGL	$	6,549	$	6,639	$	6,555	$	6,839	$	6,504
Less pre-tax adjustments:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(50)		(56)		(45)		(146)		(189)
Fair value gains (losses) on CCS	65		52		74		60		62
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	563		486		247		487		316
Less taxes	(99)		(89)		(63)		(83)		(71)
Adjusted operating shareholders' equity	6,070		6,246		6,342		6,521		6,386
Pre-tax adjustments:
Less: Deferred acquisition costs	118		111		105		101		106
Plus: Net present value of estimated net future revenue	183		206		219		162		147
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,346		3,296		3,005		2,966		2,922
Plus taxes	(596)		(590)		(526)		(515)		(835)
Adjusted book value	$	8,885	$	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 $(1), $(2), $(1), $(2), and $4)	$	1	$	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)	$	(8)	$	(4)	$	(15)	$	(14)	$	(24)

Adjusted book value per share reconciliation:
Shareholders' equity attributable to AGL per share	$	79.63	$	71.18	$	63.23	$	58.95	$	50.82
Less pre-tax adjustments:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(0.60)		(0.60)		(0.44)		(1.26)		(1.48)
Fair value gains (losses) on CCS	0.79		0.56		0.72		0.52		0.48
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	6.85		5.21		2.39		4.20		2.47
Less taxes	(1.21)		(0.95)		(0.61)		(0.71)		(0.54)
Adjusted operating shareholders' equity per share	73.80		66.96		61.17		56.20		49.89
Pre-tax adjustments:
Less: Deferred acquisition costs	1.44		1.19		1.01		0.87		0.83
Plus: Net present value of estimated net future revenue	2.23		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	40.68		35.34		28.98		25.56		22.83
Plus taxes	(7.25)		(6.32)		(5.07)		(4.43)		(6.52)
Adjusted book value per share	$	108.02	$	96.99	$	86.18	$	77.86	$	66.52

Gain (loss) related to VIE consolidation included in adjusted operating shareholders' equity per share	$	0.01	$	0.07	$	0.03	$	0.03	$	(0.06)

Gain (loss) related to VIE consolidation included in adjusted book value per share	$	(0.11)	$	(0.05)	$	(0.15)	$	(0.12)	$	(0.18)

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 September 30, 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%.

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 obligations 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 obligations, such as bonds for airports, ports, tunnels, municipal parking facilities, toll roads and toll bridges.

Healthcare Bonds are obligations of healthcare facilities, including community-based hospitals and systems, as well as of health maintenance organizations and long-term care facilities.

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

•the net asset value of all funds and accounts other than CLOs, plus any unfunded commitments.

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

"Intercompany assets under management" or "Intercompany AUM" refers to the assets AssuredIM manages or advises on behalf of the Company. This includes investments from affiliates of Assured Guaranty along with general partners' investments of AssuredIM (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 AssuredIM 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 AssuredIM does not collect fees or has elected to waive or rebate fees to investors. AssuredIM reserves the right to waive some or all fees for certain investors, including investors affiliated with AssuredIM and/or the Company. Further, to the extent that the Company's wind-down and/or opportunity funds are invested in AssuredIM managed CLOs, AssuredIM 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 AssuredIM.

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 is 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 adjusted book value 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 - November 5, 2020

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