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

Attached files

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EX-99.1 - AGL PRESS RELEASE - ASSURED GUARANTY LTD	agl4q20pressrelease.htm
8-K - 8-K - ASSURED GUARANTY LTD	ago-20210225.htm

Assured Guaranty Ltd.

December 31, 2020

Financial Supplement


Table of Contents		Page
	Selected Financial Highlights	1
	Consolidated Balance Sheets (unaudited)	3
	Consolidated Statements of Operations (unaudited)	4
	Results by Segment	5
	Selected Financial Highlights GAAP to Non-GAAP Reconciliations	7
	Fixed-Maturity Securities, Short-Term Investments and Cash	10
	Investment Portfolio, Cash and CIVs	11
	Income from Investment Portfolio and CIVs	12
	Insurance Segment:	13
	Insurance Segment Results	14
	Claims-Paying Resources	15
	New Business Production	16
	Gross Par Written	17
	New Business Production by Quarter	18
	Estimated Net Exposure Amortization and Estimated Future Financial Guaranty Net Premium and Credit Derivative Revenues	19
	Rollforward of Net Expected Loss and Loss Adjustment Expenses to be Paid	20
	Loss Measures	21
	Net Expected Loss to be Expensed	22
	Financial Guaranty Profile	23
	Specialty Insurance and Reinsurance Exposure	26
	Expected Amortization of Net Par Outstanding	27
	Exposure to Puerto Rico	28
	U.S. RMBS Profile	31
	Direct Pooled Corporate Obligations Profile	32
	Below Investment Grade Exposures	33
	Largest Exposures by Sector	36
	Asset Management Segment	39
	Asset Management Results	40
	Corporate Division	43
	Corporate Results	44
	Other	45
	Other Results	46
	Summary	48
	Summary of Financial and Statistical Data	49
	Summary of GAAP to Non-GAAP Reconciliations	50
	Glossary	52
	Glossary	53
	Non-GAAP Financial Measures	57

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, 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, now known as Assured Investment Management LLC) and its associated entities; (17) the possibility that acquisitions made by Assured Guaranty, including its acquisition of BlueMountain (BlueMountain Acquisition), do not result in the benefits anticipated or subject Assured Guaranty to unanticipated consequences; (18) difficulties with the execution of Assured Guaranty’s business strategy; (19) loss of key personnel; (20) the effects of mergers, acquisitions and divestitures; (21) natural or man-made catastrophes or pandemics; (22) other risk factors identified in AGL’s filings with the U.S. SEC; (23) other risks and uncertainties that have not been identified at this time; and; (24) management’s response to these factors. Assured Guaranty undertakes no obligation to update publicly or review any forward looking statement, whether as a result of new information, future developments or otherwise, except as required by law.

Assured Guaranty Ltd.

Selected Financial Highlights (1 of 2)

(dollars in millions, except per share amounts)


	Three Months Ended						Year Ended
	December 31,						December 31,
	2020			2019			2020			2019
GAAP Highlights
Net income (loss) attributable to AGL	$	148		$	137		$	362		$	402
Net income (loss) attributable to AGL per diluted share	1.82			1.42			4.19			4.00
Weighted average shares outstanding
Basic shares outstanding	79.9			95.0			85.5			99.3
Diluted shares outstanding	80.7			96.1			86.2			100.2
Effective tax rate on net income	14.3		%	2.0		%	10.9		%	13.7		%
GAAP return on equity (ROE) (3)	8.9		%	8.2		%	5.4		%	6.1		%

Non-GAAP Highlights(1)
Adjusted operating income (loss)(1)
Insurance	$	109		$	133		$	429		$	512
Asset Management	(20)			(10)			(50)			(10)
Corporate	(28)			(32)			(111)			(111)
Other	(5)			(4)			(12)			—
Adjusted operating income (loss)	56			87			256			391
Adjusted operating income (loss) per diluted share (1)	0.69			0.90			2.97			3.91
Effective tax rate on adjusted operating income (2)	12.7		%	3.5		%	9.1		%	13.8		%
Adjusted operating ROE (1)(3)	3.7		%	5.6		%	4.2		%	6.2		%
Insurance Segment
Gross written premiums (GWP)	$	120		$	518		$	454		$	677
Present value of new business production (PVP) (1)	126			382			390			569
Gross par written	6,788			12,554			23,265			24,353
Asset Management Segment
Inflows-third party	$	1,152		$	929		$	1,618		$	929
Inflows-intercompany	326			213			1,257			213

Effect of refundings and terminations on GAAP measures:
Net earned premiums, pre-tax	$	65		$	39		$	129		$	122
Net change in fair value of credit derivatives, pre-tax	—			—			1			—
Net income effect	48			30			98			84
Net income per diluted share	0.60			0.31			1.14			0.84

Effect of refundings and terminations on non-GAAP measures:
Operating net earned premiums and credit derivative revenues(4), pre-tax	65			39			130			122
Adjusted operating income(4) effect	48			30			98			84
Adjusted operating income per diluted share (4)	0.60			0.31			1.14			0.84

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 periods have 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) Consolidated statements 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
	December 31, 2020				December 31, 2019
	Amount		Per Share		Amount		Per Share
Shareholders' equity attributable to AGL	$	6,643	$	85.66	$	6,639	$	71.18
Adjusted operating shareholders' equity (1)	6,087		78.49		6,246		66.96
Adjusted book value (1)	8,908		114.87		9,047		96.99
Gain (loss) related to the effect of consolidating variable interest entities (VIE consolidation) included in adjusted operating shareholders' equity	2		0.03		7		0.07
Gain (loss) related to VIE consolidation included in adjusted book value	(8)		(0.10)		(4)		(0.05)

Shares outstanding at the end of period	77.5				93.3
Exposure
Financial guaranty net debt service outstanding	$	366,233			$	374,130
Financial guaranty net par outstanding	234,153				236,807

Claims-paying resources (2)	11,077				11,357

Assets under management (AUM)
Collateralized loan obligations (CLOs)	$	13,856			$	12,758
Opportunity funds	1,486				1,023
Liquid strategies	383				—
Wind-down funds	1,623				4,046
Total	$	17,348			$	17,827

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) See page 15 for additional detail on claims-paying resources.

Assured Guaranty Ltd.

Consolidated Balance Sheets (unaudited)

(dollars in millions)


	As of
	December 31,		December 31,
	2020		2019
Assets:
Investment portfolio:
Fixed maturity securities, available-for-sale, at fair value	$	8,773	$	8,854
Short-term investments, at fair value	851		1,268
Other invested assets	214		118
Total investment portfolio	9,838		10,240

Cash	162		169
Premiums receivable, net of commissions payable	1,372		1,286
Deferred acquisition costs (DAC)	119		111
Salvage and subrogation recoverable	991		747
Financial guaranty variable interest entities' (FG VIEs') assets, at fair value	296		442
Assets of consolidated investment vehicles (CIVs)	1,913		572
Goodwill and other intangible assets	203		216
Other assets	440		543
Total assets	$	15,334	$	14,326

Liabilities and shareholders' equity:
Liabilities:
Unearned premium reserve	$	3,735	$	3,736
Loss and loss adjustment expense (LAE) reserve	1,088		1,050
Long-term debt	1,224		1,235
Credit derivative liabilities, at fair value	103		191
FG VIEs' liabilities with recourse, at fair value	316		367
FG VIEs' liabilities without recourse, at fair value	17		102
Liabilities of CIVs	1,590		482
Other liabilities	556		511
Total liabilities	8,629		7,674

Redeemable noncontrolling interests	21		7
Shareholders' equity:
Common shares	1		1
Retained earnings	6,143		6,295
Accumulated other comprehensive income	498		342
Deferred equity compensation	1		1
Total shareholders' equity attributable to AGL	6,643		6,639
Nonredeemable noncontrolling interests	41		6
Total shareholders' equity	6,684		6,645
Total liabilities, redeemable noncontrolling interests and shareholders’ equity	$	15,334	$	14,326

Assured Guaranty Ltd.

Consolidated Statements of Operations (unaudited)

(dollars in millions, except per share amounts)


			Three Months Ended				Year Ended
			December 31,				December 31,
			2020		2019		2020		2019
Revenues
	Net earned premiums		$	154	$	123	$	485	$	476
	Net investment income		68		82		297		378
	Asset management fees		29		22		89		22
	Net realized investment gains (losses)		6		10		18		22
	Net change in fair value of credit derivatives		61		19		81		(6)
	Fair value gains (losses) on FG VIEs		(2)		—		(10)		42
	Fair value gains (losses) on CIVs		4		(3)		41		(3)
	Foreign exchange gains (losses) on remeasurement		59		48		39		24
	Commutation gains (losses)		—		—		38		1
	Other income (loss)		—		(5)		37		7
		Total revenues	379		296		1,115		963
Expenses
	Loss and LAE		73		18		203		93
	Interest expense		21		22		85		89
	Amortization of DAC		5		5		16		18
	Employee compensation and benefit expenses		61		60		228		178
	Other operating expenses		69		54		197		125
		Total expenses	229		159		729		503
Income (loss) before provision for income taxes and equity in earnings of investees			150		137		386		460
Equity in earnings of investees			24		1		27		4
Income (loss) before income taxes			174		138		413		464
Provision (benefit) for income taxes			25		2		45		63
Net income (loss)			149		136		368		401
Less: Noncontrolling interests			1		(1)		6		(1)
Net income (loss) attributable to AGL			$	148	$	137	$	362	$	402

Earnings per share:
	Basic		$	1.84	$	1.43	$	4.22	$	4.04
	Diluted		$	1.82	$	1.42	$	4.19	$	4.00

Assured Guaranty Ltd.

Results by Segment (1 of 2)

(in millions)

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


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

Revenues
Net earned premiums and credit derivative revenues	$	159	$	—	$	—	$	(1)	$	158
Net investment income	70		—		1		(3)		68
Asset management fees	—		20		—		9		29
Fair value gains (losses) on FG VIEs	—		—		—		(2)		(2)
Fair value gains (losses) on CIVs	—		—		—		4		4
Commutation gains (losses)	—		—		—		—		—
Other income (loss)	14		2		—		—		16
Total revenues	243		22		1		7		273

Expenses
Loss expense	71		—		—		4		75
Interest expense	—		—		23		(2)		21
Amortization of DAC and intangible assets	5		4		—		—		9
Employee compensation and benefit expenses	38		16		7		—		61
Other operating expenses	24		27		3		11		65
Total expenses	138		47		33		13		231
Equity in earnings of investees	24		—		(1)		1		24
Income (loss) before income taxes	129		(25)		(33)		(5)		66
Provision (benefit) for income taxes	20		(5)		(5)		(1)		9
Noncontrolling interests	—		—		—		1		1
Adjusted operating income (loss)	$	109	$	(20)	$	(28)	$	(5)	$	56


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

Revenues
Net earned premiums and credit derivative revenues	$	129	$	—	$	—	$	(2)	$	127
Net investment income	85		—		1		(4)		82
Asset management fees	—		22		—		—		22
Fair value gains (losses) on FG VIEs	—		—		—		—		—
Fair value gains (losses) on CIVs	—		—		—		(3)		(3)
Commutation gains (losses)	—		—		—		—		—
Other income (loss)	6		—		—		10		16
Total revenues	220		22		1		1		244

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

Assured Guaranty Ltd.

Results by Segment (2 of 2)

(in millions)

Results by Segment for the Year Ended December 31, 2020 and December 31, 2019


	Year Ended December 31, 2020
	Insurance		Asset Management		Corporate		Other		Total

Revenues
Net earned premiums and credit derivative revenues	$	504	$	—	$	—	$	(5)	$	499
Net investment income	310		—		2		(15)		297
Asset management fees	—		60		—		29		89
Fair value gains (losses) on FG VIEs	—		—		—		(10)		(10)
Fair value gains (losses) on CIVs	—		—		—		41		41
Commutation gains (losses)	38		—		—		—		38
Other income (loss)	22		6		7		—		35
Total revenues	874		66		9		40		989

Expenses
Loss expense	204		—		—		(3)		201
Interest expense	—		—		95		(10)		85
Amortization of DAC and intangible assets	16		13		—		—		29
Employee compensation and benefit expenses	143		67		18		—		228
Other operating expenses	83		48		19		34		184
Total expenses	446		128		132		21		727
Equity in earnings of investees	61		—		(6)		(28)		27
Income (loss) before income taxes	489		(62)		(129)		(9)		289
Provision (benefit) for income taxes	60		(12)		(18)		(3)		27
Noncontrolling interests	—		—		—		6		6
Adjusted operating income (loss)	$	429	$	(50)	$	(111)	$	(12)	$	256


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

Revenues
Net earned premiums and credit derivative revenues	$	511	$	—	$	—	$	(18)	$	493
Net investment income	383		—		4		(9)		378
Asset management fees	—		22		—		—		22
Fair value gains (losses) on FG VIEs	—		—		—		42		42
Fair value gains (losses) on CIVs	—		—		—		(3)		(3)
Commutation gains (losses)	1		—		—		—		1
Other income (loss)	22		—		(1)		10		31
Total revenues	917		22		3		22		964

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

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (1 of 3)

(dollars in millions, except per share amounts)


Adjusted Operating Income Reconciliation	Three Months Ended				Year Ended
	December 31,				December 31,
	2020		2019		2020		2019

Net income (loss) attributable to AGL	$	148	$	137	$	362	$	402
Less pre-tax adjustments:
Realized gains (losses) on investments	6		10		18		22
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	59		19		65		(10)
Fair value gains (losses) on committed capital securities (CCS)	(14)		(18)		(1)		(22)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	57		45		42		22
Total pre-tax adjustments	108		56		124		12
Less tax effect on pre-tax adjustments	(16)		(6)		(18)		(1)
Adjusted operating income (loss)	$	56	$	87	$	256	$	391

Per diluted share:
Net income (loss) attributable to AGL	$	1.82	$	1.42	$	4.19	$	4.00
Less pre-tax adjustments:
Realized gains (losses) on investments	0.08		0.11		0.21		0.22
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	0.72		0.19		0.75		(0.11)
Fair value gains (losses) on CCS	(0.17)		(0.18)		(0.01)		(0.22)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.71		0.46		0.49		0.21
Total pre-tax adjustments	1.34		0.58		1.44		0.10
Less tax effect on pre-tax adjustments	(0.21)		(0.06)		(0.22)		(0.01)
Adjusted operating income (loss)	$	0.69	$	0.90	$	2.97	$	3.91

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

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (2 of 3)

(dollars in millions)


ROE Reconciliation and Calculation
	December 31,		September 30,			December 31,			September 30,			December 31,
	2020		2020			2019			2019			2018
Shareholders' equity attributable to AGL	$	6,643	$	6,549		$	6,639		$	6,652		$	6,555
Adjusted operating shareholders' equity	6,087		6,070			6,246			6,222			6,342
Gain (loss) related to VIE consolidation included in adjusted operating shareholders' equity	2		1			7			12			3

			Three Months Ended						Year Ended
			December 31,						December 31,
			2020			2019			2020			2019
Net income (loss) attributable to AGL			$	148		$	137		$	362		$	402
Adjusted operating income (loss)			56			87			256			391

Average shareholders' equity attributable to AGL			$	6,596		$	6,646		$	6,641		$	6,597
Average adjusted operating shareholders' equity			6,079			6,234			6,167			6,294
Gain (loss) related to VIE consolidation included in average adjusted operating shareholders' equity			2			10			5			5

GAAP ROE (1)			8.9		%	8.2		%	5.4		%	6.1		%
Adjusted operating ROE (1)			3.7		%	5.6		%	4.2		%	6.2		%

1) Quarterly ROE calculations represent annualized returns.

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

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (3 of 3)

(dollars in millions)


	As of
	December 31,		September 30,		December 31,		September 30,		December 31,
	2020		2020		2019		2019		2018
Reconciliation of shareholders' equity attributable to AGL to adjusted book value(1):
Shareholders' equity attributable to AGL	$	6,643	$	6,549	$	6,639	$	6,652	$	6,555
Less pre-tax reconciling items:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	9		(50)		(56)		(74)		(45)
Fair value gains (losses) on CCS	52		65		52		70		74
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	611		563		486		529		247
Less taxes	(116)		(99)		(89)		(95)		(63)
Adjusted operating shareholders' equity	6,087		6,070		6,246		6,222		6,342
Pre-tax reconciling items:
Less: Deferred acquisition costs	119		118		111		107		105
Plus: Net present value of estimated net future revenue	182		183		206		209		219
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,355		3,346		3,296		2,892		3,005
Plus taxes	(597)		(596)		(590)		(502)		(526)
Adjusted book value	$	8,908	$	8,885	$	9,047	$	8,714	$	8,935

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

Gain (loss) related to VIE consolidation included in adjusted book value (net of tax benefit of $2, $2, $1, $- and $4)	(8)		$	(8)	$	(4)	$	—	(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 December 31, 2020 is 3%. The prior periods have been recast to present the net present value of net future revenues discounted at 3% instead of 6%.

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

Assured Guaranty Ltd.

Fixed-Maturity Securities, Short-Term Investments and Cash

As of December 31, 2020

(dollars in millions)


			Amortized Cost		Allowance for Credit Losses			Pre-Tax Book Yield		After-Tax Book Yield		Fair Value		Annualized Investment Income (1)
Fixed maturity securities, available-for-sale:
	Obligations of states and political subdivisions(2)(4)		$	3,633	$	(11)		3.61	%	3.32	%	$	3,991	$	131
	U.S. government and agencies		151		—			2.56		2.19		162		4
	Corporate securities (4)		2,366		(42)			2.85		2.48		2,513		67
	Mortgage-backed securities:
		Residential mortgage-backed securities (RMBS) (3)(4)	571		(19)			4.55		3.84		566		26
		Commercial mortgage-backed securities	358		—			3.51		3.03		387		13
	Asset-backed securities (ABS)
		CLOs	531		—			2.44		1.94		532		13
		Other ABS (4)	427		(6)			5.95		4.80		449		25
	Non-U.S. government securities		167		—			1.10		1.10		173		2
		Total fixed maturity securities	8,204		(78)			3.43		3.02		8,773		281
Short-term investments			851		—			0.03		0.03		851		—
Cash (5)			162		—			—		—		162		—
		Total	$	9,217	$	(78)		3.11	%	2.74	%	$	9,786	$	281




Ratings (6):			Fair Value		% of Portfolio
	U.S. government and agencies		$	162	1.8		%
	AAA/Aaa		1,360		15.5		%
	AA/Aa		3,200		36.5		%
	A/A		2,232		25.4		%
	BBB		1,053		12.0		%
	Below investment grade (BIG) (7)		708		8.1		%
	Not rated		58		0.7		%
		Total fixed maturity securities, available-for-sale	$	8,773	100.0		%



Duration of fixed maturity securities and short-term investments (in years):					4.3

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 $199 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 $1,051 million in par with carrying value of $707 million.

Assured Guaranty Ltd.

Investment Portfolio, Cash and CIVs

GAAP

(dollars in millions)

Investment Portfolio, Cash and CIVs as of December 31, 2020


	Insurance Subsidiaries		Holding Companies		Other		AGL Consolidated

Fixed-maturity securities	$	8,703	$	70	$	—	$	8,773

Short-term investments	607		224		20		851
Cash	120		11		31		162
Total short-term investments and cash	727		235		51		1,013

Other invested assets
Equity method investments-AssuredIM Funds	345		—		(254)		91
Equity method investments-other	99		8		—		107
Other	6		—		10		16
Other invested assets	450		8		(244)		214

Total investment portfolio and cash	$	9,880	$	313	$	(193)	$	10,000

CIVs
Assets of CIVs	$	—	$	—	$	1,913	$	1,913
Liabilities of CIVs	—		—		(1,590)		(1,590)
Redeemable noncontrolling interests	—		—		(21)		(21)
Nonredeemable noncontrolling interests	—		—		(41)		(41)
Total CIVs	$	—	$	—	$	261	$	261

Investment Portfolio, Cash and CIVs as of December 31, 2019


	Insurance Subsidiaries		Holding Companies		Other		AGL Consolidated

Fixed-maturity securities	$	8,847	$	7	$	—	$	8,854

Short-term investments	857		354		57		1,268
Cash	136		5		28		169
Total short-term investments and cash	993		359		85		1,437

Other invested assets
Equity method investments-AssuredIM Funds	77		—		(77)		—
Equity method investments-other	99		12		—		111
Other	7		—		—		7
Other invested assets	183		12		(77)		118

Total investment portfolio and cash	$	10,023	$	378	$	8	$	10,409

CIVs
Assets of CIVs	$	—	$	—	$	572	$	572
Liabilities of CIVs	—		—		(482)		(482)
Redeemable noncontrolling interests	—		—		(7)		(7)
Nonredeemable noncontrolling interests	—		—		(6)		(6)
Total CIVs	$	—	$	—	$	77	$	77

Assured Guaranty Ltd.

Income from Investment Portfolio and CIVs

Segment

(dollars in millions)

Net Investment Income, Equity in Earning of Investees and Fair Value Gains (Losses) on CIVs on a Segment basis for the Year Ended December 31, 2020 and December 31, 2019


	Year Ended December 31, 2020
	Insurance		Asset Management		Corporate		Other		Total

Net investment income	$	310	$	—	$	2	$	(15)	$	297

Equity in earnings of investees
AssuredIM Funds	$	42	$	—	$	—	$	(28)	$	14
Other	19		—		(6)		—		13
Equity in earnings of investees	$	61	$	—	$	(6)	$	(28)	$	27

CIVs
Fair value gains (losses) on CIVs	$	—	$	—	$	—	$	41	$	41
Noncontrolling interests	—		—		—		(6)		(6)
Total CIVs	$	—	$	—	$	—	$	35	$	35


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

Net investment income	$	383	$	—	$	4	$	(9)	$	378

Equity in earnings of investees
AssuredIM Funds	$	(2)	$	—	$	—	$	2	$	—
Other	4		—		—		—		4
Equity in earnings of investees	$	2	$	—	$	—	$	2	$	4

CIVs
Fair value gains (losses) on CIVs	$	—	$	—	$	—	$	(3)	$	(3)
Noncontrolling interests	—		—		—		1		1
Total CIVs	$	—	$	—	$	—	$	(2)	$	(2)

Insurance Segment

Assured Guaranty Ltd.

Insurance Segment Results

(dollars in millions)


	Three Months Ended				Year Ended
	December 31,				December 31,
	2020		2019		2020		2019
Revenues
Net earned premiums and credit derivative revenues	$	159	$	129	$	504	$	511
Net investment income	70		85		310		383
Commutation gains (losses)	—		—		38		1
Other income (loss)	14		6		22		22
Total revenues	243		220		874		917

Expenses
Loss expense	71		20		204		86
Amortization of DAC	5		5		16		18
Employee compensation and benefit expenses	38		32		143		137
Other operating expenses	24		23		83		83
Total expenses	138		80		446		324
Equity in earnings of investees	24		(1)		61		2
Adjusted operating income (loss) before income taxes	129		139		489		595
Provision (benefit) for income taxes	20		6		60		83
Adjusted operating income (loss)	$	109	$	133	$	429	$	512

Assured Guaranty Ltd.

Claims-Paying Resources

(dollars in millions)


	As of December 31, 2020
	Assured Guaranty Municipal Corp.		Assured Guaranty Corp.		Municipal Assurance Corp.		Assured Guaranty Re Ltd. (7)		Eliminations(2)		Consolidated
Claims-paying resources
Policyholders' surplus	$	2,864	$	1,717	$	305	$	701	$	(510)	$	5,077
Contingency reserve(1)	940		617		184		—		(184)		1,557
Qualified statutory capital	3,804		2,334		489		701		(694)		6,634
Unearned premium reserve and net deferred ceding commission income(1)	2,112		363		110		589		(191)		2,983
Loss and LAE reserves (1)	64		13		(1)		125		1		202
Total policyholders' surplus and reserves	5,980		2,710		598		1,415		(884)		9,819
Present value of installment premium (8)	445		190		—		223		—		858
CCS	200		200		—		—		—		400
Total claims-paying resources (including proportionate MAC ownership for AGM and AGC)	6,625		3,100		598		1,638		(884)		11,077
Adjustment for MAC (3)	363		235		—		—		(598)		—
Total claims-paying resources (excluding proportionate MAC ownership for AGM and AGC)	$	6,262	$	2,865	$	598	$	1,638	$	(286)	$	11,077

Statutory net exposure (4)	$	136,115	$	19,948	$	13,816	$	60,676	$	(619)	$	229,936
Equity method adjustment (3)	8,386		5,430		—		—		(13,816)		—
Adjusted statutory net exposure (1)	$	144,501	$	25,378	$	13,816	$	60,676	$	(14,435)	$	229,936

Net debt service outstanding (4)	$	219,534	$	29,966	$	20,481	$	92,662	$	(1,323)	$	361,320
Equity method adjustment (3)	12,432		8,049		—		—		(20,481)		—
Adjusted net debt service outstanding (1)	$	231,966	$	38,015	$	20,481	$	92,662	$	(21,804)	$	361,320
Ratios:
Adjusted net exposure to qualified statutory capital	38:1		11:1		28:1		87:1				35:1
Capital ratio (5)	61:1		16:1		42:1		132:1				54:1
Financial resources ratio (6)	35:1		12:1		34:1		57:1				33:1
Adjusted statutory net exposure to claims-paying resources (incl. MAC adj. for AGM and AGC)	22:1		8:1		23:1		37:1				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 (U.K.) 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 $928 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 the 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 December 31, 2020 and December 31, 2019 (1)


	Three Months Ended										Three Months Ended
	December 31, 2020										December 31, 2019
	Public Finance				Structured Finance						Public Finance				Structured Finance
	U.S.		Non - U.S.		U.S.		Non - U.S.		Total		U.S.		Non - U.S.		U.S.		Non - U.S.		Total
Total GWP	$	112	$	(1)	$	8	$	1	$	120	$	79	$	383	$	53	$	3	$	518
Less: Installment GWP and other GAAP adjustments(2)	33		(2)		7		1		39		—		383		52		1		436
Upfront GWP	79		1		1		—		81		79		—		1		2		82
Plus: Installment premium PVP	31		8		4		2		45		—		280		19		1		300
Total PVP	$	110	$	9	$	5	$	2	$	126	$	79	$	280	$	20	$	3	$	382

Gross par written	$	6,343	$	—	$	192	$	253	$	6,788	$	6,452	$	5,635	$	422	$	45	$	12,554

Reconciliation of GWP to PVP for the Year Ended December 31, 2020 and December 31, 2019 (1)


	Year Ended										Year Ended
	December 31, 2020										December 31, 2019
	Public Finance				Structured Finance						Public Finance				Structured Finance
	U.S.		Non - U.S.		U.S. (2)		Non - U.S.		Total		U.S.		Non - U.S.		U.S.		Non - U.S.		Total
Total GWP	$	294	$	142	$	18	$	—	$	454	$	198	$	417	$	57	$	5	$	677
Less: Installment GWP and other GAAP adjustments(2)	33		141		17		—		191		(3)		417		55		—		469
Upfront GWP	261		1		1		—		263		201		—		2		5		208
Plus: Installment premium PVP(2)	31		81		13		2		127		—		308		51		2		361
Total PVP	$	292	$	82	$	14	$	2	$	390	$	201	$	308	$	53	$	7	$	569

Gross par written	$	21,198	$	1,434	$	380	$	253	$	23,265	$	16,337	$	6,347	$	1,581	$	88	$	24,353

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 December 31, 2020 is 3%. Prior period has been recast to present PVP discounted at 3% instead of 6%.

2) Includes present value of new business on installment policies discounted at the prescribed GAAP discount rates, GWP adjustments on existing installment policies due to changes in assumptions, 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			Year Ended
	December 31, 2020			December 31, 2020
	Gross Par Written		Avg. Internal Rating	Gross Par Written		Avg. Internal Rating
Sector:
U.S. public finance:
General obligation	$	2,178	A-	$	8,779	A-
Municipal utilities	1,242		A-	3,421		A-
Tax backed	1,414		A-	3,147		A-
Healthcare	388		BBB+	2,816		BBB+
Higher education	53		A-	1,479		BBB+
Infrastructure finance	787		BBB	787		BBB
Transportation	154		A-	583		A-
Housing revenue	—		—	59		BB-
Other	127		A+	127		A+
Total U.S. public finance	6,343		A-	21,198		A-
Non-U.S. public finance:
Renewable energy	—		—	1,103
Sovereign and sub-sovereign	—		—	214		A+
Infrastructure finance	—		—	117		BBB+
Total non-U.S. public finance	—		—	1,434		BBB+
Total public finance	$	6,343	A-	$	22,632	A-

U.S. structured finance:
Insurance securitization	181		AA-	321		AA-
Structured credit	—		—	48		BBB
Other	11		BBB+	11		BBB+
Total U.S. structured finance	192		AA-	380		AA-
Non-U.S. structured finance:
Insurance securitization	253		AA-	253		AA-
Total non-U.S. structured finance	253		AA-	253		AA-
Total structured finance	$	445	AA-	$	633	AA-

Total gross par written	$	6,788	A-	$	23,265	A-

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

Assured Guaranty Ltd.

New Business Production by Quarter

(dollars in millions)


																	Year Ended
	1Q-19		2Q-19		3Q-19		4Q-19		1Q-20		2Q-20		3Q-20		4Q-20		2019		2020
PVP:
Public finance - U.S.	$	32	$	44	$	46	$	79	$	29	$	60	$	93	$	110	$	201	$	292
Public finance - non-U.S.	4		8		16		280		21		28		24		9		308		82
Structured finance - U.S.	5		3		25		20		1		8		—		5		53		14
Structured finance - non-U.S.	1		1		2		3		—		—		—		2		7		2
Total PVP	$	42	$	56	$	89	$	382	$	51	$	96	$	117	$	126	$	569	$	390

Reconciliation of GWP to PVP:

Total GWP	$	39	$	51	$	69	$	518	$	64	$	149	$	121	$	120	$	677	$	454
Less: Installment GWP and other GAAP adjustments	5		7		21		436		35		89		28		39		469		191
Upfront GWP	34		44		48		82		29		60		93		81		208		263
Plus: Installment premium PVP	8		12		41		300		22		36		24		45		361		127
Total PVP	$	42	$	56	$	89	$	382	$	51	$	96	$	117	$	126	$	569	$	390

Gross par written:
Public finance - U.S.	$	2,016	$	3,657	$	4,212	$	6,452	$	2,641	$	5,282	$	6,932	$	6,343	$	16,337	$	21,198
Public finance - non-U.S.	176		299		237		5,635		377		557		500		—		6,347		1,434
Structured finance - U.S.	494		227		438		422		15		173		—		192		1,581		380
Structured finance - non-U.S.	21		—		22		45		—		—		—		253		88		253
Total	$	2,707	$	4,183	$	4,909	$	12,554	$	3,033	$	6,012	$	7,432	$	6,788	$	24,353	$	23,265

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 December 31)				$	366,233
2021 Q1		$	5,785	360,448		$	80	$	5	$	1	$	3
2021 Q2		4,960		355,488		80		5		1		3
2021 Q3		6,925		348,563		79		5		1		3
2021 Q4		6,118		342,445		77		5		1		3
2022		20,815		321,630		290		20		4		10
2023		18,287		303,343		267		18		3		9
2024		19,036		284,307		246		17		3		9
2025		18,905		265,402		223		16		3		9

2021-2025		100,831		265,402		1,342		91		17		49
2026-2030		81,487		183,915		907		64		12		38
2031-2035		66,578		117,337		626		41		11		31
2036-2040		48,135		69,202		362		27		4		21
After 2040		69,202		—		501		46		—		16
	Total	$	366,233			$	3,738	$	269	$	44	$	155

1) Represents the future expected amortization of current debt service outstanding (principal and interest), assuming no advance refundings, as of December 31, 2020. Actual amortization differs from expected maturities because borrowers may have the right to call or prepay guaranteed obligations, terminations and because of management's assumptions on structured finance amortization.

2) See page 22, ‘‘Net Expected Loss to be Expensed.’’

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

Assured Guaranty Ltd.

Rollforward of Net Expected Loss and LAE to be Paid

(dollars in millions)

Rollforward of Net Expected Loss and LAE to be Paid(1) for the Three Months Ended December 31, 2020


	Net Expected Loss to be Paid (Recovered) as of September 30, 2020		Economic Loss Development (Benefit) During 4Q-20		(Paid) Recovered Losses During 4Q-20		Net Expected Loss to be Paid (Recovered) as of December 31, 2020
Public Finance:
U.S. public finance(2)	$	263	$	48	$	(6)	$	305
Non-U.S public finance	33		4		(1)		36
Public Finance	296		52		(7)		341

Structured Finance:
U.S. RMBS(3)	137		(10)		21		148
Other structured finance	38		2		0		40
Structured Finance	175		(8)		21		188
Total	$	471	$	44	$	14	$	529

Rollforward of Net Expected Loss and LAE to be Paid(1) for the Year Ended December 31, 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 December 31, 2020
Public Finance:
U.S. public finance(2)	$	531	$	190	$	(416)	$	305
Non-U.S public finance	23		13		—		36
Public Finance	554		203		(416)		341

Structured Finance:
U.S. RMBS(3)	146		(71)		73		148
Other structured finance	37		13		(10)		40
Structured Finance	183		(58)		63		188
Total	$	737	$	145	$	(353)	$	529

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 $1,154 million as of December 31, 2020 and $819 million as of December 31, 2019, for claims already paid.

3) Includes future net representations and warranties (R&W) payable of $74 million as of December 31, 2020 and $53 million as of December 31, 2019.

Assured Guaranty Ltd.

Loss Measures

As of December 31, 2020

(dollars in millions)


			Three Months Ended December 31, 2020						Year Ended December 31, 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	$	5,439	$	72	$	72	$	72	$	225	$	225	$	225
Non-U.S public finance	895		2		2		2		5		5		5
Public finance	6,334		74		74		74		230		230		230
Structured finance:
U.S. RMBS	1,480		(2)		—		(4)		(34)		(39)		(36)
Other structured finance	161		1		1		1		7		10		10
Structured finance	1,641		(1)		1		(3)		(27)		(29)		(26)
Total	$	7,975	$	73	$	75	$	71	$	203	$	201	$	204

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 December 31, 2020

(dollars in millions)


		GAAP

2021 Q1		$	8
2021 Q2		9
2021 Q3		9
2021 Q4		8
2022		35
2023		32
2024		32
2025		30
2021-2025		163
2026-2030		123
2031-2035		75
2036-2040		18
After 2040		4
	Total expected present value of net expected loss to be expensed(2)	383
Future accretion		104
	Total expected future loss and LAE	$	487

1) The present value of net expected loss to be paid is discounted using risk free rates ranging from 0.0% to 1.72% for U.S. dollar denominated obligations.

2) Excludes $31 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 Internal Rating by Asset Type


			December 31, 2020			December 31, 2019
			Net Par Outstanding		Average Internal Rating	Net Par Outstanding		Average Internal Rating
U.S. public finance:
	General obligation		$	72,268	A-	$	73,467	A-
	Tax backed		34,800		A-	37,047		A-
	Municipal utilities		25,275		A-	26,195		A-
	Transportation		15,179		BBB+	16,209		BBB+
	Healthcare		8,691		BBB+	7,148		A-
	Higher education		6,127		A-	5,916		A-
	Infrastructure finance		5,843		A-	5,429		A-
	Housing revenue		1,149		BBB	1,321		BBB+
	Investor-owned utilities		644		A-	655		A-
	Renewable energy		204		A-	210		A-
	Other public finance		1,417		A-	1,890		A-
		Total U.S. public finance	171,597		A-	175,487		A-
Non-U.S. public finance:
	Regulated utilities		19,370		BBB+	18,995		BBB+
	Infrastructure finance		17,819		BBB	17,952		BBB
	Sovereign and sub-sovereign		11,682		A+	11,341		A+
	Renewable energy		2,708		A-	1,555		A
	Pooled infrastructure		1,449		AAA	1,416		AAA
		Total non-U.S. public finance	53,028		A-	51,259		A-
Total public finance			$	224,625	A-	$	226,746	A-

U.S. structured finance:
	RMBS		$	2,990	BBB-	$	3,546	BBB-
	Life insurance transactions		2,581		AA-	1,776		AA-
	Pooled corporate obligations		1,193		AA	1,401		AA-
	Financial products		820		AA-	1,019		AA-
	Consumer receivables		768		A-	962		A-
	Other structured finance		600		A-	596		BBB+
		Total U.S. structured finance	8,952		A	9,300		A-

Non-U.S. structured finance:
	RMBS		357		A	427		A
	Pooled corporate obligations		—		—	55		BB+
	Other structured finance		219		A+	279		A+
		Total non-U.S. structured finance	576		A	761		A
Total structured finance			$	9,528	A	$	10,061	A-

Total			$	234,153	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 December 31, 2020

(dollars in millions)

Distribution by Ratings of Financial Guaranty Portfolio


		Public Finance - U.S.				Public Finance - Non-U.S.				Structured Finance - U.S.				Structured Finance - Non-U.S.				Total
Ratings:		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%
AAA		$	340	0.2	%	$	2,617	4.9	%	1,146		12.8	%	152		26.4	%	$	4,255	1.8	%
AA		16,742		9.7		4,690		8.8		4,324		48.3		35		6.0		25,791		11.0
A		90,914		53.0		11,646		22.0		1,006		11.3		137		23.8		103,703		44.3
BBB		58,162		33.9		33,180		62.6		835		9.3		252		43.8		92,429		39.5
BIG		5,439		3.2		895		1.7		1,641		18.3		—		—		7,975		3.4
	Net Par Outstanding (1)	$	171,597	100.0	%	$	53,028	100.0	%	$	8,952	100.0	%	$	576	100.0	%	$	234,153	100.0	%

1) As of December 31, 2020, the Company excluded $1.4 billion of net par attributable to loss mitigation strategies.

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

Assured Guaranty Ltd.

Financial Guaranty Profile (3 of 3)

As of December 31, 2020

(dollars in millions)

Geographic Distribution of Financial Guaranty Portfolio


			Net Par Outstanding		% of Total

U.S.:
U.S. public finance:
	California		$	34,036	14.6	%
	Pennsylvania		15,464		6.6
	New York		15,461		6.6
	Texas		15,054		6.5
	Illinois		13,397		5.7
	New Jersey		10,179		4.3
	Florida		6,887		2.9
	Michigan		5,264		2.2
	Louisiana		4,820		2.1
	Puerto Rico		3,725		1.6
	Other		47,310		20.2
		Total U.S. public finance	171,597		73.3
U.S. structured finance			8,952		3.8
		Total U.S.	180,549		77.1

Non-U.S.:
	United Kingdom		39,125		16.7
	France		3,159		1.4
	Canada		2,309		1.0
	Australia		1,956		0.8
	Spain		1,814		0.8
	Other		5,241		2.2
		Total non-U.S.	53,604		22.9

Total net par outstanding			$	234,153	100.0	%

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

Assured Guaranty Ltd.

Specialty Insurance and Reinsurance Exposure

As of December 31, 2020

(dollars in millions)


	Gross Exposure				Net Exposure
	As of				As of
	December 31, 2020		December 31, 2019		December 31, 2020		December 31, 2019
Life insurance transactions (1)	$	1,121	$	1,046	$	720	$	898
Aircraft residual value insurance policies (2)	363		398		208		243
Total	1,484		1,444		928		1,141

1) The life insurance transactions net exposure is projected to increase to approximately $957 million by March 31, 2027.

2) As of December 31, 2020, $13 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 December 31)												$	9,528
2021 Q1		$	57	$	138	$	25	$	124	$	344	9,184
2021 Q2		95		120		4		80		299		8,885
2021 Q3		89		116		(16)		54		243		8,642
2021 Q4		64		114		(10)		198		366		8,276
2022		243		403		17		34		697		7,579
2023		176		319		10		139		644		6,935
2024		30		306		13		114		463		6,472
2025		24		261		27		174		486		5,986

2021-2025		778		1,777		70		917		3,542		5,986
2026-2030		120		611		416		1,225		2,372		3,614
2031-2035		116		188		292		1,133		1,729		1,885
2036-2040		179		408		41		972		1,600		285
After 2040		—		6		1		278		285		—
	Total structured finance	$	1,193	$	2,990	$	820	$	4,525	$	9,528

Public Finance


		Estimated Net Par Amortization		Estimated Ending Net Par Outstanding

2020 (as of December 31)				$	224,625
2021 Q1		$	2,925	221,700
2021 Q2		2,412		219,288
2021 Q3		4,288		215,000
2021 Q4		3,461		211,539
2022		10,967		200,572
2023		8,970		191,602
2024		10,303		181,299
2025		10,630		170,669

2021-2025		53,956		170,669
2026-2030		46,673		123,996
2031-2035		42,582		81,414
2036-2040		32,535		48,879
After 2040		48,879		—
	Total public finance	$	224,625

Net par outstanding (end of period)


		1Q-19		2Q-19		3Q-19		4Q-19		1Q-20		2Q-20		3Q-20		4Q-20
Public finance - U.S.		$	181,408	$	180,537	$	176,515	$	175,487	$	172,795	$	173,143	$	172,570	$	171,597
Public finance - non-U.S.		44,615		44,488		42,882		51,259		48,575		49,293		51,242		53,028
Structured finance - U.S.		10,337		9,549		9,226		9,300		8,806		8,822		8,581		8,952
Structured finance - non-U.S.		965		793		752		761		722		701		682		576
	Net par outstanding	$	237,325	$	235,367	$	229,375	$	236,807	$	230,898	$	231,959	$	233,075	$	234,153

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

Assured Guaranty Ltd.

Exposure to Puerto Rico (1 of 3)

As of December 31, 2020

(dollars in millions)

Exposure to Puerto Rico


	Par Outstanding				Debt Service Outstanding
	Gross		Net		Gross		Net
Total	$	3,789	$	3,725	$	5,674	$	5,591

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		216		—		776		787
Puerto Rico Municipal Finance Agency (MFA) (3)	151		23		49		—		223		232
Puerto Rico Aqueduct and Sewer Authority (PRASA) and University of Puerto Rico (U of PR) (3)	—		2		—		—		2		2
Total exposure to Puerto Rico	$	1,859	$	1,117	$	830	$	(81)	$	3,725	$	3,789

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

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

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

Assured Guaranty Ltd.

Exposure to Puerto Rico (2 of 3)

As of December 31, 2020

(dollars in millions)

Amortization Schedule of Net Par Outstanding of Puerto Rico


	2021 Q1		2021 Q2		2021 Q3		2021 Q4		2022		2023		2024		2025		2026		2027		2028		2029		2030		2031 -2035		2036 -2040		2041 -2042		Total
Commonwealth Constitutionally Guaranteed
Commonwealth of Puerto Rico - General Obligation Bonds	$	—	$	—	$	16	$	—	$	37	$	14	$	73	$	68	$	34	$	90	$	33	$	63	$	48	$	491	$	145	$	—	$	1,112
PBA	—		—		12		—		—		7		—		6		11		40		1		1		1		38		17		—		134
Public Corporations - Certain Revenues Potentially Subject to Clawback
PRHTA (Transportation revenue)	—		—		18		—		28		33		4		29		24		29		34		49		31		242		251		45		817
PRHTA (Highway revenue)	—		—		35		—		40		32		32		34		1		—		10		13		16		227		53		—		493
PRCCDA	—		—		—		—		—		—		—		—		—		19		—		—		—		104		29		—		152
PRIFA	—		—		—		—		—		2		—		—		—		—		—		—		—		—		10		4		16
Other Public Corporations
PREPA	—		—		28		—		28		95		93		68		106		105		68		39		44		102		—		—		776
MFA	—		—		43		—		43		23		19		18		37		15		12		7		6		—		—		—		223
PRASA and U of PR	—		—		—		—		—		—		1		—		—		—		—		—		—		1		—		—		2
Total	$	—	$	—	$	152	$	—	$	176	$	206	$	222	$	223	$	213	$	298	$	158	$	172	$	146	$	1,205	$	505	$	49	$	3,725

Assured Guaranty Ltd.

Exposure to Puerto Rico (3 of 3)

As of December 31, 2020

(dollars in millions)

Amortization Schedule of Net Debt Service Outstanding of Puerto Rico


	2021 Q1		2021 Q2		2021 Q3		2021 Q4		2022		2023		2024		2025		2026		2027		2028		2029		2030		2031 -2035		2036 -2040		2041 -2042		Total
Commonwealth Constitutionally Guaranteed
Commonwealth of Puerto Rico - General Obligation Bonds	$	29	$	—	$	45	$	—	$	94	$	70	$	128	$	119	$	82	$	136	$	75	$	103	$	84	$	623	$	159	$	—	$	1,747
PBA	4		—		16		—		7		13		6		13		17		44		3		3		3		49		18		—		196
Public Corporations - Certain Revenues Potentially Subject to Clawback
PRHTA (Transportation revenue)	21		—		40		—		69		73		42		67		61		64		67		81		61		367		300		47		1,360
PRHTA (Highway revenue)	13		—		48		—		64		54		53		53		18		17		27		30		31		277		55		—		740
PRCCDA	3		—		3		—		7		7		7		7		7		26		6		6		6		127		31		—		243
PRIFA	—		—		—		—		1		3		1		1		1		1		—		1		1		3		13		4		30
Other Public Corporations
PREPA	16		3		43		3		62		128		122		91		126		122		80		47		52		110		—		—		1,005
MFA	6		—		49		—		52		29		24		22		41		17		14		8		6		—		—		—		268
PRASA and U of PR	—		—		—		—		—		—		1		—		—		—		—		—		—		1		—		—		2
Total	$	92	$	3	$	244	$	3	$	356	$	377	$	384	$	373	$	353	$	427	$	272	$	279	$	244	$	1,557	$	576	$	51	$	5,591

Assured Guaranty Ltd.

U.S. RMBS Profile

As of December 31, 2020

(dollars in millions)

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


Ratings:	Prime First Lien		Alt-A First Lien		Option ARMs		Subprime First Lien		Second Lien		Total Net Par Outstanding
AAA	$	4	$	111	$	14	$	625	$	—	$	754
AA	27		90		9		177		1		304
A	—		25		—		25		106		156
BBB	6		6		1		8		275		296
BIG	53		288		21		949		169		1,480
Total exposures	$	90	$	520	$	45	$	1,784	$	551	$	2,990

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	$	16	$	17	$	—	$	491	$	33	$	557
2005	38		183		20		207		101		549
2006	36		35		2		170		179		422
2007	—		285		23		877		238		1,423
2008	—		—		—		39		—		39
Total exposures	$	90	$	520	$	45	$	1,784	$	551	$	2,990

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

Assured Guaranty Ltd.

Direct Pooled Corporate Obligations Profile

As of December 31, 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		$	279	23.6	%	47.2%	70.2%
	AA		569		48.1		39.6%	48.2%
	A		312		26.4		40.6%	43.1%
	BBB		22		1.9		49.3%	50.6%
		Total exposures	$	1,182	100.0	%	41.8%	52.1%

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	$	529	44.8	%	44.3%	59.9%	14	AA+
U.S. mortgage and real estate investment trusts	98		8.2		47.3%	63.5%	3	A
CLOs	555		47.0		38.5%	42.5%	3	A+
Total exposures	$	1,182	100.0	%	41.8%	52.1%	20	AA

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (1 of 3)

(dollars in millions)

BIG Exposures by Asset Exposure Type


	As of
	December 31, 2020		December 31, 2019
U.S. public finance:
Tax backed	$	2,167	$	1,858
General obligation	1,657		1,969
Municipal utilities	1,109		1,472
Higher education	147		178
Transportation	100		100
Housing revenue	94		17
Infrastructure finance	33		35
Healthcare	28		32
Renewable energy	—		3
Other public finance	104		107
Total U.S. public finance	5,439		5,771
Non-U.S. public finance:
Sovereign and sub-sovereign	455		415
Infrastructure finance	403		444
Renewable energy	37		39
Total non-U.S. public finance	895		898
Total public finance	$	6,334	$	6,669

U.S. structured finance:
RMBS	$	1,480	$	1,618
Consumer receivables	90		108
Life insurance transactions	40		40
Other structured finance	31		30
Total U.S. structured finance	1,641		1,796
Non-U.S. structured finance:
Pooled corporate obligations	—		40
Other structured finance	—		1
Total non-U.S. structured finance	—		41
Total structured finance	$	1,641	$	1,837
Total BIG net par outstanding	$	7,975	$	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
	December 31, 2020		December 31, 2019
BIG Category 1
U.S. public finance	$	1,777	$	1,582
Non-U.S. public finance	846		854
U.S. structured finance	228		191
Non-U.S. structured finance	—		40
Total BIG Category 1	2,851		2,667
BIG Category 2
U.S. public finance	57		430
Non-U.S. public finance	—		—
U.S. structured finance	77		136
Non-U.S. structured finance	—		—
Total BIG Category 2	134		566
BIG Category 3
U.S. public finance	3,605		3,759
Non-U.S. public finance	49		44
U.S. structured finance	1,336		1,469
Non-U.S. structured finance	—		1
Total BIG Category 3	4,990		5,273
BIG Total	$	7,975	$	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 December 31, 2020

(dollars in millions)

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


	Net Par Outstanding		Internal Rating (1)	60+ Day Delinquencies
Name or description
U.S. public finance:
Puerto Rico Highways & Transportation Authority	$	1,310	CCC
Puerto Rico, General Obligation, Appropriations and Guarantees of the Commonwealth	1,262		CCC
Puerto Rico Electric Power Authority	776		CCC
Illinois Sports Facilities Authority	261		BB+
Puerto Rico Municipal Finance Agency	223		CCC
Jackson Water & Sewer System, Mississippi	178		BB
Virgin Islands Public Finance Authority (Gross Receipts)	164		BB
Puerto Rico Convention Center District Authority	152		CCC
Stockton City, California	104		B
Harrisburg Parking System, Pennsylvania	78		B
Alabama State University	73		BB+
San Jacinto River Authority (GRP Project), Texas	67		BB+
Indiana University of Pennsylvania, Pennsylvania	62		BB
Atlantic City, New Jersey	55		BB
Virgin Islands Water and Power Authority	52		CCC
Total U.S. public finance	$	4,817

Non-U.S. public finance:
Valencia Fair	$	342	BB+
Road Management Services PLC (A13 Highway)	180		B+
M6 Duna Autopalya Koncesszios Zrt.	113		BB+
CountyRoute (A130) plc	76		BB-
Total non-U.S. public finance	$	711
Total	$	5,528

U.S. structured finance:
RMBS:
Option One 2007-FXD2	$	158	CCC	26.0%
Soundview 2007-WMC1	153		CCC	39.3%
Option One Mortgage Loan Trust 2007-HL1	107		CCC	21.1%
Nomura Asset Accept. Corp. 2007-1	93		CCC	28.0%
Argent Securities Inc. 2005-W4	93		CCC	9.8%
New Century 2005-A	77		CCC	22.0%
MABS 2007-NCW	57		BB	28.8%
ACE 2007-SL1	51		CCC	2.9%
Subtotal RMBS	$	789

Non-RMBS:

Subtotal non-RMBS	$	—
Total U.S. structured finance	$	789

Total non-U.S. structured finance	$	—
Total	$	789

1) Transactions below B- are categorized as CCC.

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

Assured Guaranty Ltd.

Largest Exposures by Sector (1 of 3)

As of December 31, 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)

3,844

BBB

New York Metropolitan Transportation Authority

1,852

A-

Pennsylvania (Commonwealth of)

1,852

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

1,156

Metro Washington Airports Authority (Dulles Toll Road)

1,082

BBB

Foothill/Eastern Transportation Corridor Agency, California

1,017

BBB

Suffolk County, New York

985

BBB

California (State of)

984

AA-

CommonSpirit Health, IL

940

A-

San Diego Family Housing, LLC

938

Philadelphia School District, Pennsylvania

917

A-

Chicago Public Schools, Illinois

905

BBB-

New York (City of), New York

897

AA-

Great Lakes Water Authority (Sewerage), Michigan

897

A-

Port Authority of New York and New Jersey

863

BBB-

Alameda Corridor Transportation Authority, California

857

BBB+

Yankee Stadium LLC New York City Industrial Development Authority

856

BBB

Massachusetts (Commonwealth of)

825

AA-

Massachusetts (Commonwealth of) Water Resources

823

Wisconsin (State of)

819

Long Island Power Authority

797

A-

Puerto Rico Electric Power Authority

776

CCC

Pennsylvania Turnpike Commission

762

A-

Metropolitan Pier and Exposition Authority, Illinois

755

BBB-

ProMedica Healthcare Obligated Group, Ohio

750

BBB

Montefiore Medical Center, New York

749

BBB-

Jefferson County Alabama Sewer

719

BBB

Clark County School District, Nevada

689

BBB+

Pittsburgh Water & Sewer, Pennsylvania

687

A-

Nassau County, New York

675

A-

Regional Transportation Authority (Sales Tax), Illinois

625

AA-

Philadelphia (City of), Pennsylvania

623

BBB+

Connecticut (State of)

620

A-

North Carolina Turnpike Authority

588

BBB-

Hayward Unified School District, California

585

LCOR Alexandria LLC

575

A-

Oglethorpe Power Corporation, Georgia

575

BBB

Chicago (City of), Illinois

557

BBB-

Kansas City, Missouri

523

New Jersey Turnpike Authority

516

A-

Garden State Preservation Trust, New Jersey Open Space & Farmland

515

BBB+

Sacramento County, California

501

A-

Georgia Board of Regents

491

San Bernardino City Unified School District, California

467

A+

New York State Thruway Authority

461

A-

Jets Stadium Development, LLC

443

BBB

Harris County - Houston Sports Authority, Texas

420

BBB

Total top 50 U.S. public finance exposures

44,030

1) Transactions below B- are categorized as CCC.

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

Assured Guaranty Ltd.

Largest Exposures by Sector (2 of 3)

As of December 31, 2020

(dollars in millions)

25 Largest U.S. Structured Finance Exposures

Credit Name:

Net Par Outstanding

Internal Rating (1)

Private US Insurance Securitization

1,000

Private US Insurance Securitization

500

AA-

Private US Insurance Securitization

394

AA-

Private US Insurance Securitization

364

AA-

SLM Student Loan Trust 2007-A

342

A+

Fortress Credit Opportunities VII CLO Limited

257

AA-

ABPCI Direct Lending Fund CLO I Ltd

208

Option One 2007-FXD2

158

CCC

Soundview 2007-WMC1

153

CCC

SLM Student Loan Trust 2006-C

148

AA-

Private US Insurance Securitization

137

Timberlake Financial, LLC Floating Insured Notes

120

BBB+

CWABS 2007-4

112

A+

New Century Home Equity Loan Trust 2006-1

111

AAA

Option One Mortgage Loan Trust 2007-HL1

107

CCC

Nomura Asset Accept. Corp. 2007-1

CCC

Argent Securities Inc. 2005-W4

CCC

Brightwood Fund III Static 2018-1, LLC

Soundview Home Equity Loan Trust 2006-OPT1

AAA

Countrywide HELOC 2006-I

OwnIt Mortgage Loan ABS Certificates 2006-3

AAA

CWALT Alternative Loan Trust 2007-HY9

Preferred Term Securities XXIV, Ltd.

AA-

New Century 2005-A

CCC

Structured Asset Investment Loan Trust 2006-1

AAA

Total top 25 U.S. structured finance exposures

4,952

1) Transactions below B- are categorized as CCC.

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

Assured Guaranty Ltd.

Largest Exposures by Sector (3 of 3)

As of December 31, 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

2,857

BBB

Thames Water Utility Finance PLC

United Kingdom

1,986

BBB

Quebec Province

Canada

1,927

A+

Southern Gas Networks PLC

United Kingdom

1,851

BBB

Dwr Cymru Financing Limited (Welsh Water Plc)

United Kingdom

1,718

A-

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

France

1,640

BBB+

Anglian Water Services Financing PLC

United Kingdom

1,565

A-

National Grid Gas PLC

United Kingdom

1,376

BBB+

British Broadcasting Corporation (BBC)

United Kingdom

1,297

A+

Channel Link Enterprises Finance PLC

France, United Kingdom

1,278

BBB

Verbund, Lease and Sublease of Hydro-Electric Equipment

Austria

1,147

AAA

Capital Hospitals (Issuer) PLC

United Kingdom

948

BBB-

Aspire Defence Finance plc

United Kingdom

870

BBB+

Verdun Participations 2 S.A.S.

France

763

BBB-

Yorkshire Water Services Finance Plc

United Kingdom

700

A-

Sydney Airport Finance Company

Australia

682

BBB+

Envestra Limited

Australia

680

A-

South Lanarkshire Schools

United Kingdom

624

BBB

Campania Region - Healthcare receivable

Italy

618

BB+

National Grid Company PLC

United Kingdom

612

BBB+

Coventry & Rugby Hospital Company (Walsgrave Hospital) Plc

United Kingdom

558

BBB-

Severn Trent Water Utilities Finance Plc

United Kingdom

556

BBB+

Derby Healthcare PLC

United Kingdom

530

BBB

Wessex Water Services Finance Plc

United Kingdom

512

BBB+

International Infrastructure Pool

United Kingdom

483

AAA

International Infrastructure Pool

United Kingdom

483

AAA

International Infrastructure Pool

United Kingdom

483

AAA

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

United Kingdom

480

BBB-

Central Nottinghamshire Hospitals PLC

United Kingdom

480

BBB

United Utilities Water PLC

United Kingdom

478

BBB+

NewHospitals (St Helens & Knowsley) Finance PLC

United Kingdom

478

BBB+

South East Water

United Kingdom

450

BBB

Scotland Gas Networks plc

United Kingdom

444

BBB

Japan Expressway Holding and Debt Repayment Agency

Japan

427

A+

Comision Federal De Electricidad (CFE) El Cajon Project

Mexico

400

BBB-

Q Energy - Phase II

Spain

396

BBB+

The Hospital Company (QAH Portsmouth) Limited

United Kingdom

393

BBB

Hypersol Solar Inversiones, S.A.U.

Spain

385

BBB

Private International Sub-Sovereign Transaction

United Kingdom

385

AA-

NATS (En Route) PLC

United Kingdom

373

A-

Q Energy - Phase III

Spain

353

BBB+

Octagon Healthcare Funding PLC

United Kingdom

342

BBB

Valencia Fair

Spain

342

BB+

Private International Sub-Sovereign Transaction

United Kingdom

340

Bakethin Finance Plc

United Kingdom

325

A-

Leeds Hospital - St. James's Oncology Financing plc

United Kingdom

319

BBB

Catalyst Healthcare (Romford) Financing PLC

United Kingdom

318

BBB

Dali Capital PLC-Northumbrian Water

United Kingdom

311

BBB+

Western Power Distribution (South Wales) PLC

United Kingdom

308

BBB+

MPC Funding Limited

Australia

307

BBB+

Total top 50 non-U.S. exposures

37,578

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				Year Ended
	December 31,				December 31,
	2020		2019		2020		2019
Revenues
Management fees:
CLOs	$	11	$	3	$	23	$	3
Opportunity funds and liquid strategies	4		2		11		2
Wind-down funds	4		13		25		13
Total management fees	19		18		59		18
Performance fees	1		4		1		4
Other income	2		—		6		—
Total revenues	22		22		66		22

Expenses
Amortization of intangible assets	4		3		13		3
Employee compensation and benefit expenses	16		24		67		24
Other operating expenses	27		7		48		7
Total expenses	47		34		128		34
Adjusted operating income (loss) before income taxes	(25)		(12)		(62)		(12)
Provision (benefit) for income taxes	(5)		(2)		(12)		(2)
Adjusted operating income (loss)	$	(20)	$	(10)	$	(50)	$	(10)

Assured Guaranty Ltd.

Asset Management Segment Results (2 of 3)

(dollars in millions)

Rollforward of Assets Under Management for the Three Months Ended December 31, 2020


	CLOs		Opportunity Funds		Liquid Strategies		Wind-Down Funds		Total
AUM, September 30, 2020	$	13,411	$	984	$	378	$	2,253	$	17,026

Inflows-third party	402		750		—		—		1,152
Inflows-intercompany	61		265		—		—		326
Outflows:
Redemptions	—		—		—		—		—
Distributions	(45)		(528)		—		(597)		(1,170)
Total outflows	(45)		(528)		—		(597)		(1,170)
Net flows	418		487		—		(597)		308
Change in fund value	27		15		5		(33)		14
AUM, December 31, 2020	$	13,856	$	1,486	$	383	$	1,623	$	17,348

Rollforward of Assets Under Management for the Year Ended December 31, 2020


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

Inflows-third party	837		761		20		—		1,618
Inflows-intercompany	535		372		350		—		1,257
Outflows:
Redemptions	—		—		—		—		—
Distributions	(370)		(723)		—		(2,241)		(3,334)
Total outflows	(370)		(723)		—		(2,241)		(3,334)
Net flows	1,002		410		370		(2,241)		(459)
Change in fund value	96		53		13		(182)		(20)
AUM, December 31, 2020	$	13,856	$	1,486	$	383	$	1,623	$	17,348

Rollforward of Assets Under Management for the Three Months and Year Ended December 31, 2019


	CLOs		Opportunity Funds		Wind-Down Funds		Total
AUM, October 1, 2019	$	11,844	$	923	$	5,528	$	18,295

Inflows	977		165		—		1,142
Outflows:
Redemptions	—		—		(171)		(171)
Distributions	(92)		(43)		(1,126)		(1,261)
Total outflows	(92)		(43)		(1,297)		(1,432)
Net flows	885		122		(1,297)		(290)
Change in fund value	29		(22)		(185)		(178)
AUM, December 31, 2019	$	12,758	$	1,023	$	4,046	$	17,827

Assured Guaranty Ltd.

Asset Management Results (3 of 3)

(dollars in millions)

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


	CLOs		Opportunity Funds		Liquid Strategies		Wind-Down Funds		Total

As of December 31, 2020:
Funded AUM (1)	$	13,809	$	992	$	383	$	1,601	$	16,785
Unfunded AUM (1)	47		494		—		22		563

Fee earning AUM (2)	$	10,248	$	1,176	$	383	$	1,133	$	12,940
Non-fee earning AUM (2)	3,608		310		—		490		4,408

Intercompany AUM
Funded AUM (1)	$	405	$	126	$	362	$	—	$	893
Unfunded AUM (1)	40		137		—		—		177

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				Year Ended
	December 31,				December 31,
	2020		2019		2020		2019

Total revenues	$	1	$	1	$	9	$	3

Expenses
Interest expense	23		25		95		94
Employee compensation and benefit expenses	7		4		18		17
Other operating expenses	3		11		19		22
Total expenses	33		40		132		133
Equity in earnings of investees	(1)		—		(6)		—
Adjusted operating income (loss) before income taxes	(33)		(39)		(129)		(130)
Provision (benefit) for income taxes	(5)		(7)		(18)		(19)
Adjusted operating income (loss)	$	(28)	$	(32)	$	(111)	$	(111)

Other

Assured Guaranty Ltd.

Other Results (1 of 2)

(dollars in millions)


	Three Months Ended December 31, 2020
	FG VIEs		CIVs		Intersegment Eliminations and Reclasses		Total Other

Revenues
Net earned premiums	$	(1)	$	—	$	—	$	(1)
Net investment income	(1)		—		(2)		(3)
Asset management fees	—		(5)		14		9
Fair value gains (losses) on FG VIEs	(2)		—		—		(2)
Fair value gains (losses) on CIVs	—		4		—		4
Total revenues	(4)		(1)		12		7
Expenses
Loss and LAE	4		—		—		4
Interest expense	—		—		(2)		(2)
Other operating expenses	—		(3)		14		11
Total expenses	4		(3)		12		13
Equity in earnings of investees	—		1		—		1
Adjusted operating income (loss) before income taxes	(8)		3		—		(5)
Provision (benefit) for income taxes	(1)		—		—		(1)
Noncontrolling interests	—		1		—		1
Adjusted operating income (loss)	$	(7)	$	2	$	—	$	(5)


	Three Months Ended December 31, 2019
	FG VIEs		CIVs		Intersegment Eliminations and Reclasses		Total Other

Revenues
Net earned premiums	$	(2)	$	—	$	—	$	(2)
Net investment income	(1)		—		(3)		(4)
Fair value gains (losses) on FG VIEs	—		—		—		—
Fair value gains (losses) on CIVs	—		(3)		—		(3)
Other income (loss)	—		—		10		10
Total revenues	(3)		(3)		7		1
Expenses
Loss and LAE	2		—		—		2
Interest expense	—		—		(3)		(3)
Other operating expenses	—		—		10		10
Total expenses	2		—		7		9
Equity in earnings of investees	—		2		—		2
Adjusted operating income (loss) before income taxes	(5)		(1)		—		(6)
Provision (benefit) for income taxes	(1)		—		—		(1)
Noncontrolling interests	—		(1)		—		(1)
Adjusted operating income (loss)	$	(4)	$	—	$	—	$	(4)

Assured Guaranty Ltd.

Other Results (2 of 2)

(dollars in millions)


	Year Ended December 31, 2020
	FG VIEs		CIVs		Intersegment Eliminations and Reclasses		Total Other

Revenues
Net earned premiums	$	(5)	$	—	$	—	$	(5)
Net investment income	(5)		—		(10)		(15)
Asset management fees	—		(9)		38		29
Fair value gains (losses) on FG VIEs	(10)		—		—		(10)
Fair value gains (losses) on CIVs	—		41		—		41
Total revenues	(20)		32		28		40
Expenses
Loss and LAE	(3)		—		—		(3)
Interest expense	—		—		(10)		(10)
Other operating expenses	—		(4)		38		34
Total expenses	(3)		(4)		28		21
Equity in earnings of investees	—		(28)		—		(28)
Adjusted operating income (loss) before income taxes	(17)		8		—		(9)
Provision (benefit) for income taxes	(3)		—		—		(3)
Noncontrolling interests	—		6		—		6
Adjusted operating income (loss)	$	(14)	$	2	$	—	$	(12)


	Year Ended December 31, 2019
	FG VIEs		CIVs		Intersegment Eliminations and Reclasses		Total Other

Revenues
Net earned premiums	$	(18)	$	—	$	—	$	(18)
Net investment income	(4)		—		(5)		(9)
Fair value gains (losses) on FG VIEs	42		—		—		42
Fair value gains (losses) on CIVs	—		(3)		—		(3)
Other income (loss)	—		—		10		10
Total revenues	20		(3)		5		22
Expenses
Loss and LAE	20		—		—		20
Interest expense	—		—		(5)		(5)
Other operating expenses	—		—		10		10
Total expenses	20		—		5		25
Equity in earnings of investees	—		2		—		2
Adjusted operating income (loss) before income taxes	—		(1)		—		(1)
Provision (benefit) for income taxes	—		—		—		—
Noncontrolling interests	—		(1)		—		(1)
Adjusted operating income (loss)	$	—	$	—	$	—	$	—

Summary

Assured Guaranty Ltd.

Summary of Financial and Statistical Data

(dollars in millions, except per share amounts)


			Year Ended December 31,
			2020			2019		2018		2017		2016
GAAP Summary Statements of Operations Data
	Net earned premiums		$	485		$	476	$	548	$	690	$	864
	Net investment income		297			378		395		417		408
	Total expenses		729			503		422		748		660
	Income (loss) before income taxes		386			460		580		991		1,017
	Net income (loss) attributable to AGL		362			402		521		730		881
	Net income (loss) attributable to AGL per diluted share		4.19			4.00		4.68		5.96		6.56

GAAP Summary Balance Sheet Data
	Total investments and cash		$	10,000		$	10,409	$	10,977	$	11,539	$	11,103
	Total assets		15,334			14,326		13,603		14,433		14,151
	Unearned premium reserve		3,735			3,736		3,512		3,475		3,511
	Loss and LAE reserve		1,088			1,050		1,177		1,444		1,127
	Long-term debt		1,224			1,235		1,233		1,292		1,306
	Shareholders’ equity attributable to AGL		6,643			6,639		6,555		6,839		6,504
	Shareholders’ equity attributable to AGL per share		85.66			71.18		63.23		58.95		50.82

Other Financial Information (GAAP Basis)
	Financial guaranty:
	Net debt service outstanding (end of period)		$	366,233		$	374,130	$	371,586	$	401,118	$	437,535
	Gross debt service outstanding (end of period)		366,692			375,776		375,080		408,492		455,000
	Net par outstanding (end of period)		234,153			236,807		241,802		264,952		296,318
	Gross par outstanding (end of period)		234,571			238,156		244,191		269,386		307,474

Other Financial Information (Statutory Basis)(1)
	Financial guaranty:
	Net debt service outstanding (end of period)		$	360,392		$	367,630	$	359,499	$	373,340	$	401,004
	Gross debt service outstanding (end of period)		360,852			369,251		362,974		380,478		417,072
	Net par outstanding (end of period)		229,008			230,984		230,664		239,003		262,468
	Gross par outstanding (end of period)		229,426			232,333		233,036		243,217		272,286

Claims-paying resources(2)
	Policyholders' surplus		$	5,077		$	5,056	$	5,148	$	5,305	$	5,126
	Contingency reserve		1,557			1,607		1,663		1,750		2,008
	Qualified statutory capital		6,634			6,663		6,811		7,055		7,134
	Unearned premium reserve and net deferred ceding commission income		2,983			2,961		2,950		2,849		2,672
	Loss and LAE reserves		202			529		1,023		1,092		888
	Total policyholders' surplus and reserves		9,819			10,153		10,784		10,996		10,694
	Present value of installment premium(3)		858			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		$	11,077		$	11,357	$	11,941	$	12,135	$	12,070

	Ratios:
		Net exposure to qualified statutory capital	35		:1	35:1		34:1		34:1		37:1
		Capital ratio	54		:1	55:1		53:1		53:1		56:1
		Financial resources ratio	33		:1	32:1		30:1		31:1		33:1
		Adjusted statutory net exposure to claims-paying resources	21		:1	20:1		19:1		20:1		22:1

Par and Debt Service Written (FG and Specialty)
	Gross debt service written:
		Public finance - U.S.	$	33,596		$	28,054	$	31,989	$	26,988	$	25,423
		Public finance - non-U.S.	1,860			17,907		7,166		2,811		848
		Structured finance - U.S.	508			1,704		1,191		500		1,143
		Structured finance - non-U.S.	254			88		369		202		30
	Total gross debt service written		$	36,218		$	47,753	$	40,715	$	30,501	$	27,444

	Net debt service written		$	35,965		$	47,731	$	40,630	$	30,476	$	27,444
	Net par written		23,012			24,331		24,538		17,962		17,854
	Gross par written		23,265			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 15 for additional detail on claims-paying resources.

3) Discount rate was changed from 6% to 3% in the first quarter of 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)


	Year Ended December 31,
	2020		2019		2018		2017		2016
Total GWP	$	454	$	677	$	612	$	307	$	154
Less: Installment GWP and other GAAP adjustments (2)	191		469		119		99		(10)
Upfront GWP	263		208		493		208		164
Plus: Installment premium PVP	127		361		204		107		61
Total PVP(3)	$	390	$	569	$	697	$	315	$	225

PVP:
Public finance - U.S.	$	292	$	201	$	402	$	197	$	161
Public finance - non-U.S.	82		308		116		89		29
Structured finance - U.S.	14		53		167		14		34
Structured finance - non-U.S.	2		7		12		15		1
Total PVP(3)	$	390	$	569	$	697	$	315	$	225

Adjusted operating income reconciliation:
Net income (loss) attributable to AGL	$	362	$	402	$	521	$	730	$	881
Less pre-tax adjustments:
Realized gains (losses) on investments	18		22		(32)		40		(30)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	65		(10)		101		43		36
Fair value gains (losses) on CCS	(1)		(22)		14		(2)		—
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	42		22		(32)		57		(33)
Total pre-tax adjustments	124		12		51		138		(27)
Less tax effect on pre-tax adjustments	(18)		(1)		(12)		(69)		13
Adjusted operating income (loss)	$	256	$	391	$	482	$	661	$	895

Adjusted operating income per diluted share reconciliation:
Net income (loss) attributable to AGL per diluted share	$	4.19	$	4.00	$	4.68	$	5.96	$	6.56
Less pre-tax adjustments:
Realized gains (losses) on investments	0.21		0.22		(0.29)		0.33		(0.23)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	0.75		(0.11)		0.90		0.35		0.27
Fair value gains (losses) on CCS	(0.01)		(0.22)		0.13		(0.02)		—
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.49		0.21		(0.29)		0.46		(0.25)
Total pre-tax adjustments	1.44		0.10		0.45		1.12		(0.21)
Tax effect on pre-tax adjustments	(0.22)		(0.01)		(0.11)		(0.57)		0.09
Adjusted operating income (loss) per diluted share	$	2.97	$	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 December 31, 2020 is 3%. The prior periods have been recast to present PVP discounted at 3% instead of 6%.

Assured Guaranty Ltd.

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

(dollars in millions, except per share amounts)


	As of December 31,
	2020		2019		2018		2017		2016
Adjusted book value reconciliation:
Shareholders' equity attributable to AGL	$	6,643	$	6,639	$	6,555	$	6,839	$	6,504
Less pre-tax adjustments:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	9		(56)		(45)		(146)		(189)
Fair value gains (losses) on CCS	52		52		74		60		62
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	611		486		247		487		316
Less taxes	(116)		(89)		(63)		(83)		(71)
Adjusted operating shareholders' equity	6,087		6,246		6,342		6,521		6,386
Pre-tax adjustments:
Less: Deferred acquisition costs	119		111		105		101		106
Plus: Net present value of estimated net future revenue	182		206		219		162		147
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,355		3,296		3,005		2,966		2,922
Plus taxes	(597)		(590)		(526)		(515)		(835)
Adjusted book value	$	8,908	$	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 $0, $(2), $(1), $(2) and $4)	$	2	$	7	$	3	$	5	$	(7)

Gain (loss) related to VIE consolidation included in adjusted book value (net of tax 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	$	85.66	$	71.18	$	63.23	$	58.95	$	50.82
Less pre-tax adjustments:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	0.12		(0.60)		(0.44)		(1.26)		(1.48)
Fair value gains (losses) on CCS	0.66		0.56		0.72		0.52		0.48
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	7.89		5.21		2.39		4.20		2.47
Less taxes	(1.50)		(0.95)		(0.61)		(0.71)		(0.54)
Adjusted operating shareholders' equity per share	78.49		66.96		61.17		56.20		49.89
Pre-tax adjustments:
Less: Deferred acquisition costs	1.54		1.19		1.01		0.87		0.83
Plus: Net present value of estimated net future revenue	2.35		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	43.27		35.34		28.98		25.56		22.83
Plus taxes	(7.70)		(6.32)		(5.07)		(4.43)		(6.52)
Adjusted book value per share	$	114.87	96.99		86.18		77.86		66.52

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

Gain (loss) related to VIE consolidation included in adjusted book value per share	$	(0.10)	$	(0.05)	$	(0.15)	$	(0.12)	$	(0.18)

Glossary

Net Par Outstanding and Internal Ratings

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

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

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

Performance Indicators

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

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

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

Sectors

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

U.S. Public Finance:

General Obligation Bonds are full faith and credit obligations that are issued by states, their political subdivisions and other municipal issuers, and are supported by the general obligation of the issuer to pay from available funds and by a pledge of the issuer to levy 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.

Other Public Finance Bonds include other debt issued, guaranteed or otherwise supported by U.S. national or local governmental authorities, as well as student loans, revenue bonds, and obligations of some not-for-profit organizations.

Non-U.S. Public Finance:

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

Infrastructure Finance Obligations are obligations issued by a variety of entities engaged in the financing of international infrastructure projects, such as roads, airports, ports, social infrastructure, student accommodations, and other physical assets delivering essential services supported either by long-term concession arrangements with a public sector entity or a regulatory regime. The majority of the Company's international infrastructure business is conducted in the U.K.

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 includes obligations of local, municipal, regional or national governmental authorities or agencies outside of the United States.

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

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 first and second lien mortgage loans on residential properties. The credit quality of borrowers covers a broad range, including "prime," "subprime" and "Alt-A." A prime borrower is generally defined as one with strong risk characteristics as measured by factors such as payment history, credit score, and debt-to-income ratio. A subprime borrower is a borrower with higher risk characteristics. An Alt-A borrower is generally defined as a prime quality borrower that lacks certain ancillary characteristics, such as fully documented income.

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

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

Pooled Corporate Obligations are securities primarily backed by various types of corporate debt obligations, such as secured or unsecured bonds, bank loans or loan participations and trust preferred securities. 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.

Glossary (continued)

Sectors (continued)

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

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. Management fee revenue is based on a variety of factors and is not perfectly correlated with AUM. However, we believe AUM is a useful metric for assessing the relative size and scope of our asset management business. The Company uses measures of its AUM in its decision making process and intends to use third-party inflows 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-advised CLOs, but rather has entered into a services agreement and a secondment 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 NAV of all funds and accounts other than CLOs, plus any unfunded commitments. Changes in NAV attributable to movements in fund value of certain private equity funds are reported on a quarter lag.

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

"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 AssuredIM Funds.

"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 funds.

"Fee earning AUM" refers to assets where AssuredIM collects fees and 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. 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

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

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

GAAP requires the Company to consolidate:

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

•certain investment vehicles for which the Company is deemed the primary beneficiary.

The Company provides the effect of VIE consolidation that is embedded in each non-GAAP financial measure, as applicable. The Company believes this information may also be useful to analysts and investors evaluating Assured Guaranty's financial results. In the case of both the consolidated FG VIEs and the CIVs, the economic effect of each of the consolidated FG VIEs and CIVs is reflected primarily in the results of 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 for and in its calculation of certain components of management compensation. 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.

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

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.

In 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 Company sets its discount rate for the year as 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 operating results of the Company. Adjusted operating income is defined as net income (loss) attributable to AGL, as reported under GAAP, adjusted for the following:

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

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

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

Non-GAAP Financial Measures (continued)

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

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

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

Adjusted operating shareholders’ equity is defined as shareholders’ equity attributable to AGL, as reported under GAAP, adjusted for the following:

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

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

3) Elimination of unrealized gains (losses) on the Company’s investments that are recorded as a component of accumulated other comprehensive income (AOCI) (excluding foreign exchange remeasurement). The AOCI component of the fair value adjustment on the investment portfolio is not deemed economic because the Company generally holds these investments to maturity and therefore should not recognize an economic gain or loss.

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

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

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

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

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

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

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

Non-GAAP Financial Measures (continued)

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

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

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

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

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

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

Assured Guaranty Ltd.

30 Woodbourne Avenue

Hamilton HM 08

Bermuda

(441) 279-5705

www.assuredguaranty.com

Contacts:

Equity and Fixed Income Investors:

Robert Tucker

Senior Managing Director, Investor Relations and Corporate Communications

(212) 339-0861

rtucker@agltd.com

Michael Walker

Managing Director, Fixed Income Investor Relations

(212) 261-5575

mwalker@agltd.com

Andre Thomas

Managing Director, Equity Investor Relations

(212) 339-3551

athomas@agltd.com

Media:

Ashweeta Durani

Vice President, Corporate Communications

(212) 408-6042

adurani@agltd.com

ASSURED GUARANTY LTD - FORM 8-K - EX-99.2 - AGL FINANCIAL SUPPLEMENT - February 25, 2021

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