What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2024-11-12 compared with 2024-08-08 · 448 added, 380 removed, 2038 unchanged (29% of the section changed)

3 unchanged sentences

(dollars in millions except share data)

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

Fixed-maturity securities, available-for-sale, at fair value, net of allowance for credit loss of $ 66 and $ 77 (amortized cost of $ 6,565 and $ 6,746 )

34 unchanged sentences

(dollars in millions except share data)

Three Months Ended June 30, Six Months Ended June 30,

Three Months Ended September 30, Nine Months Ended September 30,

2024 2023 2024 2023

9 unchanged sentences

Fair value gains (losses) on trading securities 9 4 52 42

Gain on sale of asset management subsidiaries — 255 — 255

Other income (loss) 12 6 22 38

21 unchanged sentences

(in millions)

Three Months Ended June 30, Six Months Ended June 30,

Three Months Ended September 30, Nine Months Ended September 30,

2024 2023 2024 2023

17 unchanged sentences

(dollars in millions, except share data)

For the Three Months Ended June 30, 2024

For the Three Months Ended September 30, 2024

Shareholders’ Equity Attributable to Assured Guaranty Ltd.

4 unchanged sentences

Shareholders’ Equity

As of March 31, 2024 55,081,584 $ 1 $ 6,014 $ ( 387 ) $ 1 $ 5,629 $ 53 $ 5,682

As of June 30, 2024 53,185,707 $ 1 $ 5,929 $ ( 392 ) $ 1 $ 5,539 $ 56 $ 5,595

Net income — — 171 — — 171 5 176

4 unchanged sentences

Distributions — — — — — — ( 7 ) ( 7 )

Other comprehensive loss — — — ( 5 ) — ( 5 ) — ( 5 )

As of June 30, 2024 53,185,707 $ 1 $ 5,929 $ ( 392 ) $ 1 $ 5,539 $ 56 $ 5,595

For the Three Months Ended June 30, 2023

Other comprehensive income — — — 161 — 161 — 161

As of September 30, 2024 51,556,750 $ 1 $ 5,957 $ ( 231 ) $ 1 $ 5,728 $ 54 $ 5,782

For the Three Months Ended September 30, 2023

Shareholders’ Equity Attributable to Assured Guaranty Ltd.

4 unchanged sentences

Shareholders’ Equity

As of March 31, 2023 59,274,112 $ 1 $ 5,638 $ ( 420 ) $ 1 $ 5,220 $ 195 $ 5,415

As of June 30, 2023 58,850,144 $ 1 $ 5,732 $ ( 458 ) $ 1 $ 5,276 $ 179 $ 5,455

Net income — — 157 — — 157 2 159

3 unchanged sentences

Share-based compensation 35,490 — 6 — — 6 — 6

Reclassification to liabilities — — — — — — ( 16 ) ( 16 )

Contributions — — — — — — 17 17

Distributions — — — — — — ( 18 ) ( 18 )

Other comprehensive loss — — — ( 107 ) — ( 107 ) — ( 107 )

As of June 30, 2023 58,850,144 $ 1 $ 5,732 $ ( 458 ) $ 1 $ 5,276 $ 179 $ 5,455

Deconsolidation of investment vehicles — — — — — — ( 132 ) ( 132 )

As of September 30, 2023 57,819,732 $ 1 $ 5,815 $ ( 565 ) $ 1 $ 5,252 $ 49 $ 5,301

Assured Guaranty Ltd.

1 unchanged sentence

(dollars in millions, except share data)

For the Six Months Ended June 30, 2024

For the Nine Months Ended September 30, 2024

Shareholders’ Equity Attributable to Assured Guaranty Ltd.

11 unchanged sentences

Distributions — — — — — — ( 10 ) ( 10 )

Other comprehensive loss — — — ( 33 ) — ( 33 ) — ( 33 )

As of June 30, 2024 53,185,707 $ 1 $ 5,929 $ ( 392 ) $ 1 $ 5,539 $ 56 $ 5,595

For the Six Months Ended June 30, 2023

Other comprehensive income — — — 128 — 128 — 128

As of September 30, 2024 51,556,750 $ 1 $ 5,957 $ ( 231 ) $ 1 $ 5,728 $ 54 $ 5,782

For the Nine Months Ended September 30, 2023

Shareholders’ Equity Attributable to Assured Guaranty Ltd.

13 unchanged sentences

Distributions — — — — — — ( 70 ) ( 70 )

Other comprehensive income — — — 57 — 57 — 57

As of June 30, 2023 58,850,144 $ 1 $ 5,732 $ ( 458 ) $ 1 $ 5,276 $ 179 $ 5,455

Other comprehensive loss — — — ( 50 ) — ( 50 ) — ( 50 )

Deconsolidation of investment vehicles — — — — — — ( 132 ) ( 132 )

As of September 30, 2023 57,819,732 $ 1 $ 5,815 $ ( 565 ) $ 1 $ 5,252 $ 49 $ 5,301

The accompanying notes are an integral part of these condensed consolidated financial statements.

2 unchanged sentences

(in millions)

Six Months Ended June 30,

Nine Months Ended September 30,

Net cash flows provided by (used in) operating activities $ 1 $ 258

9 unchanged sentences

Sales of fixed-maturity securities, trading 233 —

Maturities and paydowns of fixed-maturity securities, trading 5 —

Paydowns of financial guaranty variable interest entities’ assets 18 88

1 unchanged sentence

Sales of and return of capital from other invested assets 35 16

Sale of asset management subsidiaries, net of cash — ( 14 )

Other ( 4 ) ( 1 )

4 unchanged sentences

Net paydowns of financial guaranty variable interest entities’ liabilities ( 157 ) ( 141 )

Other ( 28 ) ( 15 )

Issuance of long-term debt, net of issuance costs — 345

Redemption of debt — ( 330 )

Payments related to tax withholding for share-based compensation ( 30 ) ( 16 )

Cash flows from consolidated investment vehicles:

12 unchanged sentences

(in millions)

Six Months Ended June 30,

Nine Months Ended September 30,

Supplemental cash flow information

5 unchanged sentences

Distributions to noncontrolling interests — 27

June 30, 2024 June 30, 2023

Sale of asset management subsidiaries (see Note 1)

Assets acquired — 444

Assets transferred — 241

Liabilities transferred — 66

September 30, 2024 September 30, 2023

Reconciliation of cash and cash equivalents and restricted cash to the condensed consolidated balance sheets:

2 unchanged sentences

Cash and cash equivalents of consolidated investment vehicles (See Note 8)

Cash (included in assets held for sale) — 20

Cash and cash equivalents and restricted cash at the end of period $ 174 $ 115

41 unchanged sentences

After the Sound Point Transaction and AHP Transaction, the Company continues to consolidate the general partner of a fund that Sound Point now manages and reports any performance fees in “other income.”

The following table presents the calculation of the gain associated with the Sound Point Transaction and AHP Transaction during the nine-month period ended September 30, 2023 (nine months 2023).

Gain on Sound Point Transaction and AHP Transaction

(in millions)

Fair value of investment in Sound Point $ 419

Fair value of other consideration 25

Total consideration 444

Less net asset carrying value of transferred AssuredIM subsidiaries (1) 189

Gain on sale of asset management subsidiaries (2) $ 255

____________________

(1) Consists primarily of goodwill and intangible assets of $ 155 million.

(2) Consists of a $ 248 million gain on the Sound Point Transaction, and a $ 7 million gain on the AHP Transaction, which were both reported in the Corporate division (as described in Note 2, Segment Information).

In the fourth quarter of 2023, the Company reported a $ 7 million adjustment to increase the pre-tax gain on the Sound Point Transaction.

Prior to the Sound Point Transaction and AHP Transaction, the Company received management fees, as well as performance fees, incentive allocations or carried interest (collectively referred to as performance fees) in exchange for AssuredIM providing investment advisory services to manage investment funds and CLOs.

Prior to the Sound Point Transaction and the AHP Transaction, these fees were reported in “asset management fees” in the condensed consolidated financial statements.

The Company recognized expenses of $ 24 million and $ 31 million during the three-month period ended June 30, 2023 (second quarter 2023) and the six-month period ended June 30, 2023, (six months 2023) respectively, associated with the Sound Point Transaction and AHP Transaction.

The Company recognized expenses of $ 14 million and $ 46 million during the three-month period ended September 30, 2023 (third quarter 2023) and nine months 2023 respectively, associated with the Sound Point Transaction and AHP Transaction.

Assets and Liabilities Held For Sale

The Company designated certain assets and liabilities supporting the Insurance segment as held for sale in the first quarter of 2023.

The held for sale assets and liabilities were $ 28 million (reported in “other assets”) and $ 2 million (reported in “other liabilities”), respectively, as of June 30, 2024.

The held for sale assets and liabilities were $ 28 million (reported in “other assets”) and $ 3 million (reported in “other liabilities”), respectively, as of September 30, 2024.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Basis of Presentation

3 unchanged sentences

Actual results could differ from those estimates.

These unaudited interim condensed consolidated financial statements are as of June 30, 2024 and cover the three-month period ended June 30, 2024 (second quarter 2024), second quarter 2023, the six-month period ended June 30, 2024 (six months 2024) and six months 2023.

These unaudited interim condensed consolidated financial statements are as of September 30, 2024 and cover the three-month period ended September 30, 2024 (third quarter 2024), third quarter 2023, the nine-month period ended September 30, 2024 (nine months 2024) and nine months 2023.

Certain financial information that is normally included in annual financial statements prepared in accordance with GAAP, but is not required for interim reporting purposes, has been condensed or omitted.

8 unchanged sentences

Securities and Exchange Commission (SEC).

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The Company’s principal insurance subsidiaries are:

• AG, domiciled in Maryland;

• AG, domiciled in Maryland and formerly known as Assured Guaranty Corp., and its insurance subsidiaries:

▪ Assured Guaranty UK Limited, organized in the U.K.;

1 unchanged sentence

• Assured Guaranty Re Ltd.

(AG Re), domiciled in Bermuda;

(AG Re), domiciled in Bermuda, and its insurance subsidiary

▪ Assured Guaranty Re Overseas Ltd.

1 unchanged sentence

Insurance Subsidiaries - Stock Redemptions and Merger

In May 2024, the New York State Department of Financial Services (NYDFS) approved, and AGM implemented, the redemption of approximately $ 100 million of its shares of common stock from its parent, Assured Guaranty Municipal Holdings Inc.

Until August 1, 2024, AGM was a principal insurance subsidiary of the Company.

In May 2024, the New York State Department of Financial Services (NYDFS) approved, and AGM implemented, the redemption of approximately $ 100 million of AGM’s shares of common stock from its then parent, Assured Guaranty Municipal Holdings Inc.

Effective August 1, 2024, AGM merged with and into AG, with AG as the surviving company.

In connection with the merger, the Maryland Insurance Administration (MIA) approved, and on August 5, 2024 AG implemented, the redemption of approximately $ 300 million of its shares of common stock from its parent, AGMH, in exchange for cash of $ 172 million and the remainder in alternative investments.

The merger transaction is not expected to have a material impact on the Company's financial condition.

Prior to the merger, AGM was a principal insurance subsidiary of the Company.

As a result of the merger, the Company wrote-off the $ 6 million carrying value of AGM's insurance licenses in third quarter 2024, which was recorded in other operating expenses in the Insurance segment.

In connection with the merger, the Maryland Insurance Administration (MIA) approved, and in third quarter 2024 AG implemented, the redemption of approximately $ 300 million of AG’s shares of common stock from its parent, AGMH, in exchange for cash of $ 167 million and the remainder in alternative investments.

Investment Subsidiary and U.S.

4 unchanged sentences

Holding Companies) - have public debt outstanding.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Recent Accounting Standards Not Yet Adopted

11 unchanged sentences

The adoption of this ASU will affect certain of the Company’s income tax disclosures.

In November 2024, the FASB issued ASU 2024-03, Income Statement—Reporting Comprehensive Income—Expense Disaggregation Disclosures (Subtopic 220-40) .

The amendments in this ASU require disclosure about specific expense categories, including employee compensation, depreciation and intangible asset amortization, in the notes to financial statements at interim and annual reporting periods.

This ASU is effective in fiscal years beginning after December 15, 2026, and interim periods within fiscal years beginning after December 15, 2027.

Early adoption is permitted.

The amendments in this ASU should be applied either (1) prospectively to financial statements issued for reporting periods after the effective date or (2) retrospectively to any or all prior periods presented in the financial statements.

The Company is evaluating when and how it will adopt this ASU and the effect that the amendments in this ASU may have on its expense disclosures.

Segment Information

3 unchanged sentences

This presentation is consistent with the manner in which the Company’s CODM reviews the business to assess performance and allocate resources.

The Insurance segment primarily consists of:

(i) the Company’s insurance subsidiaries;

and (ii) AGAS.

Prior to July 1, 2023, the Asset Management segment consisted of AssuredIM, which provided asset management services to third-party investors, as well as to AG, AGM and AGAS.

Since July 2023, the Company participates in the asset management business through its ownership interest in Sound Point as described in Note 1, Business and Basis of Presentation.

Beginning in the third

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

quarter of 2023, the Asset Management segment primarily includes the results of the Company’s equity method investment in Sound Point.

The Corporate division primarily consists of:

(i) interest expense and any losses on the extinguishment of the U.S.

Holding Companies’ debt;

and (ii) other corporate operating expenses of AGL and the U.S.

Holding Companies.

The Other category in the tables below primarily includes the effect of consolidating FG VIEs, CIVs, intersegment eliminations and, prior to July 1, 2023, the reclassification of reimbursable fund expenses.

See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles.

The segment results differ from the consolidated financial statements in certain respects.

The Insurance segment includes:

(i) premiums and losses from the financial guaranty insurance policies issued by the U.S.

Insurance Subsidiaries that guarantee the FG VIEs’ debt;

and (ii) the insurance segment’s share of earnings from investments in funds managed by Sound Point (prior to July 1, 2023, AssuredIM) and AHP funds in “equity in earnings (losses) of investees.” Under GAAP, (i) FG VIEs are consolidated by the U.S.

Insurance Subsidiaries and the premiums and losses/recoveries associated with the financial guaranty policies associated with the FG VIEs’ debt are eliminated (the reconciliation tables below present the FG VIEs and related eliminations in “other”);

and (ii) CIVs are consolidated by either AGUS or AGAS (in the reconciliation tables below, the CIVs and related eliminations of the Insurance segment’s “equity in earnings (losses) of investees” associated with AGAS’ ownership interest in CIVs are presented in “other”).

Until July 1, 2023, under GAAP, reimbursable fund expenses were shown as a component of asset management fees and included in total revenues, whereas in the Asset Management segment in the tables below these expenses were netted in “segment expenses.”

The Company analyzes the operating performance of each segment using “segment adjusted operating income (loss).” Results for each segment include specifically identifiable expenses as well as intersegment expense allocations, as applicable, based on time studies and other cost allocation methodologies based on headcount or other metrics.

5 unchanged sentences

• 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 Company does not report assets by reportable segment as the CODM does not assess performance and allocate resources based on assets.

In addition to the adjustments listed above, the adjusted operating income (loss) segment measure differs from GAAP in other respects.

The Insurance segment includes:

(i) premiums and losses from the financial guaranty insurance policies issued by the U.S.

Insurance Subsidiaries that guarantee the FG VIEs’ debt;

and (ii) the insurance subsidiaries’ share of earnings from investments in funds managed by Sound Point (prior to July 1, 2023, AssuredIM) and AHP funds in “equity in earnings (losses) of investees.” Under GAAP, (i) FG VIEs are consolidated by the U.S.

Insurance Subsidiaries and the premiums and losses/recoveries associated with the financial guaranty policies in respect of the FG VIEs’ debt are eliminated (the reconciliation tables below present the FG VIEs and related eliminations in “other”);

and (ii) certain alternative investments are accounted for as CIVs, which are consolidated by either AGUS or AGAS (in the reconciliation tables below, the CIVs and related

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

eliminations of the Insurance segment’s “equity in earnings (losses) of investees” associated with AGAS’ ownership interest in CIVs are presented in “other”).

The Company does not report assets by reportable segment as the CODM does not assess performance and allocate resources based on assets.

The Insurance segment primarily consists of the adjusted operating income (loss) of:

(i) the Company’s insurance subsidiaries;

and (ii) AGAS.

Prior to July 1, 2023, the Asset Management segment consisted of the adjusted operating income (loss) of AssuredIM, which provided asset management services to third-party investors, as well as to the Company.

Since July 2023, the Company participates in the asset management business through its ownership interest in Sound Point as described in Note 1, Business and Basis of Presentation.

Beginning in the third quarter 2023, the Asset Management segment primarily includes the results of the Company’s equity method investment in Sound Point.

The Corporate division primarily consists of:

(i) interest expense and any losses on the extinguishment of the U.S.

Holding Companies’ debt;

(ii) other corporate operating expenses of AGL and the U.S.

Holding Companies, and (iii) beginning in third quarter 2024, equity in earnings from certain alternative investments that were transferred from AG to AGMH as part of the share redemption that occurred on August 5, 2024.

The Corporate division also included the gain associated with the Sound Point and the AHP transactions in third quarter 2023 and nine months 2023.

See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles.

The following table presents information for the Company’s operating segments.

1 unchanged sentence

Segment Information

Second Quarter

Third Quarter

Insurance Asset Management Insurance Asset Management

7 unchanged sentences

Segment adjusted operating income (loss) $ 162 $ 4 $ 59 $ —

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Insurance Asset Management Insurance Asset Management

7 unchanged sentences

Segment adjusted operating income (loss) $ 427 $ 5 $ 282 $ ( 3 )

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The tables below present a reconciliation of significant components of segment information to the comparable consolidated amounts.

Reconciliation of Segment Information to Consolidated Information

Three Months Ended June 30, 2024

Three Months Ended September 30, 2024

Equity in Earnings (Losses) of Investees Less:

18 unchanged sentences

Reconciliation of Segment Information to Consolidated Information

Three Months Ended June 30, 2023

Three Months Ended September 30, 2023

Equity in Earnings (Losses) of Investees Less:

16 unchanged sentences

Reconciliation of Segment Information to Consolidated Information

Six Months Ended June 30, 2024

Nine Months Ended September 30, 2024

Equity in Earnings (Losses) of Investees Less:

18 unchanged sentences

Reconciliation of Segment Information to Consolidated Information

Six Months Ended June 30, 2023

Nine Months Ended September 30, 2023

Equity in Earnings (Losses) of Investees Less:

40 unchanged sentences

The Company monitors its insured portfolio and refreshes its internal credit ratings on individual exposures in quarterly, semi-annual or annual cycles based on the Company’s view of the exposure’s credit quality, loss potential, volatility and sector.

Ratings on exposures in sectors identified as under the most stress or with the most potential volatility are reviewed every quarter, although the Company may also review a rating in response to developments impacting a credit when a ratings review is not scheduled.

For assumed exposures, the Company may use the ceding company’s credit ratings of transactions where it is impractical for it to assign its own rating.

Exposures identified as BIG are subjected to further review to determine the probability of a loss.

See Note 4, Expected Loss to be Paid (Recovered).

Surveillance personnel then assign each BIG transaction to one of the three BIG surveillance categories described below based upon whether a future loss is expected and whether a claim has been paid.

The Company uses the pre-tax book yield of the relevant subsidiary’s investment portfolio to calculate the present value of projected payments and recoveries and determine whether a future loss is expected in order to assign the appropriate BIG surveillance category to a transaction.

For financial statement measurement purposes, the Company uses risk-free rates, which are determined each quarter, to calculate the expected loss.

More extensive monitoring and intervention are employed for all BIG surveillance categories, with internal credit ratings reviewed quarterly.

For purposes of determining the appropriate surveillance category, the Company expects “future losses” on a transaction when the Company believes there is at least a 50 % chance that, on a present value basis, it will in the future pay claims on that transaction that will not be fully reimbursed.

The three BIG surveillance categories are:

Below-investment-grade transactions showing sufficient deterioration to make future losses possible, but for which none are currently expected.

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.

Below-investment-grade transactions for which future losses are expected and on which claims (other than liquidity claims) have been paid.

Exposures identified as BIG are subjected to further review to determine the probability of a loss and to calculate the expected loss to be paid.

Ratings on exposures in sectors identified as under the most stress or with the most potential volatility are also reviewed every quarter, although the Company may also review a rating in response to developments impacting a credit when a ratings review is not scheduled.

For assumed exposures, the Company may use the ceding company’s credit ratings of transactions where it is impractical for it to assign its own rating.

The Company assigns each BIG exposure to one of the three BIG surveillance categories below, which generally represent the following:

Below-investment-grade exposures for which there are possible losses, on a present value basis, and the aggregate probability weighting of scenarios with losses is less than 50 %.

Below-investment-grade exposures for which there are possible losses, on a present value basis, and the aggregate probability weighting of scenarios with losses is at least 50 %, but for which no claims (other than claims that the Company expects to be reimbursed within one year ) have yet been paid.

Below-investment-grade exposures for which losses are expected, on a present value basis, and the aggregate probability weighting of scenarios with losses is at least 50 %, and for which claims have been paid that the Company does not expect to be reimbursed within one year.

For purposes of classifying BIG exposures into one of the three BIG categories, the Company calculates the present value of projected claim payments and recoveries using the pre-tax book yield of the relevant insurance subsidiary’s investment portfolio as the applicable discount rate.

As discussed in Note 4, Expected Loss to be Paid (Recovered), for financial statement measurement purposes, the Company uses risk-free rates (as determined each quarter) for discounting, rather than pre-tax book yield of the investment portfolio, to calculate the expected losses to be paid.

Expected losses to be paid (recovered) are based on probability weighted scenarios and serve as the basis for the loss reserves reported in accordance with U.S.

Financial Guaranty Exposure

6 unchanged sentences

dollar denominated par outstanding is translated at the spot rate at the end of the reporting period.

The Company has, from time to time, purchased securities that it has insured, and for which it had expected losses to be paid, in order to mitigate the economic effect of insured losses (Loss Mitigation Securities).

The Company excludes amounts attributable to Loss Mitigation Securities from par and debt service outstanding and instead reports Loss Mitigation Securities

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

in the investment portfolio.

The Company excludes amounts attributable to Loss Mitigation Securities from par and debt service outstanding and instead reports Loss Mitigation Securities in the investment portfolio.

The Company manages such securities as investments and not insurance exposure.

As of both June 30, 2024 and December 31, 2023, the Company excluded net par outstanding of $ 1.2 billion attributable to Loss Mitigation Securities.

As of both September 30, 2024 and December 31, 2023, the Company excluded net par outstanding of $ 1.2 billion attributable to Loss Mitigation Securities.

Gross debt service outstanding represents the sum of all estimated future debt service payments on the insured obligations, on an undiscounted basis.

2 unchanged sentences

The Company calculates its debt service outstanding as follows:

• for insured obligations that are not supported by homogeneous pools of assets (which category includes most of the Company’s public finance transactions), as the total estimated contractual future debt service due through maturity, regardless of whether the obligations may be called and, in the case of obligations where principal payments are due when an underlying asset makes a principal payment, the Company believes the obligations will be repaid prior to contractual maturity;

• for insured obligations that are supported by homogeneous pools of assets that are contractually permitted to prepay principal (which category includes, for example, residential mortgage-backed securities (RMBS)), as the total estimated expected future debt service due on insured obligations through their respective expected terms, which includes the Company’s expectations as to whether the obligations may be called and, in the case of obligations where principal payments are due when an underlying asset makes a principal payment, when the Company expects principal payments to be made prior to contractual maturity.

• for insured obligations that are not supported by homogeneous pools of assets (which category includes most of the Company’s public finance transactions), as the total estimated contractual future debt service due through maturity, regardless of whether the obligations may be called and regardless of whether, in the case of obligations where principal payments are due when an underlying asset makes a principal payment, the Company believes the obligations will be repaid prior to contractual maturity;

• for insured obligations that are supported by homogeneous pools of assets that are contractually permitted to prepay principal (which category includes, for example, residential mortgage-backed securities (RMBS)), as the total estimated expected future debt service due on insured obligations through their respective expected terms, which reflects the Company’s expectations as to whether the obligations may be called and, in the case of obligations where principal payments are due when an underlying asset makes a principal payment, when the Company expects principal payments to be made prior to contractual maturity.

The calculation of debt service requires the use of estimates, which the Company updates periodically, including estimates and assumptions for the expected remaining term of insured obligations supported by homogeneous pools of assets, updated interest rates for floating and variable rate insured obligations, behavior of consumer price indices for obligations with consumer price index inflators, foreign exchange rates and other assumptions based on the characteristics of each insured obligation.

4 unchanged sentences

Debt Service and Par Outstanding

As of June 30, 2024 As of December 31, 2023

As of September 30, 2024 As of December 31, 2023

Gross Net Gross Net

7 unchanged sentences

Total financial guaranty $ 258,677 $ 258,196 $ 249,535 $ 249,153

In addition to amounts shown in the table above, the Company had outstanding commitments to provide guaranties of $ 1.1 billion of public finance gross par and $ 1.6 billion of structured finance gross par as of June 30, 2024.

These commitments are contingent on the satisfaction of all conditions set forth in the guaranties and may expire unused or be canceled at the counterparty’s request.

Therefore, the total commitment amount does not necessarily reflect actual future guaranteed amounts.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Also, in connection with a potential transaction that would accelerate the run-off of the insured portfolio of Financial Guaranty Insurance Company (FGIC) (the Proposed Transaction) pursuant to the First Amended Plan of Rehabilitation for FGIC, dated June 4, 2013, the Company and FGIC are parties to a novation agreement dated as of February 8, 2024 (the Agreement) pursuant to which certain FGIC policies insuring approximately $ 353 million of public finance (including infrastructure) gross par and approximately $ 50 million of structured finance gross par as of December 31, 2023 may in the future be novated to the Company in accordance with the terms and conditions of the Agreement.

In addition to amounts shown in the table above, the Company had outstanding commitments to provide guaranties of $ 1.6 billion of public finance gross par and $ 2.2 billion of structured finance gross par as of September 30, 2024.

These commitments are contingent on the satisfaction of all conditions set forth in the guaranties and may expire unused or be canceled at the counterparty’s request.

Therefore, the total commitment amount does not necessarily reflect actual future guaranteed amounts.

Also, in connection with a potential transaction that would accelerate the run-off of the insured portfolio of Financial Guaranty Insurance Company (FGIC) (the Proposed Transaction) pursuant to the First Amended Plan of Rehabilitation for FGIC, dated June 4, 2013, the Company and FGIC are parties to a novation agreement dated as of February 8, 2024 pursuant to which certain FGIC policies insuring approximately $ 353 million of public finance (including infrastructure) gross par and approximately $ 50 million of structured finance gross par as of December 31, 2023 may in the future be novated to the Company in accordance with the terms and conditions of the novation agreement.

The Proposed Transaction, including the novation of certain FGIC policies to the Company, is subject in all respects to review and approval by NYDFS, the reopening of FGIC’s rehabilitation proceeding, and ultimate approval by the Supreme Court of the State of New York.

In the event the Proposed Transaction does not occur on or prior to September 30, 2025, either the Company or FGIC has the right to terminate the Agreement in accordance with its terms.

On September 10, 2024, following the NYDFS’s review of the Proposed Transaction and information submitted by FGIC, FGIC received a written communication from the NYDFS stating that the NYDFS does not support the Proposed Transaction.

In the event the Proposed Transaction does not occur on or prior to September 30, 2025, either the Company or FGIC has the right to terminate the novation agreement in accordance with its terms.

Financial Guaranty Portfolio by Internal Rating

As of June 30, 2024

As of September 30, 2024

Public Finance

40 unchanged sentences

Components of BIG Net Par Outstanding

As of June 30, 2024

As of September 30, 2024

BIG Net Par Outstanding Net Par

27 unchanged sentences

BIG Net Par Outstanding and Number of Risks

As of June 30, 2024

As of September 30, 2024

Net Par Outstanding Number of Risks (2)

30 unchanged sentences

All of the Company’s insured exposure to various authorities and public corporations of the Commonwealth of Puerto Rico (Puerto Rico or the Commonwealth) is rated BIG.

As of June 30, 2024, the Company’s only remaining outstanding insured Puerto Rico exposure subject to a payment default was the Puerto Rico Electric Power Authority (PREPA).

As of September 30, 2024, the Company’s only remaining outstanding insured Puerto Rico exposure subject to a payment default was the Puerto Rico Electric Power Authority (PREPA).

Puerto Rico Par and Debt Service Schedules

2 unchanged sentences

Gross Par Outstanding Gross Debt Service Outstanding

June 30, 2024 December 31, 2023 June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023 September 30, 2024 December 31, 2023

(in millions)

Exposure to Puerto Rico (1) $ 865 $ 1,120 $ 1,136 $ 1,526

____________________

(1) Includes Puerto Rico Highways and Transportation Authority (PRHTA) exposure resolved pursuant to the 2022 Puerto Rico Resolutions (as defined below).

The remaining amounts owed for the insured PRHTA bonds are payable in full by the Company’s insurance subsidiaries under their financial guaranty policies and are no longer dependent on the credit of the PRHTA.

Assured Guaranty Ltd.

1 unchanged sentence

Net Par Outstanding

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

(in millions)

3 unchanged sentences

Resolved Puerto Rico Exposures (1)

Puerto Rico Highways and Transportation Authority (PRHTA) (Transportation revenue)

PRHTA (Transportation revenue)

PRHTA (Highway revenue) 24 128

2 unchanged sentences

Municipal Finance Agency (MFA)

Puerto Rico Aqueduct and Sewer Authority (PRASA) and University of Puerto Rico (U of PR) 1 1

University of Puerto Rico (U of PR) 1 1

Total Non-Defaulting 92 109

6 unchanged sentences

(2) All debt service on these insured exposures have been paid to date without any insurance claim being made on the Company.

The following table shows the scheduled amortization of the obligations of the Puerto Rico authorities and public corporations that the Company insures.

The following table shows the aggregate scheduled amortization for obligations of the Puerto Rico authorities and public corporations that the Company insures, including the remaining amounts owed for insured PRHTA bonds which are payable in full by the Company under their financial guaranty policies and are no longer dependent on the credit of the PRHTA.

The Company guarantees payment of interest and principal when those amounts are scheduled to be paid and cannot be required to pay on an accelerated basis, although in certain circumstances it may elect to do so.

In the event that obligors default on their obligations, the Company would only be required to pay the shortfall between the debt service due in any given period and the amount paid by the obligors.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Amortization Schedule of Puerto Rico

Net Par Outstanding and Net Debt Service Outstanding

As of June 30, 2024

As of September 30, 2024

Scheduled Net Par Amortization Scheduled Net Debt Service Amortization

(in millions)

2024 (October 1 - December 31) $ — $ 3

2025 (January 1 - March 31) — 18

2025 (April 1 - June 30) — 2

2025 (July 1 - September 30) 84 102

5 unchanged sentences

Total $ 851 $ 1,119

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

As of June 30, 2024 and December 31, 2023, the Company’s net par outstanding on insured PREPA obligations was $ 624 million.

As of September 30, 2024 and December 31, 2023, the Company’s net par outstanding on insured PREPA obligations was $ 531 million and $ 624 million, respectively.

The PREPA bonds are secured by a lien on the net revenues of the electric system.

11 unchanged sentences

On November 17, 2023, the Federal District Court of Puerto Rico approved the supplemental disclosure statement (Supplemental Disclosure Statement) supporting the PREPA plan of adjustment filed by the FOMB (as amended or modified from time to time).

On February 16, 2024, FOMB filed with the Federal District Court of Puerto Rico its most recent plan of adjustment for PREPA, the Modified Fourth Amended Title III Plan of Adjustment (FOMB PREPA Plan).

On February 16, 2024, the FOMB filed with the Federal District Court of Puerto Rico its most recent plan of adjustment for PREPA, the Modified Fourth Amended Title III Plan of Adjustment (FOMB PREPA Plan).

The Supplemental Disclosure Statement and the FOMB PREPA Plan are based on the last revised PREPA fiscal plan certified by the FOMB on June 23, 2023.

1 unchanged sentence

At the end of the hearing, the Federal District Court of Puerto Rico stated that it was taking the confirmation of the FOMB PREPA Plan under advisement and gave no indication of timing for an opinion or order.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

On November 28, 2023, the Federal District Court of Puerto Rico finally adjudicated all claims and counterclaims in the PREPA lien challenge adversary proceeding.

2 unchanged sentences

On June 12, 2024, the First Circuit issued its opinion on the appeal, holding that bondholders have a claim against PREPA for the full principal amount of the bonds, plus matured interest, that there was no need for a claim estimation proceeding because the PREPA bonds specify the amount that PREPA legally owes bondholders, and that the claim is secured by PREPA’s net revenues, including future net revenues.

On July 10, 2024, the Federal District Court of Puerto Rico ordered FOMB and bondholders to resume mediation and instituted a 60-day stay of all FOMB PREPA Plan litigation.

The Federal District Court of Puerto Rico most recently extended the term of mediation on July 30, 2024, extending the term to October 31, 2024.

On June 26, 2024, the FOMB asked the First Circuit to reconsider its determination that bondholders’ security interest in future net revenues is perfected.

Briefing on the FOMB’s request was held on August 9, 2024, and the First Circuit has given no indication of timing on a decision.

On July 10, 2024, the Federal District Court of Puerto Rico ordered the FOMB and bondholders to resume mediation and instituted a 60-day stay of all FOMB PREPA Plan litigation.

On October 29, 2024, the Federal District Court of Puerto Rico extended the term of mediation and the litigation stay through January 31, 2025.

Resolved Puerto Rico Exposures

2 unchanged sentences

Cash, New Recovery Bonds and CVIs received pursuant to the 2022 Puerto Rico Resolutions are collectively referred to as Plan Consideration.

As of June 30, 2024, all but $ 221 million in CVIs (at fair value) had been sold or redeemed.

As of June 30, 2024, remaining CVIs are reported in fixed-maturity securities, trading.

See Note 7, Investments.

As of September 30, 2024, all but $ 136 million of the CVIs (at fair value), and substantially all of the New Recovery Bonds had been sold or redeemed.

As of September 30, 2024, remaining CVIs are reported in “fixed-maturity securities, trading.” See Note 7, Investments.

The Company may sell in the future any CVIs it continues to hold.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

As of June 30, 2024, the Company had $ 228 million of insured net par outstanding of legacy PRHTA bonds.

As of September 30, 2024 and December 31, 2023, the Company had $ 228 million and $ 372 million of insured net par outstanding of legacy PRHTA bonds, respectively.

This net par outstanding primarily represents the Company’s exposure in respect of legacy insured PRHTA bondholders who elected to receive custody receipts that represent an interest in the legacy insurance policy plus Plan Consideration, as described below.

The remaining amounts owed for insured PRHTA bonds are payable in full by the Company’s insurance subsidiaries under their financial guaranty policies and are no longer dependent on the credit of PRHTA.

The Company consolidates the trusts in which the PRHTA obligations are reported.

The Company consolidates the trusts in which the PRHTA financial guaranty policies are reported.

See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles.

2 unchanged sentences

Non-Defaulting Puerto Rico Exposures

As of June 30, 2024 and December 31, 2023, the Company had $ 109 million of remaining non-defaulting Puerto Rico net par outstanding related primarily to the MFA.

As of September 30, 2024 and December 31, 2023, the Company had $ 92 million and $ 109 million, respectively, of remaining non-defaulting Puerto Rico net par outstanding related primarily to the MFA.

The MFA exposures are secured by a lien on local tax revenues and remain current on debt service payments.

3 unchanged sentences

In addition, the Commonwealth, the FOMB and others have taken legal action naming the Company as party.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Certain legal actions involving the Company and relating to the Commonwealth, Puerto Rico Convention Center District Authority, Puerto Rico Infrastructure Financing Authority or PRHTA, were resolved on March 15, 2022, and all remaining legal actions involving the Company and relating to PRHTA were resolved on December 6, 2022, in connection with the 2022 Puerto Rico Resolutions.

There remains one active proceeding related to PREPA, while there are a number of unresolved proceedings involving the Company and relating to the default by the Commonwealth or its instrumentalities that remain stayed pending the Federal District Court of Puerto Rico’s determination on the PREPA plan of adjustment.

See Outstanding Exposure, Exposure to Puerto Rico, for a description of the PREPA proceeding.

The unresolved proceedings initiated in the Federal District Court of Puerto Rico involving the Company and relating to the default by the Commonwealth or its instrumentalities that remain stayed pending the Federal District Court of Puerto Rico’s determination on the FOMB PREPA Plan are:

Insurance Subsidiaries motion to compel the FOMB to certify the PREPA restructuring support agreement executed in May 2019 (PREPA RSA) for implementation under Title VI of PROMESA.

Insurance Subsidiaries motion to dismiss PREPA’s Title III Bankruptcy proceeding or, in the alternative, to lift the PROMESA automatic stay to allow for the appointment of a receiver.

• Adversary complaint by certain fuel line lenders of PREPA against the U.S.

Insurance Subsidiaries, among other parties, including various PREPA bondholders and bond insurers, seeking, among other things, declarations that there is no valid lien securing the PREPA bonds unless and until such lenders are paid in full, as well as orders subordinating the PREPA bondholders’ lien and claims to such lenders’ claims, and declaring the PREPA RSA null and void.

Insurance Subsidiaries motion to intervene in lawsuit by the retirement system for PREPA employees against, among others, the FOMB, PREPA, the Commonwealth, and the trustee for PREPA bondholders seeking, among other things, declarations that there is no valid lien securing the PREPA bonds other than on amounts in the sinking funds, and order subordinating the PREPA bondholders’ lien and claim to the PREPA employees’ claims.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

• AG motion to compel the FOMB to certify the PREPA restructuring support agreement executed in May 2019 (PREPA RSA) for implementation under Title VI of PROMESA.

• AG motion to dismiss PREPA’s Title III Bankruptcy proceeding or, in the alternative, to lift the PROMESA automatic stay to allow for the appointment of a receiver.

• Adversary complaint by certain fuel line lenders of PREPA against AG, among other parties, including various PREPA bondholders and bond insurers, seeking, among other things, declarations that there is no valid lien securing the PREPA bonds unless and until such lenders are paid in full, as well as orders subordinating the PREPA bondholders’ lien and claims to such lenders’ claims, and declaring the PREPA RSA null and void.

• AG motion to intervene in lawsuit by the retirement system for PREPA employees against, among others, the FOMB, PREPA, the Commonwealth, and the trustee for PREPA bondholders seeking, among other things, declarations that there is no valid lien securing the PREPA bonds other than on amounts in the sinking funds, and order subordinating the PREPA bondholders’ lien and claim to the PREPA employees’ claims.

Specialty Business

1 unchanged sentence

Specialty Business

As of June 30, 2024 As of December 31, 2023

As of September 30, 2024 As of December 31, 2023

Gross Exposure Net Exposure Gross Exposure Net Exposure

5 unchanged sentences

____________________

(1) Insurance securitizations exposure is projected to reach $ 1.6 billion gross in 2026 and $ 1.3 billion net in 2027.

(1) Insurance securitizations exposure is projected to reach $ 1.6 billion gross and $ 1.3 billion net in 2026.

(2) Excess-of-loss guaranty of a minimum amount of billed rent on a diversified portfolio of real estate properties with an internal rating of AA that matures in 2042.

This guaranty is accounted for in accordance with Accounting Standards Codification (ASC) 460, Guarantees.

All exposures in the table above are rated investment-grade, except gross exposure of $ 144 million and net exposure of $ 84 million of aircraft residual value insurance as of both June 30, 2024 and December 31, 2023.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Expected Loss to be Paid (Recovered)

9 unchanged sentences

Those assumptions consider the relevant facts and circumstances and are consistent with the information tracked and monitored through the Company’s surveillance and risk management functions.

Expected loss to be paid (recovered) is important in that it represents the present value of amounts that the Company expects to pay or recover in future periods for all contracts.

Expected loss to be paid (recovered) is important in that it represents the present value of amounts that the Company expects to pay or recover in future periods.

Insured obligations with expected losses that were purchased by the Company are referred to as Loss Mitigation Securities and are recorded in the investment portfolio at fair value, excluding the value of the Company’s insurance.

3 unchanged sentences

Similarly, in cases where issuers of insured obligations elected (or where an issuer and the Company negotiated) to deliver the underlying collateral, insured obligation, or a new security to the Company, expected loss to be paid (recovered) is adjusted accordingly and the asset received is prospectively accounted for under the applicable guidance for that instrument.

Economic loss development represents the change in net expected loss to be paid (recovered) attributable to the effects of changes in the economic performance of insured transactions, changes in assumptions based on observed market trends, changes in discount rates, accretion of discount and the economic effects of loss mitigation efforts.

Economic loss development (benefit) represents the change in net expected loss to be paid (recovered) attributable to the effects of changes in the economic performance of insured transactions, changes in assumptions based on observed market trends, changes in discount rates, accretion of discount and the economic effects of loss mitigation efforts.

In order to effectively evaluate and manage the economics and liquidity of the entire insured portfolio, management assigns ratings and calculates expected loss to be paid (recovered), on a contract-by-contract basis, in the same manner for all its exposures regardless of form or differing accounting models.

3 unchanged sentences

(ii) derivatives, as described in Note 6, Contracts Accounted for as Credit Derivatives, and Note 9, Fair Value Measurement;

and (iii) FG VIE consolidation, as described in Note 8, Financial Guaranty Variable Interest Entities and

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Consolidated Investment Vehicles.

and (iii) FG VIE consolidation, as described in Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles.

The Company has paid and expects to pay future losses and/or recover past losses on policies which fall under each of these accounting models.

This note provides information regarding expected claim payments to be made and/or recovered under all contracts in the insured portfolio.

This note provides information regarding expected claim payments to be made and/or recovered, regardless of the accounting method.

Loss Estimation Process

The Company’s loss reserve committees estimate expected loss to be paid (recovered) for all contracts by reviewing analyses that consider various scenarios with corresponding probabilities assigned to them.

The Company’s loss reserve committees estimate expected loss to be paid (recovered) by reviewing analyses that consider various scenarios with corresponding probabilities assigned to them.

Depending upon the characteristics of the risk, the Company’s view of the potential size of any loss and the information available to the Company, that analysis may be based upon individually developed cash flow models, internal credit rating assessments, sector-driven loss severity assumptions and/or judgmental assessments.

4 unchanged sentences

Credit performance can be affected by, among other things, economic, fiscal and financial market and political developments over the life of most contracts.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The Company does not use traditional actuarial approaches to determine its estimates of expected losses.

2 unchanged sentences

Each quarter, the Company may revise its scenarios and update its assumptions, including the probability weightings of its scenarios, based on public as well as nonpublic information obtained through its surveillance and loss mitigation activities.

Changes over a reporting period in the Company’s loss estimates for public finance obligations supported by specified revenue streams, such as revenue bonds issued by toll road authorities, municipal utilities or airport authorities, generally will be influenced by factors impacting their revenue levels, such as changes in demand;

Changes over a reporting period in the Company’s loss estimates for public finance obligations supported by specified revenue streams, such as revenue bonds issued by toll road authorities, municipal utilities, airport authorities or healthcare systems, generally will be influenced by factors impacting their revenue levels, such as changes in demand;

changing demographics;

8 unchanged sentences

Changes in loss estimates may also be affected by the Company’s loss mitigation efforts and other variables.

Changes in the Company’s loss estimates for structured finance transactions generally will be influenced by factors impacting the performance of the assets supporting those transactions.

For example, changes over a reporting period in the Company’s loss estimates for its RMBS transactions may be influenced by factors such as the level and timing of loan defaults experienced, changes in housing prices, results from the Company’s loss mitigation activities and other variables.

Net economic loss development (benefit) over a reporting period may be attributable to a number of interrelated factors such as changes in discount rates, improvement or deterioration of transaction performance, changes in charge-offs, loss mitigation activity, changes to projected default curves, changes in severity rates and outcome of disputed issues.

Changes in the Company’s loss estimates for structured finance transactions can be influenced by the performance of the assets supporting those transactions, by macroeconomic factors and by specific actions taken to mitigate losses.

For example, changes over a reporting period in the Company’s loss estimates for its RMBS transactions may be influenced by factors such as prepayments, the level and timing of loan defaults experienced, changes in housing prices, discount rates and results from the Company’s loss mitigation activities.

Actual losses will ultimately depend on future events, transaction performance or other factors that are difficult to predict.

As a result, the Company’s current projections of certain losses may be subject to considerable uncertainty and may not reflect the Company’s ultimate claims paid.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

In some instances, the terms of the Company’s policy or the terms of certain workout orders and resolutions give it the option to pay principal losses that have been recognized in the transaction but which it is not yet required to pay, thereby reducing the amount of guaranteed interest due in the future.

3 unchanged sentences

Net Expected Loss to be Paid (Recovered) Net Economic Loss Development (Benefit)

As of Second Quarter Six Months

Accounting Model June 30, 2024 December 31, 2023 2024 2023 2024 2023

As of Third Quarter Nine Months

Accounting Model September 30, 2024 December 31, 2023 2024 2023 2024 2023

(in millions)

6 unchanged sentences

$ 306 $ 505 $ ( 34 ) $ 87 $ ( 20 ) $ 147

____________________

(1) The net expected loss to be paid for FG VIEs primarily relates to trusts established as part of the 2022 Puerto Rico Resolutions (Puerto Rico Trusts) that were consolidated.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The following tables present a roll forward of net expected loss to be paid (recovered) for all contracts, which are accounted for under one of the following accounting models:

1 unchanged sentence

The Company used risk-free rates for U.S.

dollar denominated obligations that ranged from 4.28 % to 5.33 % with a weighted average of 4.55 % as of June 30, 2024 and 3.79 % to 5.40 % with a weighted average of 4.10 % as of December 31, 2023.

dollar denominated obligations that ranged from 3.52 % to 4.96 % with a weighted average of 3.74 % as of September 30, 2024 and 3.79 % to 5.40 % with a weighted average of 4.10 % as of December 31, 2023.

Net expected losses to be paid for U.S.

dollar denominated transactions represented approximately 91.8 % and 96.1 % of the total as of June 30, 2024 and December 31, 2023, respectively.

dollar denominated transactions represented approximately 71.7 % and 96.1 % of the total as of September 30, 2024 and December 31, 2023, respectively.

The Company used risk-free rates for non-U.S.

dollar denominated obligations that ranged from 1.86 % to 4.95 % with a weighted average of 3.94 % as of September 30, 2024 and 1.90 % to 5.21 % with a weighted average of 3.28 % as of December 31, 2023.

Net Expected Loss to be Paid (Recovered)

Second Quarter Six Months

Third Quarter Nine Months

2024 2023 2024 2023

8 unchanged sentences

Net expected loss to be paid (recovered), end of period $ 306 $ 490 $ 306 $ 490

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Net Expected Loss to be Paid (Recovered)

Roll Forward by Sector

Second Quarter 2024

Sector Net Expected Loss to be Paid (Recovered) as of March 31, 2024 Net Economic Loss

Third Quarter 2024

Sector Net Expected Loss to be Paid (Recovered) as of June 30, 2024 Net Economic Loss

Development (Benefit) Net (Paid)

Net Expected Loss to be Paid (Recovered) as of June 30, 2024

Net Expected Loss to be Paid (Recovered) as of September 30, 2024

(in millions)

8 unchanged sentences

Total $ 447 $ ( 34 ) $ ( 107 ) $ 306

Second Quarter 2023

Sector Net Expected Loss to be Paid (Recovered) as of March 31, 2023 Net Economic Loss

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Third Quarter 2023

Sector Net Expected Loss to be Paid (Recovered) as of June 30, 2023 Net Economic Loss

Development (Benefit) Net (Paid)

Net Expected Loss to be Paid (Recovered) as of June 30, 2023

Net Expected Loss to be Paid (Recovered) as of September 30, 2023

(in millions)

8 unchanged sentences

Total $ 560 $ 87 $ ( 157 ) $ 490

Six Months 2024

Nine Months 2024

Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2023 Net Economic Loss

Development (Benefit) Net (Paid)

Net Expected Loss to be Paid (Recovered) as of June 30, 2024

Net Expected Loss to be Paid (Recovered) as of September 30, 2024

(in millions)

8 unchanged sentences

Total $ 505 $ ( 20 ) $ ( 179 ) $ 306

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Six Months 2023

Nine Months 2023

Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2022 Net Economic Loss

Development (Benefit) Net (Paid)

Net Expected Loss to be Paid (Recovered) as of June 30, 2023

Net Expected Loss to be Paid (Recovered) as of September 30, 2023

(in millions)

12 unchanged sentences

Such amounts are recorded as reinsurance recoverable on paid losses in “other assets.”

The tables above include (i) net LAE paid of $ 13 million, $ 5 million, $ 20 million and $ 8 million for second quarter 2024, second quarter 2023, six months 2024 and six months 2023, respectively, and (ii) net expected LAE to be paid of $ 11 million as of June 30, 2024 and $ 22 million as of December 31, 2023, respectively.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The tables above include (i) net LAE paid of $ 5 million, $ 9 million, $ 25 million and $ 17 million for third quarter 2024, third quarter 2023, nine months 2024 and nine months 2023, respectively, and (ii) net expected LAE to be paid of $ 16 million as of September 30, 2024 and $ 22 million as of December 31, 2023, respectively.

Public Finance

The largest components of the public finance net expected losses to be paid (recovered) related to certain Puerto Rico and healthcare exposures.

See Note 3, Outstanding Exposure, for a discussion of Puerto Rico exposures.

The largest components of the public finance net expected losses to be paid (recovered), based on the probability weighting of its scenarios, relate to certain Puerto Rico, healthcare and U.K.

regulated utilities exposures.

See Note 3, Outstanding Exposure, for a discussion of Puerto Rico exposures, and Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for a discussion of the Puerto Rico Trusts.

Certain BIG healthcare exposures are experiencing rising labor costs due to competition for labor and shortages in certain markets.

Additionally, inflation has continued to increase the cost of medical supplies, medical equipment, and pharmacy products, while hospitals with large Medicaid and Medicare payor mixes have not seen reimbursement levels keep pace with rising costs.

Additionally, inflation has increased the cost of medical supplies, medical equipment, and pharmacy products, while hospitals with large Medicaid and Medicare payor mixes have not seen reimbursement levels keep pace with rising costs.

The combined revenue and expense challenges have led to cash flow and liquidity stress in certain transactions.

In addition, certain credits are struggling to make necessary capital expenditures and improvements to facilities.

The total net expected loss to be paid for troubled U.S.

public finance exposures is net of an assumed future recovery of claims already paid.

As of June 30, 2024 and December 31, 2023, that assumed future recovery was $ 197 million and $ 193 million, respectively.

In third quarter 2024, the Company internally downgraded to BIG certain U.K regulated utilities and European renewable energy transactions that are experiencing operational strain, high financing costs and other capital constraints.

The total net expected loss to be paid for U.S.

public finance exposures is net of expected recoveries related to certain claims already paid.

As of September 30, 2024 and December 31, 2023, that assumed future recovery was $ 206 million and $ 193 million, respectively.

The Company’s net expected losses to be paid (recovered) incorporate management’s probability weighted estimates of all possible scenarios.

Economic loss development in second quarter 2024 and six months 2024 was primarily attributable to certain healthcare exposures.

Economic loss development for public finance transactions in third quarter 2024 and nine months 2024 was primarily attributable to certain U.K.

regulated utilities and Puerto Rico exposures, offset in part by improvements in certain healthcare exposures.

RMBS Loss Projections

5 unchanged sentences

The assumptions that the Company uses to project RMBS losses are shown in the sections below.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Net Economic Loss Development (Benefit)

Second Quarter Six Months

Third Quarter Nine Months

2024 2023 2024 2023

10 unchanged sentences

Changes in the amount of non-performing loans from the amount projected in the previous period are one of the primary drivers of loss projections in this portfolio.

Collateral losses are projected to be offset by recoveries on deferred principal balances.

Collateral losses are projected to be offset by recoveries on

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

deferred principal balances.

In order to project the number of defaults arising from these delinquent and foreclosed loans, the Company applies a liquidation rate assumption to loans in each of various non-performing categories.

4 unchanged sentences

RMBS Liquidation Rates

As of June 30, 2024 As of December 31, 2023

As of September 30, 2024 As of December 31, 2023

Range (1) Range (1)

17 unchanged sentences

The Company assumes in the base scenario that recent (still historically elevated) loss severities will improve after loans with accumulated delinquencies and foreclosure cost are liquidated.

The Company is assuming in the base scenario that recent severity levels generally will continue

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

for another 18 months.

The Company is assuming in the base scenario that recent severity levels generally will continue for another 18 months.

The Company determines its initial loss severity based on recent experience.

Each quarter, the Company reviews available data and (if necessary) adjusts its severities based on its observations.

The Company then assumes that loss severities begin returning to levels consistent with underwriting assumptions beginning after the initial 18 -month period, declining to 40 % in the base scenario over 2.5 years.

The Company incorporates a recovery assumption into its loss modeling to reflect observed trends in recoveries of deferred principal balances of modified first lien loans.

For transactions where the Company has detailed loan information, the Company assumes, in the base scenario, that 30 % of the deferred loan balances will eventually be recovered upon sale of the collateral or refinancing of the loans.

The Company then assumes that loss severities begin returning to levels consistent with underwriting assumptions beginning after the initial 18 -month period, trending to 40 % in the base scenario over 2.5 years.

The Company incorporates a recovery assumption into its loss modeling to reflect observed trends in recoveries of deferred principal balances of modified first lien loans that had been previously written off.

For transactions where the Company has detailed loan information, the Company assumes that a percentage of the deferred loan balances will eventually be recovered upon sale of the collateral or refinancing of the loans.

In third quarter 2024, due to observed trends and high levels of home equity, the Company increased its scenario-based recovery assumptions such that the weighted average recovery percentage increased from 30 % to approximately 50 %.

The effect of these updated assumptions on expected losses was a benefit of $ 15 million.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The following table shows the range as well as the average, weighted by outstanding net insured par, for key assumptions used in the calculation of expected loss to be paid (recovered) for individual transactions for vintage 2004 - 2008 first lien U.S.

1 unchanged sentence

First Lien U.S.

As of June 30, 2024 As of December 31, 2023

As of September 30, 2024 As of December 31, 2023

Range Weighted Average Range Weighted Average

2 unchanged sentences

Initial loss severity 40.0 % - 50.0 % 43.1 % 50 %

Future recovery for deferred principal balances 50 % 30 %

The rate at which the principal amount of loans is voluntarily prepaid may impact both the amount of losses projected (since that amount is a function of the CDR, the loss severity and the loan balance over time) as well as the amount of excess spread (the amount by which the interest paid by the borrowers on the underlying loan exceeds the amount of interest owed on the insured obligations).

3 unchanged sentences

These CPR assumptions are the same as those the Company used for December 31, 2023.

Certain transactions benefit from excess spread when they are supported by large portions of fixed rate assets (either originally fixed or modified to be fixed) but have insured floating rate debt linked to the Secured Overnight Finance Rate (SOFR).

An increase in projected SOFR decreases excess spread, while lower SOFR projections result in higher excess spread.

In estimating expected losses, the Company modeled and probability weighted sensitivities for first lien U.S.

2 unchanged sentences

The Company also stressed CPR and the speed of recovery of loss severity rates.

The Company probability weighted a total of five scenarios as of June 30, 2024 and December 31, 2023.

An increase in projected SOFR decreases excess spread, while lower SOFR projections result in higher excess spread.

The Company used a similar approach to establish its scenarios as of June 30, 2024 as it used as of December 31, 2023, increasing and decreasing the periods and levels of stress from those used in the base scenario.

In the Company’s most stressful scenario where 10 % of deferred principal balances are assumed to be recovered, loss severities were assumed to rise and then recover over nine years and the initial ramp-down of the CDR was assumed to occur over 16 months, expected loss to be paid would increase from current projections by approximately $ 26 million for all first lien U.S.

The Company probability weighted a total of five scenarios as of September 30, 2024 and December 31, 2023.

The Company used a similar approach to establish its scenarios as of September 30, 2024 as it used as of December 31, 2023, increasing and decreasing the periods and levels of stress from those used in the base scenario.

In the Company’s most stressful scenario where 20 % of deferred principal balances are assumed to be recovered, loss severities experience stress for nine years and the initial ramp-down of the CDR was assumed to occur over 16 months, expected loss to be paid would increase from current projections by approximately $ 33 million for all first lien U.S.

RMBS transactions.

6 unchanged sentences

The Company believes the primary variable affecting its expected losses in second lien U.S.

RMBS transactions is the amount and timing of future losses or recoveries in the collateral pool supporting the transactions (including recoveries from

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

previously charged-off loans).

RMBS transactions is the amount and timing of future losses or recoveries in the collateral pool supporting the transactions (including recoveries from previously charged-off loans).

Expected losses are also a function of the structure of the transaction, the prepayment speeds of the collateral, the interest rate environment and assumptions about loss severity.

2 unchanged sentences

RMBS transactions, the Company then calculates a CDR that will cause the targeted amount of liquidations to occur during the plateau period.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

For the base scenario, the CDR plateau is held constant for 36 months.

7 unchanged sentences

When a second lien loan defaults, there is generally a low recovery.

The Company assumed, as of June 30, 2024 and December 31, 2023, that it will generally recover 2 % of future defaulting collateral at the time of charge-off, with additional amounts of post charge-off recoveries projected to come in over time.

The Company assumed, as of September 30, 2024 and December 31, 2023, that it will generally recover 2 % of future defaulting collateral at the time of charge-off, with additional amounts of post charge-off recoveries projected to come in over time.

A second lien on the borrower’s home may be retained in the Company’s second lien transactions after the loan is charged off and the loss applied to the transaction, particularly in cases where the holder of the first lien has not foreclosed.

2 unchanged sentences

In instances where the Company is able to obtain information on the lien status of charged-off loans, it assumes there will be a certain level of future recoveries of the balance of the charged-off loans where the second lien is still intact.

The Company’s base scenario recovery assumption for charged-off loans is 40 %.

During third quarter 2024, due to observed trends and high levels of home equity, the Company updated its assumptions of such recoveries to reflect a base scenario, and a weighted average, recovery of 50 %, up from 40 %, which resulted in a benefit of $ 29 million.

Such recoveries are assumed to be received evenly over the next five years .

12 unchanged sentences

Key Assumptions in Base Scenario Expected Loss Estimates

As of June 30, 2024 As of December 31, 2023

As of September 30, 2024 As of December 31, 2023

Range Weighted Average Range Weighted Average

14 unchanged sentences

RMBS losses is the performance of its HELOC transactions.

The Company used a similar approach to establish its scenarios as of September 30, 2024 as it used as of December 31, 2023.

The Company modeled scenarios with a longer period of elevated defaults and others with a shorter period of elevated defaults as well as various levels of assumed recoveries.

13 unchanged sentences

Net Earned Premiums

Second Quarter Six Months

Third Quarter Nine Months

2024 2023 2024 2023

20 unchanged sentences

Specialty insurance premium receivable 1 1

June 30, $ 1,472 $ 1,417

Approximately 68 % and 70 % of gross premiums receivable, net of commissions payable, at June 30, 2024 and December 31, 2023, respectively, are denominated in currencies other than the U.S.

September 30, $ 1,513 $ 1,376

Approximately 69 % and 70 % of gross premiums receivable, net of commissions payable, at September 30, 2024 and December 31, 2023, respectively, are denominated in currencies other than the U.S.

dollar, primarily the pound sterling and euro.

4 unchanged sentences

Expected Future Premium Collections and Earnings

As of June 30, 2024

As of September 30, 2024

Future Premiums

2 unchanged sentences

(in millions)

2024 (July 1 - September 30) $ 59 $ 74

2024 (October 1 - December 31) $ 50 $ 74

Subtotal 2024 98 147

2029-2033 414 951

9 unchanged sentences

Selected Information for Financial Guaranty Insurance Policies with Premiums Paid in Installments

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

(dollars in millions)

5 unchanged sentences

Loss reserves and salvage are discounted at risk-free rates for U.S.

dollar denominated financial guaranty insurance obligations that ranged from 4.28 % to 5.33 % with a weighted average of 4.59 % as of June 30, 2024 and 3.79 % to 5.40 % with a weighted average of 4.17 % as of December 31, 2023.

The following tables provide information on net reserve (salvage), which includes loss and LAE reserves and salvage and subrogation recoverable, both net of reinsurance.

dollar denominated financial guaranty insurance obligations that ranged from 3.52 % to 4.96 % with a weighted average of 3.79 % as of September 30, 2024 and 3.79 % to 5.40 % with a weighted average of 4.17 % as of December 31, 2023.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The following tables provide information on net reserve (salvage), which includes loss and LAE reserves and salvage and subrogation recoverable, both net of reinsurance.

Net Reserve (Salvage) by Sector

Sector June 30, 2024 December 31, 2023

Sector September 30, 2024 December 31, 2023

(in millions)

16 unchanged sentences

Financial Guaranty Insurance Contracts

As of June 30, 2024

As of September 30, 2024

(in millions)

4 unchanged sentences

Net expected loss to be expensed (present value) $ 252

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The following table provides a schedule of the expected timing of net expected losses to be expensed.

1 unchanged sentence

This table excludes amounts related to FG VIEs, which are eliminated in consolidation.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Net Expected Loss to be Expensed

Financial Guaranty Insurance Contracts

As of June 30, 2024

As of September 30, 2024

(in millions)

2024 (July 1 - September 30) $ 3

2024 (October 1 - December 31) $ 3

Subtotal 2024 6

After 2043 39

4 unchanged sentences

Loss and LAE (Benefit) by Sector

Second Quarter Six Months

Third Quarter Nine Months

Sector 2024 2023 2024 2023

14 unchanged sentences

BIG Transaction Loss Summary

As of June 30, 2024

As of September 30, 2024

Gross Net Total BIG

56 unchanged sentences

The components of the Company’s credit derivative net par outstanding by sector are presented in the table below.

The estimated remaining weighted average life of credit derivatives was 10.1 years and 11.1 years as of June 30, 2024 and December 31, 2023, respectively.

The estimated remaining weighted average life of credit derivatives was 8.8 years and 11.1 years as of September 30, 2024 and December 31, 2023, respectively.

Credit Derivatives (1)

As of June 30, 2024 As of December 31, 2023

As of September 30, 2024 As of December 31, 2023

Sector Net Par

8 unchanged sentences

____________________

(1) Expected loss to be paid was $ 2 million as of both June 30, 2024 and December 31, 2023.

(1) See Note 4, Expected Loss to be Paid (Recovered), for expected loss to be paid on credit derivatives.

Fair Value Gains (Losses) on Credit Derivatives

Second Quarter Six Months

Third Quarter Nine Months

2024 2023 2024 2023

8 unchanged sentences

CDS Spread on AG (in basis points)

As of June 30,

2024 As of December 31, 2023 As of June 30,

As of September 30,

2024 As of December 31, 2023 As of September 30,

2023 As of December 31, 2022

3 unchanged sentences

and Effect of AG Credit Spread

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

(in millions)

2 unchanged sentences

Net fair value of credit derivatives $ ( 34 ) $ ( 50 )

The fair value of CDS contracts as of June 30, 2024, before considering the benefit applicable to AG’s credit spread, is a direct result of the relatively wider credit spreads under current market conditions compared to those at the time of underwriting for certain underlying credits with longer tenor.

The fair value of CDS contracts as of September 30, 2024, before considering the benefit applicable to AG’s credit spread, is a direct result of the relatively wider credit spreads under current market conditions, sometimes related to downgrades, compared with those at the time of underwriting for certain underlying credits with longer tenor.

Assured Guaranty Ltd.

3 unchanged sentences

The remainder of the investment portfolio primarily consists of (i) Loss Mitigation Securities;

(ii) CVIs received in connection with the 2022 Puerto Rico Resolutions;

(ii) trading securities consisting primarily of CVIs received in connection with the 2022 Puerto Rico Resolutions;

(iii) equity method investments;

3 unchanged sentences

Carrying Value

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

(in millions)

3 unchanged sentences

Other 262 476

Fixed-maturity securities, trading - Puerto Rico, CVIs (2) 221 318

Fixed-maturity securities, trading (2) 163 318

Short-term investments

4 unchanged sentences

____________________

(1) 9.4 % and 9.2 % of fixed-maturity securities, available for sale, were rated BIG or not rated as of June 30, 2024 and December 31, 2023, respectively.

(1) 9.1 % and 9.2 % of fixed-maturity securities, available-for-sale, were rated BIG or not rated as of September 30, 2024 and December 31, 2023, respectively.

BIG rated securities consisted primarily of Loss Mitigation Securities.

(2) These securities are not rated.

(3) Excludes certain investments in funds that are consolidated and accounted for as CIVs.

Includes CVIs of $ 136 million and $ 318 million as of September 30, 2024 and December 31, 2023, respectively.

(3) Excludes certain investments in funds of $ 278 million and $ 305 million as of September 30, 2024 and December 31, 2023, respectively, that are consolidated and accounted for as CIVs.

See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles.

(4) The aggregate carrying value of the Company’s investments in Sound Point and Sound Point managed funds was $ 641 million and $ 631 million as of June 30, 2024 and December 31, 2023, respectively.

The Company’s alternative investment commitments as of June 30, 2024 include $ 734 million in unfunded commitments, and funded investments with a fair value of $ 810 million, for a total of $ 1.5 billion, including a $ 1 billion commitment to invest in Sound Point managed alternative investments.

Capital allocated to alternative investments was committed to several funds pursuing various strategies, including CLOs, middle market senior lending, asset-based/specialty finance and private healthcare investing.

(4) The aggregate carrying value of the Company’s investments in Sound Point managed funds, excluding the investment in Sound Point of $ 417 million and $ 429 million as of September 30, 2024 and December 31, 2023, respectively, and excluding certain investments in funds that are consolidated and accounted for as CIVs, was $ 288 million and $ 202 million as of September 30, 2024 and December 31, 2023, respectively.

The Company’s alternative investment commitments as of September 30, 2024 include $ 690 million in unfunded commitments and funded investments with a fair value of $ 848 million for a total of $ 1.5 billion, including a $ 1 billion commitment to invest in Sound Point managed alternative investments.

Capital allocated to alternative investments was committed to several funds pursuing various strategies, including CLOs, middle market direct lending, asset-based/specialty finance and private healthcare investing.

See Note 1, Business and Basis of Presentation, for a description of the Sound Point Transaction.

As of June 30, 2024, three funds in which the Company invests are accounted for as CIVs.

As of September 30, 2024, three funds in which the Company invests are accounted for as CIVs.

See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles.

Accrued investment income, which is reported in “other assets,” was $ 66 million as of June 30, 2024 and $ 71 million as of December 31, 2023.

In addition to the commitments above, the Company has agreed to subscribe for liquidity bonds to be issued by a U.K.

regulated utility to which it has insured exposure.

At this time, it has committed to provide £ 80 million in capacity.

Accrued investment income, which is reported in “other assets,” was $ 71 million as of both September 30, 2024 and December 31, 2023.

Assured Guaranty Ltd.

1 unchanged sentence

Available-for-Sale Fixed-Maturity Securities by Security Type

As of June 30, 2024

As of September 30, 2024

Security Type Percent

37 unchanged sentences

(2) Includes securities issued by taxable universities and hospitals.

government-agency obligations were approximately 61 % and 42 % of mortgage-backed securities as of June 30, 2024 and December 31, 2023, respectively, based on fair value.

government-agency obligations were approximately 67 % and 42 % of mortgage-backed securities as of September 30, 2024 and December 31, 2023, respectively, based on fair value.

Assured Guaranty Ltd.

2 unchanged sentences

for Available-for-Sale Fixed-Maturity Securities for Which a Credit Loss was Not Recorded

As of June 30, 2024

As of September 30, 2024

Less than 12 months 12 months or more Total

39 unchanged sentences

The Company considered the credit quality, cash flows, interest rate movements, ability to hold a security to recovery and intent to sell a security in determining whether a security had a credit loss.

The Company has determined that the unrealized losses recorded as of June 30, 2024 and December 31, 2023 were primarily related to higher interest rates rather than credit quality.

As of June 30, 2024, the Company did not intend to and was not required to sell investments in an unrealized loss position prior to expected recovery in value.

As of June 30, 2024, of the securities in an unrealized loss position for which an allowance for credit loss was not recorded, 478 securities had unrealized losses in excess of 10% of their carrying value,

The Company has determined that the unrealized losses recorded as of September 30, 2024 and December 31, 2023 were primarily related to higher interest rates rather than credit quality.

As of September 30, 2024, the Company did not intend to and was not required to sell investments in an unrealized loss position prior to expected recovery in value.

As of September 30, 2024, of the securities in an unrealized loss position for which an allowance for credit loss was not recorded, 317 securities had unrealized losses in excess of 10% of their

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

whereas as of December 31, 2023, 409 securities had unrealized losses in excess of 10% of their carrying value.

The total unrealized loss for these securities was $ 234 million as of June 30, 2024 and $ 200 million as of December 31, 2023.

The amortized cost and estimated fair value of available-for-sale fixed-maturity securities by contractual maturity as of June 30, 2024 are shown below.

carrying value, whereas as of December 31, 2023, 409 securities had unrealized losses in excess of 10% of their carrying value.

The total unrealized loss for these securities was $ 149 million as of September 30, 2024 and $ 200 million as of December 31, 2023.

The amortized cost and estimated fair value of available-for-sale fixed-maturity securities by contractual maturity as of September 30, 2024 are shown below.

Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

Distribution of Available-for-Sale Fixed-Maturity Securities by Contractual Maturity

As of June 30, 2024

As of September 30, 2024

Cost Estimated

6 unchanged sentences

Total $ 6,565 $ 6,284

Based on fair value, fixed-maturity securities, short-term investments and cash that are either held in trust for the benefit of third-party ceding insurers in accordance with statutory requirements, placed on deposit to fulfill state licensing requirements or otherwise pledged or restricted, totaled $ 74 million as of June 30, 2024 and $ 234 million as of December 31, 2023.

The investment portfolio also contains securities that are held in trust by certain AGL subsidiaries or are otherwise restricted for the benefit of other AGL subsidiaries in accordance with statutory and regulatory requirements with a fair value of $ 1,152 million and $ 1,154 million as of June 30, 2024 and December 31, 2023, respectively.

Based on fair value, fixed-maturity securities, short-term investments and cash that are either held in trust for the benefit of third-party ceding insurers in accordance with statutory requirements, placed on deposit to fulfill state licensing requirements or otherwise pledged or restricted totaled $ 77 million as of September 30, 2024 and $ 234 million as of December 31, 2023.

The investment portfolio also contains securities that are held in trust by certain AGL subsidiaries or are otherwise restricted for the benefit of other AGL subsidiaries in accordance with statutory and regulatory requirements with a fair value of $ 1,176 million and $ 1,154 million as of September 30, 2024 and December 31, 2023, respectively.

Assured Guaranty Ltd.

3 unchanged sentences

Income from Investments

Second Quarter Six Months

Third Quarter Nine Months

2024 2023 2024 2023

18 unchanged sentences

____________________

(1) Fair value gains on trading securities pertaining to securities still held as of June 30, 2024 were $ 14 million for second quarter 2024 and $ 31 million for six months 2024, respectively.

Fair value gains on trading securities pertaining to securities still held as of June 30, 2023 were $ 40 million for second quarter 2023 and $ 38 million for six months 2023, respectively.

(2) Beginning in the fourth quarter of 2023, equity in earnings (losses) includes the Company’s share of the earnings of Sound Point, which is reported on a one-quarter lag.

(1) Fair value gains on trading securities pertaining to securities still held as of September 30, 2024 were $ 7 million for third quarter 2024 and $ 26 million for nine months 2024.

Fair value gains on trading securities pertaining to securities still held as of September 30, 2023 were $ 4 million for third quarter 2023 and $ 42 million for nine months 2023.

(2) Beginning in the fourth quarter of 2023, equity in earnings (losses) of investees includes the Company’s share of the earnings of Sound Point, which is reported on a one-quarter lag.

(3) Sound Point and AHP funds and, prior to July 1, 2023, AssuredIM funds.

5 unchanged sentences

Net Realized Investment Gains (Losses)

Second Quarter Six Months

Third Quarter Nine Months

2024 2023 2024 2023

7 unchanged sentences

____________________

(1) Gross realized gains and losses in six months 2023 related primarily to sales of New Recovery Bonds received as part of the 2022 Puerto Rico Resolutions.

(1) Gross realized gains and losses in nine months 2023 related primarily to sales of New Recovery Bonds received as part of the 2022 Puerto Rico Resolutions.

(2) Change in allowance for credit losses for all periods was primarily related to Loss Mitigation Securities.

The proceeds from sales of fixed-maturity securities classified as available-for-sale were $ 129 million in second quarter 2024, $ 239 million in second quarter 2023, $ 488 million in six months 2024 and $ 694 million in six months 2023.

The proceeds from sales of fixed-maturity securities classified as available-for-sale were $ 87 million in third quarter 2024, $ 73 million in third quarter 2023, $ 575 million in nine months 2024 and $ 767 million in nine months 2023.

The following table presents the roll forward of allowance for the credit losses on available-for-sale fixed-maturity securities.

1 unchanged sentence

for Available-for-Sale Fixed-Maturity Securities

Second Quarter Six Months

Third Quarter Nine Months

2024 2023 2024 2023

1 unchanged sentence

Balance, beginning of period $ 69 $ 79 $ 77 $ 65

Additions for securities for which credit losses were not previously recognized 2 — 2 —

Additions (reductions) for securities for which credit losses were previously recognized ( 5 ) 7 ( 13 ) 21

7 unchanged sentences

In the case of overcollateralization (i.e., the principal amount of the securitized assets exceeds the principal amount of the structured finance obligations), the structure allows defaults of the securitized assets before a default is experienced on the structured finance obligation guaranteed by the insurance subsidiaries.

In the case of first loss, the insurance subsidiaries’ financial guaranty insurance policy only covers a senior layer of losses experienced by multiple obligations issued by the VIEs.

The first loss exposure with respect to the assets is either retained by the seller or sold off in the form of equity or mezzanine debt to

In the case of first loss, the insurance subsidiaries’ financial

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

other investors.

guaranty insurance policy only covers a senior layer of losses experienced by multiple obligations issued by the VIEs.

The first loss exposure with respect to the assets is either retained by the seller or sold off in the form of equity or mezzanine debt to other investors.

In the case of excess spread, the financial assets contributed to VIEs generate interest income that is in excess of the interest payments on the debt issued by the VIE.

Such excess spread is typically distributed through the transaction’s cash flow waterfall and may be used to create additional credit enhancement, applied to redeem debt issued by the VIE (thereby, creating additional overcollateralization), or distributed to equity or other investors in the transaction.

The insurance subsidiaries are not primarily liable for the debt obligations issued by the structured finance and other FG VIEs (which excludes the Puerto Rico Trusts described below) they insure and would only be required to make payments on those insured debt obligations in the event that the issuer of such debt obligations defaults on any principal or interest due and only for the amount of the shortfall.

The insurance subsidiaries are not primarily liable for the insured debt obligations issued by the structured finance and other FG VIEs (which excludes the Puerto Rico Trusts described below) and would only be required to make payments on those insured debt obligations in the event that the issuer of such debt obligations defaults on any principal or interest due and only for the amount of the shortfall.

AGL’s and its insurance subsidiaries’ creditors do not have any rights with regard to the collateral supporting the debt issued by the structured finance and other FG VIEs.

14 unchanged sentences

The change in fair value of all structured finance and other FG VIEs’ assets and liabilities is reported in “fair value gains (losses) on FG VIEs” in the condensed consolidated statement of operations, except for the change in fair value attributable to change in instrument-specific credit risk (ISCR) on the structured finance and other FG VIEs’ liabilities, which is reported in other comprehensive income (OCI).

As of June 30, 2024 and December 31, 2023, the Company consolidated 23 and 24 structured finance and other FG VIEs, respectively.

As of September 30, 2024 and December 31, 2023, the Company consolidated 23 and 24 structured finance and other FG VIEs, respectively.

Puerto Rico Trusts

11 unchanged sentences

For the Puerto Rico Trust liabilities, the Company elected the FVO in order to simplify the accounting for these instruments.

As of both June 30, 2024 and December 31, 2023 the Company consolidated 24 custodial trusts established as part of the Puerto Rico resolutions reached in 2022.

As of both September 30, 2024 and December 31, 2023, the Company consolidated 24 custodial trusts established as part of the Puerto Rico resolutions reached in 2022.

See Note 3, Outstanding Exposure, Exposure to Puerto Rico.

4 unchanged sentences

Consolidated FG VIEs by Type of Collateral

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

(in millions)

14 unchanged sentences

(1) Includes $ 154 million of cash as December 31, 2023.

The inception-to-date change in fair value of the FG VIEs’ liabilities with recourse (all of which are measured at fair value under the FVO) attributable to the ISCR is calculated by holding all current period assumptions constant for each security and isolating the effect of the change in the insurance subsidiaries’ CDS spread from the most recent date of consolidation to the current period.

The ISCR amount is determined by using expected cash flows at the original date of consolidation, discounted at the effective yield, less current expected cash flows discounted at that same original effective yield.

The inception-to-date change in fair value of the FG VIEs’ liabilities with recourse (all of which are measured at fair value under the FVO) attributable to the ISCR is calculated by holding all current period assumptions constant for each security and isolating the effect of the change in the Company’s CDS spread from the most recent date of consolidation to the current period.

In general, if the Company’s CDS spread tightens, more value will be assigned to the Company’s credit;

however, if the Company’s CDS spread widens, less value is assigned to the Company’s credit.

Assured Guaranty Ltd.

2 unchanged sentences

Measured under the FVO

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

(in millions)

9 unchanged sentences

The Company consolidates investment vehicles that are VIEs when it is deemed to be the primary beneficiary based on its power to direct the most significant activities of each VIE and its level of economic interest in the entities.

As a result of the Sound Point Transaction and AHP Transaction in third quarter 2023, the Company deconsolidated CIV assets of $ 4.7 billion and CIV liabilities of $ 4.4 billion.

The Company recognized a loss on deconsolidation of $ 16 million, which was reported in “fair value gains (losses) on CIVs” for third quarter 2023 and nine months 2023.

The assets and liabilities of the Company’s CIVs are held within separate legal entities.

3 unchanged sentences

Changes in the fair value of assets and liabilities of CIVs, interest income and expense, and gains and losses on consolidation and deconsolidation of CIVs are reported in “fair value gains (losses) on CIVs” in the condensed consolidated statements of operations.

As of both June 30, 2024 and December 31, 2023, the Company consolidated three CIVs.

As of both September 30, 2024 and December 31, 2023, the Company consolidated three CIVs.

Effective July 1, 2024, one of the CIVs had distributed substantially all of its invested assets to AGAS.

Beginning on July 1, 2024, the Company classifies the $ 28 million of distributed investments as either (i) trading securities, (ii) equity method investments or (iii) equity securities.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Assets and Liabilities of CIVs

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

(in millions)

3 unchanged sentences

Total assets (1) $ 359 $ 366

Due to brokers and counterparties $ 15 $ —

Other liabilities 3 4

1 unchanged sentence

____________________

(1) Includes investments with Sound Point affiliated entities of $ 319 million and $ 281 million as of June 30, 2024 and December 31, 2023, respectively.

(2) The balance is reported in “other liabilities” in the condensed consolidated balance sheets and includes $ 3 million with Sound Point affiliated entities as of both June 30, 2024 and December 31, 2023.

As of June 30, 2024 and December 31, 2023, the CIVs included derivative contracts with average notional amounts of $ 39 million and $ 41 million, respectively.

(1) Includes investments with Sound Point affiliated entities of $ 335 million and $ 281 million as of September 30, 2024 and December 31, 2023, respectively.

(2) The balance is reported in “other liabilities” in the condensed consolidated balance sheets and includes $ 3 million with Sound Point affiliated entities as of both September 30, 2024 and December 31, 2023.

As of both September 30, 2024 and December 31, 2023, the CIVs included derivative contracts with average notional amounts of $ 41 million.

Derivative instruments, which include forward foreign currency contracts, serve as a component of the CIVs’ investment strategies.

The fair value of derivative contracts is reported in the “assets of CIVs” or “other liabilities” in the condensed consolidated balance sheets.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Noncontrolling Interest in CIVs

7 unchanged sentences

As described in Note 3, Outstanding Exposure, the Company monitors all policies in the insured portfolio.

Of the approximately 15 thousand policies monitored as of June 30, 2024, approximately 14 thousand policies are not within the scope of FASB ASC 810 because these financial guaranties relate to the debt obligations of governmental organizations or financing entities established by a governmental organization.

Of the approximately 15 thousand policies monitored as of September 30, 2024, approximately 14 thousand policies are not within the scope of FASB ASC 810, Consolidation because these financial guaranties relate to the debt obligations of governmental organizations or financing entities established by a governmental organization.

The majority of the remaining policies involve transactions where the Company is not deemed to currently have control over the FG VIEs’ most significant activities.

As of June 30, 2024 and December 31, 2023, the Company identified 59 and 68 policies, respectively, that contain provisions and experienced events that may trigger consolidation.

The Company holds variable interests in VIEs which are not consolidated, as the Company is not the primary beneficiary.

As of June 30, 2024, the Company’s maximum exposure to losses relating to these VIEs was $ 412 million, which is limited to the carrying value of these assets.

As of September 30, 2024 and December 31, 2023, the Company identified 59 and 68 policies, respectively, that contain provisions and experienced events that may trigger consolidation.

The Company holds variable interests in non-FG VIEs which are not consolidated, as the Company is not the primary beneficiary.

As of September 30, 2024, the Company’s maximum exposure to losses relating to these VIEs was $ 485 million, which is limited to the carrying value of these assets.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Fair Value Measurement

9 unchanged sentences

As markets and products develop and the pricing transparency for certain products changes, the Company may refine its methodologies and assumptions.

During six months 2024, no changes were made to the Company’s valuation models that had (or are expected to have) a material impact on the Company’s condensed consolidated balance sheets or statements of operations and comprehensive income.

During nine months 2024, no changes were made to the Company’s valuation models that had (or are expected to have) a material impact on the Company’s condensed consolidated balance sheets or statements of operations and comprehensive income.

The Company’s valuation methods produce fair values that may not be indicative of net realizable value or future fair values.

The use of different methodologies or assumptions to determine fair value of certain financial instruments could result in a materially different estimate of fair value at the reporting date.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The categorization within the fair value hierarchy is determined based on whether the inputs to valuation techniques used to measure fair value are observable or unobservable.

11 unchanged sentences

Level 3 financial instruments also include those for which the determination of fair value requires significant management judgment or estimation.

There was a transfer of securities into Level 3 in the investment portfolio and in CIVs due to changes in observability of pricing inputs in six months 2024.

There were transfers of securities into Level 3 in the investment portfolio, due to changes in observability of pricing inputs, and in CIVs, in connection with the distribution of assets from the CIV, in third quarter 2024 and nine months 2024.

There was a transfer of a fixed-maturity security in the investment portfolio from Level 3 to Level 2 during third quarter 2023 and nine months 2023.

There were no other transfers from or into Level 3 during the periods presented.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Carried at Fair Value

8 unchanged sentences

The valuation of fixed-maturity securities is more subjective when markets are less liquid due to the lack of market-based inputs.

As of June 30, 2024, the Company used models to price 177 securities.

As of September 30, 2024, the Company used models to price 175 securities.

All Level 3 securities were priced with the assistance of independent third parties.

10 unchanged sentences

Short-term investments that are traded in active markets are classified as Level 1 as their value is based on quoted market prices.

Securities such as discount notes are classified as Level 2 because these securities are typically not actively traded due to their approaching maturity and, as such, their cost approximates fair value.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Securities such as discount notes are classified as Level 2 because these securities are typically not actively traded.

Due to their approaching maturity the cost of discount notes approximates fair value.

Committed Capital Securities

Each of AG and AGM have entered into put agreements with four separate custodial trusts allowing each of AG and AGM to issue an aggregate of $ 200 million of non-cumulative redeemable perpetual preferred securities to the trusts in exchange for cash.

The arrangement entails four custodial trusts (Woodbourne Capital Trust I, II, III and IV) relating to AG and four custodial trusts (Sutton Capital Trust I, II, III and IV) relating to AGM, each of which issued $ 50 million face amount of “committed capital securities” (CCS) and invested the proceeds of that issuance in eligible assets that would enable the trust to have the cash necessary to respond to AG’s or AGM’s exercise, respectively, of a put option.

The put option consists of a right that each of AG and AGM have, pursuant to separate put agreements that AG and AGM entered into with each of the trusts, to issue to each trust $ 50 million of non-cumulative redeemable perpetual preferred stock, in exchange for an equivalent amount of cash (i.e., an aggregate of $ 200 million for each of AG and AGM).

When AG or AGM exercises its put option, the relevant trust(s) must liquidate the portfolio of high-quality, liquid assets that it currently maintains and use the liquidation proceeds to purchase AG or AGM preferred stock, as applicable.

AG has entered into put agreements with eight separate custodial trusts allowing it to issue an aggregate of $ 400 million of non-cumulative redeemable perpetual preferred securities to the trusts in exchange for cash.

The arrangement entails eight custodial trusts (Woodbourne Capital Trust I, II, III and IV and Sutton Capital Trust I, II, III and IV), each of which issued $ 50 million face amount of “committed capital securities” (CCS) and invested the proceeds of that issuance in eligible assets that would enable the trust to have the cash necessary to respond to AG’s exercise of a put option.

The put option consists of a right that AG has, pursuant to separate put agreements that AG entered into with each of the trusts, to issue to each trust $ 50 million of non-cumulative redeemable perpetual preferred stock, in exchange for an equivalent amount of cash (i.e., an aggregate of $ 400 million).

When AG exercises its put option, the relevant trust(s) must liquidate the portfolio of high-quality, liquid assets that it currently maintains and use the liquidation proceeds to purchase AG preferred stock.

The put agreements have no scheduled termination date or maturity, but may be terminated upon the occurrence of certain specified events.

None of the events that would give rise to a termination of the put agreements have occurred.

Effective August 1, 2024, AGM merged with and into AG, with AG as the surviving company.

Accordingly, effective as of August 1, 2024, all rights and obligations of AGM became rights and obligations of AG, including those under the CCS, and AG has the ability to exercise put options to raise up to $ 400 million of capital at any time.

The fair value of CCS, which is reported in other assets on the condensed consolidated balance sheets, represents the difference between the present value of the remaining expected put option premium payments under the put agreements, and the estimated present value of the amounts that the Company would hypothetically have to pay as of the reporting date for a comparable security.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

comparable security.

The change in fair value of the CCS are reported in “fair value gains (losses) on committed capital securities” in the condensed consolidated statements of operations.

The estimated cost of the Company’s CCS as of the reporting date is based on several factors, including AGM and AG CDS spreads, the Company’s publicly traded debt and an estimation of the securities’ remaining term.

The estimated cost of the Company’s CCS as of the reporting date is based on several factors, including AG CDS spreads, the Company’s publicly traded debt and an estimation of the securities’ remaining term.

The CCS are classified as Level 3.

1 unchanged sentence

The Company classified assets included in the Company’s various supplemental executive retirement plans as either Level 1 or Level 2.

The fair value of these assets is based on the observable published daily values of the underlying mutual funds included in the plans (Level 1) or based upon the NAV of the funds if a published daily value is not available (Level 2).

The fair value of these assets is based on the observable published daily values of the underlying mutual funds included in the plans (Level 1) or based upon the net asset value (NAV) of the funds if a published daily value is not available (Level 2).

The NAVs are based on observable information.

8 unchanged sentences

Management considers the non-standard terms of the Company’s credit derivative contracts in determining the fair value of these contracts.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

There is no established market where financial guaranty insured credit derivatives are actively traded;

6 unchanged sentences

Credit spreads capture the effect of recovery rates and performance of underlying assets of these contracts, among other factors.

Consistent with previous years, market conditions as of June 30, 2024 were such that market prices of the Company’s CDS contracts were not available.

Consistent with previous years, market conditions as of September 30, 2024 were such that market prices of the Company’s CDS contracts were not available.

Assumptions and Inputs

2 unchanged sentences

The primary sources of information used to determine gross spread and the fair value for CDS contracts include actual collateral credit spreads (if up-to-date and reliable market-based spreads are available), transactions priced or closed during a specific quarter within a specific asset class and specific rating, and information provided by the counterparty of the CDS.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Credit spreads may also be interpolated based upon market indices adjusted to reflect the non-standard terms of the Company’s CDS contracts, or extrapolated based upon transactions of similar asset classes, similar ratings, and similar time to maturity.

4 unchanged sentences

The Company’s own credit risk is factored into the determination of the current premium based on the quoted market price for credit protection bought on the Company, as reflected by quoted market prices on CDS contracts referencing AG.

AGM’s CDS spreads do not significantly affect the fair value of derivatives because of the characteristics of the derivative contracts remaining in its portfolio.

The Company obtains the quoted price of CDS contracts traded on AG from market data sources published by third parties.

2 unchanged sentences

This assumption can have the effect of limiting the amount of unrealized gains that are recognized on certain CDS contracts.

Approximately 15.8 % and 11.5 %, based on fair value, of the Company’s CDS contracts were fair valued using this minimum premium as of June 30, 2024 and December 31, 2023, respectively.

Approximately 16.4 % and 11.5 %, based on fair value, of the Company’s CDS contracts were fair valued using this minimum premium as of September 30, 2024 and December 31, 2023, respectively.

A credit derivative liability on protection sold is the result of contractual cash inflows on in-force transactions that are lower than what a hypothetical financial guarantor could receive if it sold protection on the same risk as of the reporting date.

If the Company were able to freely exchange these contracts (i.e., assuming its contracts did not contain proscriptions on transfer and there was a viable exchange market), it would realize a loss representing the difference between the lower contractual premiums to which it is entitled and the current market premiums for a similar contract.

The Company determines the fair value

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

of its CDS contracts by applying the difference between the current premium and the contractual premium for the remaining duration of each contract to the notional value of such contract and then discounting such amounts using the applicable discount rate corresponding to the weighted average remaining life of the contract.

The rates used to discount future expected premium cash flows ranged from 3.58 % to 4.89 % as of June 30, 2024 and 3.26 % to 4.81 % as of December 31, 2023.

The Company determines the fair value of its CDS contracts by applying the difference between the current premium and the contractual premium for the remaining duration of each contract to the notional value of such contract and then discounting such amounts using the applicable discount rate corresponding to the weighted average remaining life of the contract.

The rates used to discount future expected premium cash flows ranged from 3.08 % to 4.27 % as of September 30, 2024 and 3.26 % to 4.81 % as of December 31, 2023.

The Company’s credit derivative valuation model is a consistent approach that takes into account the transaction structure and the key drivers of market value and maximizes the use of market-driven inputs whenever they are available.

2 unchanged sentences

FG VIEs include Puerto Rico Trusts and structured finance and other FG VIEs.

As of June 30, 2024 and December 31, 2023, assets in the Puerto Rico Trusts, consisted of one fixed-maturity debt security classified as Level 3.

As of September 30, 2024 and December 31, 2023, assets in the Puerto Rico Trusts, consisted of one fixed-maturity debt security classified as Level 3.

The Company elected the FVO for the Puerto Rico Trusts’ liabilities and they are classified as Level 3.

7 unchanged sentences

In general, the fair value of the FG VIEs’ assets is most sensitive to changes in the projected collateral losses, where an increase in collateral losses typically leads to a potential decrease in the fair value of FG VIEs’ assets, while a decrease in collateral losses typically leads to an increase in the fair value of FG VIEs’ assets.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The prices of the assets and liabilities of the FG VIEs are generally determined with the assistance of an independent third party, based on a discounted cash flow approach.

3 unchanged sentences

For those liabilities insured by the Company, the benefit of the Company’s insurance policy guaranteeing the timely payment of debt service is also taken into account.

The liabilities of the Puerto Rico Trusts are priced based on the value of the assets in the Puerto Rico Trusts including the value of the U.S.

Insurance Subsidiaries’ financial guaranty policies.

The liabilities of the Puerto Rico Trusts are priced based on the value of the assets in the Puerto Rico Trusts including the value of the Company’s insurance subsidiary that issued the financial guaranty policy.

Significant changes to any of the inputs described above could materially change the timing of expected losses within an insured transaction.

3 unchanged sentences

Interest income and interest expense are derived from the trustee reports and also included in “fair value gains (losses) on FG VIEs.”

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Assets and Liabilities of CIVs

10 unchanged sentences

Significant changes to any of the inputs described above could have a material effect on the fair value of the consolidated assets and liabilities.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Amounts recorded at fair value in the Company’s financial statements are presented in the tables below.

Fair Value Hierarchy of Financial Instruments Carried at Fair Value

As of June 30, 2024

As of September 30, 2024

Fair Value Hierarchy

61 unchanged sentences

Changes in Level 3 Fair Value Measurements

The tables below present a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during second quarter 2024, second quarter 2023, six months 2024 and six months 2023.

The tables below present a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during third quarter 2024, third quarter 2023, nine months 2024 and nine months 2023.

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Second Quarter 2024

Third Quarter 2024

Fixed-Maturity Securities, Available-for-Sale Assets of CIVs

Subdivisions RMBS Asset-

Securities FG VIEs’

Securities Fixed-Maturity Securities, Trading FG VIEs’

Assets Equity Securities Structured Products Other

(in millions)

Fair value as of March 31, 2024 $ 6 $ 153 $ 821 $ 167 $ 89 $ 220 $ 5

Fair value as of June 30, 2024 $ 7 $ 150 $ 795 $ — $ 160 $ 93 $ 225 $ 6

Total pre-tax realized and unrealized gains (losses) recorded in:

4 unchanged sentences

Settlements — ( 6 ) ( 31 ) ( 2 ) ( 6 ) — — —

Fair value as of June 30, 2024 $ 7 $ 150 $ 795 $ 160 $ 93 $ 225 $ 6

Change in unrealized gains (losses) related to financial instruments held as of June 30, 2024 included in:

Reclassifications (10) — — — 8 — — ( 8 ) —

Transfers out of Level 3 — — — — — ( 2 ) — —

Fair value as of September 30, 2024 $ 7 $ 152 $ 787 $ 6 $ 156 $ 97 $ 237 $ 4

Change in unrealized gains (losses) related to financial instruments held as of September 30, 2024 included in:

Earnings $ — $ — $ 9 (4) $ ( 1 ) (4) $ ( 4 ) (3)

1 unchanged sentence

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Second Quarter 2024

Third Quarter 2024

Credit Derivative

1 unchanged sentence

(in millions)

Fair value as of March 31, 2024 $ ( 39 ) $ ( 399 )

Fair value as of June 30, 2024 $ ( 34 ) $ ( 393 )

Total pre-tax realized and unrealized gains (losses) recorded in:

1 unchanged sentence

Other comprehensive income (loss) — ( 1 )

Issuances ( 2 ) —

Settlements ( 1 ) 5

Fair value as of June 30, 2024 $ ( 34 ) $ ( 393 )

Change in unrealized gains (losses) related to financial instruments held as of June 30, 2024 included in:

Fair value as of September 30, 2024 $ ( 34 ) $ ( 392 )

Change in unrealized gains (losses) related to financial instruments held as of September 30, 2024 included in:

Earnings $ 1 (6) $ ( 4 ) (2)

2 unchanged sentences

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Second Quarter 2023

Third Quarter 2023

Fixed-Maturity Securities, Available-for-Sale Assets of CIVs

3 unchanged sentences

(in millions)

Fair value as of March 31, 2023 $ 47 $ 174 $ 795 $ 197 $ 329 $ 93 $ 17 $ 34

Fair value as of June 30, 2023 $ 46 $ 162 $ 800 $ 188 $ 290 $ 84 $ — $ 33

Total pre-tax realized and unrealized gains (losses) recorded in:

4 unchanged sentences

Settlements ( 1 ) ( 7 ) ( 15 ) ( 9 ) — — — —

Fair value as of June 30, 2023 $ 46 $ 162 $ 800 $ 188 $ 290 $ 84 $ — $ 33

Change in unrealized gains (losses) related to financial instruments held as of June 30, 2023 included in:

Consolidations — — — — — — — —

Deconsolidations — — — — ( 219 ) ( 84 ) 166 —

Transfers out of Level 3 ( 40 ) — — — — — — —

Fair value as of September 30, 2023 $ 2 $ 153 $ 796 $ 180 $ 75 $ — $ 173 $ 13

Change in unrealized gains (losses) related to financial instruments held as of September 30, 2023 included in:

Earnings $ — $ 6 (4) $ — $ 7 (4) $ ( 20 ) (3)

1 unchanged sentence

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Second Quarter 2023

Third Quarter 2023

Credit Derivative

1 unchanged sentence

(in millions)

Fair value as of March 31, 2023 $ ( 148 ) $ ( 704 ) $ ( 4,220 )

Fair value as of June 30, 2023 $ ( 57 ) $ ( 699 ) $ ( 4,199 )

Total pre-tax realized and unrealized gains (losses) recorded in:

2 unchanged sentences

Settlements ( 1 ) 127 —

Fair value as of June 30, 2023 $ ( 57 ) $ ( 699 ) $ ( 4,199 )

Change in unrealized gains (losses) related to financial instruments held as of June 30, 2023 included in:

Deconsolidations — — 4,199

Fair value as of September 30, 2023 $ ( 49 ) $ ( 542 ) $ —

Change in unrealized gains (losses) related to financial instruments held as of September 30, 2023 included in:

Earnings $ 9 (6) $ 9 (2) $ —

OCI $ 2 $ ( 5 )

Assured Guaranty Ltd.

1 unchanged sentence

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Six Months 2024

Fixed-Maturity Securities, Available-for-Sale Assets of CIVs

Nine Months 2024

Fixed-Maturity Securities, Available-for-Sale Fixed-Maturity Securities, Trading Assets of CIVs

Subdivisions RMBS Asset-

9 unchanged sentences

Settlements ( 1 ) ( 19 ) ( 95 ) ( 2 ) ( 18 ) — — —

Reclassifications (10) — — — 8 — — ( 8 ) —

Transfers into Level 3 — — 20 — — 3 10 —

Fair value as of June 30, 2024 $ 7 $ 150 $ 795 $ 160 $ 93 $ 225 $ 6

Change in unrealized gains (losses) related to financial instruments held as of June 30, 2024 included in:

Transfers out of Level 3 — — — — — ( 2 ) — —

Fair value as of September 30, 2024 $ 7 $ 152 $ 787 $ 6 $ 156 $ 97 $ 237 $ 4

Change in unrealized gains (losses) related to financial instruments held as of September 30, 2024 included in:

Earnings $ — $ ( 5 ) (2) $ 21 (4) $ ( 3 ) (4) $ ( 12 ) (3)

1 unchanged sentence

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Six Months 2024

Nine Months 2024

Credit Derivative

5 unchanged sentences

Other comprehensive income (loss) — ( 1 )

Issuances ( 2 ) —

Settlements ( 1 ) 157

Fair value as of June 30, 2024 $ ( 34 ) $ ( 393 )

Change in unrealized gains (losses) related to financial instruments held as of June 30, 2024 included in:

Fair value as of September 30, 2024 $ ( 34 ) $ ( 392 )

Change in unrealized gains (losses) related to financial instruments held as of September 30, 2024 included in:

Earnings $ 9 (6) $ —

2 unchanged sentences

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Six Months 2023

Nine Months 2023

Fixed-Maturity Securities, Available-for-Sale Assets of CIVs

11 unchanged sentences

Settlements ( 3 ) ( 23 ) ( 22 ) ( 24 ) — — — ( 4 )

Fair value as of June 30, 2023 $ 46 $ 162 $ 800 $ 188 $ 290 $ 84 $ — $ 33

Change in unrealized gains (losses) related to financial instruments held as of June 30, 2023 included in:

Deconsolidations — — — — ( 219 ) ( 84 ) 166 —

Transfers out of Level 3 ( 40 ) — — — — — — —

Fair value as of September 30, 2023 $ 2 $ 153 $ 796 $ 180 $ 75 $ — $ 173 $ 13

Change in unrealized gains (losses) related to financial instruments held as of September 30, 2023 included in:

Earnings $ ( 3 ) (2) $ 6 (4) $ — $ 7 (4) $ ( 33 ) (3)

OCI $ — $ ( 13 ) $ — $ —

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Roll Forward of Level 3 Assets (Liabilities) at Fair Value on a Recurring Basis

Six Months 2023

Nine Months 2023

Credit Derivative

8 unchanged sentences

Settlements ( 2 ) 141 13

Fair value as of June 30, 2023

Deconsolidations — — 4,199

Fair value as of September 30, 2023

$ ( 49 ) $ ( 542 ) $ —

Change in unrealized gains (losses) related to financial instruments held as of June 30, 2023 included in:

Change in unrealized gains (losses) related to financial instruments held as of September 30, 2023 included in:

Earnings $ 114 (6) $ 11 (2) $ —

OCI $ 1 $ ( 13 )

____________________

10 unchanged sentences

The CLOs were collateralized financing entities that were consolidated until the Sound Point Transaction occurred on July 1, 2023.

(10) Represent securities transferred from one of the CIVs to the investment portfolio due to the distribution of assets of that CIV.

See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for additional information.

Assured Guaranty Ltd.

2 unchanged sentences

Quantitative Information About Level 3 Fair Value Inputs

As of June 30, 2024

As of September 30, 2024

Financial Instrument Description Fair Value Assets (Liabilities)

10 unchanged sentences

Others 404 Yield 7.0 % - 10.1 % 7.3 %

Fixed-maturity securities, trading (1) 6 Yield 21.6 % - 41.6 % 28.8 %

FG VIEs’ assets (1) 156 CPR 0.2 % - 22.9 % 6.3 %

24 unchanged sentences

(3) The primary valuation technique uses the income and/or market approach;

the key inputs to the valuation are yield/discount rates and market multiples.

(4) Weighted average is calculated as a percentage of current par outstanding for all categories except for assets of CIVs, for which it is calculated as a percentage of fair value.

the key inputs to the valuation are yield/

discount rates and market multiples.

(4) Weighted average is calculated as a percentage of current par outstanding for all categories except for assets of CIVs,

for which it is calculated as a percentage of fair value.

Assured Guaranty Ltd.

40 unchanged sentences

(2) Excludes several investments reported in “other invested assets” with a fair value of $ 3 million.

(3) The primary valuation technique uses the income and/or market approach, the key inputs to the valuation are yield/discount rates and market multiples.

(4) Weighted average is calculated as a percentage of current par outstanding for all categories except for assets of CIVs, for which it is calculated as a percentage of fair value.

(3) The primary valuation technique uses the income and/or market approach, the key inputs to the valuation are yield/

discount rates and market multiples.

(4) Weighted average is calculated as a percentage of current par outstanding for all categories except for assets of CIVs,

for which it is calculated as a percentage of fair value.

Assured Guaranty Ltd.

2 unchanged sentences

Financial Guaranty Insurance Contracts

Fair value is based on management’s estimate of what a similarly rated financial guaranty insurance company would demand to acquire the Company’s in-force book of financial guaranty insurance business.

It is based on a variety of factors that include pricing assumptions management has observed for portfolio transfers, commutations and acquisitions that have occurred in the financial guaranty market, and also includes adjustments for stressed losses, ceding commissions and return on capital.

Fair value is based on management’s estimate of the consideration that would be paid to, or received from, a similarly rated financial guaranty insurance company to acquire the Company’s in-force book of financial guaranty insurance business.

It is based upon the ratio of current trends in premium pricing to risk-based expected loss for investment grade portions of the portfolio and stressed loss pricing for BIG transactions.

The Company classified the fair value of financial guaranty insurance contracts as Level 3.

12 unchanged sentences

Fair Value of Financial Instruments Not Carried at Fair Value

As of June 30, 2024 As of December 31, 2023

As of September 30, 2024 As of December 31, 2023

Amount Estimated

12 unchanged sentences

although it remains a Bermuda-based company and its administrative and head office functions continue to be carried on in Bermuda.

Under Bermuda law, there was no Bermuda income, corporate or profits tax or withholding tax, capital gains tax or capital transfer tax payable by AGL or the Bermuda Subsidiaries (collectively, AG Re, AGRO and Cedar Personnel Ltd.) in 2023 and six months 2024.

Assured Guaranty Ltd.

4 unchanged sentences

This applies to AGL and its subsidiaries, requiring a minimum effective rate of 15 % in all jurisdictions in which they operate.

On December 27, 2023 the Bermuda government enacted a corporate income tax at the rate of 15 % which will apply the Bermuda Subsidiaries for accounting periods starting on or after January 1, 2025.

The enactment of the corporate income tax regime required the Company to recognize Bermuda deferred taxes for the first time and was recognized in the period that includes the date of enactment.

On December 27, 2023 the Bermuda government enacted a corporate income tax at the rate of 15 % which will apply to the Bermuda Subsidiaries for accounting periods starting on or after January 1, 2025.

The enactment of the corporate income tax regime required the Company to recognize Bermuda deferred taxes for the first time in the fourth quarter of 2023.

An economic transition adjustment (ETA) equal to the difference between the fair market value and the carrying value of assets and liabilities of each of the Company’s Bermuda insurance subsidiaries as of September 30, 2023 resulted in the establishment of a deferred tax asset and corresponding benefit of $ 189 million reported in the fourth quarter of 2023 consolidated statement of operations.

11 unchanged sentences

Deferred and Current Tax Assets (Liabilities)

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

(in millions)

9 unchanged sentences

When assessing recoverability of these deferred tax assets, the Company considers the ability and intent to hold the underlying securities to recovery in value, if necessary, as well as other factors as noted above.

As of June 30, 2024 and December 31, 2023, based on all available evidence, including capital loss carryback capacity, the Company concluded that the deferred tax assets related to the unrealized tax capital losses on the available-for-sale securities portfolios are, more likely than not, expected to be realized.

As of September 30, 2024 and December 31, 2023, based on all available evidence, including capital loss carryback capacity, the Company concluded that the deferred tax assets related to the unrealized tax capital losses on the available-for-sale securities portfolios are, more likely than not, expected to be realized.

Provision for Income Taxes

3 unchanged sentences

The effective tax rates reflect the proportion of income recognized by each of the Company’s operating subsidiaries, with

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

subsidiaries taxed at the U.S.

marginal corporate income tax rate of 21 %,

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

• the French subsidiary taxed at the French marginal corporate tax rate of 25 %,

7 unchanged sentences

Effective Tax Rate Reconciliation

Second Quarter Six Months

Third Quarter Nine Months

2024 2023 2024 2023

2 unchanged sentences

Tax-exempt interest ( 2 ) ( 3 ) ( 6 ) ( 9 )

NCI — — ( 1 ) ( 3 )

Return to provision adjustment ( 1 ) ( 6 ) ( 1 ) ( 6 )

State taxes 4 1 7 8

8 unchanged sentences

Pre-tax Income (Loss) by Tax Jurisdiction

Second Quarter Six Months

Third Quarter Nine Months

2024 2023 2024 2023

6 unchanged sentences

Revenue by Tax Jurisdiction

Second Quarter Six Months

Third Quarter Nine Months

2024 2023 2024 2023

4 unchanged sentences

Total $ 269 $ 403 $ 716 $ 1,046

Pre-tax income by jurisdiction may be disproportionate to revenue by jurisdiction to the extent that insurance losses incurred are disproportionate.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Pre-tax income by jurisdiction may be disproportionate to revenue by jurisdiction to the extent that insurance losses incurred are disproportionate.

As of June 30, 2024, AGUS had open tax years with the U.S.

As of September 30, 2024, AGUS had open tax years with the U.S.

Internal Revenue Service (IRS) for 2018 forward and is currently under audit for the 2018 and 2019 tax years.

As of June 30, 2024, Assured Guaranty Overseas US Holdings Inc.

As of September 30, 2024, Assured Guaranty Overseas US Holdings Inc.

had open tax years with the IRS for 2021 forward and is not currently under audit with the IRS.

10 unchanged sentences

For example, the Company is involved in a number of legal actions in the Federal District Court of Puerto Rico to enforce or defend its rights with respect to the obligations it insures of Puerto Rico and its related PREPA.

There remains one active proceeding related to PREPA, while there are a number of unresolved proceedings related to PREPA that remain stayed pending the Federal District Court of Puerto Rico’s determination on the PREPA plan of adjustment.

See Note 3, Outstanding Exposure, Exposure to Puerto Rico, for a description of such actions.

12 unchanged sentences

The parties reached a confidential settlement with respect to this motion for attorneys’ fees, and AGFP withdrew the motion without prejudice on October 30, 2023.

On September 22, 2023, LBIE appealed the Court’s post-trial decision to the New York Appellate Division’s First Judicial Department (Appellate Division).

On March 14, 2024, the Appellate Division affirmed the Court’s judgment.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

September 22, 2023, LBIE appealed the Court’s post-trial decision to the New York Appellate Division’s First Judicial Department (Appellate Division).

On March 14, 2024, the Appellate Division affirmed the Court’s judgment.

On April 15, 2024, LBIE moved for leave to reargue its appeal before the Appellate Division or to appeal to the New York Court of Appeals, which the Appellate Division denied on July 18, 2024.

The Company continues to evaluate developments related to this case including any issues associated with any further appeals by the plaintiff.

2024, LBIE moved for leave to reargue its appeal before the Appellate Division or to appeal to the New York Court of Appeals, which the Appellate Division denied on July 18, 2024.

On August 19, 2024, LBIE filed a motion with the New York Court of Appeals for leave to appeal, which AGFP opposed on August 30, 2024;

a ruling on the motion is pending.

The Company did not accrue in its condensed consolidated financial statements for the judgment it was awarded or the attorneys’ fees it sought.

3 unchanged sentences

Changes in Accumulated Other Comprehensive Income (Loss) by Component

Second Quarter 2024

Third Quarter 2024

Net Unrealized Gains (Losses) on Investments with:

4 unchanged sentences

(in millions)

Balance, March 31, 2024 $ ( 231 ) $ ( 103 ) $ ( 21 ) $ ( 37 ) $ 5 $ ( 387 )

Balance, June 30, 2024 $ ( 243 ) $ ( 96 ) $ ( 20 ) $ ( 38 ) $ 5 $ ( 392 )

Other comprehensive income (loss) before reclassifications 147 13 ( 2 ) — — 158

2 unchanged sentences

( 4 ) 3 — — — ( 1 )

Fair value gains (losses) on FG VIEs — — ( 1 ) — — ( 1 )

Total before tax

4 unchanged sentences

Other comprehensive income (loss) 152 10 ( 1 ) — — 161

Balance, June 30, 2024 $ ( 243 ) $ ( 96 ) $ ( 20 ) $ ( 38 ) $ 5 $ ( 392 )

Balance, September 30, 2024 $ ( 91 ) $ ( 86 ) $ ( 21 ) $ ( 38 ) $ 5 $ ( 231 )

Assured Guaranty Ltd.

1 unchanged sentence

Changes in Accumulated Other Comprehensive Income (Loss) by Component

Second Quarter 2023

Third Quarter 2023

Net Unrealized Gains (Losses) on Investments with:

4 unchanged sentences

(in millions)

Balance, March 31, 2023 $ ( 254 ) $ ( 105 ) $ ( 24 ) $ ( 43 ) $ 6 $ ( 420 )

Balance, June 30, 2023 $ ( 284 ) $ ( 115 ) $ ( 22 ) $ ( 42 ) $ 5 $ ( 458 )

Other comprehensive income (loss) before reclassifications ( 115 ) ( 14 ) 10 ( 1 ) — ( 120 )

2 unchanged sentences

( 2 ) ( 7 ) — — — ( 9 )

Fair value gains (losses) on FG VIEs

— — ( 1 ) — — ( 1 )

Interest expense — — — — 1 1

Fair value gains (losses) on CIVs — — — ( 6 ) — ( 6 )

Total before tax

1 unchanged sentence

Tax (provision) benefit

( 1 ) 2 — — — 1

Total amount reclassified from AOCI, net of tax ( 2 ) ( 6 ) — ( 5 ) — ( 13 )

Other comprehensive income (loss) ( 113 ) ( 8 ) 10 4 — ( 107 )

Balance, June 30, 2023 $ ( 284 ) $ ( 115 ) $ ( 22 ) $ ( 42 ) $ 5 $ ( 458 )

Balance, September 30, 2023 $ ( 397 ) $ ( 123 ) $ ( 12 ) $ ( 38 ) $ 5 $ ( 565 )

Changes in Accumulated Other Comprehensive Income (Loss) by Component

Six Months 2024

Nine Months 2024

Net Unrealized Gains (Losses) on Investments with:

17 unchanged sentences

Other comprehensive income (loss) 111 18 ( 1 ) — — 128

Balance, June 30, 2024 $ ( 243 ) $ ( 96 ) $ ( 20 ) $ ( 38 ) $ 5 $ ( 392 )

Balance, September 30, 2024 $ ( 91 ) $ ( 86 ) $ ( 21 ) $ ( 38 ) $ 5 $ ( 231 )

Assured Guaranty Ltd.

1 unchanged sentence

Changes in Accumulated Other Comprehensive Income (Loss) by Component

Six Months 2023

Nine Months 2023

Net Unrealized Gains (Losses) on Investments with:

11 unchanged sentences

— — ( 2 ) — — ( 2 )

Fair value gains (losses) on CIVs

— — — ( 6 ) — ( 6 )

Interest expense — — — — 1 1

5 unchanged sentences

Other comprehensive income (loss) ( 54 ) ( 13 ) 11 7 ( 1 ) ( 50 )

Balance, June 30, 2023 $ ( 284 ) $ ( 115 ) $ ( 22 ) $ ( 42 ) $ 5 $ ( 458 )

Balance, September 30, 2023 $ ( 397 ) $ ( 123 ) $ ( 12 ) $ ( 38 ) $ 5 $ ( 565 )

Share Repurchases

On May 2, 2024, AGL’s Board of Directors (the Board) authorized the repurchase of an additional $ 300 million of its common shares.

As of August 6, 2024, the Company was authorized to purchase $ 275 million of its common shares.

On May 2, 2024, and November 8, 2024 AGL’s Board of Directors (the Board) authorized the repurchase of an additional $ 300 million and $ 250 million, respectively, of the Company’s common shares.

As of November 8, 2024, the remaining amount the Company was authorized to purchase was approximately $ 385 million of its common shares.

The Company expects to repurchase shares from time to time in the open market or in privately negotiated transactions.

12 unchanged sentences

2024 (April 1 - June 30) 1,928,328 152 78.50

2024 (July 1 - August 6) 599,497 48 79.96

2024 (July 1 - September 30) 1,658,441 131 78.87

2024 (October 1 - November 8) 692,513 58 83.61

Total 2024 5,818,560 $ 470 $ 80.69

5 unchanged sentences

Computation of Earnings Per Share

Second Quarter Six Months

Third Quarter Nine Months

2024 2023 2024 2023

16 unchanged sentences

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements