Assured Guaranty 8K Reports Results for First Quarter 2021 | AGO 6 May 21

Assured Guaranty Ltd.

March 31, 2021

Financial Supplement


Table of Contents		Page
	Selected Financial Highlights	1
	Condensed Consolidated Balance Sheets (unaudited)	3
	Condensed Consolidated Statements of Operations (unaudited)	4
	Results by Segment	5
	Selected Financial Highlights GAAP to Non-GAAP Reconciliations	6
	Fixed-Maturity Securities, Short-Term Investments and Cash	9
	Investment Portfolio, Cash and CIVs	10
	Income from Investment Portfolio and CIVs	11
	Insurance Segment:	12
	Insurance Segment Results	13
	Claims-Paying Resources	14
	New Business Production	15
	Gross Par Written	16
	New Business Production by Quarter	17
	Estimated Net Exposure Amortization and Estimated Future Financial Guaranty Net Premium and Credit Derivative Revenues	18
	Rollforward of Net Expected Loss and Loss Adjustment Expenses to be Paid	19
	Loss Measures	20
	Net Expected Loss to be Expensed	21
	Financial Guaranty Profile	22
	Specialty Insurance and Reinsurance Exposures	25
	Expected Amortization of Net Par Outstanding	26
	Exposure to Puerto Rico	27
	U.S. RMBS Profile	30
	Direct Pooled Corporate Obligations Profile	31
	Below Investment Grade Exposures	32
	Largest Exposures by Sector	35
	Asset Management Segment	38
	Asset Management Results	39
	Corporate Division	42
	Corporate Results	43
	Other	44
	Other Results	45
	Summary	46
	Summary of Financial and Statistical Data	47
	Summary of GAAP to Non-GAAP Reconciliations	48
	Glossary	50
	Glossary	50
	Non-GAAP Financial Measures	53

This financial supplement should be read in conjunction with documents filed by Assured Guaranty Ltd. (AGL and, together with its subsidiaries, Assured Guaranty or the Company) with the United States (U.S.) Securities and Exchange Commission (SEC), including its Annual Report on Form 10-K for the year ended December 31, 2020 and its Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2021.

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, the effectiveness, acceptance and distribution of COVID-19 vaccines, 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, including as a result of the failure to resolve Assured Guaranty's Puerto Rico exposure in a manner substantially consistent with the support agreements signed to date; (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
	March 31,
	2021			2020
GAAP Highlights
Net income (loss) attributable to AGL	$	11		$	(55)
Net income (loss) attributable to AGL per diluted share	$	0.14		$	(0.59)
Weighted average shares outstanding
Basic shares outstanding	76.7			92.6
Diluted shares outstanding	77.5			92.6
Effective tax rate on net income	(0.9)		%	7.1		%
GAAP return on equity (ROE) (3)	0.7		%	(3.4)		%

Non-GAAP Highlights (1)
Adjusted operating income (loss)(1)
Insurance	$	79		$	85
Asset Management	(7)			(9)
Corporate	(29)			(39)
Other	—			(4)
Adjusted operating income (loss)	$	43		$	33
Adjusted operating income (loss) per diluted share (1)	$	0.55		$	0.36
Weighted average shares outstanding	77.5			93.4
Effective tax rate on adjusted operating income (2)	15.0		%	24.7		%
Adjusted operating ROE (1)(3)	2.8		%	2.2		%
Insurance Segment
Gross written premiums (GWP)	$	87		$	64
Present value of new business production (PVP) (1)	86			51
Gross par written	5,472			3,033
Asset Management Segment
Inflows-third party	$	873		$	11
Inflows-intercompany	145			77

Effect of refundings and terminations on GAAP measures:
Net earned premiums, pre-tax	$	16		$	15
Net income effect	13			11
Net income per diluted share	0.16			0.12

Effect of refundings and terminations on non-GAAP measures:
Operating net earned premiums and credit derivative revenues(4), pre-tax	$	16		$	15
Adjusted operating income(4) effect	13			11
Adjusted operating income per diluted share (4)	0.16			0.12

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

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 7 for additional information on calculation.

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

Assured Guaranty Ltd.

Selected Financial Highlights (2 of 2)

(dollars in millions, except per share amounts)


	As of
	March 31, 2021				December 31, 2020
	Amount		Per Share		Amount		Per Share
Shareholders' equity attributable to AGL	$	6,430	$	84.67	$	6,643	$	85.66
Adjusted operating shareholders' equity (1)	6,032		79.44		6,087		78.49
Adjusted book value (1)	8,851		116.56		8,908		114.87
Gain (loss) related to the effect of consolidating variable interest entities (VIE consolidation) included in adjusted operating shareholders' equity	1		0.02		2		0.03
Gain (loss) related to VIE consolidation included in adjusted book value	(9)		(0.12)		(8)		(0.10)

Shares outstanding at the end of period	75.9				77.5

Exposure
Financial guaranty net debt service outstanding	$	365,443			$	366,233
Financial guaranty net par outstanding	234,270				234,153

Claims-paying resources (2)	11,014				11,077

Assets under management (AUM)
Collateralized loan obligations (CLOs)	$	14,331			$	13,856
Opportunity funds	1,513				1,486
Liquid strategies	384				383
Wind-down funds	1,297				1,623
Total	$	17,525			$	17,348

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

2) See page 14 for additional detail on claims-paying resources.

Assured Guaranty Ltd.

Condensed Consolidated Balance Sheets (unaudited)

(dollars in millions)


	As of
	March 31,		December 31,
	2021		2020
Assets:
Investment portfolio:
Fixed-maturity securities available-for-sale, at fair value	$	8,687	$	8,773
Short-term investments, at fair value	701		851
Other invested assets	211		214
Total investment portfolio	9,599		9,838
Cash	95		162
Premiums receivable, net of commissions payable	1,359		1,372
Deferred acquisition costs (DAC)	124		119
Salvage and subrogation recoverable	977		991
Financial guaranty variable interest entities' (FG VIEs') assets, at fair value	281		296
Assets of consolidated investment vehicles (CIVs)	2,956		1,913
Goodwill and other intangible assets	184		203
Other assets	443		440
Total assets	$	16,018	$	15,334

Liabilities and shareholders' equity
Liabilities:
Unearned premium reserve	$	3,718	$	3,735
Loss and loss adjustment expense (LAE) reserve	1,058		1,088
Long-term debt	1,225		1,224
Credit derivative liabilities, at fair value	124		103
FG VIEs' liabilities with recourse, at fair value	301		316
FG VIEs' liabilities without recourse, at fair value	17		17
Liabilities of CIVs	2,573		1,590
Other liabilities	509		556
Total liabilities	9,525		8,629

Redeemable noncontrolling interests	21		21
Shareholders' equity:
Common shares	1		1
Retained earnings	6,055		6,143
Accumulated other comprehensive income	373		498
Deferred equity compensation	1		1
Total shareholders' equity attributable to AGL	6,430		6,643
Nonredeemable noncontrolling interests	42		41
Total shareholders' equity	6,472		6,684
Total liabilities, redeemable noncontrolling interests and shareholders' equity	$	16,018	$	15,334

Assured Guaranty Ltd.

Condensed Consolidated Statements of Operations (unaudited)

(dollars in millions, except per share amounts)


	Three Months Ended
	March 31,
	2021		2020
Revenues
Net earned premiums	$	103	$	103
Net investment income	70		80
Asset management fees	24		23
Net realized investment gains (losses)	(3)		(5)
Net change in fair value of credit derivatives	(19)		(77)
Fair value gains (losses) on committed capital securities (CCS)	(19)		48
Fair value gains (losses) on FG VIEs	5		(9)
Fair value gains (losses) on CIVs	16		(12)
Foreign exchange gains (losses) on remeasurement	—		(62)
Other income (loss)	—		7
Total revenues	177		96
Expenses
Loss and LAE	30		20
Interest expense	21		22
Amortization of DAC	3		3
Employee compensation and benefit expenses	60		64
Other operating expenses	57		45
Total expenses	171		154
Income (loss) before provision for income taxes and equity in earnings of investees	6		(58)
Equity in earnings of investees	9		(4)
Income (loss) before income taxes	15		(62)
Provision (benefit) for income taxes	—		(4)
Net income (loss)	15		(58)
Less: Noncontrolling interests	4		(3)
Net income (loss) attributable to AGL	$	11	$	(55)

Earnings per share:
Basic	$	0.14	$	(0.59)
Diluted	$	0.14	$	(0.59)

Assured Guaranty Ltd.

Results by Segment

(in millions)

Results by Segment for the Three Months Ended March 31, 2021 and March 31, 2020


	Three Months Ended March 31, 2021
	Insurance		Asset Management		Corporate		Other		Total

Revenues
Net earned premiums and credit derivative revenues	$	107	$	—	$	—	$	(1)	$	106
Net investment income	73		—		—		(3)		70
Asset management fees	—		20		—		4		24
Fair value gains (losses) on FG VIEs	—		—		—		5		5
Fair value gains (losses) on CIVs	—		—		—		16		16
Other income (loss)	(1)		—		—		—		(1)
Total revenues	179		20		—		21		220

Expenses
Loss expense	30		—		—		3		33
Interest expense	—		—		23		(2)		21
Amortization of DAC and intangible assets	3		3		—		—		6
Employee compensation and benefit expenses	36		19		5		—		60
Other operating expenses	37		7		4		6		54
Total expenses	106		29		32		7		174
Equity in earnings of investees	19		—		—		(10)		9
Income (loss) before income taxes	92		(9)		(32)		4		55
Provision (benefit) for income taxes	13		(2)		(3)		—		8
Noncontrolling interests	—		—		—		4		4
Adjusted operating income (loss)	$	79	$	(7)	$	(29)	$	—	$	43


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

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

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

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (1 of 3)

(dollars in millions, except per share amounts)


Adjusted Operating Income Reconciliation	Three Months Ended
	March 31,
	2021		2020

Net income (loss) attributable to AGL	$	11	$	(55)
Less pre-tax adjustments:
Realized gains (losses) on investments	(3)		(5)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(19)		(88)
Fair value gains (losses) on CCS	(19)		48
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	1		(57)
Total pre-tax adjustments	(40)		(102)
Less tax effect on pre-tax adjustments	8		14
Adjusted operating income (loss)	$	43	$	33

Per diluted share:
Net income (loss) attributable to AGL	$	0.14	$	(0.59)
Less pre-tax adjustments:
Realized gains (losses) on investments	(0.04)		(0.06)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(0.25)		(0.95)
Fair value gains (losses) on CCS	(0.24)		0.52
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.01		(0.62)
Total pre-tax adjustments	(0.52)		(1.11)
Less tax effect on pre-tax adjustments	0.11		0.16
Adjusted operating income (loss)	$	0.55	$	0.36

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

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (2 of 3)

(dollars in millions)


ROE Reconciliation and Calculation
	March 31,		December 31,		March 31,			December 31,
	2021		2020		2020			2019
Shareholders' equity attributable to AGL	$	6,430	$	6,643	$	6,240		$	6,639
Adjusted operating shareholders' equity	6,032		6,087		6,051			6,246
Gain (loss) related to VIE consolidation included in adjusted operating shareholders' equity	1		2		12			7

					Three Months Ended
					March 31,
					2021			2020
Net income (loss) attributable to AGL					$	11		$	(55)
Adjusted operating income (loss)					43			33

Average shareholders' equity attributable to AGL					$	6,537		$	6,440
Average adjusted operating shareholders' equity					6,060			6,149
Gain (loss) related to VIE consolidation included in average adjusted operating shareholders' equity					2			10

GAAP ROE (1)					0.7		%	(3.4)		%
Adjusted operating ROE (1)					2.8		%	2.2		%

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
	March 31,		December 31,		March 31,		December 31,
	2021		2020		2020		2019
Reconciliation of shareholders' equity attributable to AGL to adjusted book value:
Shareholders' equity attributable to AGL	$	6,430	$	6,643	$	6,240	$	6,639
Less pre-tax reconciling items:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(10)		9		(144)		(56)
Fair value gains (losses) on CCS	33		52		101		52
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	463		611		275		486
Less taxes	(88)		(116)		(43)		(89)
Adjusted operating shareholders' equity	6,032		6,087		6,051		6,246
Pre-tax reconciling items:
Less: Deferred acquisition costs	124		119		113		111
Plus: Net present value of estimated net future revenue	181		182		193		206
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,359		3,355		3,273		3,296
Plus taxes	(597)		(597)		(584)		(590)
Adjusted book value	$	8,851	$	8,908	$	8,820	$	9,047

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

Gain (loss) related to VIE consolidation included in adjusted book value (net of tax (provision) benefit of $4, $2, $(2) and $1)	$	(9)	$	(8)	$	2	$	(4)

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 March 31, 2021

(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)	$	3,613	$	(11)		3.56	%	3.26	%	$	3,916	$	129
U.S. government and agencies	138		—			2.50		2.14		144		4
Corporate securities (4)	2,504		(43)			2.81		2.45		2,572		70
Mortgage-backed securities:
Residential mortgage-backed securities (RMBS) (3)(4)	541		(20)			4.53		3.82		530		25
Commercial mortgage-backed securities	351		—			3.49		3.02		374		12
Asset-backed securities (ABS)
CLOs	523		—			2.35		1.87		525		12
Other ABS (4)	430		(7)			5.88		4.75		456		25
Non-U.S. government securities	167		—			1.11		1.11		170		2
Total fixed maturity securities	8,267		(81)			3.37		2.97		8,687		279
Short-term investments	701		—			0.01		0.01		701		—
Cash (5)	95		—			—		—		95		—
Total	$	9,063	$	(81)		3.11	%	2.74	%	$	9,483	$	279



Ratings (6):	Fair Value		% of Portfolio
U.S. government and agencies	$	144	1.7		%
AAA/Aaa	1,325		15.2
AA/Aa	3,164		36.4
A/A	2,168		25.0
BBB	1,117		12.8
Below-investment-grade (BIG) (7)	708		8.2
Not rated	61		0.7
Total fixed maturity securities, available-for-sale	$	8,687	100.0		%


Duration of fixed maturity securities and short-term investments (in years):			4.5

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 $7 million insured by Assured Guaranty Municipal Corp. (AGM).

3) Includes fair value of $196 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 $1,040 million in par with carrying value of $708 million.

Assured Guaranty Ltd.

Investment Portfolio, Cash and CIVs

GAAP

(dollars in millions)

Investment Portfolio, Cash and CIVs as of March 31, 2021


	Insurance Subsidiaries		Holding Companies		Other		AGL Consolidated

Fixed-maturity securities	$	8,625	$	62	$	—	$	8,687

Short-term investments	475		213		13		701
Cash	57		—		38		95
Total short-term investments and cash	532		213		51		796

Other invested assets
AssuredIM Funds
CLOs	143		—		(143)		—
Municipal bonds	106		—		(106)		—
Healthcare funds	71		—		—		71
Asset-based funds	48		—		(48)		—
Equity method investments-AssuredIM Funds	368		—		(297)		71
Equity method investments-other	118		9		—		127
Other	7		—		6		13
Other invested assets	493		9		(291)		211

Total investment portfolio and cash	$	9,650	$	284	$	(240)	$	9,694

CIVs
Assets of CIVs	$	—	$	—	$	2,956	$	2,956
Liabilities of CIVs	—		—		(2,573)		(2,573)
Redeemable noncontrolling interests	—		—		(21)		(21)
Nonredeemable noncontrolling interests	—		—		(42)		(42)
Total CIVs	$	—	$	—	$	320	$	320

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
AssuredIM Funds
CLOs	100		—		(100)		—
Municipal bonds	105		—		(105)		—
Healthcare funds	97		—		(6)		91
Asset-based funds	43		—		(43)		—
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

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 Three Months Ended March 31, 2021 and March 31, 2020


	Three Months Ended March 31, 2021
	Insurance		Asset Management		Corporate		Other		Total

Net investment income	$	73	$	—	$	—	$	(3)	$	70

Equity in earnings of investees
AssuredIM Funds	$	10	$	—	$	—	$	(10)	$	—
Other	9		—		—		—		9
Equity in earnings of investees	$	19	$	—	$	—	$	(10)	$	9

CIVs
Fair value gains (losses) on CIVs	$	—	$	—	$	—	$	16	$	16
Noncontrolling interests	—		—		—		(4)		(4)
Total CIVs	$	—	$	—	$	—	$	12	$	12


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

Net investment income	$	83	$	—	$	1	$	(4)	$	80

Equity in earnings of investees
AssuredIM Funds	$	(10)	$	—	$	—	$	10	$	—
Other	1		—		(5)		—		(4)
Equity in earnings of investees	$	(9)	$	—	$	(5)	$	10	$	(4)

CIVs
Fair value gains (losses) on CIVs	$	—	$	—	$	—	$	(12)	$	(12)
Noncontrolling interests	—		—		—		3		3
Total CIVs	$	—	$	—	$	—	$	(9)	$	(9)

Insurance Segment

Assured Guaranty Ltd.

Insurance Segment Results

(dollars in millions)


	Three Months Ended
	March 31,
	2021		2020
Revenues
Net earned premiums and credit derivative revenues	$	107	$	107
Net investment income	73		83
Other income (loss)	(1)		6
Total revenues	179		196

Expenses
Loss expense	30		18
Amortization of DAC	3		3
Employee compensation and benefit expenses	36		41
Write-off of MAC insurance licenses	16		—
Other operating expenses	21		22
Total expenses	106		84
Equity in earnings of investees	19		(9)
Adjusted operating income (loss) before income taxes	92		103
Provision (benefit) for income taxes	13		18
Adjusted operating income (loss)	$	79	$	85

Assured Guaranty Ltd.

Claims-Paying Resources

(dollars in millions)


	As of March 31, 2021
	Assured Guaranty Municipal Corp.		Assured Guaranty Corp.		Municipal Assurance Corp.		Assured Guaranty Re Ltd. (7)		Eliminations(2)		Consolidated
Claims-paying resources
Policyholders' surplus	$	2,805	$	1,672	$	305	$	699	$	(515)	$	4,966
Contingency reserve(1)	959		619		187		—		(187)		1,578
Qualified statutory capital	3,764		2,291		492		699		(702)		6,544
Unearned premium reserve and net deferred ceding commission income(1)	2,121		365		106		585		(186)		2,991
Loss and LAE reserves (1)	33		60		(1)		133		1		226
Total policyholders' surplus and reserves	5,918		2,716		597		1,417		(887)		9,761
Present value of installment premium	449		184		—		220		—		853
CCS	200		200		—		—		—		400
Total claims-paying resources (including proportionate MAC ownership for AGM and AGC)	6,567		3,100		597		1,637		(887)		11,014
Adjustment for MAC (3)	362		235		—		—		(597)		—
Total claims-paying resources (excluding proportionate MAC ownership for AGM and AGC)	$	6,205	$	2,865	$	597	$	1,637	$	(290)	$	11,014

Statutory net exposure (4)	$	137,837	$	19,599	$	13,312	$	60,196	$	(623)	$	230,321
Equity method adjustment (3)	8,081		5,232		—		—		(13,313)		—
Adjusted statutory net exposure (1)	$	145,918	$	24,831	$	13,312	$	60,196	$	(13,936)	$	230,321

Net debt service outstanding (4)	$	221,321	$	29,480	$	19,709	$	91,644	$	(1,328)	$	360,826
Equity method adjustment (3)	11,964		7,746		—		—		(19,710)		—
Adjusted net debt service outstanding (1)	$	233,285	$	37,226	$	19,709	$	91,644	$	(21,038)	$	360,826
Ratios:
Adjusted net exposure to qualified statutory capital	39:1		11:1		27:1		86:1				35:1
Capital ratio (5)	62:1		16:1		40:1		131:1				55:1
Financial resources ratio (6)	36:1		12:1		33:1		56:1				33:1
Adjusted statutory net exposure to claims-paying resources (incl. MAC adj. for AGM and AGC)	22:1		8:1		22:1		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. On April 1, 2021, MAC was merged with and into AGM, with AGM as the surviving company. The steps leading up to the merger included (i) reassumption by AGM and AGC of their respective remaining cessions to MAC, (ii) distribution of MAC’s earned surplus to AGM and AGC in accordance with their respective 60.7% and 39.3% direct ownership interests in MAC Holdings, and (iii) AGM’s purchase of AGC’s 39.3% interest in MAC Holdings.(i) reassumption by AGM and AGC of their respective remaining cessions to MAC, (ii) distribution of MAC’s earned surplus to AGM and AGC in accordance with their respective 60.7% and 39.3% direct ownership interests in MAC Holdings, and (iii) AGM’s purchase of AGC’s 39.3% interest in MAC Holdings.

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 $981 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.

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

Assured Guaranty Ltd.

New Business Production

(dollars in millions)

Reconciliation of GWP to PVP for the Three Months Ended March 31, 2021 and March 31, 2020


	Three Months Ended										Three Months Ended
	March 31, 2021										March 31, 2020
	Public Finance				Structured Finance						Public Finance				Structured Finance
	U.S.		Non - U.S.		U.S.		Non - U.S.		Total		U.S.		Non - U.S.		U.S.		Non - U.S.		Total
Total GWP	$	79	$	5	$	3	$	—	$	87	$	29	$	34	$	1	$	—	$	64
Less: Installment GWP and other GAAP adjustments(1)	34		3		1		—		38		—		34		1		—		35
Upfront GWP	45		2		2		—		49		29		—		—		—		29
Plus: Installment premium PVP	36		1		—		—		37		—		21		1		—		22
Total PVP	$	81	$	3	$	2	$	—	$	86	$	29	$	21	$	1	$	—	$	51

Gross par written	$	5,427	$	—	$	45	$	—	$	5,472	$	2,641	$	377	$	15	$	—	$	3,033

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

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

Assured Guaranty Ltd.

Gross Par Written

(dollars in millions)

Gross Par Written by Asset Type

Three Months Ended

March 31, 2021

Gross Par Written

Avg. Internal Rating

Sector:

U.S. public finance

General obligation

1,757

Taxed backed

1,259

Infrastructure finance

752

BBB+

Municipal utilities

610

BBB

Healthcare

432

A-

Transportation

340

BBB

Higher Education

233

Housing revenue

BBB-

Total U.S. public finance

5,427

A-

Non-U.S. public finance:

Total non-U.S. public finance

—

Total public finance

5,427

A-

U.S. structured finance:

CMBS

Other structured finance

A-

Total U.S. structured finance

Non-U.S. structured finance:

Total non-U.S. structured finance

—

Total structured finance

Total gross par written

5,472

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)



	1Q-20		2Q-20		3Q-20		4Q-20		1Q-21
PVP:
Public finance - U.S.	$	29	$	60	$	93	$	110	$	81
Public finance - non-U.S.	21		28		24		9		3
Structured finance - U.S.	1		8		—		5		2
Structured finance - non-U.S.	—		—		—		2		—
Total PVP	$	51	$	96	$	117	$	126	$	86

Reconciliation of GWP to PVP:

Total GWP	$	64	$	149	$	121	$	120	$	87
Less: Installment GWP and other GAAP adjustments	35		89		28		39		38
Upfront GWP	29		60		93		81		49
Plus: Installment premium PVP	22		36		24		45		37
Total PVP	$	51	$	96	$	117	$	126	$	86

Gross par written:
Public finance - U.S.	$	2,641	$	5,282	$	6,932	$	6,343	$	5,427
Public finance - non-U.S.	377		557		500		—		—
Structured finance - U.S.	15		173		—		192		45
Structured finance - non-U.S.	—		—		—		253		—
Total	$	3,033	$	6,012	$	7,432	$	6,788	$	5,472

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)
2021 (as of March 31)			$	365,443
2021 Q2	$	4,951	360,492		$	81	$	5	$	1	$	3
2021 Q3	6,950		353,542		80		5		1		3
2021 Q4	6,106		347,436		78		5		1		3
2022	21,112		326,324		294		20		3		10
2023	18,456		307,868		272		19		3		9
2024	19,165		288,703		251		17		3		9
2025	18,695		270,008		228		16		3		9

2021-2025	95,435		270,008		1,284		87		15		46
2026-2030	82,485		187,523		925		65		12		38
2031-2035	67,543		119,980		639		42		11		31
2036-2040	49,208		70,772		372		27		5		21
After 2040	70,772		—		506		46		—		16
Total	$	365,443			$	3,726	$	267	$	43	$	152

1) Represents the future expected amortization of current debt service outstanding (principal and interest), assuming no advance refundings, as of March 31, 2021. 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 21, ‘‘Net Expected Loss to be Expensed.’’

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

Assured Guaranty Ltd.

Rollforward of Net Expected Loss and LAE to be Paid

(dollars in millions)

Rollforward of Net Expected Loss and LAE to be Paid(1) for the Three Months Ended March 31, 2021


	Net Expected Loss to be Paid (Recovered) as of December 31, 2020		Economic Loss Development (Benefit) During 1Q-21		(Paid) Recovered Losses During 1Q-21		Net Expected Loss to be Paid (Recovered) as of March 31, 2021
Public Finance:
U.S. public finance (2)	$	305	$	15	$	(92)	$	228
Non-U.S public finance	36		(12)		—		24
Public Finance	341		3		(92)		252

Structured Finance:
U.S. RMBS (3)	148		11		22		181
Other structured finance	40		(1)		—		39
Structured Finance	188		10		22		220
Total	$	529	$	13	$	(70)	$	472

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 $994 million as of March 31, 2021 and $1,154 million as of December 31, 2020, for claims already paid .

3) Includes future net representations and warranties payable of $59 million as of March 31, 2021 and $74 million as of December 31, 2020.

Assured Guaranty Ltd.

Loss Measures

As of March 31, 2021

(dollars in millions)


			Three Months Ended March 31, 2021
	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)
Public finance:
U.S. public finance	$	5,398	$	26	$	26	$	26
Non-U.S public finance	515		(8)		(8)		(8)
Public finance	5,913		18		18		18
Structured finance:
U.S. RMBS	1,442		12		15		12
Other structured finance	154		—		—		—
Structured finance	1,596		12		15		12
Total	$	7,509	$	30	$	33	$	30

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 March 31, 2021

(dollars in millions)


	GAAP

2021 (April 1 - June 30)	$	7
2021 (July 1 - September 30)	8
2021 (October 1 - December 31)	8
2022	32
2023	31
2024	31
2025	32
2021-2025	149
2026-2030	122
2031-2035	74
2036-2040	18
After 2040	4
Total expected present value of net expected loss to be expensed(2)	367
Future accretion	131
Total expected future loss and LAE	$	498

1) The present value of net expected loss to be paid is discounted using risk free rates ranging from 0.00% to 2.49% for U.S. dollar denominated obligations.

2) Excludes $28 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


	As of March 31, 2021			As of December 31, 2020
	Net Par Outstanding		Avg. Internal Rating	Net Par Outstanding		Avg. Internal Rating
U.S. public finance:
General obligation	$	72,411	A-	$	72,268	A-
Tax backed	35,259		A-	34,800		A-
Municipal utilities	25,268		A-	25,275		A-
Transportation	15,083		BBB+	15,179		BBB+
Healthcare	8,901		BBB+	8,691		BBB+
Infrastructure finance	6,342		A-	5,843		A-
Higher education	6,293		A-	6,127		A-
Housing revenue	1,142		BBB	1,149		BBB
Investor-owned utilities	642		A-	644		A-
Renewable energy	196		A-	204		A-
Other public finance	1,404		A-	1,417		A-
Total U.S. public finance	172,941		A-	171,597		A-
Non-U.S. public finance:
Regulated utilities	19,074		BBB+	19,370		BBB+
Infrastructure finance	17,422		BBB	17,819		BBB
Sovereign and sub-sovereign	11,561		A+	11,682		A+
Renewable energy	2,581		A-	2,708		A-
Pooled infrastructure	1,461		AAA	1,449		AAA
Total non-U.S. public finance	52,099		A-	53,028		A-
Total public finance	$	225,040	A-	$	224,625	A-

U.S. structured finance:
RMBS	$	2,850	BBB-	$	2,990	BBB-
Life insurance transactions	2,561		AA-	2,581		AA-
Pooled corporate obligations	1,126		AA	1,193		AA
Financial products	781		AA-	820		AA-
Consumer receivables	722		A	768		A-
Other structured finance	638		A-	600		A-
Total U.S. structured finance	8,678		A	8,952		A

Non-U.S. structured finance:
RMBS	348		A	357		A
Other structured finance	204		A+	219		A+
Total non-U.S. structured finance	552		A	576		A
Total structured finance	$	9,230	A	$	9,528	A

Total	$	234,270	A-	$	234,153	A-

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

Assured Guaranty Ltd.

Financial Guaranty Profile (2 of 3)

As of March 31, 2021

(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	$	338	0.2	%	$	2,626	5.0	%	$	1,142	13.2	%	$	152	27.5	%	$	4,258	1.8	%
AA	16,451		9.6		4,629		8.9		4,203		48.4		34		6.2		25,317		10.8
A	92,060		53.2		11,439		22.0		931		10.7		138		25.0		104,568		44.6
BBB	58,694		33.9		32,890		63.1		806		9.3		228		41.3		92,618		39.6
BIG	5,398		3.1		515		1.0		1,596		18.4		—		—		7,509		3.2
Net Par Outstanding (1)	$	172,941	100.0	%	$	52,099	100.0	%	$	8,678	100.0	%	$	552	100.0	%	$	234,270	100.0	%

1) As of March 31, 2021, the Company excluded $1.3 billion of net par attributable to loss mitigation securities.

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

Assured Guaranty Ltd.

Financial Guaranty Profile (3 of 3)

As of March 31, 2021

(dollars in millions)

Geographic Distribution of Financial Guaranty Portfolio


	Net Par Outstanding		% of Total
U.S.:
U.S. public finance:
California	$	34,424	14.7	%
New York	15,675		6.7
Texas	15,506		6.6
Pennsylvania	15,338		6.5
Illinois	13,134		5.6
New Jersey	9,850		4.2
Florida	6,611		2.8
Michigan	5,416		2.3
Louisiana	5,072		2.2
Puerto Rico	3,725		1.6
Other	48,190		20.6
Total U.S. public finance	172,941		73.8
U.S. structured finance	8,678		3.7
Total U.S.	181,619		77.5

Non-U.S.:
United Kingdom	38,665		16.5
France	3,062		1.3
Canada	2,210		0.9
Australia	1,926		0.8
Spain	1,738		0.8
Other	5,050		2.2
Total non-U.S.	52,651		22.5

Total net par outstanding	$	234,270	100.0	%

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

Assured Guaranty Ltd.

Specialty Insurance and Reinsurance Exposure

As of March 31, 2021

(dollars in millions)


	Gross Exposure				Net Exposure
	As of				As of
	March 31, 2021		December 31, 2020		March 31, 2021		December 31, 2020
Life insurance transactions (1)	$	1,189	$	1,121	$	781	$	720
Aircraft residual value insurance policies (2)	355		363		200		208
Total	$	1,544	$	1,484	$	981	$	928

1) The life insurance transactions net exposure is projected to increase to approximately $1.0 billion by June 30, 2027.

2) As of March 31, 2021 and December 31, 2020, $5 million and $13 million, respectively, 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

2021 (as of March 31)											$	9,230
2021 Q2	$	88	$	129	$	4	$	78	$	299	8,931
2021 Q3	79		118		(16)		55		236		8,695
2021 Q4	59		116		(10)		197		362		8,333
2022	232		389		16		97		734		7,599
2023	205		294		10		139		648		6,951
2024	30		304		13		115		462		6,489
2025	24		271		27		171		493		5,996

2021-2025	717		1,621		44		852		3,234		5,996
2026-2030	113		625		409		1,246		2,393		3,603
2031-2035	120		189		287		1,100		1,696		1,907
2036-2040	176		409		40		964		1,589		318
After 2040	—		6		1		311		318		—
Total structured finance	$	1,126	$	2,850	$	781	$	4,473	$	9,230

Public Finance


	Estimated Net Par Amortization		Estimated Ending Net Par Outstanding

2021 (as of March 31)			$	225,040
2021 Q2	$	2,412	222,628
2021 Q3	4,241		218,387
2021 Q4	3,433		214,954
2022	11,145		203,809
2023	9,065		194,744
2024	10,368		184,376
2025	10,344		174,032

2021-2025	51,008		174,032
2026-2030	47,273		126,759
2031-2035	43,263		83,496
2036-2040	33,371		50,125
After 2040	50,125		—
Total public finance	$	225,040

Net par outstanding (end of period)


	1Q-20		2Q-20		3Q-20		4Q-20		1Q-21
Public finance - U.S.	$	172,795	$	173,143	$	172,570	$	171,597	$	172,941
Public finance - non-U.S.	48,575		49,293		51,242		53,028		52,099
Structured finance - U.S.	8,806		8,822		8,581		8,952		8,678
Structured finance - non-U.S.	722		701		682		576		552
Net par outstanding	$	230,898	$	231,959	$	233,075	$	234,153	$	234,270

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

Assured Guaranty Ltd.

Exposure to Puerto Rico (1 of 3)

As of March 31, 2021

(dollars in millions)

Exposure to Puerto Rico


	Par Outstanding				Debt Service Outstanding
	Gross		Net		Gross		Net
Total	$	3,789	$	3,725	$	5,581	$	5,499

Exposure to Puerto Rico by Risk


	Net Par Outstanding
	AGM		AGC		AG Re		Eliminations (1)		Total Net Par Outstanding		Gross Par Outstanding
Puerto Rico Exposures Subject to a Support Agreement (2)
Commonwealth of Puerto Rico - GO (3)	$	574	$	185	$	353	$	—	$	1,112	$	1,150
Puerto Rico Public Buildings Authority (PBA) (3)	2		134		—		(2)		134		140
Subtotal - GO/PBA PSA	576		319		353		(2)		1,246		1,290

Puerto Rico Highways and Transportation Authority (PRHTA) (Transportation revenue) (3)	244		472		180		(79)		817		817
PRHTA (Highway revenue) (3)	399		63		31		—		493		493
Puerto Rico Convention Center District Authority (PRCCDA)	—		152		—		—		152		152
Subtotal - HTA/CCDA PSA	643		687		211		(79)		1,462		1,462

Puerto Rico Electric Power Authority (PREPA)(3)	489		71		216		—		776		787
Subtotal Subject to a Support Agreement	1,708		1,077		780		(81)		3,484		3,539

Other Puerto Rico Exposures
Puerto Rico Municipal Finance Agency (MFA) (4)	151		23		49		—		223		232
Puerto Rico Infrastructure Financing Authority (PRIFA)	—		15		1		—		16		16
Puerto Rico Aqueduct and Sewer Authority (PRASA) and University of Puerto Rico (U of PR)(4)	—		2		—		—		2		2
Subtotal Other Puerto Rico Exposures	151		40		50		—		241		250

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) The Support Agreements, including the GO/PBA plan support agreements (PSA) and the HTA/CCDA PSA, are described in Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2021, Part 1, Financial Information, Item 1, Financial Statements, Note 3, Outstanding Exposure.

3) 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.

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

Assured Guaranty Ltd.

Exposure to Puerto Rico (2 of 3)

As of March 31, 2021

(dollars in millions)

Amortization Schedule of Net Par Outstanding of Puerto Rico


	2021 (2Q)		2021 (3Q)		2021 (4Q)		2022		2023		2024		2025		2026		2027		2028		2029		2030		2031 - 2035		2036 - 2040		2041 - 2042		Total
Puerto Rico Exposures Subject to a Support Agreement
Commonwealth of Puerto Rico - GO	$	—	$	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
Subtotal - GO/PBA PSA	—		28		—		37		21		73		74		45		130		34		64		49		529		162		—		1,246
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
Subtotal - HTA/CCDA PSA	—		53		—		68		65		36		63		25		48		44		62		47		573		333		45		1,462
PREPA	—		28		—		28		95		93		68		106		105		68		39		44		102		—		—		776
Subtotal Subject to a Support Agreement	—		109		—		133		181		202		205		176		283		146		165		140		1,204		495		45		3,484

Other Puerto Rico Exposures
MFA	—		43		—		43		23		19		18		37		15		12		7		6		—		—		—		223
PRIFA	—		—		—		—		2		—		—		—		—		—		—		—		—		10		4		16
PRASA and U of PR	—		—		—		—		—		1		—		—		—		—		—		—		1		—		—		2
Subtotal Other Puerto Rico Exposures	—		43		—		43		25		20		18		37		15		12		7		6		1		10		4		241

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 March 31, 2021

(dollars in millions)

Amortization Schedule of Net Debt Service Outstanding of Puerto Rico


	2021 (2Q)		2021 (3Q)		2021 (4Q)		2022		2023		2024		2025		2026		2027		2028		2029		2030		2031 - 2035		2036 - 2040		2041 - 2042		Total
Puerto Rico Exposures Subject to a Support Agreement
Commonwealth of Puerto Rico - GO	$	—	$	45	$	—	$	94	$	70	$	128	$	119	$	82	$	136	$	75	$	103	$	84	$	623	$	159	$	—	$	1,718
PBA	—		16		—		7		13		6		13		17		44		3		4		3		49		18		—		193
Subtotal - GO/PBA PSA	—		61		—		101		83		134		132		99		180		78		107		87		672		177		—		1,911
PRHTA (Transportation revenue)	—		40		—		69		73		42		67		61		64		67		81		61		367		300		47		1,339
PRHTA (Highway revenue)	—		48		—		64		54		53		53		18		17		27		29		31		277		55		—		726
PRCCDA	—		3		—		7		7		7		7		7		26		6		6		6		127		31		—		240
Subtotal - HTA/CCDA PSA	—		91		—		140		134		102		127		86		107		100		116		98		771		386		47		2,305
PREPA	3		43		3		62		128		122		91		126		122		80		47		52		110		—		—		989
Subtotal Subject to a Support Agreement	3		195		3		303		345		358		350		311		409		258		270		237		1,553		563		47		5,205

Other Puerto Rico Exposures
MFA	—		49		—		52		29		24		22		41		17		14		8		6		—		—		—		262
PRIFA	—		—		—		1		3		1		1		1		1		—		1		1		3		13		4		30
PRASA and U of PR	—		—		—		—		—		1		—		—		—		—		—		—		1		—		—		2
Subtotal Other Puerto Rico Exposures	—		49		—		53		32		26		23		42		18		14		9		7		4		13		4		294

Total	$	3	$	244	$	3	$	356	$	377	$	384	$	373	$	353	$	427	$	272	$	279	$	244	$	1,557	$	576	$	51	$	5,499

Assured Guaranty Ltd.

U.S. RMBS Profile

As of March 31, 2021

(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	$	102	$	13	$	578	$	—	$	697
AA	16		81		9		172		19		297
A	8		24		—		25		79		136
BBB	5		5		1		8		259		278
BIG	51		273		20		936		162		1,442
Total exposures	$	84	$	485	$	43	$	1,719	$	519	$	2,850

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	$	15	$	14	$	—	$	473	$	31	$	533
2005	35		168		20		203		94		520
2006	34		33		2		142		168		379
2007	—		270		21		863		226		1,380
2008	—		—		—		38		—		38
Total exposures	$	84	$	485	$	43	$	1,719	$	519	$	2,850

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

Assured Guaranty Ltd.

Direct Pooled Corporate Obligations Profile

As of March 31, 2021

(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	$	329	29.5	%	44.4	%	68.8	%
AA	453		40.6		41.5		47.5
A	311		27.9		40.6		43.5
BBB	22		2.0		49.3		51.0
Total exposures	$	1,115	100.0	%	42.3	%	52.8	%

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	$	518	46.5	%	44.3	%	60.9	%	14	AA+
U.S. mortgage and real estate investment trusts	96		8.6		47.3		64.1		3	A
CLOs	501		44.9		39.2		42.2		3	A+
Total exposures	$	1,115	100.0	%	42.3	%	52.8	%	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
	March 31,		December 31,
	2021		2020
U.S. public finance:
Tax backed	$	2,179	$	2,167
General obligation	1,607		1,657
Municipal utilities	1,109		1,109
Higher education	142		147
Transportation	99		100
Housing revenue	94		94
Infrastructure finance	33		33
Healthcare	31		28
Other public finance	104		104
Total U.S. public finance	5,398		5,439
Non-U.S. public finance:
Infrastructure finance	370		403
Sovereign and sub-sovereign	110		455
Renewable energy	35		37
Total non-U.S. public finance	515		895
Total public finance	$	5,913	$	6,334

U.S. structured finance:
RMBS	$	1,442	$	1,480
Consumer receivables	86		90
Life insurance transactions	40		40
Other structured finance	28		31
Total U.S. structured finance	1,596		1,641
Non-U.S. structured finance:
Total non-U.S. structured finance	—		—
Total structured finance	$	1,596	$	1,641
Total BIG net par outstanding	$	7,509	$	7,975

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (2 of 3)

(dollars in millions)

Net Par Outstanding by BIG Category(1)


	As of
	March 31,		December 31,
	2021		2020
BIG Category 1
U.S. public finance	$	1,735	$	1,777
Non-U.S. public finance	468		846
U.S. structured finance	158		228
Non-U.S. structured finance	—		—
Total BIG Category 1	2,361		2,851
BIG Category 2
U.S. public finance	58		57
Non-U.S. public finance	—		—
U.S. structured finance	74		77
Non-U.S. structured finance	—		—
Total BIG Category 2	132		134
BIG Category 3
U.S. public finance	3,605		3,605
Non-U.S. public finance	47		49
U.S. structured finance	1,364		1,336
Non-U.S. structured finance	—		—
Total BIG Category 3	5,016		4,990
BIG Total	$	7,509	$	7,975

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 March 31, 2021

(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	77		B
Alabama State University	71		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	$	4,814

Non-U.S. public finance:
Road Management Services PLC (A13 Highway)	171		B+
M6 Duna Autopalya Koncesszios Zrt.	90		BB+
Private International Transaction	74		BB-
Total non-U.S. public finance	$	335
Total	$	5,149


U.S. structured finance:
RMBS:
Option One 2007-FXD2	$	155	CCC	23.4%
Soundview 2007-WMC1	152		CCC	39.6%
Option One Mortgage Loan Trust 2007-HL1	106		CCC	21.4%
Argent Securities Inc. 2005-W4	93		CCC	9.2%
Nomura Asset Accept. Corp. 2007-1	89		CCC	25.6%
New Century 2005-A	74		CCC	26.1%
MABS 2007-NCW	56		B	26.0%
ACE 2007-SL1	51		CCC	2.8%
Subtotal RMBS	$	776

Total U.S. structured finance	$	776

Total non-U.S. structured finance	$	—
Total	$	776

1) Transactions below B- are categorized as CCC.

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

Assured Guaranty Ltd.

Largest Exposures by Sector (1 of 3)

As of March 31, 2021

(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)

3,498

BBB

New York Metropolitan Transportation Authority

1,855

A-

Pennsylvania (Commonwealth of)

1,852

A-

Illinois (State of)

1,609

BBB-

Puerto Rico Highways & Transportation Authority

1,310

CCC

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

1,262

CCC

Foothill/Eastern Transportation Corridor Agency, California

1,191

BBB

North Texas Tollway Authority

1,147

Metro Washington Airports Authority (Dulles Toll Road)

1,088

BBB

California (State of)

983

AA-

Suffolk County, New York

971

BBB

CommonSpirit Health, IL

940

A-

San Diego Family Housing, LLC

931

Philadelphia School District, Pennsylvania

917

A-

Great Lakes Water Authority (Sewerage), Michigan

897

A-

New York (City of), New York

876

AA-

Chicago Public Schools, Illinois

876

BBB-

Alameda Corridor Transportation Authority, California

866

BBB+

Yankee Stadium LLC New York City Industrial Development Authority

853

BBB

Massachusetts (Commonwealth of)

823

AA-

Massachusetts (Commonwealth of) Water Resources

823

Wisconsin (State of)

822

Tucson (City of), Arizona

813

A+

Puerto Rico Electric Power Authority

776

CCC

Long Island Power Authority

766

A-

Metropolitan Pier and Exposition Authority, Illinois

764

BBB-

Pennsylvania Turnpike Commission

762

A-

ProMedica Healthcare Obligated Group, Ohio

750

BBB

Montefiore Medical Center, New York

749

BBB-

Port Authority of New York and New Jersey

744

BBB-

Jefferson County Alabama Sewer

725

BBB

Clark County School District, Nevada

689

BBB+

Pittsburgh Water & Sewer, Pennsylvania

687

A-

Nassau County, New York

662

A-

Regional Transportation Authority (Sales Tax), Illinois

625

AA-

Connecticut (State of)

620

A-

Philadelphia (City of), Pennsylvania

617

BBB+

Mets Queens Ballpark

609

BBB

North Carolina Turnpike Authority

589

BBB-

Hayward Unified School District, California

585

Oglethorpe Power Corporation, Georgia

575

BBB

LCOR Alexandria LLC

569

A-

Chicago (City of), Illinois

553

BBB-

Kansas City, Missouri

532

Garden State Preservation Trust, New Jersey Open Space & Farmland

519

BBB+

New Jersey Turnpike Authority

514

A-

Sacramento County, California

501

A-

Georgia Board of Regents

488

San Bernardino City Unified School District, California

462

A+

New York State Thruway Authority

461

A-

Total top 50 U.S. public finance exposures

44,096

1) Transactions below B- are categorized as CCC.

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

Assured Guaranty Ltd.

Largest Exposures by Sector (2 of 3)

As of March 31, 2021

(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

405

AA-

Private US Insurance Securitization

362

AA-

SLM Student Loan Trust 2007-A

324

A+

Fortress Credit Opportunities VII CLO Limited

242

AA-

ABPCI Direct Lending Fund CLO I Ltd

208

Option One 2007-FXD2

155

CCC

Soundview 2007-WMC1

152

CCC

SLM Student Loan Trust 2006-C

137

AA-

Private US Insurance Securitization

136

CWABS 2007-4

111

A+

New Century Home Equity Loan Trust 2006-1

111

AAA

Timberlake Financial, LLC Floating Insured Notes

111

BBB+

Option One Mortgage Loan Trust 2007-HL1

106

CCC

Argent Securities Inc. 2005-W4

CCC

Nomura Asset Accept. Corp. 2007-1

CCC

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

A+

New Century 2005-A

CCC

Countrywide 2007-13

Structured Asset Investment Loan Trust 2006-1

AAA

Preferred Term Securities XXIV, Ltd.

AA-

Total top 25 U.S. structured finance exposures

4,843

1) Transactions below B- are categorized as CCC.

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

Assured Guaranty Ltd.

Largest Exposures by Sector (3 of 3)

As of March 31, 2021

(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

2,403

BBB

Thames Water Utilities Finance PLC

United Kingdom

2,011

BBB

Southern Gas Networks PLC

United Kingdom

1,874

BBB

Quebec Province

Canada

1,846

A+

Dwr Cymru Financing Limited

United Kingdom

1,737

A-

Anglian Water Services Financing PLC

United Kingdom

1,584

A-

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

France

1,575

BBB+

National Grid Gas PLC

United Kingdom

1,395

BBB+

British Broadcasting Corporation (BBC)

United Kingdom

1,295

A+

Channel Link Enterprises Finance PLC

France, United Kingdom

1,276

BBB

Verbund, Lease and Sublease of Hydro-Electric Equipment

Austria

1,145

AAA

Capital Hospitals (Issuer) PLC

United Kingdom

945

BBB-

Aspire Defence Finance plc

United Kingdom

864

BBB+

Verdun Participations 2 S.A.S.

France

737

BBB-

Yorkshire Water Services Finance Plc

United Kingdom

709

A-

Sydney Airport Finance Company

Australia

675

BBB+

Envestra Limited

Australia

670

A-

National Grid Company PLC

United Kingdom

621

BBB+

South Lanarkshire Schools

United Kingdom

616

BBB

Campania Region - Healthcare receivable

Italy

594

BB+

Coventry & Rugby Hospital Company (Walsgrave Hospital) Plc

United Kingdom

566

BBB-

Severn Trent Water Utilities Finance Plc

United Kingdom

564

BBB+

Derby Healthcare PLC

United Kingdom

534

BBB

Wessex Water Services Finance plc

United Kingdom

518

BBB+

International Infrastructure Pool

United Kingdom

487

AAA

International Infrastructure Pool

United Kingdom

487

AAA

International Infrastructure Pool

United Kingdom

487

AAA

United Utilities Water PLC

United Kingdom

485

BBB+

NewHospitals (St Helens & Knowsley) Finance PLC

United Kingdom

478

BBB+

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

United Kingdom

477

BBB-

Central Nottinghamshire Hospitals PLC

United Kingdom

476

BBB

South East Water

United Kingdom

455

BBB

Scotland Gas Networks plc

United Kingdom

450

BBB

Comision Federal De Electricidad (CFE) El Cajon Project

Mexico

400

BBB-

Japan Expressway Holding and Debt Repayment Agency

Japan

398

A+

Private International Sub-Sovereign Transaction

United Kingdom

388

AA-

The Hospital Company (QAH Portsmouth) Limited

United Kingdom

388

BBB

Q Energy - Phase II - Pride Investments, S.A.

Spain

380

BBB+

Hypersol Solar Inversiones, S.A.U.

Spain

370

BBB

NATS (En Route) PLC

United Kingdom

347

A-

Octagon Healthcare Funding PLC

United Kingdom

345

BBB

Private International Sub-Sovereign Transaction

United Kingdom

343

Q Energy - Phase III - FSL Issuer, S.A.U.

Spain

339

BBB+

Bakethin Finance Plc

United Kingdom

325

A-

Feria Muestrario Internacional de Valencia

Spain

325

BBB-

Catalyst Healthcare (Romford) Financing PLC

United Kingdom

316

BBB

Leeds Hospital - St. James's Oncology Financing plc

United Kingdom

316

BBB

Northumbrian Water PLC

United Kingdom

314

BBB+

Western Power Distribution (South Wales) PLC

United Kingdom

310

BBB+

Private International Sub-Sovereign Transaction

United Kingdom

296

AA-

Total top 50 non-U.S. exposures

36,936

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
	March 31,
	2021		2020
Revenues
Management fees:
CLOs	$	12	$	5
Opportunity funds and liquid strategies	4		2
Wind-down funds	3		9
Total management fees	19		16
Performance fees	1		—
Other income	—		1
Total revenues	20		17

Expenses
Employee compensation and benefit expenses	19		18
Amortization of intangible assets	3		3
Other operating expenses	7		7
Total expenses	29		28
Adjusted operating income (loss) before income taxes	(9)		(11)
Provision (benefit) for income taxes	(2)		(2)
Adjusted operating income (loss)	$	(7)	$	(9)

Assured Guaranty Ltd.

Asset Management Segment Results (2 of 3)

(dollars in millions)

Rollforward of Assets Under Management for the Three Months Ended March 31, 2021


	CLOs		Opportunity Funds		Liquid Strategies		Wind-Down Funds		Total
AUM, December 31, 2020	$	13,856	$	1,486	$	383	$	1,623	$	17,348

Inflows-third party	813		60		—		—		873
Inflows-intercompany	109		36		—		—		145
Outflows:
Redemptions	—		—		—		—		—
Distributions	(356)		(217)		—		(329)		(902)
Total outflows	(356)		(217)		—		(329)		(902)
Net flows	566		(121)		—		(329)		116
Change in value	(91)		148		1		3		61
AUM, March 31, 2021	$	14,331	$	1,513	$	384	$	1,297	$	17,525

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


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

Inflows-third party	—		11		—		11
Inflows-intercompany	—		77		—		77
Outflows:
Redemptions	—		—		—		—
Distributions	(67)		(85)		(875)		(1,027)
Total outflows	(67)		(85)		(875)		(1,027)
Net flows	(67)		3		(875)		(939)
Change in value	(46)		(57)		(306)		(409)
AUM, March 31, 2020	$	12,645	$	969	$	2,865	$	16,479

Assured Guaranty Ltd.

Asset Management Segment Results (3 of 3)

(dollars in millions)

Rollforward of Assets Under Management as of March 31, 2021 and December 31, 2020


	CLOs		Opportunity Funds		Liquid Strategies		Wind-Down Funds		Total

As of March 31, 2021:
Funded AUM (1)	$	14,222	$	982	$	384	$	1,275	$	16,863
Unfunded AUM (1)	109		531		—		22		662

Fee Earning AUM (2)	$	11,960	$	1,210	$	384	$	858	$	14,412
Non-Fee Earning AUM (2)	2,371		303		—		439		3,113

Intercompany AUM
Funded AUM (1)	$	451	$	119	$	363	$	—	$	933
Unfunded AUM (1)	99		154		—		—		253

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

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
	March 31,
	2021		2020

Total revenues	$	—	$	(4)

Expenses
Interest expense	23		25
Employee compensation and benefit expenses	5		5
Other operating expenses	4		5
Total expenses	32		35
Equity in earnings of investees	—		(5)
Adjusted operating income (loss) before income taxes	(32)		(44)
Provision (benefit) for income taxes	(3)		(5)
Adjusted operating income (loss)	$	(29)	$	(39)

Other

Assured Guaranty Ltd.

Other Results

(dollars in millions)


	Three Months Ended March 31, 2021
	FG VIEs		Consolidated Investment Vehicles		Intersegment Eliminations and Reclasses		Total Other
	(in millions)
Revenues
Net earned premiums	$	(1)	$	—	$	—	$	(1)
Net investment income	(1)		—		(2)		(3)
Asset management fees	—		(2)		6		4
Fair value gains (losses) on FG VIEs	5		—		—		5
Fair value gains (losses) on consolidated investment vehicles	—		16		—		16
Total revenues	3		14		4		21
Expenses
Loss and LAE	3		—		—		3
Interest expense	—		—		(2)		(2)
Other operating expenses	—		—		6		6
Total expenses	3		—		4		7
Equity in earnings of investees	—		(10)		—		(10)
Adjusted operating income (loss) before income taxes	—		4		—		4
Provision (benefit) for income taxes	—		—		—		—
Noncontrolling interests	—		4		—		4
Adjusted operating income (loss)	$	—	$	—	$	—	$	—


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

Summary

Assured Guaranty Ltd.

Summary of Financial and Statistical Data

(dollars in millions, except per share amounts)


	As of and for the Three Months Ended March 31, 2021			Year Ended December 31,
				2020			2019			2018			2017
GAAP Summary Statements of Operations Data
Net earned premiums	$	103		$	485		$	476		$	548		$	690
Net investment income	70			297			378			395			417
Total expenses	171			729			503			422			748
Income (loss) before income taxes	15			386			460			580			991
Net income (loss) attributable to AGL	11			362			402			521			730
Net income (loss) attributable to AGL per diluted share	0.14			4.19			4.00			4.68			5.96

GAAP Summary Balance Sheet Data
Total investments and cash	$	9,694		$	10,000		$	10,409		$	10,977		$	11,539
Total assets	16,018			15,334			14,326			13,603			14,433
Unearned premium reserve	3,718			3,735			3,736			3,512			3,475
Loss and LAE reserve	1,058			1,088			1,050			1,177			1,444
Long-term debt	1,225			1,224			1,235			1,233			1,292
Shareholders’ equity attributable to AGL	6,430			6,643			6,639			6,555			6,839
Shareholders’ equity attributable to AGL per share	84.67			85.66			71.18			63.23			58.95

Other Financial Information (GAAP Basis)
Financial guaranty:
Net debt service outstanding (end of period)	$	365,443		$	366,233		$	374,130		$	371,586		$	401,118
Gross debt service outstanding (end of period)	365,896			366,692			375,776			375,080			408,492
Net par outstanding (end of period)	234,270			234,153			236,807			241,802			264,952
Gross par outstanding (end of period)	234,683			234,571			238,156			244,191			269,386

Other Financial Information (Statutory Basis)(1)
Financial guaranty:
Net debt service outstanding (end of period)	$	359,845		$	360,392		$	367,630		$	359,499		$	373,340
Gross debt service outstanding (end of period)	360,298			360,852			369,251			362,974			380,478
Net par outstanding (end of period)	229,340			229,008			230,984			230,664			239,003
Gross par outstanding (end of period)	229,753			229,426			232,333			233,036			243,217

Claims-paying resources(2)
Policyholders' surplus	$	4,966		$	5,077		$	5,056		$	5,148		$	5,305
Contingency reserve	1,578			1,557			1,607			1,663			1,750
Qualified statutory capital	6,544			6,634			6,663			6,811			7,055
Unearned premium reserve and net deferred ceding commission income	2,991			2,983			2,961			2,950			2,849
Loss and LAE reserves	226			202			529			1,023			1,092
Total policyholders' surplus and reserves	9,761			9,819			10,153			10,784			10,996
Present value of installment premium	853			858			804			577			559
CCS and standby line of credit	400			400			400			400			400
Excess of loss reinsurance facility	—			—			—			180			180
Total claims-paying resources	$	11,014		$	11,077		$	11,357		$	11,941		$	12,135

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

Par and Debt Service Written (FG and Specialty)
Gross debt service written:
Public finance - U.S.	$	7,885		$	33,596		$	28,054		$	31,989		$	26,988
Public finance - non-U.S.	—			1,860			17,907			7,166			2,811
Structured finance - U.S.	48			508			1,704			1,191			500
Structured finance - non-U.S.	—			254			88			369			202
Total gross debt service written	$	7,933		$	36,218		$	47,753		$	40,715		$	30,501

Net debt service written	$	7,933		$	35,965		$	47,731		$	40,630		$	30,476
Net par written	5,472			23,012			24,331			24,538			17,962
Gross par written	5,472			23,265			24,353			24,624			18,024

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 14 for additional detail on claims-paying resources.

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

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

Assured Guaranty Ltd.

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

(dollars in millions, except per share amounts)


	Three Months Ended March 31, 2021		Year Ended December 31,
			2020		2019		2018		2017
Total GWP	$	87	$	454	$	677	$	612	$	307
Less: Installment GWP and other GAAP adjustments (2)	38		191		469		119		99
Upfront GWP	49		263		208		493		208
Plus: Installment premium PVP	37		127		361		204		107
Total PVP	$	86	$	390	$	569	$	697	$	315

PVP:
Public finance - U.S.	$	81	$	292	$	201	$	402	$	197
Public finance - non-U.S.	3		82		308		116		89
Structured finance - U.S.	2		14		53		167		14
Structured finance - non-U.S.	—		2		7		12		15
Total PVP	$	86	$	390	$	569	$	697	$	315

Adjusted operating income reconciliation:
Net income (loss) attributable to AGL	$	11	$	362	$	402	$	521	$	730
Less pre-tax adjustments:
Realized gains (losses) on investments	(3)		18		22		(32)		40
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(19)		65		(10)		101		43
Fair value gains (losses) on CCS	(19)		(1)		(22)		14		(2)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	1		42		22		(32)		57
Total pre-tax adjustments	(40)		124		12		51		138
Less tax effect on pre-tax adjustments	8		(18)		(1)		(12)		(69)
Adjusted operating income (loss)	$	43	$	256	$	391	$	482	$	661

Adjusted operating income per diluted share reconciliation:
Net income (loss) attributable to AGL per diluted share	$	0.14	$	4.19	$	4.00	$	4.68	$	5.96
Less pre-tax adjustments:
Realized gains (losses) on investments	(0.04)		0.21		0.22		(0.29)		0.33
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(0.25)		0.75		(0.11)		0.90		0.35
Fair value gains (losses) on CCS	(0.24)		(0.01)		(0.22)		0.13		(0.02)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.01		0.49		0.21		(0.29)		0.46
Total pre-tax adjustments	(0.52)		1.44		0.10		0.45		1.12
Tax effect on pre-tax adjustments	0.11		(0.22)		(0.01)		(0.11)		(0.57)
Adjusted operating income (loss) per diluted share	$	0.55	$	2.97	$	3.91	$	4.34	$	5.41

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

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

Assured Guaranty Ltd.

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

(dollars in millions, except per share amounts)


	As of March 31, 2021		As of December 31,
			2020		2019		2018		2017
Adjusted book value reconciliation:
Shareholders' equity attributable to AGL	$	6,430	$	6,643	$	6,639	$	6,555	$	6,839
Less pre-tax adjustments:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(10)		9		(56)		(45)		(146)
Fair value gains (losses) on CCS	33		52		52		74		60
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	463		611		486		247		487
Less taxes	(88)		(116)		(89)		(63)		(83)
Adjusted operating shareholders' equity	6,032		6,087		6,246		6,342		6,521
Pre-tax adjustments:
Less: Deferred acquisition costs	124		119		111		105		101
Plus: Net present value of estimated net future revenue	181		182		206		219		162
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,359		3,355		3,296		3,005		2,966
Plus taxes	(597)		(597)		(590)		(526)		(515)
Adjusted book value	$	8,851	$	8,908	$	9,047	$	8,935	$	9,033

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

Gain (loss) related to VIE consolidation included in adjusted book value (net of tax (provision) benefit of $4, $2, $1, $4 and $3)	$	(9)	$	(8)	$	(4)	$	(15)	$	(14)

Adjusted book value per share reconciliation:
Shareholders' equity attributable to AGL per share	$	84.67	$	85.66	$	71.18	$	63.23	$	58.95
Less pre-tax adjustments:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(0.14)		0.12		(0.60)		(0.44)		(1.26)
Fair value gains (losses) on CCS	0.43		0.66		0.56		0.72		0.52
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	6.10		7.89		5.21		2.39		4.20
Less taxes	(1.16)		(1.50)		(0.95)		(0.61)		(0.71)
Adjusted operating shareholders' equity per share	79.44		78.49		66.96		61.17		56.20
Pre-tax adjustments:
Less: Deferred acquisition costs	1.63		1.54		1.19		1.01		0.87
Plus: Net present value of estimated net future revenue	2.38		2.35		2.20		2.11		1.40
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	44.24		43.27		35.34		28.98		25.56
Plus taxes	(7.87)		(7.70)		(6.32)		(5.07)		(4.43)
Adjusted book value per share	$	116.56	$	114.87	$	96.99	$	86.18	$	77.86

Gain (loss) related to VIE consolidation included in adjusted operating shareholders' equity per share	$	0.02	$	0.03	$	0.07	$	0.03	$	0.03

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

1) See Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

Glossary

Net Par Outstanding and Internal Ratings

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

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

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

Performance Indicators

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

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

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

Sectors

Below are brief descriptions of selected types of public and structured finance obligations that the Company insures and reinsures. For a more complete description, please refer to Assured Guaranty Ltd.’s Annual Report on Form 10-K for the year ended December 31, 2020.

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 United Kingdom.

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.

Glossary (continued)

Sectors (continued)

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

Financial Products Business is the guaranteed investment contracts (GICs) portion of a line of business previously conducted by Assured Guaranty Municipal Holdings Inc. (AGMH) that the Company did not acquire when it purchased AGMH in 2009 from Dexia SA and that is being run off. That line of business consisted of AGMH's 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.

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 a measure of change in AUM in its calculation of certain components of management compensation. Investors also use AUM to evaluate companies that participate in the asset management business. AUM refers to the assets managed, advised or serviced by the Asset Management segment and equals the sum of the following:

•the amount of aggregate collateral balance and principal cash of AssuredIM's CLOs, including CLO equity that may be held by AssuredIM Funds. This also includes CLO assets managed by BlueMountain Fuji Management, LLC (BM Fuji). AssuredIM is not the investment manager of BM Fuji-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 net asset value 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.

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.

Non-GAAP Financial Measures (continued)

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

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

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

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

Adjusted operating shareholders’ equity is 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 (AGO) 8-KAssured Guaranty Ltd. Reports Results for First Quarter 2021