What changed in this filing

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Item 8. Financial Statements and Supplementary Data

2025-02-28 compared with 2024-02-28 · 802 added, 1216 removed, 2625 unchanged (43% of the section changed)

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Asset Management Fees

Goodwill and Other Intangible Assets

Long-Term Debt and Credit Facilities

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Related Party Transactions

Commitments and Contingencies

Contingencies

Shareholders’ Equity

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Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

Critical Audit Matters

The critical audit matters communicated below are matters arising from the current period audit of the consolidated financial statements that were communicated or required to be communicated to the audit committee and that (i) relate to accounts or disclosures that are material to the consolidated financial statements and (ii) involved our especially challenging, subjective, or complex judgments.

The communication of critical audit matters does not alter in any way our opinion on the consolidated financial statements, taken as a whole, and we are not, by communicating the critical audit matters below, providing separate opinions on the critical audit matters or on the accounts or disclosures to which they relate.

Valuation of the Loss and Loss Adjustment Expense (LAE) Reserve and the Salvage and Subrogation Recoverable - Estimation of the Expected Loss to be Paid (Recovered)

Critical Audit Matter

The critical audit matter communicated below is a matter arising from the current period audit of the consolidated financial statements that was communicated or required to be communicated to the audit committee and that (i) relates to accounts or disclosures that are material to the consolidated financial statements and (ii) involved our especially challenging, subjective, or complex judgments.

The communication of critical audit matters does not alter in any way our opinion on the consolidated financial statements, taken as a whole, and we are not, by communicating the critical audit matter below, providing a separate opinion on the critical audit matter or on the accounts or disclosures to which it relates.

Valuation of the Loss and Loss Adjustment Expense (LAE) Reserve and the Salvage and Subrogation Recoverable - Estimation of the Expected Loss to be Paid (Recovered) Related to Public Finance Obligations

As described in Notes 4 and 5 to the consolidated financial statements, the loss and LAE reserve and the salvage and subrogation recoverable reported on the consolidated balance sheet relate only to direct and assumed reinsurance contracts that are accounted for as insurance, substantially all of which are financial guaranty insurance contracts.

As of December 31, 2023, the loss and LAE reserve was $376 million and the salvage and subrogation recoverable was $298 million.

As of December 31, 2024, the loss and LAE reserve was $268 million and the salvage and subrogation recoverable was $396 million, for which a significant portion of such amounts relate to public finance obligations.

A loss and LAE reserve for a financial guaranty insurance contract is recorded only to the extent, and for the amount, that expected loss to be paid plus contra-paid (total losses) exceed the deferred premium revenue, on a contract by contract basis.

The expected loss to be paid (recovered) is equal to the present value of expected future cash outflows for loss and LAE payments, net of inflows for expected salvage and subrogation and net of excess spread on underlying collateral, using current risk-free rates.

The expected loss to be paid (recovered) is equal to the present value of expected future cash outflows for loss and LAE payments, and net of inflows for expected salvage and subrogation, using current risk-free rates.

If a transaction is in a net recovery position, this results in the recording of a salvage and subrogation recoverable.

Expected cash outflows and inflows are probability weighted cash flows that reflect management's assumptions about the likelihood of all possible outcomes based on all information available to management.

The determination of expected loss to be paid (recovered) is a subjective process involving numerous estimates, assumptions and judgments relating to internal credit ratings, severity of loss, delinquencies, liquidation rates, prepayment rates, timing of cash flows, recovery rates, and probability weightings, as used in the respective cash flow models used by management.

The principal considerations for our determination that performing procedures relating to the valuation of the loss and LAE reserve and the salvage and subrogation recoverable – estimation of the expected loss to be paid (recovered) is a critical audit matter are (i) the significant judgment by management in determining the significant assumptions related to internal credit ratings, severity of loss, delinquencies, liquidation rates, prepayment rates, timing of cash flows, recovery rates, and probability weightings (collectively referred to as the “significant assumptions”) used in the respective cash flow models in determining the estimate, (ii) a high degree of auditor judgment, subjectivity, and effort in performing procedures and evaluating audit evidence related to the aforementioned significant assumptions and judgments used in the respective cash flow models;

The determination of expected loss to be paid (recovered) is a subjective process involving numerous estimates, assumptions and judgments relating to internal credit ratings, timing of cash flows, recovery rates, and probability weightings, as used in the respective cash flow models used by management.

The principal considerations for our determination that performing procedures relating to the valuation of the loss and LAE reserve and the salvage and subrogation recoverable – estimation of the expected loss to be paid (recovered) related to public finance obligations is a critical audit matter are (i) the significant judgment by management when developing the estimate of the loss and LAE reserve and the salvage and subrogation recoverable – estimation of the expected loss to be paid (recovered) related to public finance obligations, (ii) a high degree of auditor judgment, subjectivity, and effort in performing procedures and evaluating management's significant assumptions related to internal credit ratings, timing of cash flows, recovery rates, and probability weightings;

and (iii) the audit effort included the involvement of professionals with specialized skill and knowledge.

Addressing the matter involved performing procedures and evaluating audit evidence in connection with forming our overall opinion on the consolidated financial statements.

These procedures included testing the effectiveness of controls relating to the valuation of the loss and LAE reserve and the salvage and subrogation recoverable, including controls over the cash flow models and the development of the aforementioned significant assumptions.

These procedures also included, among others, the use of professionals with specialized skill and knowledge to assist in (i) independently estimating a range of expected loss to be paid (recovered) and comparing the independent estimate to management’s estimate to evaluate the reasonableness of the estimate for certain transactions;

and (ii) testing management’s process for determining the estimate for certain transactions by evaluating the reasonableness of the aforementioned significant assumptions, and assessing the appropriateness of the methodology of the respective models used in developing the estimate of the expected loss to be paid (recovered).

Performing these procedures also involved testing the completeness and accuracy of data provided by management.

Valuation of the Consideration Received for the Contribution of Most of the Assured Investment Management LLC Business to Sound Point Capital Management LP

As described in Note 1 to the consolidated financial statements, on July 1, 2023, the Company contributed most of its Assured Investment Management LLC asset management business to Sound Point Capital Management LP.

The Company received common interests in Sound Point Capital Management LP representing a 30% participation percentage in Sound Point Capital Management LP, and certain other interests in related Sound Point entities (collectively Sound Point).

The fair value of Sound Point as of July 1, 2023 was determined using a weighted average of two valuation methodologies:

a discounted cash

flow model and a guideline public company model.

The discounted cash flow model estimates fair value based on the present value of the cash flows expected to be generated over a projection period of 6.0 years, with a terminal value determined after the final year of the projection.

The development of the expected cash flows included assumptions related to the growth in assets under management over the 6.0 year projection period, EBITDA margin, terminal growth rate, and discount rate.

The guideline public company model estimates fair value using the prices of comparable public companies.

The Company recorded its consideration received as a $425 million equity method investment in Sound Point, determined as its share of the fair value of Sound Point as of the date of contribution, in other invested assets.

The principal considerations for our determination that performing procedures relating to the valuation of the consideration received for the contribution of most of the Assured Investment Management LLC business to Sound Point Capital Management LP is a critical audit matter are (i) the significant judgment by management when developing the fair value estimate of the consideration received, (ii) a high degree of auditor judgment, subjectivity, and effort in performing procedures and evaluating management’s significant assumptions related to the growth in assets under management over a 6.0 year projection period, EBITDA margin, and discount rate used in the discounted cash flow model, and (iii) the audit effort involved the use of professionals with specialized skill and knowledge.

Addressing the matter involved performing procedures and evaluating audit evidence in connection with forming our overall opinion on the consolidated financial statements.

These procedures included testing the effectiveness of controls relating to the valuation of the consideration received, including controls over the reasonableness of the significant assumptions utilized in the discounted cash flow model.

These procedures also included, among others, (i) reading the transaction agreement, (ii) testing management’s process for developing the fair value estimate of the consideration received, (iii) evaluating the appropriateness of the discounted cash flow model, (iv) testing the completeness and accuracy of the underlying data used in the discounted cash flow model, and (v) evaluating the reasonableness of management’s significant assumptions related to the growth of assets under management over a 6.0 year projection period, EBITDA margin, and discount rate.

Evaluating management’s assumptions related to the growth of assets under management and EBITDA margin involved evaluating whether the assumptions used were reasonable considering the past performance of Sound Point Capital Management LP and relevant external market and industry data.

Professionals with specialized skill and knowledge were used to assist in the evaluation of the appropriateness of the discounted cash flow model and the reasonableness of the discount rate significant assumption.

These procedures included testing the effectiveness of controls relating to the valuation of the loss and LAE reserve and the salvage and subrogation recoverable – estimation of the expected loss to be paid (recovered) related to public finance obligations.

These procedures also included, among others, (i) testing management’s process for developing the estimate of the loss and LAE reserve and the salvage and subrogation recoverable, (ii) evaluating the appropriateness of the cash flow models used by management, (iii) testing the completeness and accuracy of the underlying data used in the cash flow models, and (iv) evaluating the reasonableness of the significant assumptions used by management related to internal credit ratings, timing of cash flows, recovery rates, and probability weightings.

Evaluating management’s assumptions related to internal credit ratings, timing of cash flows, recovery rates, and probability weightings involved evaluating whether the assumptions used by management were reasonable, as considered applicable to the individual public finance obligation, considering (i) the current, past, or anticipated future performance of the obligor, and (ii) the consistency with external market and industry data.

Professionals with specialized skill and knowledge were used to assist in evaluating the reasonableness of the significant assumptions related to timing of cash flows, recovery rates, and probability weightings for certain public finance obligations.

/s/ PricewaterhouseCoopers LLP

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Assets of consolidated investment vehicles (includes $ 99 and $ 331 , at fair value)

Goodwill and other intangible assets 6 163

Other assets (includes $ 131 and $ 123 , at fair value)

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Long-term debt 1,699 1,694

Credit derivative liabilities, at fair value 53 163

Financial guaranty variable interest entities’ liabilities, at fair value (with recourse $ 155 and $ 543 , without recourse $ 9 and $ 11 )

Liabilities of consolidated investment vehicles (includes $ 0 and $ 4,431 , at fair value)

Other liabilities 435 457

Other liabilities (includes $ 34 and $ 53 at fair value)

Total liabilities 6,348 6,774

Commitments and contingencies (Note 18)

Commitments and contingencies (Notes 3, 4, 7, 17)

Shareholders’ equity

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Interest expense 91 90 81

Loss on extinguishment of debt — — 175

Amortization of deferred acquisition costs (DAC)

Amortization of deferred acquisition costs 20 13 14

Employee compensation and benefit expenses 202 251 258

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Common Shares Par Value Retained Earnings Accumulated

Comprehensive Income Deferred

Comprehensive Income (Loss) Deferred

Equity Compensation Total

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Share-based compensation 342,597 — 30 — — 30 — 30

Consolidation — — — — — — 89 89

Contributions — — — — — — 89 89

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Share-based compensation 420,158 — 21 — — 21 — 21

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

Contributions — — — — — — 20 20

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

Other comprehensive loss — — — ( 815 ) — ( 815 ) — ( 815 )

Other comprehensive income — — — 156 — 156 — 156

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

As of December 31, 2023 56,217,305 1 6,070 ( 359 ) 1 5,713 52 5,765

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Share-based compensation 468,789 — 8 — — 8 — 8

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

Contributions — — — — — — 20 20

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

Other comprehensive income — — — 156 — 156 — 156

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

Other comprehensive loss — — — ( 26 ) — ( 26 ) — ( 26 )

As of December 31, 2024 50,505,320 $ 1 $ 5,878 $ ( 385 ) $ 1 $ 5,495 $ 58 $ 5,553

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Fair value losses (gains) on trading securities ( 52 ) ( 74 ) 34

Loss on extinguishment of debt — — 175

Gain on sale of asset management subsidiaries — ( 262 ) —

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Change in credit derivative assets and liabilities, net ( 21 ) ( 112 ) 8

Distributions from equity method investments 47 7 10

Other ( 19 ) ( 97 ) ( 47 )

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Net sales (purchases) of short-term investments with original maturities of less than three months 437 ( 872 ) 439

Fixed-maturity securities, trading:

Sales — 121 —

Maturities and paydowns 63 87 —

Purchases of other invested assets ( 198 ) ( 25 ) ( 79 )

Sales and return of capital of other invested assets 29 36 80

Sales of fixed-maturity securities, trading 233 — 121

Maturities and paydowns of fixed-maturity securities, trading 21 63 87

Purchases of and contributions to other invested assets ( 119 ) ( 198 ) ( 25 )

Sales of and return of capital from other invested assets 41 29 36

Paydowns on financial guaranty variable interest entities’ assets 23 175 84

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Redemptions and purchases of debt, including make-whole payment — ( 330 ) ( 2 )

Other ( 19 ) ( 6 ) 26

Payments related to tax withholding for share-based compensation ( 30 ) ( 20 ) ( 14 )

Cash flows from consolidated investment vehicles:

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Supplemental disclosure of non-cash activities:

Puerto Rico Salvage (see Note 3)

Puerto Rico Salvage

Fixed-maturity securities, available-for-sale, received as salvage $ — $ 1 $ 986

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Distributions to noncontrolling interests — 27 56

Sale of asset management subsidiaries

Sale of asset management subsidiaries (See Note 1)

Assets acquired — 437 —

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public finance (including infrastructure) and structured finance markets.

Assured Guaranty also participates in the asset management business, as described below.

Assured Guaranty also participates in the asset management business.

Through its insurance subsidiaries, the Company applies its credit underwriting judgment, risk management skills and capital markets experience primarily to offer financial guaranty insurance that protects holders of debt instruments and other monetary obligations from defaults in scheduled payments.

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The Company also provides specialty insurance and reinsurance on transactions with risk profiles similar to those of its structured finance exposures written in financial guaranty form.

The Company’s principal insurance subsidiaries are:

• Assured Guaranty Inc.

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

• Assured Guaranty UK Limited (AGUK), organized in the U.K.;

• Assured Guaranty (Europe) SA (AGE), organized in France;

• Assured Guaranty Re Ltd.

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

• Assured Guaranty Re Overseas Ltd.

(AGRO), domiciled in Bermuda.

Effective August 1, 2024, Assured Guaranty Municipal Corp.

(AGM) merged with and into AG, with AG as the surviving company.

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 the third quarter of 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 the third quarter of 2024 AG implemented, the redemption of approximately $ 300 million of AG’s shares of common stock from its parent, Assured Guaranty Municipal Holdings Inc.

(AGMH), in exchange for cash of $ 167 million and the remainder in alternative investments.

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, AGMH.

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 $ 3 million (reported in “other liabilities”), respectively, as of December 31, 2024.

Asset Management

Until July 1, 2023, the Company served as an investment advisor to primarily collateralized loan obligations (CLOs) and opportunity funds, through Assured Investment Management LLC (AssuredIM LLC) and its investment management affiliates (together with AssuredIM LLC, AssuredIM).

Until July 1, 2023, the Company served as an investment adviser to primarily collateralized loan obligations (CLOs) and opportunity funds, through Assured Investment Management LLC (AssuredIM LLC) and its investment management affiliates (together with AssuredIM LLC, AssuredIM).

Beginning July 1, 2023, the Company participates in the asset management business through its ownership interest in Sound Point Capital Management, LP (Sound Point, LP) and certain of its investment management affiliates (together with Sound Point, LP, Sound Point), as described below.

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Assured Guaranty received, subject to certain potential post-closing adjustments, approximately 30 % of the common interests in Sound Point, LP, and certain other interests in Sound Point.

In addition, in accordance with the terms of a letter agreement (Letter Agreement), effective July 1, 2023, Assured Guaranty Municipal Corp.

and Assured Guaranty Corp.

(collectively, the U.S.

Insurance Subsidiaries), (i) engaged Sound Point as their sole alternative credit manager, and (ii) transitioned to Sound Point the management of certain existing alternative investments and related commitments.

The Letter Agreement also provides that, in the first two years of Sound Point’s engagement, the U.S.

Insurance Subsidiaries, including through their investment subsidiary AG Asset Strategies LLC (AGAS), would, subject to regulatory approval, make new investments in funds, other vehicles and separately managed accounts managed by Sound Point which, when aggregated with the alternative investments and commitments transitioned from Assured Investment Management LLC (AssuredIM LLC) and its investment management affiliates (together with AssuredIM LLC, AssuredIM) and any reinvestments (collectively, Sound Point Investments), and investments made by other Assured Guaranty affiliates, will total $ 1 billion.

The Letter Agreement contemplates a long-term investment partnership between Sound Point and Assured Guaranty, whereby the U.S.

Insurance Subsidiaries have agreed to reinvest all returns of capital from Sound Point Investments for a period of 15 years, until July 1, 2038.

Similarly, the Letter Agreement provides for reinvestment by the U.S.

Insurance Subsidiaries of all gains and dividends from Sound Point Investments in the first two years of Sound Point’s engagement, and reinvestment of half of all such gains and dividends thereafter until July 1, 2033 (the transactions contemplated under the Transaction Agreement and the Letter Agreement, the Sound Point Transaction).

On July 1, 2028, the U.S.

Insurance Subsidiaries may choose to reduce the amounts invested or required to be reinvested in certain Sound Point Investments under the Letter Agreement, subject to adjustment in Assured Guaranty’s portion of its ownership interest in Sound Point.

To the extent not required to be reinvested by the Letter Agreement, all proceeds from Sound Point Investments received in accordance with their operative investment documents can be distributed to the U.S.

Insurance Subsidiaries.

See Note 7, Investments and Cash.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

In addition, in accordance with the terms of a letter agreement (Letter Agreement), effective July 1, 2023, AG (i) engaged Sound Point as its sole alternative credit manager, and (ii) transitioned to Sound Point the management of certain existing alternative investments and related commitments.

The Letter Agreement also provides that, within the first two years of Sound Point’s engagement, AG, including through its investment subsidiary AG Asset Strategies LLC (AGAS), would, subject to regulatory approval, cure terms and other terms of the Letter Agreement, make new investments in funds, other vehicles and separately managed accounts managed by Sound Point which, when aggregated with the alternative investments and commitments transitioned from AssuredIM and any reinvestments (collectively, Sound Point Investments), and investments made by other Assured Guaranty affiliates, will total $ 1 billion.

The Letter Agreement contemplates a long-term investment partnership between Sound Point and Assured Guaranty, whereby AG has agreed to reinvest all returns of capital from Sound Point Investments for a period of 15 years, until July 1, 2038.

Similarly, the Letter Agreement provides that AG will reinvest all gains and dividends from Sound Point Investments for the first two years of Sound Point’s engagement, and reinvest half of all such gains and dividends thereafter until July 1, 2033 (the transactions contemplated under the Transaction Agreement and the Letter Agreement, the Sound Point Transaction).

On July 1, 2028, AG may choose to reduce the amounts invested or required to be reinvested in certain Sound Point Investments under the Letter Agreement, subject to adjustment of Assured Guaranty’s portion of its ownership interest in Sound Point.

See Note 7, Investments and Cash.

In July 2023, Assured Guaranty sold all of its equity interests in AHP, which manages healthcare funds, to an entity owned and controlled by the managing partner of AHP (AHP Transaction).

In connection with the AHP Transaction, the Company agreed to remain a strategic investor in certain AHP managed funds, is retaining its portion of carried interest in certain AHP managed funds, and received other consideration.

Upon closing of the Sound Point Transaction and the AHP Transaction, the Company deconsolidated most of the corresponding AssuredIM entities (which had previously been classified as held-for-sale) and reported an investment in Sound Point that is accounted for under the equity method.

In connection with the AHP Transaction, the Company agreed to remain a strategic investor in certain AHP managed funds, retain its portion of carried interest in certain AHP managed funds, and receive other consideration.

Upon closing of the Sound Point Transaction and the AHP Transaction, the Company deconsolidated most of the corresponding AssuredIM entities (which had previously been classified as held-for-sale) and reported an ownership interest in Sound Point that is accounted for under the equity method.

In connection with the Sound Point Transaction and AHP Transaction, the Company reevaluated its consolidation conclusion for each consolidated investment vehicle (CIV) and deconsolidated all but three CIVs.

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

The following table presents the calculation of the gain associated with the Sound Point Transaction and AHP Transaction.

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 in 2023.

Gain on Sound Point Transaction and AHP Transaction

(in millions)

Fair value of investment in Sound Point $ 425

Fair value of ownership interest in Sound Point $ 425

Fair value of other consideration (1) 25

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____________________

(1) Includes $ 13 million of cash, and a receivable reported in other assets of $ 12 million.

(2) Includes goodwill and intangible assets of $ 155 million.

(3) Consists of a $ 255 million gain on the Sound Point Transaction, and a $ 7 million gain on the AHP Transaction, which were both reported in the corporate division.

The Company’s interest in Sound Point is reported in other invested assets on the consolidated balance sheet.

See Note 7, Investments and Cash, for additional information on accounting policies.

On the date of acquisition, the Company’s cost basis of its investment in Sound Point is the fair value of the Company’s ownership interest in Sound Point.

A third party valuation specialist determined the fair value of Sound Point on the date of acquisition.

The valuation specialist utilized a weighted average of two valuation methodologies:

a discounted cash flow model and a guideline public company model.

The guideline public company model estimates fair value using the prices of comparable public companies.

The development of the expected cash flows included assumptions related to the growth in assets under management over the 6.0 years projection period, earnings before interest, taxes, depreciation, and amortization (EBITDA) margin, terminal growth rate, and discount rate.

The Company recorded its share of the fair value of Sound Point, determined as of the date of acquisition, in other invested assets.

(1) Included $ 13 million of cash and a receivable reported in other assets of $ 12 million.

(2) Included goodwill and intangible assets of $ 155 million.

(3) Consisted of a $ 255 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).

The Company recognized expenses of $ 46 million during 2023 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 and currently expects the sale of such assets to be completed in 2024.

A disposal group is measured at the lower of carrying amount or fair value less any costs associated with the transaction.

The Company assessed the disposal group for impairment and determined no impairment existed as of December 31, 2023.

Upon classification of the disposal group as held for sale, the Company ceased depreciating held for sale fixed assets and amortizing held for sale intangibles.

Assets held for sale were $ 28 million and liabilities held for sale were $ 2 million as of December 31, 2023 and were reported in “other assets” and “other liabilities,” respectively.

Basis of Presentation

The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP).

In management’s opinion, all material adjustments necessary for a fair statement of the financial condition, results of operations and cash flows of the Company, including its consolidated variable interest entities

Holding Companies

AGL directly or indirectly owns several holding companies, two of which - Assured Guaranty US Holdings Inc.

(AGUS) and AGMH (collectively, the U.S.

Holding Companies) - have public debt outstanding.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

(VIEs), are reflected in the periods presented and are of a normal, recurring nature.

Basis of Presentation

The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP).

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period.

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dollars, unless otherwise specified.

The Company’s principal insurance subsidiaries are:

• Assured Guaranty Municipal Corp.

(AGM), domiciled in New York;

• Assured Guaranty Corp.

(AGC), domiciled in Maryland;

• Assured Guaranty UK Limited (AGUK), organized in the U.K.;

• Assured Guaranty (Europe) SA (AGE), organized in France;

• Assured Guaranty Re Ltd.

(AG Re), domiciled in Bermuda;

• Assured Guaranty Re Overseas Ltd.

(AGRO), domiciled in Bermuda.

Insurance Subsidiaries jointly own an investment subsidiary, AGAS, which invests in funds managed by Sound Point, AHP, and, prior to July 1, 2023, AssuredIM (Sound Point and AHP funds, some of which were formerly known as AssuredIM funds).

AGL directly or indirectly owns several holding companies, two of which - Assured Guaranty US Holdings Inc.

(AGUS) and Assured Guaranty Municipal Holdings Inc.

(AGMH) (collectively, the U.S.

Holding Companies) - have public debt outstanding.

Significant Accounting Policies

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dollar reporting currency, are reported in the consolidated statements of comprehensive income (loss).

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Other accounting policies are included in the following notes to the consolidated financial statements.

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Asset management fees Note 10

Goodwill and other intangible assets Note 11

Long-term debt and credit facilities Note 11

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Leases Note 16

Commitments and contingencies Note 18

Contingencies Note 17

Shareholders' equity Note 18

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Recent Accounting Standards Adopted

Targeted Improvements to the Accounting for Long-Duration Contracts

In August 2018, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2018-12, Financial Services - Insurance (Topic 944):

Targeted Improvements to the Accounting for Long-Duration Contracts .

The Company’s adoption of this ASU on January 1, 2023 did not have any effect on the Company’s consolidated financial statements.

Recent Accounting Standards Not Yet Adopted

In November 2023, the FASB issued ASU 2023-07, Segment Reporting (Topic 280):

In November 2023, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2023-07, Segment Reporting (Topic 280):

Improvements to Reportable Segment Disclosures .

The amendments in this ASU enhance disclosures by requiring that the Company disclose significant segment expenses regularly provided to the chief operating decision maker (CODM), extend certain annual disclosures to interim periods, and permit more than one measure of segment profit or loss to be reported under certain conditions.

The amendments in this ASU require disclosure of significant segment expenses regularly provided to the chief operating decision maker (CODM), extend certain annual disclosures to interim periods, and permit more than one measure of segment profit or loss to be reported under certain conditions.

This ASU is effective in fiscal years beginning after December 15, 2023, and interim periods within fiscal years beginning after December 15, 2024.

Early adoption is permitted, including adoption in any interim periods for which financial statements have not been issued.

The Company will apply the amendments in this ASU retrospectively to all prior periods presented in its consolidated financial statements.

The Company is evaluating the effect that the adoption of this ASU may have on its disclosures.

Early adoption is permitted.

The Company adopted this ASU during the fourth quarter of 2024 and applied its amendments retrospectively to all prior periods presented in its consolidated financial statements.

See Note 2, Segment Information.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Recent Accounting Standards Not Yet Adopted

In December 2023, the FASB issued ASU 2023-09, Income Taxes (Topic 740):

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The Company will apply the amendments in this ASU prospectively to all annual periods beginning after December 15, 2024.

The Company is evaluating the effect that the adoption of this ASU may have on its disclosures.

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.

Prospective application is required, and retrospective application is permitted.

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

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Insurance and Asset Management.

The Company also reports the results of its Corporate division and the effects of consolidating FG VIEs and CIVs.

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, the U.S.

Insurance Subsidiaries, and AGAS.

Beginning in July 2023, the Company participates in the asset

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

management business through its investment in Sound Point as described in Note 1, Business and Basis of Presentation.

Beginning in the third 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 Corporate Division also includes the gain associated with the Sound Point Transaction and the AHP Transaction.

The Other category 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) AGAS’ 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.

The Company separately reports the results of its Corporate division and the effects of consolidating FG VIEs and CIVs.

This presentation is consistent with the manner in which the Chief Executive Officer and President, the CODM, reviews the business to assess performance and allocate resources.

The CODM uses adjusted operating income to allocate resources for each segment predominantly in the annual budget and forecasting process and to assess the performance for each segment.

The Company analyzes the operating performance of each segment using “segment adjusted operating income (loss).” Results for each segment and division 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.

Segment adjusted operating income is defined as “net income (loss) attributable to AGL,” adjusted for the following items, which primarily affect the Insurance segment and Corporate division:

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• Elimination of foreign exchange gains (losses) on remeasurement of net premium receivables and loss and loss adjustment expense (LAE) reserves that are recognized in net income.

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

• The 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.

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

The Insurance segment includes:

(i) premiums and losses from the financial guaranty insurance policies issued by AG that guarantees the FG VIEs’ debt;

and (ii) the insurance subsidiaries’ share of earnings from investments in funds managed by Sound Point and AHP funds (prior to July 1, 2023, AssuredIM) in “equity in earnings (losses) of investees.” Under GAAP, (i) FG VIEs are consolidated by AG 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 investments in funds managed by Sound Point (prior to July 1, 2023, AssuredIM) and AHP funds are, or were in prior periods, accounted for as CIVs, (in the reconciliation tables below, the CIVs and related eliminations of the Insurance segment’s “equity in earnings (losses) of investees” associated with the Company’s 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 does not report assets by reportable segment as the CODM does not assess performance and allocate resources based on assets.

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Notes to Consolidated Financial Statements, Continued

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.

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 of 2023, the Asset Management segment primarily includes the results of the Company’s equity method ownership interest 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 the third quarter of 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, net of transaction expenses, associated with the Sound Point Transaction and the AHP Transaction in 2023.

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

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Segment revenues 821 10 855 76 757 112

Segment loss and LAE (benefit) ( 18 ) — 161 — 12 —

Segment employee compensation and benefit expenses 170 — 154 59 148 80

Segment amortization of DAC 20 — 13 — 14 —

Other segment items (1) 117 6 107 19 85 39

Segment expenses 289 6 435 78 259 119

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Net investment income $ 339 $ — $ 370 $ — $ 278 $ —

Interest expense — 1 1 1 — 1

Non-cash compensation and operating expenses (2) 60 — 38 8 41 18

_____________________

(1) Consists of amortization of DAC and intangible assets, depreciation, share-based compensation (see Note 13, Employee Benefit Plans), write-off of long-lived intangible assets related to Municipal Assurance Corp.(MAC) licenses (see Note 11, Goodwill and Other Intangible Assets), and lease impairment (see Note 17, Leases).

(1) Other segment items include professional services expenses, maintenance, depreciation expense, lease expense, investment management expenses and certain overhead expenses.

(2) Consists of depreciation and amortization, share-based compensation (see Note 12, Employee Benefit Plans) and the write-off of long-lived intangible assets related to AGM licenses (see Note 1, Business and Basis of Presentation).

(3) In 2023, the Corporate division had revenues of $ 275 million primarily consisting of a gain on the Sound Point and AHP transactions.

Expenses for the Corporate division consisted of $ 99 million of interest expense, $ 38 million of employee compensation and benefit expenses, and $ 79 million of other expenses.

Assured Guaranty Ltd.

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Total consolidated $ 872 $ 446 $ 62 $ 96 $ 16 $ 376

_____________________

(1) Includes $ 189 million of tax benefit related to a Bermuda tax law change, which is included in Insurance segment.

See Note 14, Income Taxes.

Assured Guaranty Ltd.

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Total consolidated $ 1,373 $ 733 $ 28 $ ( 93 ) $ 22 $ 739

_____________________

(1) Includes $ 189 million of tax benefit related to a Bermuda tax law change, which is included in the Insurance segment.

See Note 13, Income Taxes.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Reconciliation of Segment Information to Consolidated Information

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Total consolidated $ 723 $ 536 $ ( 39 ) $ 11 $ 13 $ 124

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Supplemental Information

12 unchanged sentences

_____________________

(1) Consists of “employee compensation and benefit expenses” and “other operating expenses.” Includes non-cash compensation and operating expenses of $ 38 million for Insurance segment, $ 8 million for Asset Management segment, and $ 18 million for Corporate division.

(1) Consists of “employee compensation and benefit expenses” and “other operating expenses.”

(2) Credit derivative impairment (recoveries) are included in “fair value gains (losses) on credit derivatives” in the Company’s consolidated statements of operations and in loss and LAE (benefit) on a segment basis.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Supplemental Information

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_____________________

(1) Consists of “employee compensation and benefit expenses” and “other operating expenses.” Includes non-cash compensation and operating expenses of $ 41 million for Insurance segment, $ 18 million for Asset Management segment, and $ 13 million for Corporate division.

(1) Consists of “employee compensation and benefit expenses” and “other operating expenses.”

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Supplemental Information

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_____________________

(1) Consists of “employee compensation and benefit expenses” and “other operating expenses.” Includes non-cash compensation and operating expenses of $ 56 million for Insurance segment, $ 17 million for Asset Management segment, and $ 5 million for Corporate division.

(1) Consists of “employee compensation and benefit expenses” and “other operating expenses.”

The table below summarizes revenues for the operating segments, Corporate division and Other category by country of domicile for each period indicated, based on the country of domicile of the Company’s subsidiaries that generated the revenues.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Segment, Corporate Division and Other

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The Company may also sell credit protection by issuing policies that guarantee payment obligations under credit default swaps (CDS).

The Company’s contracts accounted for as credit derivatives are generally structured such that the circumstances giving rise to the Company’s obligation to make loss payments are similar to those for its financial guaranty insurance contracts.

The Company’s guaranties of CDS are generally structured such that the circumstances giving rise to the Company’s obligation to make loss payments are similar to those for its financial guaranty insurance contracts.

The Company seeks to limit its exposure to losses by underwriting obligations that it views to be investment grade at inception, although on occasion it may underwrite new issuances that it views to be below-investment grade (BIG), typically as part of its loss mitigation strategy for existing troubled exposures.

The Company also seeks to acquire portfolios of insurance from financial guarantors that are no longer writing new business by acquiring such companies or providing reinsurance on a portfolio of insurance;

The Company also seeks to acquire portfolios of insurance from financial guarantors that are no longer writing new business by acquiring such companies, providing reinsurance on or novating a portfolio of insurance;

in such instances, it evaluates the risk characteristics of the target portfolio, which may include some BIG exposures, as a whole in the context of the proposed transaction.

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Public finance obligations insured by the Company primarily consist of general obligation bonds supported by the taxing powers of U.S.

state or municipal governmental authorities, as well as tax-supported bonds, revenue bonds and other obligations supported by covenants from state or municipal governmental authorities or other municipal obligors to impose and

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

collect fees and charges for public services or specific infrastructure projects.

The Company includes within public finance obligations those obligations backed by the cash flow from leases or other revenues from projects serving substantial public purposes, including utilities, toll roads, healthcare facilities and government office buildings.

The Company also includes within public finance obligations similar obligations issued by U.S.

sovereign and sub-sovereign issuers and governmental authorities.

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Unless otherwise specified, the outstanding par and debt service amounts presented in this note include outstanding exposures on these VIEs whether or not they are consolidated.

The Company also writes specialty business that is consistent with its risk profile and benefits from its underwriting experience and other types of financial guaranties.

The Company also provides specialty insurance and reinsurance that are consistent with its risk profile and benefit from its underwriting experience and other types of financial guaranties.

Significant Risk Management Activities

The Portfolio Risk Management Committee, which includes members of senior management and senior risk and surveillance officers, is responsible for enterprise risk management for the Insurance segment and focuses on measuring and managing insurance credit, market and liquidity risk for the Company.

The Portfolio Risk Management Committee, which includes members of senior management and senior risk and surveillance officers, is responsible for enterprise risk management for the Company’s insurance business and focuses on measuring and managing credit, market and liquidity risk for the Company’s insurance business.

This committee establishes company-wide credit policy for the Company’s direct and assumed insurance business.

It implements specific insurance underwriting procedures and limits for the Company and allocates underwriting capacity among the Company’s insurance subsidiaries.

All insurance transactions in new asset classes or new jurisdictions must be approved by this committee.

The U.S., AG Re and AGRO risk management committees and AGUK’s and AGE’s (the European Insurance Subsidiaries) surveillance committees conduct in-depth reviews of the insured portfolios of the relevant subsidiaries, focusing on varying portions of the portfolio at each meeting.

They review and may revise internal ratings assigned to the insured transactions and review sector reports, monthly product line surveillance reports and compliance reports.

All transactions in the insured portfolio are assigned internal credit ratings by the relevant underwriting committee at inception, and such credit ratings are updated by the relevant risk management or surveillance committee based on changes in transaction credit quality.

It implements specific underwriting procedures and limits and allocates underwriting capacity among the Company’s insurance subsidiaries.

All insurance transactions in new asset classes or new jurisdictions, or otherwise outside the Company’s Board-approved risk appetite statement or its risk limits, must be approved by this committee.

The risk management committees of the insurance subsidiaries conduct in-depth reviews of the insured portfolios of the relevant subsidiaries, focusing on varying portions of the portfolio at each meeting.

They review and may revise internal

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

ratings assigned to the insured transactions and review sector reports, monthly product line surveillance reports and compliance reports.

All transactions in the insured portfolio are assigned internal credit ratings by the relevant underwriting committee at inception, and such credit ratings are updated by the relevant risk management committee based on changes in transaction credit quality.

As part of the surveillance process, the Company monitors trends and changes in transaction credit quality, and recommends such remedial actions as may be necessary or appropriate.

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Internal credit ratings are expressed on a ratings scale similar to that used by the rating agencies and generally reflect an approach similar to that employed by the rating agencies, except that the Company’s internal credit ratings focus on future performance rather than lifetime performance.

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.

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

Exposures identified as BIG are subjected to further review to determine (i) the probability of a future loss, (ii) the calculation of the expected future loss to be paid, and (iii) whether the Company has paid a claim for which it expects to be reimbursed within one year (liquidity claim) or a claim for which it does not expect to be reimbursed within one year.

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.

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

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 future losses, on a present value basis, and the aggregate probability weighting of scenarios with future losses is less than 50 %, regardless of whether the Company has or has not paid a liquidity claim.

Below-investment-grade exposures for which there are possible future losses, on a present value basis, and the aggregate probability weighting of scenarios with future losses is 50 % or more, but for which no claims (other than liquidity claims) have yet been paid.

Below-investment-grade exposures for which future losses are expected, on a present value basis, and the aggregate probability weighting of scenarios with future losses is 50 % or more, and for which claims, other than liquidity claims, have been paid.

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.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

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:

• BIG Category 1:

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

• BIG Category 2:

Below-investment-grade transactions for which future losses are expected but for which no claims (other than liquidity claims, which are claims that the Company expects to be reimbursed within one year ) have yet been paid.

• BIG Category 3:

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

Financial Guaranty Exposure

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

As of December 31, 2023 and December 31, 2022 the Company excluded net par outstanding of $ 1.2 billion and $ 1.3 billion, respectively, attributable to Loss Mitigation Securities.

As of both December 31, 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.

3 unchanged sentences

• 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 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.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

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.

• 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.

Debt service is a measure of the estimated maximum potential exposure to insured obligations before considering the Company’s various legal rights to the underlying collateral and other remedies available to it under its financial guaranty contract.

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dollar denominated insured obligations and other factors.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Financial Guaranty Portfolio

13 unchanged sentences

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.

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

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15 to 20 years 32,126 702 32,828

20 years and above 61,982 598 62,580

Over 20 years 65,439 528 65,967

Total net par outstanding $ 250,375 $ 11,177 $ 261,552

Actual amortization differs from expected maturities because borrowers may have the right to call or prepay certain obligations, terminations and because of management’s assumptions on structured finance amortization.

The expected maturities of structured finance obligations are, in general, shorter than the contractual maturities for such obligations.

Actual amortization differs from expected maturities due to prepayments and terminations, and because interest rates, consumer price indices, foreign exchange rates and expected terms may be different than management had estimated.

The expected maturities of structured finance obligations are, in general, shorter than their contractual maturities.

Financial Guaranty Portfolio

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Illinois 479 12,536 4.8

New Jersey 256 9,255 3.7

Florida 218 11,353 4.3

Michigan 231 5,533 2.2

New Jersey 248 8,824 3.4

Louisiana 139 4,994 1.9

Alabama 243 3,819 1.5

Michigan 228 4,877 1.9

Colorado 171 4,012 1.5

Other 2,034 54,475 20.8

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United Kingdom 272 41,001 15.7

Canada 5 1,696 0.7

Australia 7 1,740 0.7

Spain 9 1,506 0.6

France 7 1,477 0.5

Australia 6 1,518 0.6

Canada 5 1,243 0.5

Other 49 4,957 1.9

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Total 7,852 $ 261,552 100.0 %

Exposure to Puerto Rico

The Company had insured exposure to the general obligation bonds of the Commonwealth of Puerto Rico (Puerto Rico or the Commonwealth) and obligations of various authorities and public corporations of Puerto Rico aggregating $ 1.1 billion net par outstanding as of December 31, 2023, down from $ 1.4 billion as of December 31, 2022.

All of the Company’s insured exposure to Puerto Rico is rated BIG.

As of December 31, 2023, the only remaining outstanding insured Puerto Rico exposure subject to a payment default was the Puerto Rico Electric Power Authority (PREPA).

As of December 31, 2023, the Company had approximately $ 109 million of remaining non-defaulting Puerto Rico exposures related primarily to the Municipal Finance Agency (MFA), which are secured by a lien on local tax revenues and remain current on debt service payments.

On June 30, 2016, the Puerto Rico Oversight, Management, and Economic Stability Act (PROMESA) was signed into law.

PROMESA established a seven-member Financial Oversight and Management Board (the FOMB) with authority to require that balanced budgets and fiscal plans be adopted and implemented by Puerto Rico.

Title III of PROMESA provides for a process analogous to a voluntary bankruptcy process under Chapter 9 of the United States Bankruptcy Code.

After over five years of negotiations, a substantial portion of the Company’s Puerto Rico exposure was resolved in 2022 in accordance with four orders entered by the United States District Court of the District of Puerto Rico (Federal District Court of Puerto Rico) related to the Company’s exposure to all insured Puerto Rico credits experiencing payment default in 2022 except PREPA (2022 Puerto Rico Resolutions).

As a result of the 2022 Puerto Rico Resolutions, during 2022 the Company’s obligations under its insurance policies covering debt of the Puerto Rico Convention Center District Authority

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

(PRCCDA) and Puerto Rico Infrastructure Authority (PRIFA) were extinguished, and its insurance exposure to Puerto Rico general obligations (GO) bonds, Public Buildings Authority (PBA) bonds and PRHTA bonds was greatly reduced.

On August 31, 2023, the Company extinguished its remaining exposure to GO and PBA bonds by satisfying its obligations to insured bondholders holding custody receipts representing interests in legacy insured GO and PBA bonds.

Under the Modified Eighth Amended Title III Joint Plan of Adjustment of the Commonwealth of Puerto Rico, the Employees Retirement System of the Government of the Commonwealth of Puerto Rico, and the Puerto Rico Public Buildings Authority (GO/PBA Plan), the Company received cash, new general obligation bonds (New GO Bonds) and contingent value instruments (CVIs).

In connection with the Modified Fifth Amended Title III Plan of Adjustment for PRHTA (HTA Plan) and related arrangements, the Company received cash and new bonds backed by toll revenues (Toll Bonds, and together with the New GO Bonds, New Recovery Bonds) from the PRHTA and CVIs from the Commonwealth.

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

Upon receipt, Plan Consideration was reported in either cash, investments or FG VIEs’ assets as described below.

• Investments and cash.

Plan Consideration received in respect of bondholders whose principal of bonds insured by the Company were accelerated and became due and payable under the 2022 Puerto Rico Resolutions, or subsequently matured or extinguished, and the remaining New Recovery Bonds and CVIs were reported as follows:

(i) cash, (ii) fixed-maturity, available for sale securities (New Recovery Bonds) and (iii) fixed-maturities, trading securities (CVIs).

See Note 7, Investments and Cash, for the fair value of the New Recovery Bonds and CVIs remaining as of December 31, 2023.

• FG VIEs’ assets.

Plan Consideration received in respect of insured bondholders who elected to receive custody receipts that represent an interest in custodial trusts that hold the legacy insurance policy plus Plan Consideration that constitute distributions under the HTA Plan or the GO/PBA Plan were reported in FG VIEs’ assets at the time of the receipt.

The Company’s insurance policy continues to guarantee principal and interest coming due on the legacy insured bonds in accordance with the terms of such insurance policy on the originally scheduled legacy bond interest and principal payment dates to the extent that distributions of Plan Consideration are insufficient to pay or prepay such amounts.

On August 31, 2023, after notice to certain holders of custody receipts representing interests in legacy insured GO, PBA and HTA bonds, the Company satisfied its obligations under such legacy insured bonds with respect to $ 108 million net par outstanding as of August 31, 2023, and the custodial trusts released to AGC and AGM New Recovery Bonds and CVIs with a fair value totaling $ 73 million as of August 31, 2023.

On December 28, 2023, all remaining Toll Bonds were redeemed for cash.

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

The Company has sold a portion of New Recovery Bonds and CVIs it received, and may sell in the future any New Recovery Bonds or CVIs it continues to hold.

The fair value of any New Recovery Bonds and CVIs that the Company retains will fluctuate from their date of acquisition.

Any gains or losses on sales of New Recovery Bonds and CVIs in the investment portfolio are reported as realized gains and losses on investments and fair value gains (losses) on trading securities, respectively, rather than loss and LAE.

The CVIs are intended to provide creditors with additional recoveries tied to the outperformance of the Puerto Rico 5.5% Sales and Use Tax receipts against May 2020 certified fiscal plan projections, subject to annual and lifetime caps.

As of December 31, 2023, all of the CVIs are reported in fixed-maturity securities, trading.

The Company is continuing its efforts to resolve the one remaining Puerto Rico insured exposure that is in payment default, PREPA.

Economic, political and legal developments, including inflation and increases in the cost of petroleum products, may impact any resolution of the Company’s PREPA insured exposure and the value of any remaining consideration received in connection with the 2022 Puerto Rico Resolutions or any future resolutions of the Company’s PREPA insured exposures.

The impact of developments relating to Puerto Rico during any quarter or year could be material to the Company’s results of operations and shareholders’ equity.

Puerto Rico Par and Debt Service Schedules

The following tables show the Company’s insured exposure to general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Gross Par and Gross Debt Service Outstanding

Gross Par Outstanding Gross Debt Service Outstanding

As of December 31, As of December 31,

2023 2022 2023 2022

(in millions)

Exposure to Puerto Rico $ 1,120 $ 1,378 $ 1,526 $ 1,899

Net Par Outstanding

As of December 31,

(in millions)

Defaulted Puerto Rico Exposures

PREPA $ 624 $ 720

Total Defaulted 624 720

Resolved Puerto Rico Exposures (1)

PRHTA (Transportation revenue) 244 298

PRHTA (Highway revenue) 128 182

Commonwealth of Puerto Rico - GO — 25

Total Resolved 372 509

Other Puerto Rico Exposures (2)

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

Total Other 109 132

Total net exposure to Puerto Rico $ 1,105 $ 1,361

____________________

(1) Resolved pursuant to the 2022 Puerto Rico Resolutions.

In January 2024, $ 144 million of the remaining PRHTA net par was paid down.

The remaining liabilities are payable in full by the U.S.

Insurance Subsidiaries under their financial guaranty policies and are no longer dependent on the credit of PRHTA.

(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 insured general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations.

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 Consolidated Financial Statements, Continued

Amortization Schedule of Puerto Rico

Net Par Outstanding and Net Debt Service Outstanding

As of December 31, 2023

Scheduled Net Par Amortization Scheduled Net Debt Service Amortization

(in millions)

2024 (January 1 - March 31) $ — $ 24

2024 (April 1 - June 30) — 3

2024 (July 1 - September 30) 110 134

2024 (October 1 - December 31) — 3

Subtotal 2024 110 164

2029-2033 233 353

2034-2038 220 274

2039-2041 117 128

Total $ 1,105 $ 1,508

As of December 31, 2023, the Company had $ 624 million insured net par outstanding of PREPA obligations.

The Company believes that the PREPA bonds are secured by a lien on the revenues of the electric system.

On April 8, 2022, Judge Laura Taylor Swain of the Federal District Court of Puerto Rico issued an order appointing as members of a PREPA mediation team U.S.

Bankruptcy Judges Shelley Chapman (lead mediator), Robert Drain and Brendan Shannon.

Judge Swain also entered a separate order establishing the terms and conditions of mediation, including that the mediation would terminate on June 1, 2022.

Judge Swain has since extended the term of such mediation several times, most recently on September 29, 2023 extending the term to March 29, 2024.

The FOMB filed an initial plan of adjustment and disclosure statement for PREPA with the Federal District Court of Puerto Rico on December 16, 2022.

On March 22, 2023, the Federal District Court of Puerto Rico held that the PREPA bondholders had perfected liens only in revenues that had been deposited in the sinking fund established under the PREPA trust agreement and related funds over which the bond trustee had control but did not have a lien in future revenues until deposited in those funds.

The Federal District Court of Puerto Rico also held, however, that PREPA bondholders do have recourse under the PREPA trust agreement in the form of an unsecured net revenue claim.

At that time, the Federal District Court of Puerto Rico declined to value the unsecured net revenue claim or the method for its determination.

The ultimate value of the claim, according to the Federal District Court of Puerto Rico, should be determined through a claim estimation proceeding.

On June 6-8, 2023, the Federal District Court of Puerto Rico held a claim estimation proceeding and, on June 26, 2023, issued an opinion and order estimating the unsecured net revenue claim to be $ 2.4 billion as of July 3, 2017.

This estimate included a determination that PREPA’s discounted cash flows, using the FOMB’s base-case incremental net revenues over a 100-year collection period and a discount rate of 7 %, would be $ 3.0 billion, and should be reduced by an additional 20 % for collection risk.

PREPA bondholders had sought an unsecured net revenue claim of approximately $ 8.5 billion.

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 December 29, 2023, FOMB filed with the Federal District Court of Puerto Rico its most recent plan of adjustment for PREPA, the 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 (2023 PREPA Fiscal Plan).

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

On November 30, 2023, the Company filed a notice of appeal with the United

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Notes to Consolidated Financial Statements, Continued

States Court of Appeals for the First Circuit (First Circuit) for portions of the March 22, 2023 decision, including the lien scope ruling and the need for a claim estimation proceeding, as well as the June 26, 2023 claim estimation ruling.

On January 29, 2024, the First Circuit heard oral arguments for the Company’s appeals.

The FOMB PREPA Plan would split bondholders into two groups:

one that would settle litigation regarding whether creditor repayment is limited to existing accounts, and another group that would continue litigating whether bondholders are secured by PREPA’s current and future revenue collections.

The FOMB PREPA Plan also would further split settling bondholders into two sub-groups:

one consisting of certain original settling bondholders that would receive an enhanced recovery (compared to non-settling bondholders) plus other supporting creditor payments, while the second settling sub-group would receive only the enhanced recovery.

The FOMB asserts that, other than for pension claims, PREPA’s debt capacity is $ 2.5 billion, of which approximately $ 1.4 billion is allocated to settling creditors.

The remaining $ 1.1 billion is allocated to (i) non-settling bondholders, and (ii) general unsecured creditors (GUCs).

The most recent revised FOMB PREPA Plan provides for reduced payments to bondholders since lower projected PREPA revenues are included in the 2023 PREPA Fiscal Plan than had been previously anticipated.

The FOMB PREPA Plan estimates that non-settling bondholders will receive a recovery of 12.5 % of their allowed unsecured net revenue claim.

The Company is opposed to the FOMB PREPA Plan and has joined with a group of non-settling bondholders that continue to litigate whether creditor repayments will include future revenue collections.

The confirmation hearing for the FOMB PREPA Plan is currently scheduled to occur in March 2024.

As of December 31, 2023, the Company had $ 372 million of insured net par outstanding of legacy PRHTA bonds:

$ 244 million insured net par outstanding of PRHTA (transportation revenue) bonds and $ 128 million insured net par outstanding of PRHTA (highway revenue) bonds.

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.

In the fourth quarter of 2023, all of the Toll Bonds in the HTA Puerto Rico Trusts were called, resulting in cash proceeds of $ 154 million.

Such cash proceeds comprise the vast majority of the assets in the Puerto Rico Trusts as of December 31, 2023.

In January 2024, such proceeds were used to pay down a portion of the liabilities of the Puerto Rico Trusts.

The remaining liabilities of the Puerto Rico Trusts are payable in full by the U.S.

Insurance Subsidiaries under their financial guaranty policies and are no longer dependent on the credit of PRHTA.

Puerto Rico Litigation

Currently, there are numerous legal actions relating to the default by the Commonwealth and certain of its instrumentalities on debt service payments, and related matters, and the Company is a party to a number of them.

The Company has taken legal action, and may take additional legal action in the future, to enforce its rights with respect to the remaining Puerto Rico obligations it still insures.

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

Certain legal actions involving the Company and relating to the Commonwealth, PRCCDA, PRIFA 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 consummation of 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.

The remaining active proceeding was initiated by the FOMB in the Federal District Court of Puerto Rico on July 1, 2019 against U.S.

Bank National Association, as trustee for PREPA’s bonds, objecting to and challenging the validity, enforceability, and extent of prepetition security interests securing those bonds and seeking other relief.

On September 30, 2022, the FOMB filed an amended complaint against the trustee (i) objecting to and challenging the validity, enforceability, and extent of prepetition security interests securing PREPA’s bonds and (ii) arguing that PREPA bondholders’ recourse was limited to certain deposit accounts held by the trustee.

On October 7, 2022, the court approved a stipulation permitting AGM and AGC to intervene as defendants.

Summary judgment motions were filed by plaintiffs and defendants on October 24, 2022.

On March 22, 2023, the Federal District Court of Puerto Rico granted in part and denied in part each party’s cross-motions for summary judgment.

The Federal District Court of Puerto Rico found that the PREPA bondholders had perfected liens only in revenues that had been deposited in the sinking fund established under the PREPA trust agreement and related funds over which the bond

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Notes to Consolidated Financial Statements, Continued

trustee had control.

The Federal District Court of Puerto Rico also held that the PREPA bondholders do have recourse under the trust agreement in the form of an unsecured net revenue claim.

In a June 26, 2023 opinion, the court estimated the PREPA bondholders’ allowed unsecured net revenue claim to be $ 2.4 billion, which the court calculated by largely adopting the conclusions in the FOMB’s expert report.

On May 3, 2023, the court denied PREPA bondholders’ request to certify their interlocutory appeal of the finding that the PREPA bondholders had perfected liens only in revenues that had been deposited in the sinking fund established under the PREPA trust agreement and related funds over which the bond trustee had control.

On May 15, 2023, the FOMB filed its motion to dismiss the Trustee’s and bondholders’ counterclaims, which was granted by the court on November 28, 2023.

AGM and AGC filed a notice of appeal on November 30, 2023.

On January 29, 2024, the First Circuit heard oral arguments for the Company’s appeals.

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 PREPA plan of adjustment are:

• AGM and AGC 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.

• AGM and AGC 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 AGM and AGC, 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.

• AGM and AGC 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

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(in millions)

Diversified real estate (1) $ 2,004 $ 2,004 $ 1,569 $ 1,569

Insurance securitizations (2) 1,449 1,126 1,370 1,043

$ 1,370 $ 1,043 $ 1,314 $ 986

Aircraft residual value insurance policies

355 200 355 200

Other guaranties 2,057 2,057 228 228

Pooled corporate obligations 868 868 488 488

Aircraft residual value insurance 147 87 355 200

____________________

(1) Insurance securitizations net exposure is projected to reach $ 1.2 billion in 2026.

All other 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 December 31, 2023 and December 31, 2022.

Other guaranties in specialty business include an 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.

The Company’s maximum potential exposure under this guaranty, which is accounted for in accordance with Accounting Standards Codification (ASC) 460, Guarantees, was $ 1.6 billion as of December 31, 2023.

(1) Excess-of-loss guaranty of a minimum amount of billed rent on a diversified portfolio of real estate properties with an internal rating of AAA that matures in 2044.

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

(2) Insurance securitizations exposure is projected to reach $ 1.5 billion gross and $ 1.2 billion net in 2025.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

All exposures in the table above are rated investment-grade, except for aircraft residual value insurance gross and net exposure of $ 5 million as of December 31, 2024 and gross exposure of $ 144 million and net exposure of $ 84 million as of December 31, 2023.

In addition to the amounts shown in the table above, as of December 31, 2024, the Company had outstanding aggregate gross and net aircraft residual value insurance commitments of $ 90 million and $ 51 million, respectively.

These commitments are contingent on the satisfaction of specified conditions and may expire unused or be cancelled at the request of the respective counterparty.

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

Expected Loss to be Paid (Recovered)

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(i) inflows for expected salvage, subrogation and other recoveries;

(ii) excess spread on underlying collateral, as applicable, and (iii) amounts ceded to reinsurers.

(ii) excess spread on underlying collateral, as applicable;

and (iii) amounts ceded to reinsurers.

Cash flows are discounted at current risk-free rates.

2 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.

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.

Concurrently, the Company reduces any related expected loss to be paid (recovered).

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.

The Company removes any related expected loss to be paid (recovered) associated with Loss Mitigation Securities.

For Loss Mitigation Securities, the difference between the purchase price of the insured obligation and the fair value excluding the value of the Company’s insurance (on the date of acquisition) is treated as a paid loss.

See Note 7, Investments and Cash, and Note 9, Fair Value Measurement.

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 reduced 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.

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 contract-by-contract basis, in the same manner for all its exposures regardless of form or differing accounting models.

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 (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.

The exposure reported in Note 3, Outstanding Exposure, includes policies accounted for under various accounting models depending on the characteristics of the contract and the Company’s control rights.

The three primary models are:

(1) insurance, as described in Note 5, Contracts Accounted for as Insurance;

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

and (3) 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.

(i) insurance, as described in Note 5, Contracts Accounted for as Insurance;

(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 Consolidated Investment Vehicles.

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

This note provides information regarding expected loss to be paid (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.

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.

In the case of its assumed business, the Company may conduct its own analysis as just described or, depending on the Company’s view of the potential size of any loss and the information available to the Company, the Company may use loss estimates provided by ceding insurers.

Each quarter, the Company’s loss reserve committees review and refresh their loss projection assumptions, scenarios and the probabilities they assign to those scenarios based on developments during the period and their view of future performance.

The financial guaranties issued by the Company insure the credit performance of the guaranteed obligations over an extended period of time, in some cases over 30 years, and in most circumstances the Company has no right to cancel such financial guaranties.

As a result, the Company’s estimate of ultimate loss on a policy is subject to significant uncertainty over the life of the insured transaction.

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

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

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

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

circumstances it may elect to do so.

When obligors default on their obligations, the Company is only required to pay the shortfall between the debt service due in any given period and the amount paid by the obligors.

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.

In recent years, expected losses to be paid (recovered) for U.S.

RMBS have also been affected by changes in the amount of recoveries on first lien deferred principal balances and second-lien charged-off loans.

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

2 unchanged sentences

The Company has sometimes exercised this option, which results in an acceleration of cash outflows but reduces overall losses paid.

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

In the case of its assumed business, the Company may conduct its own analysis or use loss estimates provided by ceding insurers.

Each quarter, the Company’s reserve committees review and refresh their loss projection assumptions, scenarios and the probabilities they assign to those scenarios based on developments during the period and their view of future performance.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

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

9 unchanged sentences

Credit derivatives (see Note 6)

— 2 ( 1 ) 1 4

Total $ 106 $ 505 $ ( 3 ) $ 164 $ ( 125 )

____________________

(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 Consolidated Financial Statements, Continued

(1) In 2023, the net expected loss to be paid for FG VIEs primarily related to trusts established as a result of the Company’s resolution in 2022 of exposure to insured Puerto Rico credits experiencing payment default other than PREPA (2022 Puerto Rico Resolutions) (Puerto Rico Trusts), and in 2024 the Company satisfied its remaining direct insured obligations and deconsolidated the remaining Puerto Rico Trusts.

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:

insurance, derivative and FG VIE.

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

dollar denominated obligations that ranged from 3.79 % to 5.40 % with a weighted average of 4.10 % as of December 31, 2023 and 3.82 % to 4.69 % with a weighted average of 4.08 % as of December 31, 2022.

Net expected losses to be paid for U.S.

dollar denominated transactions represented approximately 96.1 % and 98.5 % of the total as of December 31, 2023 and December 31, 2022, respectively.

insurance, derivative or FG VIE.

The Company used risk-free rates that ranged from 1.98 % to 5.22 % with a weighted average of 4.38 % as of December 31, 2024 and 1.90 % to 5.40 % with a weighted average of 4.09 % as of December 31, 2023.

Net Expected Loss to be Paid (Recovered)

11 unchanged sentences

____________________

(1) Net (paid) recovered losses in 2023 include recoveries related to various Puerto Rico securities transferred to the Company's investment portfolio upon the maturity and extinguishment of certain GO, PBA and HTA insured exposure.

Net (paid) recovered losses in 2022 include the net amounts received pursuant to the 2022 Puerto Rico Resolutions, as described in Note 3, Outstanding Exposure.

(1) Net (paid) recovered losses includes (i) securities received as recoveries in 2022 in connection with the 2022 Puerto Rico Resolutions, and in 2023 in connection with the satisfaction of insurance obligations in the Puerto Rico Trusts, and (ii) claims paid in 2022, 2023 and 2024 to extinguish certain insured Puerto Rico exposures.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Net Expected Loss to be Paid (Recovered)

15 unchanged sentences

Total $ 505 $ ( 3 ) $ ( 396 ) $ 106

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Year Ended December 31, 2023

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

The tables above include:

(i) net LAE paid of $ 25 million, $ 33 million and $ 36 million for the years ended December 31, 2023, 2022 and 2021, respectively;

and (ii) net expected LAE to be paid of $ 22 million as of December 31, 2023 and $ 11 million as of December 31, 2022.

The tables above include (i) net LAE paid of $ 30 million, $ 25 million and $ 33 million for the years ended

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Notes to Consolidated Financial Statements, Continued

December 31, 2024, 2023 and 2022, respectively, and, (ii) net expected LAE to be paid of $ 11 million as of December 31, 2024 and $ 22 million as of December 31, 2023.

Public Finance

The largest component of public finance net expected losses to be paid (recovered) and net economic loss development (benefit) are U.S.

exposures, including Puerto Rico exposures, which are discussed in Note 3, Outstanding Exposure.

The largest components of the public finance net expected losses to be paid (recovered) relate to certain healthcare and U.K.

regulated utilities exposures.

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

public finance exposures is net of an expected recovery of certain claims already paid of $ 262 million and $ 193 million as of December 31, 2024 and December 31, 2023, respectively.

In 2024, the economic loss development for public finance transactions was primarily attributable to higher expected losses for certain U.K.

regulated utilities and certain Puerto Rico exposures, as well as changes in discount rates.

Regulated Utilities and European Renewable Energy

In the third quarter of 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/or other capital constraints.

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

Additionally, inflation has increased the cost of medical supplies, medical equipment, and pharmacy products, while U.S.

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.

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

Puerto Rico net par and net debt service outstanding as of December 31, 2024 were $ 637 million and $ 756 million respectively, compared with net par and net debt service outstanding as of December 31, 2023 of $ 1,105 million and $ 1,508 million, respectively.

In 2024, the Company satisfied its remaining direct PRHTA insured obligations.

Defaulting Puerto Rico Exposure

As of December 31, 2024, the Company’s only unresolved outstanding insured Puerto Rico exposure subject to a payment default was the Puerto Rico Electric Power Authority (PREPA), which had net par and debt service outstanding of $ 532 million and $ 629 million, respectively.

As of December 31, 2023, PREPA net par and debt service outstanding were $ 624 million and $ 751 million, respectively.

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

The default of PREPA’s obligations has been the subject of restructuring negotiations, mediation and litigation since 2014.

Puerto Rico Litigation

Currently, there are numerous legal actions relating to defaults by PREPA on debt service payments, and related matters, and the Company is a party to a number of them.

The Company has taken legal action, and may take additional legal action in the future, to enforce its rights with respect to the remaining Puerto Rico obligations it still insures.

In addition, the Commonwealth, the Financial Oversight and Management Board (the FOMB) and others have taken legal action naming the Company as a party.

Certain legal actions involving the Company and relating to defaults by the Commonwealth and its authorities and public corporations were resolved in 2022.

The remaining proceedings relate to PREPA’s default, including recently active proceedings and a number of proceedings that remain stayed pending the United States District Court of the District of Puerto Rico’s (Federal District Court of Puerto Rico) determination on the FOMB PREPA Plan, as described below.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

PREPA – Current Proceedings

On April 8, 2022, the Federal District Court of Puerto Rico issued an order appointing three U.S.

Bankruptcy Judges as members of a PREPA mediation team.

The Federal District Court of Puerto Rico also entered a separate order establishing the terms and conditions of mediation.

Plan of Adjustment and Disclosure Statement.

The FOMB which was established under the Puerto Rico Oversight, Management, and Economic Stability Act (PROMESA) filed an initial plan of adjustment and disclosure statement for PREPA with the Federal District Court of Puerto Rico on December 16, 2022.

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.

The confirmation hearing for the FOMB PREPA Plan occurred in March 2024.

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.

Lien Challenge Adversary Proceeding and Appeal.

The Federal District Court of Puerto Rico also held, however, that PREPA bondholders do have recourse under the PREPA trust agreement in the form of an unsecured net revenue claim.

At that time, the Federal District Court of Puerto Rico declined to value the unsecured net revenue claim or the method for its determination.

The ultimate value of the claim, according to the Federal District Court of Puerto Rico, should be determined through a claim estimation proceeding.

On June 26, 2023 the Federal District Court of Puerto Rico issued an opinion and order estimating the unsecured net revenue claim to be $ 2.4 billion as of July 3, 2017.

Subject to their appeal of the Federal District Court of Puerto Rico’s ruling on the scope of lien, PREPA bondholders had sought an unsecured net revenue claim of approximately $ 8.5 billion.

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

On November 30, 2023, the Company filed a notice of appeal with the United States Court of Appeals for the First Circuit (First Circuit) for portions of the March 22, 2023 decision, including the lien scope ruling and the need for a claim estimation proceeding, as well as the June 26, 2023 claim estimation ruling.

On June 12, 2024, the First Circuit held 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.

The FOMB asked the First Circuit to reconsider its determination that bondholders’ security interest in future net revenues is perfected twice, once on June 26, 2024, and again on November 27, 2024.

The First Circuit denied both requests, with the most recent denial published on December 31, 2024.

PREPA Mediation and Stayed Proceedings

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 PREPA litigation.

The Federal District Court of Puerto Rico most recently extended the PREPA litigation stay through March 24, 2025 and the term of mediation through April 30, 2025.

The following proceedings involving the Company and relating to the default by PREPA remain stayed in the Federal District Court of Puerto Rico pending its determination on the FOMB PREPA Plan:

• 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.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

• 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.

Non-Defaulting Puerto Rico Exposure

As of December 31, 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 Puerto Rico Municipal Finance Agency (MFA).

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

RMBS Loss Projections

2 unchanged sentences

The resulting projected claim payments or reimbursements are then discounted using risk-free rates.

The further behind mortgage borrowers fall in making payments, the more likely it is that they will default.

The rate at which borrowers from a particular delinquency category (number of monthly payments behind) eventually default is referred to as the “liquidation rate.” The Company derives its liquidation rate assumptions from observed roll rates, which are the rates at which loans progress from one delinquency category to the next and eventually to default and liquidation.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

applies liquidation rates to the mortgage loan collateral in each delinquency category and makes certain timing assumptions to project near-term mortgage collateral defaults from loans that are currently delinquent.

Mortgage borrowers that are not behind on payments and have not fallen two or more payments behind in the last two years (generally considered performing borrowers) have demonstrated an ability and willingness to pay through challenging economic periods, and as a result are viewed as less likely to default than delinquent borrowers or those that have experienced delinquency recently.

The Company applies liquidation rates to the mortgage loan collateral in each delinquency category and makes certain timing assumptions to project near-term mortgage collateral defaults from loans that are currently delinquent.

Each quarter the Company reviews recent third party data and (if necessary) adjusts its liquidation rates based on its observations.

Performing borrowers that eventually default will also need to progress through delinquency categories before any defaults occur.

The Company projects how many of the currently performing loans will default and when they will default, by first converting the projected near term defaults of delinquent borrowers derived from liquidation rates into a vector of conditional default rates (CDR), then projecting how the CDR will develop over time.

Loans that are defaulted pursuant to the CDR after the near-term liquidation of currently delinquent loans represent defaults of currently performing loans and projected re-performing loans.

The CDR is the outstanding principal amount of defaulted loans liquidated in the current month divided by the remaining outstanding amount of the whole pool of loans (collateral pool balance).

The collateral pool balance decreases over time as a result of scheduled principal payments, partial and whole principal prepayments, and defaults.

While the Company uses the liquidation rates to project defaults of non-performing loans (including current loans that were recently modified or delinquent), it projects defaults on presently current loans by applying a CDR curve.

The start of that CDR curve is based on the defaults the Company projects will emerge from currently nonperforming, recently nonperforming and modified loans.

The total amount of expected defaults from the non-performing loans is translated into a constant CDR (i.e., the CDR plateau), which, if applied for each of the next 36 months, results in the projection of the defaults that are expected to emerge from the various delinquency categories.

The CDR thus calculated individually on the delinquent collateral pool for each RMBS is then used as the starting point for the CDR curve used to project defaults of the presently performing loans.

In order to derive collateral pool losses from the collateral pool defaults it has projected, the Company applies a loss severity.

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The Company continues to update its evaluation of these loss severities as new information becomes available.

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 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 in 2024.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

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

The Company assumed that it will generally recover 2 % of future defaulting collateral at the time of charge-off.

Additional amounts of post charge-off recoveries are projected to come in evenly over the next five years in instances where the Company is able to obtain information on the lien status and the second lien is still intact.

The Company evaluates its assumptions quarterly based on actual recoveries of charged-off loans observed from period to period and reasonable expectations of future recoveries.

During 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.

The Company projects the overall future cash flow from a collateral pool by adjusting the payment stream from the principal and interest contractually due on the underlying mortgages for the collateral losses it projects as described above;

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Finally, the projected claims and reimbursements are discounted using risk-free rates.

The Company runs several sets of assumptions regarding mortgage collateral performance, or scenarios, and probability weights them.

The Company runs several sets of assumptions regarding mortgage collateral performance, or scenarios, which are probability weighted.

Each period the Company reviews the assumptions it uses to make RMBS loss projections with consideration of updates on the performance of its insured transactions (including early-stage delinquencies, late-stage delinquencies and loss severity) as well as the residential property market and economy in general.

To the extent it observes changes, it makes a judgment as to whether those changes are normal fluctuations or part of a more prolonged trend.

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

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.

Net Economic Loss Development (Benefit)

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RMBS ( 48 ) ( 49 ) ( 107 )

RMBS economic loss development (benefit) $ ( 75 ) $ ( 56 ) $ ( 143 )

First Lien U.S.

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RMBS transactions are expected to come from non-performing mortgage loans (those that are or have recently been two or more payments behind, have been modified, are in foreclosure, or have been foreclosed upon).

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.

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.

The Company arrived at its liquidation rates based on data purchased from a third-party provider and assumptions about how delays in the foreclosure process and loan modifications may ultimately affect the rate at which loans are liquidated.

Each quarter the Company reviews recent data and (if necessary) adjusts its liquidation rates based on its observations.

The following table shows liquidation assumptions for various non-performing and re-performing categories.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

First Lien U.S.

RMBS Liquidation Rates

As of December 31, 2023 As of December 31, 2022

Current but recently delinquent 20 % 20 %

30 – 59 Days Delinquent 30 % – 35 % 30 % – 35 %

60 – 89 Days Delinquent 40 % – 45 % 40 % – 45 %

90+ Days Delinquent 45 % – 60 % 45 % – 60 %

Bankruptcy 40 % – 50 % 40 % – 50 %

Foreclosure 55 % – 65 % 55 % – 65 %

Real Estate Owned 100 % 100 %

While the Company uses the liquidation rates above to project defaults of non-performing loans (including current loans that were recently modified or delinquent), it projects defaults on presently current loans by applying a CDR curve.

The start of that CDR curve is based on the defaults the Company projects will emerge from currently nonperforming, recently nonperforming and modified loans.

The CDR thus calculated individually on the delinquent collateral pool for each RMBS is then used as the starting point for the CDR curve used to project defaults of the presently performing loans.

In the most heavily weighted scenario (the base scenario), after the 36 -month CDR plateau period, each transaction’s CDR is projected to improve over 12 months to a final CDR of 5 % of the CDR plateau.

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

In the base scenario, the Company assumes the final CDR will be reached one year after the 36 -month CDR plateau period.

Under the Company’s methodology, defaults projected to occur in the first 36 months represent defaults that can be attributed to loans that were recently modified or delinquent, or that are currently delinquent or in foreclosure, while the defaults projected to occur using the projected CDR trend after the first 36 -month period represent defaults attributable to borrowers that are currently performing or are projected to re-perform.

Another important driver of loss projections is loss severity, which is the amount of loss the transaction incurs on a loan after the application of net proceeds from the disposal of the underlying property.

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 the recent levels generally will continue for another 18 months.

The Company determines its initial loss severity based on actual 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 then assumes that loss severities begin returning to levels consistent with underwriting assumptions beginning after the initial 18 -month period, staying or trending, as applicable, to 40 % in the base scenario over 2.5 years.

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.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Key Assumptions in Base Scenario Expected Loss Estimates

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Range Weighted Average Range Weighted Average

Alt-A and Prime:

CDR plateau 1.4 % – 9.0 % 3.6 % 1.6 % – 11.5 % 5.1 %

Final CDR 0.1 % – 0.4 % 0.2 % 0.1 % – 0.6 % 0.3 %

Initial loss severity 50 % 50 %

CDR plateau 0.0 % – 8.9 % 3.3 % 2.0 % – 7.7 % 4.3 %

Final CDR 0.0 % – 0.4 % 0.2 % 0.1 % – 0.4 % 0.2 %

Initial loss severity 50 % 50 %

CDR plateau 0.3 % – 10.0 % 4.4 % 2.7 % – 9.7 % 5.6 %

Plateau CDR 0.0 % – 8.8 % 3.4 % 0.0 % – 10.0 % 4.2 %

Final CDR 0.0 % – 0.4 % 0.2 % 0.0 % – 0.5 % 0.2 %

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

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).

The assumption for the voluntary conditional prepayment rate (CPR) follows a pattern similar to that of the CDR.

The current level of voluntary prepayments is assumed to continue for the plateau period before gradually increasing over 12 months to the final CPR, which is assumed to be 15 % in the base scenario.

For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used.

These CPR assumptions are the same as those the Company used for December 31, 2022.

The Company incorporates a recovery assumption into its reserving model 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, 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.

In the first quarter of 2023, in light of volatility in interest rates, the mortgage market and home prices, the Company began incorporating higher (a 50 % recovery rate) and lower (a 10 % recovery rate) levels into the least and most stressful scenarios, which widened the range of possible outcomes but had a minimal effect on the weighted average recovery, which at the time was 20 %.

Additionally, in the third quarter of 2023, due to home prices reaching all time highs, the Company increased its scenario based recovery assumptions such that the weighted average recovery percentage increased from 20 % to approximately 30 %.

The effect of these updated assumptions on expected losses was a benefit of $ 7 million in 2023.

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

RMBS transactions by varying its assumptions of how fast a recovery is expected to occur.

One of the variables used to model sensitivities was how quickly the CDR returned to its modeled equilibrium, which was defined as 5 % of the CDR plateau.

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 December 31, 2023 and December 31, 2022.

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).

Future recovery for deferred principal balances 50 % 30 %

Liquidation rates (1) 20 % – 50 % 20 % – 65 %

____________________

(1) The liquidation rates range from current but recently delinquent loans to foreclosed loans.

Certain transactions benefit from 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) 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.

The Company used a similar approach to establish its scenarios as of December 31, 2023 as it used as of December 31, 2022, increasing and decreasing the periods of stress from those used in the base scenario, except as described above with regards to the increase in deferred principal recoveries.

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

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

projections by approximately $ 30 million for all first lien U.S.

The Company establishes its scenarios by 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 $ 31 million for all first lien U.S.

RMBS transactions.

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RMBS transactions include both home equity lines of credit (HELOC) and closed end second lien mortgages.

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

The Company estimates the amount of loans that will default over the next several years by first calculating expected liquidation rates for delinquent loans, and applying liquidation rates to currently delinquent loans in order to arrive at an expected dollar amount of defaults from currently delinquent collateral (plateau period defaults).

Similar to the methodology applied to first lien U.S.

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

The Company believes the most important driver of its projected second lien U.S.

RMBS losses is the performance of its HELOC transactions.

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 previously charged-off loans).

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

Once the plateau period ends, the CDR is assumed to trend down in uniform increments for one year to its final long-term steady state CDR ( 5 % of original plateau).

HELOC loans generally permitted the borrower to pay only interest for an initial period (often ten years ) and, after that period, require the borrower to make both the monthly interest payment and a monthly principal payment.

This causes the borrower's total monthly payment to increase, sometimes substantially, at the end of the initial interest-only period.

A substantial number of loans in the Company’s insured transactions had been modified to extend the interest-only period to 15 years.

The majority of the modified loans had reset to fully amortizing by the end of 2022, and most of the remaining loans will reset over the next several years.

The Company has observed the performance of the modified loans that have finally reset to full amortization (which represent the majority of extended loans), and noted low levels of delinquency, even with substantial increases in monthly payments.

This observed performance lowers the level of uncertainty regarding this modified cohort as the remainder continue to reset.

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

The Company assumed, as of December 31, 2023 and December 31, 2022, 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.

If the second lien is retained and the value of the home increases, the servicer may be able to use the second lien to increase recoveries, either by arranging for the borrower to resume payments or by realizing value upon the sale of the underlying real estate.

The Company evaluates its assumptions quarterly based on actual recoveries of charged-off loans observed from period to period and reasonable expectations of future recoveries.

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 % (up from 30 % in December 31, 2022), as shown in the table below, based on observed trends and reasonable expectations of future recoveries.

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

In the first quarter of 2023, in light of volatility in interest rates, the mortgage market and home prices, as with the first lien deferred principal balances detailed earlier, the Company also expanded the range of potential recoveries as a percentage of charged off loan balances.

In the third quarter of 2023, this range was further expanded to represent a potential for greater future recoveries due to home prices reaching new record highs.

The assumptions as of December 31, 2023 ranged from a 10 % recovery of charged-off loan balances in the most stressful scenario and an 80 % recovery in the least stressful scenario.

The effect of these updated assumptions on expected loss to be paid (recovered) was a benefit of $ 31 million in 2023.

The rate at which the principal amount of loans is prepaid may impact both the amount of losses projected as well as the amount of excess spread.

In the base scenario, an average CPR (based on experience of the past year) is assumed to

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

continue until the end of the plateau before gradually increasing to the final CPR over the same period the CDR decreases.

The final CPR is assumed to be 15 % for second lien U.S.

RMBS transactions (in the base scenario), which is lower than the historical average but reflects the Company’s continued uncertainty about the projected performance of the borrowers in these transactions.

For transactions where the initial CPR is higher than the final CPR, the initial CPR is held constant and the final CPR is not used.

This pattern is consistent with how the Company modeled the CPR as of December 31, 2022.

To the extent that prepayments differ from projected levels the Company’s projected excess spread and losses could materially change.

In estimating expected losses, the Company modeled and probability weighted five scenarios, each with a different CDR curve applicable to the period preceding the return to the long-term steady state CDR.

The Company believes that the level of the elevated CDR and the length of time it will persist and the ultimate prepayment rate are the primary drivers of the amount of losses the collateral will likely suffer.

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

2 unchanged sentences

Range Weighted Average Range Weighted Average

CDR plateau 0.0 % – 9.3 % 2.6 % 0.4 % – 8.4 % 3.5 %

Final CDR trended down to 0.0 % – 0.5 % 0.1 % 0.0 % – 0.4 % 0.2 %

Plateau CDR 0.0 % – 5.6 % 2.2 % 0.0 % – 9.3 % 2.6 %

Final CDR 0.0 % – 0.3 % 0.1 % 0.0 % – 0.5 % 0.1 %

Liquidation rates (1) 20 % – 55 % 20 % – 60 %

Current but recently delinquent 20 % 20 %

30 – 59 Days Delinquent 30 30

60 – 89 Days Delinquent 40 40

90+ Days Delinquent 60 60

Bankruptcy 55 55

Foreclosure 55 55

Real Estate Owned 100 100

Loss severity on future defaults 98 % 98 %

Projected future recoveries on previously charged-off loans 50 % 40 %

The Company continues to evaluate the assumptions affecting its modeling results.

The Company believes the most important driver of its projected second lien U.S.

RMBS losses is the performance of its HELOC transactions.

The Company modeled scenarios with a longer period of elevated defaults and others with a shorter period of elevated defaults.

In the Company’s most stressful scenario, assuming 10 % recoveries on charged-off loans, increasing the CDR plateau to 42 months and increasing the ramp-down by four months to 16 months (for a total stress period of 58 months) would decrease the expected recovery by approximately $ 87 million for HELOC transactions.

On the other hand, in the Company’s least stressful scenario, assuming 80 % recoveries on charged-off loans, reducing the CDR plateau to 30 months and decreasing the length of the CDR ramp-down to eight months (for a total stress period of 38 months) and lowering the ultimate prepayment rate to 10 % would increase the expected recovery by approximately $ 118 million for HELOC transactions.

____________________

(1) The liquidation rates range from current but recently delinquent loans to foreclosed loans.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

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.

In the Company’s most stressful scenario, assuming 20 % recoveries on charged-off loans, increasing the CDR plateau to 42 months, increasing the ramp-down by four months to 16 months (for a total stress period of 58 months) and using the ultimate prepayment rate of 15 % would decrease the expected recovery by approximately $ 78 million for HELOC transactions.

On the other hand, in the Company’s least stressful scenario, assuming 80 % recoveries on charged-off loans, reducing the CDR plateau to 30 months, decreasing the length of the CDR ramp-down to eight months (for a total stress period of 38 months) and lowering the ultimate prepayment rate to 10 % would increase the expected recovery by approximately $ 78 million for HELOC transactions.

Recovery Litigation and Dispute Resolution

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The Company has asserted claims in a number of legal proceedings in connection with its exposure to Puerto Rico.

See Note 3, Outstanding Exposure, for a discussion of the Company’s exposure to Puerto Rico and related recovery litigation being pursued by the Company.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

See above for a discussion of the Company’s exposure to Puerto Rico and related recovery litigation being pursued by the Company.

Contracts Accounted for as Insurance

15 unchanged sentences

Installment premiums typically relate to structured finance (e.g., securitized debt) and infrastructure transactions, where the insurance premium rate is determined at the inception of the contract, but the insured par is subject to prepayment throughout the life of the transaction.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

• For financial guaranty insurance contracts acquired in a business combination, deferred premium revenue is equal to the fair value of the Company’s stand-ready obligation portion of the insurance contract, at the date of acquisition, based on what a hypothetical similarly rated financial guaranty insurer would have charged for the contract at that date (not the discounted future cash flows under the insurance contract).

8 unchanged sentences

When an insured financial obligation is retired before its maturity, the financial guaranty insurance contract is extinguished, and any nonrefundable deferred premium revenue related to that contract is accelerated and recognized as premium revenue.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

unamortized acquisition costs are expensed.

The Company assesses the need for an allowance for credit loss on premiums receivables each reporting period.

Any unamortized acquisition costs are expensed.

The Company assesses the need for an allowance for credit loss on premiums receivable each reporting period.

For assumed reinsurance contracts, net earned premiums reported in the consolidated statements of operations are calculated based upon data received from ceding companies;

4 unchanged sentences

Ceded unearned premium reserve is recorded as an asset.

Direct, assumed and ceded earned premiums are presented together as net earned premiums in the statement of operations.

Direct, assumed and ceded earned premiums are presented together as net earned premiums in the consolidated statements of operations.

Any premiums related to FG VIEs are eliminated in consolidation.

13 unchanged sentences

(1) 2022 accelerations include $ 133 million related to 2022 Puerto Rico Resolutions.

See Note 3, Outstanding Exposure, for additional information.

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

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Gross Premium Receivable, Net of Commissions Payable on Assumed Business

5 unchanged sentences

Financial guaranty insurance premiums receivable 1,467 1,297 1,371

Gross written premiums on new business, net of commissions 353 356 369

New business and supplemental premiums, net of commissions 467 353 356

Gross premiums received, net of commissions ( 354 ) ( 261 ) ( 345 )

2 unchanged sentences

Foreign exchange gain (loss) on remeasurement ( 24 ) 51 ( 111 )

Expected recovery of premiums previously written off — — 4

Financial guaranty insurance premium receivable 1,550 1,467 1,297

1 unchanged sentence

December 31, $ 1,551 $ 1,468 $ 1,298

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

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

1 unchanged sentence

The timing and cumulative amount of actual collections and net earned premiums may differ from those of expected collections and of expected net earned premiums in the table below due to factors such as foreign exchange rate fluctuations, counterparty collectability issues, accelerations, commutations, restructurings, changes in the consumer price indices, changes in expected lives and new business.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Financial Guaranty Insurance

1 unchanged sentence

As of December 31, 2024

Future Net Premiums to be Earned (2)

Future Premiums

to be Collected (1) Future Net Premiums

to be Earned (2)

to be Collected (1) Earnings of Deferred Premium Revenue Accretion of

Discount Total

(in millions)

7 unchanged sentences

2028 113 246 29 275

2029 100 227 27 254

2030-2034 407 917 115 1,032

2035-2039 312 597 84 681

2040-2044 239 389 55 444

2045-2049 182 259 32 291

2050-2054 113 137 15 152

After 2054 121 109 12 121

Total $ 2,019 $ 3,712 $ 468 $ 4,180

Future accretion 370

Total future net earned premiums $ 4,016

____________________

12 unchanged sentences

Deferred policy acquisition costs include the cost of underwriting personnel attributable to successful underwriting efforts.

The Company conducts an annual time study, which requires the use of judgement, to estimate the amount of costs to be deferred.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

The Company conducts time studies, which requires the use of judgment, to estimate the amount of costs to be deferred.

DAC is generally amortized in proportion to net earned premiums.

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Costs incurred for soliciting potential customers, market research, training, administration, unsuccessful acquisition efforts and product development as well as overhead costs are charged to expense as incurred.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Expected losses and LAE, investment income and the remaining costs of servicing the insured or reinsured business are considered in determining the recoverability of DAC.

11 unchanged sentences

Loss and LAE Reserve

Loss and LAE reserve reported on the balance sheet relates only to direct and assumed reinsurance contracts that are accounted for as insurance, substantially all of which are financial guaranty insurance contracts.

The portion of any contract’s reserve that is ceded to a reinsurer is reported as reinsurance recoverable on unpaid losses and reported in other assets.

Any loss and LAE reserves related to FG VIEs are eliminated upon consolidation.

Loss and LAE reserve reported on the consolidated balance sheets relates only to direct and assumed reinsurance contracts that are accounted for as insurance, substantially all of which are financial guaranty insurance contracts.

The portion of any contract’s reserve that is ceded to a reinsurer is reported as reinsurance recoverable on unpaid losses and reported in “other assets.” Any loss and LAE reserves related to FG VIEs are eliminated upon consolidation.

Any expected losses to be paid (recovered) on credit derivatives are reflected in the fair value of credit derivatives.

8 unchanged sentences

Salvage and Subrogation Recoverable

Expected losses to be paid are reduced when a claim payment (or estimated future claim payment) entitles the Company to cash flows associated with salvage and subrogation rights from the underlying collateral of, or other recoveries relating to an insured exposure.

Expected loss to be paid is reduced when a claim payment (or estimated future claim payment) entitles the Company to cash flows associated with salvage and subrogation rights from the underlying collateral of, or other recoveries relating to, an insured exposure.

Such reduction in expected loss to be paid can result in one of the following:

(i) a reduction in the corresponding loss and LAE reserve with a benefit to the consolidated statement of operations;

(ii) no effect on the consolidated balance sheet or statements of operations, if total loss is not in excess of deferred premium revenue;

(ii) no effect on the consolidated balance sheets or statements of operations if total loss is not in excess of deferred premium revenue;

or (iii) the recording of a salvage asset with a benefit to the consolidated statements of operations if the transaction is in a net recovery position at the reporting date.

The ceded component of salvage and subrogation recoverable is reported in “other liabilities.”

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Expected Loss to be Expensed

2 unchanged sentences

Expected loss to be expensed is the Company’s projection of incurred losses that will be recognized in future periods, excluding accretion of discount.

Insurance Contracts’ Loss Information

Loss and LAE reserve and salvage and subrogation recoverable are discounted at risk-free rates for U.S.

dollar denominated financial guaranty insurance obligations that ranged from 3.79 % to 5.40 % with a weighted average of 4.17 % as of December 31, 2023, and 3.82 % to 4.69 % with a weighted average of 4.15 % as of December 31, 2022.

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

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Insurance Contracts’ Losses Reported in the Consolidated Financial Statements

Loss and LAE reserve and salvage and subrogation recoverable are discounted at risk-free rates for financial guaranty insurance obligations that ranged from 1.98 % to 5.22 % with a weighted average of 4.38 % as of December 31, 2024, and 1.90 % to 5.40 % with a weighted average of 4.15 % as of December 31, 2023.

The following table provides 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

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and (iii) loss reserves that have already been established (and therefore expensed but not yet paid).

Reconciliation of Net Expected Loss to be Paid (Recovered)

to Net Expected Loss to be Expensed

Reconciliation of Net Expected Loss to be Paid (Recovered) to Net Expected Loss to be Expensed

Financial Guaranty Insurance Contracts

6 unchanged sentences

Net expected loss to be expensed (present value) $ 240

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

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

The amount and timing of actual loss and LAE may differ from the estimates shown below due to factors such as accelerations, commutations, changes in expected lives and updates to loss estimates.

11 unchanged sentences

Subtotal 2025 13

After 2043 11

Net expected loss to be expensed (present value) 240

Future accretion 19

Future expected accretion ( 49 )

Total expected future loss and LAE $ 191

13 unchanged sentences

Loss and LAE (benefit) $ ( 26 ) $ 162 $ 16

The following tables provide information on financial guaranty insurance contracts categorized as BIG.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

The following tables provide information on financial guaranty insurance contracts categorized as BIG.

Financial Guaranty Insurance

18 unchanged sentences

Reserves (salvage) $ ( 226 ) $ 35 $ 62 $ ( 129 ) $ ( 128 )

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Financial Guaranty Insurance

21 unchanged sentences

(2) Includes amounts related to FG VIEs.

The increase in BIG in 2024 relates mainly to the downgrade of certain U.K.

regulated utilities.

(3) Represents expected inflows from future payments by obligors pursuant to restructuring agreements, settlements, excess spread on any underlying collateral and other estimated recoveries.

Potential recoveries also include recoveries on certain investment grade credits, related mainly to exposures that were previously BIG and for which claims have been paid in the past.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

The Company cedes portions of its gross insured financial guaranty exposure (Ceded Financial Guaranty Business) to third-party insurers.

1 unchanged sentence

The Company also cedes $ 383 million of its $ 4.5 billion in gross insured specialty business exposure.

Effect of Reinsurance

The following table presents the components of premiums and losses reported in the consolidated statements of operations attributable to the Assumed and Ceded Businesses (both financial guaranty and specialty).

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Components of Premiums Written, Premiums Earned and Loss and LAE (Benefit)

21 unchanged sentences

Contracts Accounted for as Credit Derivatives

Amounts presented in this note relate only to contracts accounted for as derivatives, which are primarily CDS, and also include interest rate swaps.

The Company’s credit derivatives primarily consist of insured CDS contracts.

The Company does not enter into CDS contracts with the intent to trade these contracts and may not unilaterally terminate a CDS contract absent an event or default or termination event that entitles the Company to terminate the contract.

The Company and its counterparties have negotiated the termination of certain contracts from time to time.

Transactions are generally terminated for an amount that approximates the present value of future premiums or a negotiated amount, rather than fair value.

The terms of the Company’s CDS contracts differ from more standardized credit derivative contracts sold by companies outside the financial guaranty industry.

The non-standard terms generally include the absence of collateral support agreements or immediate settlement provisions, and the Company’s insured exposure benefits from relatively high attachment points or other protections.

The Company’s credit derivatives are generally governed by International Swaps and Derivatives Association, Inc.

5 unchanged sentences

Furthermore, in certain credit derivative transactions, the Company may be required to make a payment due to an event that is unrelated to the performance of the obligation referenced in the credit derivative.

If events of default or termination events specified in the credit derivative documentation were to occur, the non-defaulting or the non-affected party, which may be either the Company or the counterparty, depending upon the circumstances, may decide to terminate a credit derivative prior to

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

In that case, the Company may be required to make a termination payment to its swap counterparty upon such termination.

Absent such an event of default or termination event, the Company may not unilaterally terminate a credit derivative contract;

however, the Company on occasion has mutually agreed with various counterparties to terminate certain CDS transactions.

however, the Company on occasion has mutually agreed to terminate certain CDS with related counterparties.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Accounting Policy

Credit derivatives are recorded at fair value, and changes in fair value are reported in “Fair value gains (losses) on credit derivatives” in the consolidated statement of operations.

The fair value of credit derivatives is determined on a contract-by-contract basis and presented as either a credit derivative assets reported in “other assets” or “credit derivative liabilities” in the consolidated balance sheets.

The Company’s credit derivatives qualify as derivatives under GAAP and require fair value measurement, with changes in fair value reported in “fair value gains (losses) on credit derivatives” in the consolidated statement of operations.

The fair value of credit derivatives is determined on a contract-by-contract basis and presented as either credit derivative assets reported in “other assets” or credit derivative liabilities reported in “other liabilities” in the consolidated balance sheets.

See Note 9, Fair Value Measurement, for a discussion on the fair value methodology for credit derivatives.

14 unchanged sentences

____________________

(1) Expected loss to be paid was $ 2 million as of December 31, 2023 and $ 3 million as of December 31, 2022.

(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

7 unchanged sentences

In addition, since each transaction has unique collateral and structural terms, the change in fair value of each transaction may vary considerably.

The fair value of credit derivative contracts generally also reflects the Company’s own credit cost based on the price to purchase credit protection on AGC.

The Company determines its own credit risk primarily based on quoted CDS prices traded on AGC at each balance sheet date.

CDS Spread on AGC (in basis points)

December 31, 2023 December 31, 2022 December 31, 2021

The fair value of credit derivative contracts generally also reflects the Company’s own credit cost based on the price to purchase credit protection on AG.

The Company determines its own credit risk primarily based on quoted CDS prices traded on AG at each balance sheet date.

CDS Spread on AG (in basis points)

As of December 31,

2024 2023 2022

Five-year CDS spread 75 66 63

2 unchanged sentences

Notes to Consolidated Financial Statements, Continued

Fair Value of Credit Derivative Assets (Liabilities) and Effect of AGC Credit Spread

December 31, 2023 December 31, 2022

Fair Value of Credit Derivative Assets (Liabilities) and Effect of AG Credit Spread

As of December 31,

(in millions)

Fair value of credit derivatives before effect of AGC credit spread $ ( 76 ) $ ( 207 )

Effect of AGC credit spread 26 45

Fair value of credit derivatives before effect of AG credit spread $ ( 64 ) $ ( 76 )

Effect of AG credit spread 35 26

Net fair value of credit derivatives $ ( 29 ) $ ( 50 )

The fair value of CDS contracts as of December 31, 2023, before considering the benefit applicable to AGC’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 December 31, 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.

Investments and Cash

1 unchanged sentence

All fixed-maturity securities are reported on a trade date-basis, measured at fair value and classified as either trading or available-for-sale.

Changes in fair value on trading fixed-maturity securities are reported as a component of net income, while unrealized gains and losses on available-for-sale fixed-maturity securities are reported in accumulated other comprehensive income (AOCI).

Changes in the fair value of trading fixed-maturity securities are reported as a component of net income, while unrealized gains and losses on available-for-sale fixed-maturity securities are reported in “accumulated other comprehensive income” (AOCI).

Loss Mitigation Securities, which are a component of available-for-sale fixed-maturity securities, are accounted for based on their underlying investment type, excluding the effects of the Company’s insurance.

5 unchanged sentences

At the time of acquisition, the difference between the Company’s cost of an equity method investment (fair value) and the Company’s proportionate share of the carrying value of the investee’s net assets is referred to as the basis difference.

The basis difference includes amounts attributed to finite-lived intangible assets, which are amortized over the assets’ remaining useful life, and is reported in “equity in earnings (losses) of investees.”

The basis difference includes amounts attributed to finite-lived intangible assets, is amortized over the assets’ remaining useful lives, and is reported in “equity in earnings (losses) of investees.”

The Company classifies distributions received from equity method investments using the cumulative earnings approach in the consolidated statements of cash flows.

Under the cumulative earnings approach, distributions received up to the amount of cumulative equity in earnings recognized are treated as returns on investment within operating cash flows, and those in excess of that amount are treated as returns of investment within investing cash flows.

Sound Point managed funds (and prior to July 1, 2023, AssuredIM managed funds), in which the Company invests (primarily through its investment subsidiary, AGAS), and where the Company has been deemed to be the primary beneficiary, are not reported in “investments” on the consolidated balance sheets, but rather, reported in “assets of consolidated investment vehicles” and “liabilities of consolidated investment vehicles,” with the portion not owned by the Company presented as nonredeemable noncontrolling interests (NCI).

Sound Point managed funds (and prior to July 1, 2023, AssuredIM managed funds), in which the Company invests and where the Company has been deemed to be the primary beneficiary, are not reported in “investments” on the consolidated balance sheets, but rather in “assets of consolidated investment vehicles” and “other liabilities,” with the portion not owned by the Company presented as “nonredeemable noncontrolling interests”.

See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for further information regarding the CIVs.

Cash consists of cash on hand and demand deposits.

See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for cash and cash equivalents for consolidated VIEs.

See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles, for the cash and cash equivalents of consolidated VIEs.

Net investment income primarily includes the income earned on fixed-maturity securities and short-term investments, including amortization of premiums and accretion of discounts.

2 unchanged sentences

PCD securities are defined as financial assets that, as of the date of acquisition, have experienced a more-than-insignificant deterioration in credit quality since origination.

Realized gains and losses on sales of available-for-sale fixed-maturity securities and credit losses are reported in the consolidated statement of operations.

Net realized investment gains (losses) include sales of investments, which are determined

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Realized gains and losses on sales of available-for-sale fixed-maturity securities and credit losses are reported in the consolidated statement of operations.

Net realized investment gains (losses) include sales of investments, which are determined using the specific identification method, reductions to amortized cost of available-for-sale investments that have been written down due to the Company’s intent to sell them or it being more-likely-than-not that the Company will be required to sell them, and the change in allowance for credit losses (including accretion) as discussed below.

using the specific identification method, reductions to amortized cost of available-for-sale investments that have been written down due to the Company’s intent to sell them or it being more-likely-than-not that the Company will be required to sell them, and the change in allowance for credit losses (including accretion) as discussed below.

For all fixed-maturity securities that were originally purchased with credit deterioration, accrued interest is not separately presented but rather is a component of the amortized cost of the instrument.

1 unchanged sentence

Credit Losses

For an available-for-sale fixed-maturity security that has experienced a decline in fair value below its amortized cost due to credit related factors, an allowance is established for the difference between the estimated recoverable value and amortized cost with a corresponding charge to net realized investment gains (losses) in the consolidated statement of operations.

For an available-for-sale fixed-maturity security that has experienced a decline in fair value below its amortized cost due to credit related factors, an allowance is established for the difference between the estimated recoverable value and amortized cost with a corresponding charge to “net realized investment gains (losses)” in the consolidated statements of operations.

The estimated recoverable value is the present value of cash flows expected to be collected.

18 unchanged sentences

An allowance for credit losses is established upon initial recognition for available-for-sale PCD securities.

On the date of acquisition, the amortized cost of PCD securities is equal to the purchase price plus the allowance for credit losses, with no credit loss expense recognized in the consolidated statements of operations.

On the date of acquisition, the amortized cost of a PCD security is equal to its purchase price plus the allowance for credit losses, with no credit loss expense recognized in the consolidated statements of operations.

After the date of acquisition, deterioration (or improvement) in credit will result in an increase (or decrease) to the allowance and an offsetting credit loss expense (or benefit).

1 unchanged sentence

For PCD securities that are also beneficial interests, favorable or adverse changes in expected cash flows are recognized as a change in the allowance for credit losses.

Changes in expected cash flows that are not captured through the allowance are reflected as a prospective adjustment to the security’s yield within net investment income.

Changes in expected cash flows that are not captured through the allowance are reflected as a prospective adjustment to the security’s yield within “net investment income” in the consolidated statements of operations.

The Company has elected to not measure credit losses on its accrued interest receivable and instead write off accrued interest when it is six months past due or on the date it is deemed uncollectible, if earlier.

8 unchanged sentences

Investment Portfolio

The majority of the investment portfolio comprises investment grade fixed-maturity securities managed by three outside managers.

The majority of the investment portfolio consists of investment grade fixed-maturity securities managed by outside managers.

The Company has established investment guidelines for these investment managers regarding credit quality, exposure to a particular sector and exposure to a particular obligor within a sector.

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

(ii) CVIs and New Recovery Bonds received in connection with the 2022 Puerto Rico Resolutions;

(iii) equity method investments;

and (iv) short-term investments.

Equity method investments primarily consist of the investment in Sound Point and fund investments across a variety of strategies.

Investment Portfolio

3 unchanged sentences

Fixed-maturity securities, available-for-sale $ 6,369 $ 6,307

Externally managed (2) $ 5,372 $ 5,824

Loss Mitigation Securities 459 506

Puerto Rico New Recovery Bonds (3) (6) 14 358

Other (4) 462 431

Fixed-maturity securities, trading - Puerto Rico CVIs (3) 318 303

Fixed-maturity securities, trading 147 318

Short-term investments 1,221 1,661

1 unchanged sentence

Equity method investments:

Alternative investments (5) 394 123

Funds and other investments 496 394

Total (1) $ 8,663 $ 9,115

____________________

(1) 7.8 % and 7.4 % of fixed-maturity securities were rated BIG as of December 31, 2023 and December 31, 2022, respectively, consisting primarily of Loss Mitigation Securities.

1.4 % and 5.9 % were not rated, as of December 31, 2023 and December 31, 2022, respectively.

(2) As of December 31, 2023 and December 31, 2022, amounts include $ 318 million and $ 305 million, respectively, of CLOs that had been managed internally by AssuredIM under an investment management agreement until such CLOs transitioned to a third-party manager in June 2023.

(3) These securities are not rated.

(4) As of December 31, 2023 and December 31, 2022, amounts include $ 223 million and $ 232 million, respectively, of investment grade municipal bonds that had been managed by AssuredIM under an investment management agreement until June 2023.

In connection with the Sound Point Transaction, the Company retained management of the strategy internally.

As of December 31, 2023, the strategy was managed by the U.S.

Insurance Subsidiaries for their own accounts.

In February 2024, responsibility for the Company’s investment grade municipal securities strategy was transitioned to a third-party asset manager.

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

(1) The aggregate carrying value of the Company’s investments in Sound Point managed investments, excluding the ownership interest in Sound Point of $ 418 million and $ 429 million as of December 31, 2024 and December 31, 2023, respectively, and excluding certain investments in funds that are consolidated and accounted for as CIVs, was $ 569 million and $ 202 million as of December 31, 2024 and December 31, 2023, respectively.

As of December 31, 2024 and December 31, 2023, 12.6 % and 9.2 %, respectively, of the available-for-sale fixed-maturity securities, were either rated BIG or not rated, primarily consisting of Loss Mitigation Securities and CLO equity tranches.

As of December 31, 2024 and December 31, 2023, the carrying value of Loss Mitigation Securities was $ 479 million and $ 459 million, respectively.

As of December 31, 2024 and December 31, 2023, the carrying value of CLO equity tranches was $ 277 million and $ 13 millions, respectively.

Fixed-maturity securities classified as trading securities primarily include contingent value instruments (CVIs), and are not rated.

The investment portfolio includes $ 884 million in alternative investments primarily consisting of CLO equity securities, classified as available-for-sale fixed-maturity securities, and $ 508 million of investments across various asset classes that are reported in other invested assets.

In addition, as of December 31, 2024 and December 31, 2023, $ 33 million and $ 305 million, respectively, of the Company’s alternative investments in Sound Point managed funds were consolidated and reported in “assets of CIVs,” “other liabilities,” and “nonredeemable noncontrolling interests.” As of December 31, 2024, one active fund in which the Company invests was accounted for as a CIV.

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

(6) In the fourth quarter of 2023, the majority of the New Recovery Bonds were called.

See Note 3, Outstanding Exposure.

Upon closing of the Sound Point Transaction and the AHP Transaction in July 2023, the Company has increased the aggregate amount it has agreed to invest in alternative investments to $ 1.5 billion, including the $ 1 billion in Sound Point managed investments, subject to regulatory approval.

The fair value of alternative investments as of December 31, 2023 was

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

$ 739 million.

The Company had $ 779 million in unfunded commitments to alternative investments (of which $ 363 million is committed to specific funds).

The Company’s alternative investment commitments as of December 31, 2024 include $ 610 million in unfunded commitments, which together with its $ 884 million in funded commitments total $ 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 private healthcare investing, asset-based/specialty finance, CLOs, and middle market direct lending.

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

Of the $ 1.5 billion mentioned above, the U.S.

Insurance Subsidiaries through their jointly owned investment subsidiary, AGAS, are authorized to invest up to $ 750 million plus previously distributed gains of $ 108 million for a total of $ 858 million as of December 31, 2023.

As of December 31, 2023, AGAS commitments to Sound Point and AHP funds were $ 775 million (of which $ 534 million was funded with a net asset value (NAV) of $ 571 million).

This capital was committed to several funds, each dedicated to a single strategy, including CLOs, asset-based finance and healthcare structured capital.

As of December 31, 2023, three of the eight funds in which AGAS invests are accounted for as CIVs.

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

As of December 31, 2023, the aggregate carrying value of Company’s investments in Sound Point and Sound Point managed funds was $ 631 million, consisting of the Company’s equity method investments and certain fixed-maturity securities.

Accrued investment income, which is reported in “other assets,” was $ 71 million as of both December 31, 2023 and December 31, 2022.

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 the Company estimates that it will purchase approximately £ 110 million (or $ 139 million) in liquidity bonds under this commitment.

Accrued investment income was $ 64 million and $ 71 million as of December 31, 2024 and December 31, 2023, respectively.

In 2024, 2023 and 2022, the Company did not write off any accrued investment income.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

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

16 unchanged sentences

Total available-for-sale fixed-maturity securities 100 % $ 6,827 $ ( 60 ) $ 44 $ ( 442 ) $ 6,369

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

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

20 unchanged sentences

government-agency obligations were approximately 68 % of mortgage-backed securities as of December 31, 2024 and 42 % as of December 31, 2023, based on fair value.

(4) Includes a security with an affiliated entity with amortized cost and fair value of $ 41 million and $ 42 million, respectively, as of December 31, 2024, and amortized cost and fair value of $ 21 million as of December 31, 2023.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Gross Unrealized Loss by Length of Time

18 unchanged sentences

Number of securities (1) 569 1,065 1,591

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Gross Unrealized Loss by Length of Time

24 unchanged sentences

As of December 31, 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 December 31, 2023, of the securities in an unrealized loss position for which an allowance for credit loss was not recorded, 409 securities had unrealized losses in excess of 10% of their carrying value, whereas as of December 31, 2022, 567 securities had unrealized losses in excess of 10% of their carrying value.

As of December 31, 2024, of the securities in an unrealized loss position for which an allowance for credit loss was not recorded, 438 securities had unrealized losses in excess of 10% of their carrying value, whereas as of December 31, 2023, 409 securities had unrealized losses in excess of 10% of their carrying

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

The total unrealized loss for these securities was $ 223 million as of December 31, 2024 and $ 200 million as of December 31, 2023.

11 unchanged sentences

Total $ 6,827 $ 6,369

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

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 $ 79 million as of December 31, 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 $ 1,135 million and $ 1,154 million as of December 31, 2024 and December 31, 2023, respectively.

No material investments of the Company were non-income producing during both the twelve-month periods ending December 31, 2023 and December 31, 2022.

The fair value of investments that were non-income producing during twelve-month period ending December 31, 2024 was $ 42 million.

No material investments of the Company were non-income producing during the twelve-month period ending December 31, 2023.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Income from Investments

The components of income derived form the investment portfolio are presented in the following tables.

The components of income derived from the investment portfolio are presented in the following tables.

Income from Investments

4 unchanged sentences

Fixed-maturity securities, available-for-sale (1) $ 261 $ 294 $ 258

Externally managed (1) $ 207 $ 201 $ 212

Loss Mitigation Securities 55 31 38

Puerto Rico, New Recovery Bonds 12 7 —

Other (2) 20 19 24

Short-term investments 83 73 15

6 unchanged sentences

Sound Point (3) $ 6 $ 5 $ —

Funds (4) 15 2 30

Other 8 ( 41 ) 64

Funds and other (4) 56 23 ( 39 )

Equity in earnings (losses) of investees $ 62 $ 28 $ ( 39 )

____________________

(1) Includes income on the portion of the CLO portfolio that was managed by AssuredIM prior to July 1, 2023.

(2) Includes income on the portion of the municipal bond portfolio that was managed by AssuredIM prior to July 1, 2023.

(1) Includes $ 28 million, $ 55 million and $ 31 million income on Loss Mitigation Securities for 2024, 2023 and 2022, respectively.

(2) Fair value gains on trading securities pertaining to securities still held as of December 31, 2024 were $ 15 million for 2024.

Fair value gains on trading securities pertaining to securities still held as of December 31, 2023 were $ 31 million for 2023.

Fair value losses on trading securities pertaining to securities still held as of December 31, 2022 were $ 29 million for 2022.

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

(5) 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.

(3) 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.

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

Fair Value Gains (Losses) on Trading Securities

Substantially all of the trading securities are Puerto Rico CVIs.

In 2022, as a result of the 2022 Puerto Rico Resolutions, the Company received cash, new general obligation bonds, new bonds backed by toll revenues (together, New Recovery Bonds) and CVIs.

As of December 31, 2024, all but $ 123 million of the CVIs (at fair value), and substantially all of the New Recovery Bonds had been sold or redeemed.

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

Equity in Earnings (Losses) of Investees

As of December 31, 2023, the carrying value of the Company’s investment in Sound Point was $ 429 million.

The basis difference relates principally to goodwill and indefinite-lived intangible assets of $ 243 million, and finite-lived intangible assets of $ 37 million which had an average estimated term of 6.4 years.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Distributions received from equity method investments that are presented within operating activities in the consolidated statements of cash flows were $ 7 million, $ 10 million and $ 15 million for the years ended December 31, 2023, 2022 and 2021, respectively.

As of December 31, 2024, the carrying value of the Company’s ownership interest in Sound Point was $ 418 million, and includes a basis difference related principally to goodwill and indefinite-lived intangible assets of $ 245 million, and finite-lived intangible assets of $ 31 million which had an average estimated term of 5.5 years.

The table below presents summarized financial information for equity method investments that meet, in aggregate, the requirements for reporting summarized disclosures.

Such requirements were met in 2024, and the information for 2023 and 2022 is presented for comparative purposes.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Aggregate Equity Method Investments’

42 unchanged sentences

____________________

(1) 2023 and 2022 related primarily to sales of New Recovery Bonds received as part of the 2022 Puerto Rico Resolutions.

(2) 2022 related primarily to sales of New Recovery Bonds received as part of the 2022 Puerto Rico Resolutions.

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

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

(1) Amounts in 2023 related primarily to sales of New Recovery Bonds received as part of the 2022 Puerto Rico Resolutions.

(2) Amounts in 2022 related primarily to sales of New Recovery Bonds received as part of the 2022 Puerto Rico Resolutions.

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

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

Roll Forward of Allowance for Credit Losses

7 unchanged sentences

Additions (reductions) for securities for which credit losses were previously recognized ( 21 ) 12 14

Reductions for securities sold and other settlements — — ( 42 )

Balance, end of period $ 60 $ 77 $ 65

6 unchanged sentences

The types of entities that the Company assesses for consolidation principally include:

(i) financial guaranty variable interest entities;

which include entities whose debt obligations the insurance subsidiaries insure in its financial guaranty business, and Puerto Rico Trusts, and (ii) investment vehicles in which the Company has a variable interest and which Sound Point manages, including (1) Sound Point funds since July 1, 2023 and (2) CLOs that are collateralized financing entities (CFEs), and CLO warehouses managed by AssuredIM prior to July 1, 2023.

(i) financial guaranty variable interest entities, which include entities whose debt obligations the Company insures in its financial guaranty business and Puerto Rico Trusts, and (ii) investment vehicles in which the Company has a variable interest and which Sound Point manages, including (1) Sound Point funds since July 1, 2023 and (2) CLOs that are collateralized financing entities (CFEs), and CLO warehouses managed by AssuredIM prior to July 1, 2023.

For each of these types of entities, the Company first determines whether the entity is a VIE or a voting interest entity (VOE) which involves assessing, among other conditions, (i) whether the equity investment at risk is sufficient to cover the

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

For each of these types of entities, the Company first determines whether the entity is a VIE or a voting interest entity (VOE) which involves assessing, amongst other conditions, (i) whether the equity investment at risk is sufficient to cover the entity’s expected losses and (ii) whether the holders of the equity investment at risk (as a group) have substantive voting rights.

entity’s expected losses and (ii) whether the holders of the equity investment at risk (as a group) have substantive voting rights.

The Company reassesses whether an entity is a VIE upon the occurrence of certain significant events.

6 unchanged sentences

and (ii) the obligation to absorb losses (or the right to receive benefits) from the entity that could potentially be significant to the VIE.

If the Company concludes that it is the primary beneficiary of the VIE, it consolidates the VIE in the Company’s consolidated financial statements.

If the Company concludes that it is the primary beneficiary of the VIE, the VIE is consolidated in the Company’s consolidated financial statements.

If, as part of its continual reassessment of the primary beneficiary determination, the Company concludes that it is no longer the primary beneficiary of a VIE, the Company deconsolidates the VIE and recognizes the impact of that change on the consolidated financial statements.

For FG VIEs other than the Puerto Rico Trusts, the Company elected the fair value option (FVO) for all assets and liabilities.

Upon initial adoption of the accounting guidance for VIEs in 2010, the Company elected to fair value its structured finance and other FG VIEs’ assets and liabilities as the carrying amount transition method was not practical.

Upon initial adoption of the accounting guidance for VIEs in 2010, the Company elected to fair value its structured finance FG VIEs’ assets and liabilities as the carrying amount transition method was not practical.

To allow for consistency in the accounting for the assets and liabilities of its consolidated FG VIEs other than the Puerto Rico Trusts, the Company elected the FVO.

The consolidated Puerto Rico Trusts described below primarily include (i) cash or fixed-maturity debt securities that are carried at fair value and classified as either available-for-sale or trading securities similar to the fixed-maturity debt securities received pursuant to the 2022 Puerto Rico Resolutions and reported in the investment portfolio, and (ii) Puerto Rico Trust liabilities for which the Company elected the FVO in order to more closely mirror the fair value measurement of the Puerto Rico Trust liabilities to the fair value measurement of the Puerto Rico Trust assets.

The change in fair value of FG VIEs’ assets and liabilities is reported in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations, except for (i) the change in fair value attributable to change in instrument-specific credit risk (ISCR) on FG VIEs’ liabilities, and (ii) unrealized gains and losses on the New Recovery Bonds in the Puerto Rico Trusts, which are both reported in other comprehensive income (OCI).

Interest income and interest expense are derived from the trustee reports and also included in “fair value gains (losses) on FG VIEs.” Investment income on the New Recovery Bonds and changes in fair value on the CVIs in the Puerto Rico Trusts are all reported in “fair value gains (losses) on FG VIEs” on the consolidated statement of operations, as applicable.

For those FG VIE liabilities with recourse to the Company, the portion of the inception-to-date change in fair value, attributable to 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.

The Company has limited contractual rights to obtain the financial records of its consolidated structured finance and other FG VIEs.

The structured finance and other FG VIEs do not prepare separate GAAP financial statements;

The consolidated Puerto Rico Trusts described below primarily included (i) cash or fixed-maturity debt securities that were carried at fair value and classified as either available-for-sale or trading securities similar to the fixed-maturity debt securities received pursuant to the 2022 Puerto Rico Resolutions and reported in the investment portfolio, and (ii) Puerto Rico Trust liabilities for which the Company elected the FVO in order to simplify the accounting for these instruments

The change in fair value of FG VIEs’ assets and liabilities is reported in “fair value gains (losses) on FG VIEs” in the consolidated statement of operations, except for (i) the change in fair value attributable to change in instrument-specific credit risk (ISCR) on FG VIEs’ liabilities, and (ii) unrealized gains and losses on the New Recovery Bonds that were held in the Puerto Rico Trusts, which are both reported in “other comprehensive income (loss)” (OCI) in the consolidated statements of comprehensive income (loss).

Interest income and interest expense are derived from the trustee reports and also included in “fair value gains (losses) on FG VIEs.” Investment income on the New Recovery Bonds and changes in fair value on the CVIs that were held in the Puerto Rico Trusts were all reported in “fair value gains (losses) on FG VIEs” on the consolidated statement of operations.

For those FG VIE liabilities with recourse to the Company, the portion of the inception-to-date change in fair value, attributable to ISCR, is calculated by holding all current period assumptions constant for each security and isolating the effect of the change in AG’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 AG’s credit;

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

The Company has limited contractual rights to obtain the financial records of its consolidated structured finance FG VIEs.

The structured finance FG VIEs do not prepare separate GAAP financial statements;

therefore, the Company compiles the FG VIE GAAP financial information based on trustee reports prepared by and received from third parties.

Such trustee reports are not available to the Company in time for quarterly reporting and therefore FG VIEs other than the Puerto Rico Trusts are reported on a one-quarter lag.

As a result of the lag, cash and short-term investments do not reflect cash outflows (due to claim payments made by the Company) to the holders of the FG VIEs’ debt until the subsequent reporting period.

As a result of the lag, cash and short-term investments do not reflect any cash outflows (due to claim payments made by the Company) to the holders of the FG VIEs’ debt until the subsequent reporting period.

The cash flows generated by the FG VIEs’ assets, except for interest income, are classified as cash flows from investing activities.

Paydowns of FG VIEs’ liabilities are supported by the cash flows generated by FG VIEs’ assets and, for liabilities with recourse, possibly claim payments made by AGM or AG under their financial guaranty insurance

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

The cash flows generated by the FG VIEs’ assets, except for interest income, are classified as cash flows from investing activities.

Paydowns of FG VIEs’ liabilities are supported by the cash flows generated by FG VIEs’ assets and, for liabilities with recourse, possibly claim payments made by AGM or AGC under their financial guaranty insurance contracts.

Paydowns of FG VIEs’ liabilities both with and without recourse are classified as cash flows used in financing activities.

Interest income, interest expense and other expenses of the FG VIEs’ assets and liabilities are classified as operating cash flows.

Claim payments made by AGM and AGC under the financial guaranty contracts issued to the FG VIEs are eliminated upon consolidation.

Claim payments made by AGM and AG under the financial guaranty contracts issued to the FG VIEs are eliminated upon consolidation.

Therefore, such claim payments are treated as paydowns of the FG VIEs’ liabilities and as a financing activity as opposed to an operating activity.

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All CLOs and CLO warehouses (collectively, the consolidated CLOs) were deconsolidated by the Company on July 1, 2023.

The consolidated CLOs were CFEs and, therefore, the debt issued by, and loan assets held by, the consolidated CLOs were measured under the FVO using the CFE practical expedient.

The assets and liabilities of consolidated CLO warehouses were also reported at fair value under the FVO election.

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

Interest income from CLO assets is recorded based on contractual rates.

All CIVs are reported on a quarter lag.

Upon consolidation of a Sound Point (and prior to July 1, 2023, AssuredIM) fund, the Company records NCI for the portion of each fund owned by employees and any third-party investors.

All CIVs are reported on a one-quarter lag.

Upon consolidation of a Sound Point (and prior to July 1, 2023, AssuredIM) fund, the Company records noncontrolling interest (NCI) for the portion of each fund owned by any third-party investors and employees.

Investment transactions in the consolidated Sound Point (and prior to July 1, 2023, AssuredIM) funds are recorded on a trade/contract date basis.

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Borrowings under credit facilities, debt issuances and repayments and capital cash flows to and from investors are presented as financing activities, consistent with investment company guidelines.

Structured Finance and Other FG VIEs

Structured Finance FG VIEs

The insurance subsidiaries provide financial guaranties with respect to debt obligations of special purpose entities, including VIEs, but do not act as the servicer or collateral manager for any VIE obligations they guarantee.

The transaction structure generally provides certain financial protection to the insurance subsidiaries.

The transaction structure generally provides certain financial protections to the insurance subsidiaries.

This financial protection can take several forms, the most common of which are overcollateralization, first loss protection (or subordination) and excess spread.

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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.

AGL’s and its insurance subsidiaries’ creditors do not have any rights with regard to

The insurance subsidiaries are not primarily liable for the insured debt obligations issued by the structured finance 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 FG VIEs.

Proceeds from sales, maturities, prepayments and interest from such underlying collateral may only be used to pay debt service on the respective FG VIEs’ liabilities.

As part of the terms of its financial guaranty contracts, the insurance subsidiaries obtain certain protective rights with respect to the VIE that give them additional controls over a VIE.

These protective rights are triggered by the occurrence of

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

the collateral supporting the debt issued by the structured finance and other FG VIEs.

Proceeds from sales, maturities, prepayments and interest from such underlying collateral may only be used to pay debt service on structured finance and other FG VIEs’ liabilities.

As part of the terms of its financial guaranty contracts, the insurance subsidiaries obtain certain protective rights with respect to the VIE that give them additional controls over a VIE.

These protective rights are triggered by the occurrence of certain events, such as failure to be in compliance with a covenant due to poor deal performance or a deterioration in a servicer’s or collateral manager’s financial condition.

certain events, such as failure to be in compliance with a covenant due to poor deal performance or a deterioration in a servicer’s or collateral manager’s financial condition.

At deal inception, the insurance subsidiaries typically are not deemed to control the VIE;

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If the insurance subsidiaries are deemed to no longer have those protective rights, the VIE is deconsolidated.

The structured finance and other FG VIEs’ liabilities that are guaranteed by the insurance subsidiaries are considered to be with recourse, because the insurance subsidiaries guarantee the payment of principal and interest regardless of the performance of the related FG VIEs’ assets.

The structured finance and other FG VIEs’ liabilities that are not guaranteed by the insurance subsidiaries are considered to be without recourse, because the payment of principal and interest of these liabilities is wholly dependent on the performance of the FG VIEs’ assets.

The structured finance FG VIEs’ liabilities that are guaranteed by the insurance subsidiaries are considered to be with recourse, because the insurance subsidiaries guarantee the payment of principal and interest regardless of the performance of the related FG VIEs’ assets.

The structured finance FG VIEs’ liabilities that are not guaranteed by the insurance subsidiaries are considered to be without recourse, because the payment of principal and interest of these liabilities is wholly dependent on the performance of the FG VIEs’ assets.

Number of Consolidated

Structured Finance and Other FG VIEs

Structured Finance FG VIEs

Year Ended December 31,

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Puerto Rico Trusts

With respect to certain insured securities covered by the 2022 Puerto Rico Resolutions, insured bondholders were permitted to elect to receive custody receipts that represent an interest in the legacy insurance policy plus cash, New Recovery Bonds and/or CVIs that constitute distributions under the 2022 Puerto Rico Resolutions.

At least one separate custodial trust was set up for each legacy insured bond, and the trusts are deconsolidated when their liabilities are paid off.

For those who made the election above, distributions of Plan Consideration are passed through to insured bondholders under the custody receipts to the extent of any cash or proceeds of new securities held in the custodial trust and are applied to make payments and/or prepayments of amounts due under the legacy insured bonds.

In the case of insured bondholders who elected to receive custody receipts, the Company retains the right to satisfy its obligations under the insurance policy with respect to the related legacy insured bonds at any time thereafter, with 30 days’ notice, by paying 100% of the then outstanding principal amount of insured bonds plus accrued interest.

With respect to certain insured securities covered by the 2022 Puerto Rico Resolutions, insured bondholders were permitted to elect to receive custody receipts that represented an interest in the legacy insurance policy plus cash and investments.

For those who made the election above, distributions of assets in the trusts were passed through to insured bondholders under the custody receipts to the extent of any cash or proceeds of new securities held in the custodial trust and were applied to make payments and/or prepayments of amounts due under the legacy insured bonds.

As of December 31, 2023, substantially all of the securities in the Puerto Rico Trusts had been called, and the assets in the Puerto Rico Trusts consisted primarily of cash.

In January 2024, such cash proceeds were used to pay down a portion of the liabilities of the Puerto Rico Trusts.

The remaining liabilities of the Puerto Rico Trusts will be paid by the U.S.

Insurance Subsidiaries under their financial guaranty policies and are no longer dependent on the credit of PRHTA.

As of December 31, 2023 and December 31, 2022, respectively, the Company consolidated 24 and 45 custodial trusts established as part of the 2022 Puerto Rico Resolutions discussed in Note 3, Outstanding Exposure, Exposure to Puerto Rico.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

As of December 31, 2022, New Recovery Bonds in the Puerto Rico Trusts had an amortized cost and fair value of $ 204 million.

As of December 31, 2022, 14 New Recovery Bonds in the Puerto Rico Trusts were in a gross unrealized loss position totaling $ 4 million and had a fair value of $ 110 million, all of which were in a continuous unrealized loss position for less than 12 months.

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 December 31, 2022 were primarily attributable to the change in interest rates, rather than credit quality.

The Company did not intend to and was not required to sell these investments prior to an expected recovery in value.

As of December 31, 2022, of the securities in an unrealized loss position for which an allowance for credit loss was not recorded, eight securities had unrealized losses in excess of 10% of their carrying value.

The total unrealized loss for these securities was $ 3 million.

In 2024, after notice to the remaining holders of the PRHTA custody receipts, the Company satisfied its remaining direct insured obligations and deconsolidated the 24 custodial trusts that had been consolidated as of December 31, 2023.

Components of FG VIEs’ Assets and Liabilities

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The Company’s estimate of expected loss to be paid (recovered) for FG VIEs is included in Note 4, Expected Loss to be Paid (Recovered).

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

The table below shows the carrying value of FG VIEs’ assets and liabilities, segregated by type of collateral.

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FG VIEs’ assets:

RMBS first lien $ 145 $ 167

RMBS second lien 28 30

Puerto Rico Trusts’ assets (includes $ 1 and $ 209 at fair value) (1)

RMBS $ 147 $ 173

Puerto Rico Trusts’ assets (includes $ 1 at fair value in 2023) (1)

Total FG VIEs’ assets $ 147 $ 328

FG VIEs’ liabilities with recourse:

RMBS first lien $ 156 $ 176

RMBS second lien 21 24

RMBS $ 155 $ 177

Puerto Rico Trusts’ liabilities — 366

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FG VIEs’ liabilities without recourse:

RMBS first lien $ 11 $ 13

RMBS $ 9 $ 11

Total FG VIEs’ liabilities without recourse $ 9 $ 11

____________________

(1) Includes $ 154 million and $ 2 million of cash as of December 31, 2023 and 2022.

The change in the ISCR of the FG VIEs’ assets for which the Company elected the FVO (FG VIEs’ assets at FVO) held as of December 31, 2023, 2022 and 2021 that was reported in the consolidated statements of operations for 2023, 2022 and 2021 were gains of $ 3 million, $ 10 million and $ 14 million, respectively.

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 insurance subsidiaries’ CDS spread from the most recent date of consolidation to the current period.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

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

The change in the ISCR of the FG VIEs’ assets for which the Company elected the FVO (FG VIEs’ assets at FVO) held as of December 31, 2024, 2023 and 2022 that was reported in the consolidated statements of operations was a loss of $ 5 million in 2024, gain of $ 3 million in 2023 and gain of $ 10 million in 2022.

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

Selected Information for FG VIEs’ Assets and Liabilities

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(1) FG VIEs’ liabilities with recourse will mature at various dates ranging from 2025 through 2038.

In connection with the Sound Point Transaction and AHP Transaction, the Company reevaluated its consolidation conclusion for each CIV and deconsolidated all but three CIVs consisting of funds currently managed by Sound Point.

The deconsolidation reduced CIV assets by $ 4.7 billion and CIV liabilities by $ 4.4 billion.

The Company recognized a loss on deconsolidation of $ 16 million, which is reported in “fair value gains (losses) on CIVs.” In addition, the deconsolidation resulted in a decrease in NCI of $ 132 million at the time of deconsolidation.

CIVs consist of certain Sound Point funds for which the Company is the primary beneficiary or has a controlling interest.

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, the Company deconsolidated CIV assets of $ 4.7 billion and CIV liabilities of $ 4.4 billion in 2023, and recognized a loss on deconsolidation of $ 16 million, which was reported in “fair value gains (losses) on CIVs.” In addition, at the time of deconsolidation, NCI decreased by $ 132 million.

During 2022, the Company deconsolidated a CLO with assets and liabilities of $ 417 million.

In the fourth quarter of 2021, the Company consolidated AssuredIM managed fund and recognized a gain on consolidation of $ 31 million in 2021.

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

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In addition, creditors of the CIVs have no recourse against the assets of the Company, other than the assets of such applicable CIVs.

Liquidity available at the Company’s CIVs is not available for corporate liquidity needs, except to the extent of the Company’s investment in the funds, subject to redemption provisions.

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 consolidated statements of operations.

Interest income from CLO assets is recorded based on contractual rates.

Number of Consolidated CIVs by Type

As of December 31,

CIV Type 2023 2022

CLO warehouses — 4

Total number of consolidated CIVs (1) 3 22

____________________

(1) As of December 31, 2022 two CIVs were VOEs.

Liquidity available at the Company’s

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

CIVs is not available for corporate liquidity needs, except to the extent of the Company’s investment in the funds, subject to redemption provisions.

In 2024, two CIVs distributed substantially all of their invested assets.

After the distributions, as of December 31, 2024, the Company classifies the $ 293 million of the distributed investments as either (i) available-for-sale fixed-maturity securities (CLOs with a carrying value of $ 263 million), (ii) trading securities, (iii) equity method investments, or (iv) other invested assets.

The table below summarizes the change in the number of consolidated CIVs during each of the periods.

During 2022 and 2021, two and five , respectively, consolidated CLO warehouses became CLOs.

During 2022, two consolidated CLO warehouses became CLOs.

Roll Forward of Number of Consolidated CIVs

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December 31 2 3 22

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Assets and Liabilities of CIVs

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Cash and cash equivalents $ 2 $ 35

Fund investments, at fair value:

Equity securities and warrants 99 83

Structured products — 248

Corporate securities — 96

CLO and CLO warehouse assets:

CLO investments:

Loans in CLOs and CLO warehouses, FVO — 4,570

Short-term investments, at fair value — 135

Due from brokers and counterparties — 32

Total assets (1) $ 101 $ 366

CLO obligations, FVO (2)

Warehouse financing debt, FVO (3) — 313

Due to brokers and counterparties — 112

Other liabilities (4) 4 110

Total liabilities

Liabilities (2)

____________________

(1) Includes investments with affiliated entities of $ 281 million as of December 31, 2023.

Includes investments in AssuredIM funds and other affiliated entities of $ 392 million as of December 31, 2022.

Includes assets and liabilities of a VOE of $ 58 million and $ 1 million, respectively, as of December 31, 2022.

(2) As of December 31, 2022, the weighted average maturity of CLO obligations was 6.2 years and the weighted average interest rate of CLO obligations was 5.3 %.

(3) The weighted average maturity of warehouse financing debt of CLO warehouses was 1.9 years as of December 31, 2022.

The weighted average interest rate of warehouse financing debt of CLO warehouses was 4.5 % as of December 31, 2022.

(4) Includes $ 3 million with affiliated entities as of December 31, 2023 and $ 21 million of redeemable NCI as of December 31, 2022.

As of December 31, 2023 and December 31, 2022, the CIVs included derivative contracts with notional amounts totaling $ 36 million and $ 46 million, respectively, and average notional amounts of $ 41 million and $ 47 million, respectively.

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

The net change in fair value is reported in “fair value gains (losses) on CIVs” in the consolidated statements of operations.

NCI represents the portion of the consolidated funds not owned by the Company and includes ownership interests of third parties, employees and former employees.

(1) Include investments with Sound Point affiliated entities of $ 99 million and $ 281 million as of December 31, 2024 and December 31, 2023, respectively.

(2) Includes $ 3 million with Sound Point affiliated entities as of December 31, 2023.

As of December 31, 2024, there were no derivative contracts in CIVs.

As of December 31, 2023, the CIVs included derivative contracts with average notional amounts of $ 41 million.

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

NCI represents the portion of the consolidated funds not owned by the Company and includes ownership interests of third parties and former employees.

The NCI is non-redeemable and presented on the statement of shareholders’ equity.

Other Consolidated VIEs

In certain instances where the Company consolidates a VIE that was established as part of a loss mitigation negotiated settlement that results in the termination of the obligations under the original financial guaranty insurance or insured credit derivative contract, the Company classifies the assets and liabilities of that VIE in the line items that most accurately reflect the nature of such assets and liabilities, as opposed to within FG VIEs’ assets and FG VIEs’ liabilities.

The largest of these VIEs had assets of $ 92 million and liabilities of $ 7 million as of December 31, 2023, which were reported in “investments” and “other liabilities,” respectively, on the consolidated balance sheets.

In the first quarter of 2024, the Company deconsolidated the largest of these VIEs.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

derivative contract, the Company classifies the assets and liabilities of that VIE in the line items that most accurately reflect the nature of such assets and liabilities, as opposed to within FG VIEs’ assets and FG VIEs’ liabilities.

The largest of these VIEs had assets of $ 92 million and liabilities of $ 7 million as of December 31, 2023 and assets of $ 86 million and liabilities of $ 12 million as of December 31, 2022, which were reported in “investments” and “credit derivative liabilities” on the consolidated balance sheets.

Non-Consolidated VIEs

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 December 31, 2023, approximately 14 thousand policies are not within the scope of 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 December 31, 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 December 31, 2023 and 2022, the Company identified 68 and 85 , respectively, policies that contain provisions and experienced events that may trigger consolidation.

As of December 31, 2024 and 2023, the Company identified 50 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 December 31, 2023, the Company’s maximum exposure to losses relating to these non-FG VIEs was $ 326 million, which is limited to the carrying value of these investments of $ 314 million and other assets of $ 12 million.

As of December 31, 2024 the Company’s maximum exposure to losses relating to these VIEs was $ 761 million, which is limited to the carrying value of these assets.

Fair Value Measurement

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Active markets generally are more liquid and have a lower bid-ask spread than an inactive market.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Level 2—Quoted prices for similar instruments in active markets;

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Level 3—Model derived valuations in which one or more significant inputs or significant value drivers are unobservable.

Financial instruments are considered Level 3 when their values are (i) determined using pricing models, discounted cash flow methodologies or similar techniques and (ii) at least one significant model assumption or input is unobservable.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

unobservable.

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

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

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

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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.

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

The fair value of CCS, which is reported in other assets on the consolidated balance sheets, represents the difference between the present value of the remaining expected put option premium payments under AGC CCS and AGM’s Committed Preferred Trust Securities (the AGM CPS) agreements and the estimated present value that the Company would hypothetically have to pay currently for a comparable security (see Note 12, Long-Term Debt and Credit Facilities).

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

The estimated current cost of the Company’s CCS is based on several factors, including AGM and

The fair value of CCS, which is reported in “other assets” in the 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 (see Note 11, Long-Term Debt and Credit Facilities).

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

The estimated current 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.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

AGC CDS spreads, the Company’s publicly traded debt and an estimation of the securities’ remaining term.

The AGC CCS and AGM CPS are classified as Level 3.

Supplemental Executive Retirement Plans

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.

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Contracts Accounted for as Credit Derivatives

The Company’s credit derivatives in the Insurance segment primarily consist of insured CDS contracts.

These instruments qualify as derivatives under GAAP, and require fair value measurement, with changes in fair value reported in the consolidated statements of operations.

The Company did not enter into CDS contracts with the intent to trade these contracts.

Additionally, the Company may not unilaterally terminate a CDS contract, absent an event of default or termination event that entitles the Company to terminate such contract.

However, for certain CDS transactions, the Company has mutually negotiated with various counterparties to terminate such transactions.

In transactions where the counterparty does not have the right to terminate, such transactions were generally terminated for an amount that approximated the present value of future premiums (or for a negotiated amount), rather than fair value.

The terms of the Company’s CDS contracts differ from more standardized credit derivative contracts sold by companies outside the financial guaranty industry.

The non-standard terms generally include the absence of collateral support agreements or immediate settlement provisions.

In addition, the Company employs relatively high attachment points and does not exit derivatives it sells, except under specific circumstances such as mutually negotiated agreements with counterparties.

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

Due to the lack of quoted prices and other observable inputs for its instruments or for similar instruments, the Company determines the fair value of its credit derivative contracts primarily through internally developed, proprietary models that use both observable and unobservable market data inputs.

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

therefore, management has determined that the exit market for the Company’s credit derivatives is a hypothetical one based on its entry market.

These contracts are classified as Level 3 in the fair value hierarchy as there are multiple unobservable inputs deemed significant to the valuation model, most importantly the Company’s estimate of the value of the non-standard terms and conditions of its credit derivative contracts and how the Company’s own credit spread affects the pricing of its transactions.

There are multiple unobservable inputs deemed significant to the valuation model, most importantly the Company’s estimate of the value of the non-standard terms and conditions of its credit derivative contracts and how the Company’s own credit spread affects the pricing of its transactions.

The fair value of the Company’s credit derivative contracts generally represents the difference between the present value of remaining premiums the Company expects to receive and the estimated present value of premiums that a financial guarantor of comparable credit-worthiness would hypothetically charge at the reporting date for the same protection.

The fair value of the Company’s credit derivatives depends on a number of factors, including notional amount of the contract, expected term, credit spreads, changes in interest rates, the credit ratings of referenced entities, the Company’s own credit risk and remaining contractual cash flows.

The expected remaining contractual premium cash flows are the most readily observable inputs since they are based on the CDS contractual terms.

The expected remaining contractual premium cash flows are the most readily observable inputs since they are based on the credit derivatives contractual terms.

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

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.

Consistent with previous years, market conditions at December 31, 2024 were such that market prices of the Company’s CDS contracts were not available.

Assumptions and Inputs

The various inputs and assumptions that are key to the measurement of the Company’s fair value for CDS contracts are as follows:

the gross spread, the allocation of gross spread among the bank profit, net spread and hedge cost and the weighted average life (which is based on debt service schedules).

The Company obtains published gross spreads on its outstanding contracts from third-party market data sources (e.g., dealer spread tables for the collateral similar to assets within the Company’s transactions), as well as collateral-specific spreads provided by or obtained from market sources.

The bank profit represents profit the originator, usually an investment bank, realizes for structuring and funding the transaction;

the net spread represents the premiums paid to the Company for the Company’s credit protection provided;

and the hedge cost represents the cost of CDS protection purchased by the originator to hedge its counterparty credit risk exposure to the Company.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

The primary sources of information used to determine gross spread and the fair value for CDS contracts include:

• Actual collateral specific 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.

• Credit spreads interpolated based upon market indices adjusted to reflect the non-standard terms of the Company’s CDS contracts.

• Credit spreads extrapolated based upon transactions of similar asset classes, similar ratings, and similar time to maturity.

• Information provided by the counterparty of the CDS.

The rates used to discount future expected premium cash flows ranged from 3.26 % to 4.81 % at December 31, 2023 and 2.78 % to 5.08 % at December 31, 2022.

The premium the Company receives is referred to as the “net spread.” The Company’s pricing model considers not only how credit spreads on its insured risks affect pricing, but also how the Company’s own credit spread affects the pricing of its transactions.

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

Due to the relatively low volume and characteristics of CDS contracts remaining in AGM’s portfolio, changes in AGM’s CDS spreads do not significantly affect the fair value of these CDS contracts.

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

The cost to acquire CDS protection referencing AGC affects the amount of spread on CDS transactions that the Company retains and, hence, their fair value.

As the cost to acquire CDS protection referencing AGC increases, the amount of premium the Company retains on a transaction generally decreases.

The amount of premium a financial guaranty insurance market participant can demand is inversely related to the cost of credit protection on the insurance company as measured by market credit spreads assuming all other assumptions remain constant.

The main inputs and assumptions to the measurement of fair value for CDS contracts are the gross spread, the allocation of gross spread among the bank profit, net spread and hedge cost and the weighted average life (which is based on debt service schedules).

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.

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.

The Company’s own credit risk is factored into the determination of the current premium.

Such credit risk is based on the quoted market price for credit protection bought on the Company as reflected by quoted market prices on CDS contracts referencing AG.

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

The amount of premium a financial guaranty insurance market participant can demand (or “current premium”) is inversely related to the cost of credit protection on the insurance company as measured by market credit spreads assuming all other assumptions remain constant.

This is because the buyers of credit protection typically hedge a portion of their risk to the financial guarantor because the contractual terms of the Company’s contracts typically do not require the posting of collateral by the guarantor.

The extent of the hedge depends on the types of instruments insured and the current market conditions.

In the Company’s valuation model, the premium the Company captures is not permitted to go below the minimum rate that the Company would currently charge to assume similar risks.

The extent of the hedge depends on the types of instruments insured and current market conditions.

In the Company’s valuation model, the current premium is not permitted to go below the minimum rate that the Company would charge to assume similar risks in the reporting period.

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

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

As of December 31, 2022, the use of the minimum premium did not have an effect on fair value.

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 of its CDS contracts by applying the difference between the current net spread and the contractual net spread 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.

Strengths and Weaknesses of Model

The Company’s credit derivative valuation model, like any financial model, has certain strengths and weaknesses.

The primary strengths of the Company’s CDS modeling techniques are:

• The model takes into account the transaction structure and the key drivers of market value.

• The model maximizes the use of market-driven inputs whenever they are available.

• The model is a consistent approach to valuing positions.

The minimum premium assumption had no effect on the fair value of CDS contracts as of December 31, 2024 or December 31, 2023.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

The primary weaknesses of the Company’s CDS modeling techniques are:

• There is no exit market or any actual exit transactions;

therefore, the Company’s exit market is a hypothetical one based on the Company’s entry market.

• There is a very limited market in which to validate the reasonableness of the fair values developed by the Company’s model.

• The markets for the inputs to the model are highly illiquid, which impacts their reliability.

• Due to the non-standard terms under which the Company enters into derivative contracts, the fair value of its credit derivatives may not reflect the same prices observed in an actively traded market of credit derivatives that do not contain terms and conditions similar to those observed in the financial guaranty market.

FG VIEs’ Assets and Liabilities

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

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

As of December 31, 2022, assets in the Puerto Rico Trusts, consisted primarily of New Recovery Bonds and CVIs classified as Level 2.

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

See “ - Fixed-Maturity Securities” above for a description of the fair value methodology for the New Recovery Bonds and CVIs in the Puerto Rico Trusts.

Structured finance and other FG VIEs’ assets and liabilities are carried at fair value under the FVO and are classified as Level 3.

The fair value of the residential mortgage loan FG VIEs’ assets is generally sensitive to changes in estimated prepayment speeds;

Structured finance FG VIEs’ assets and liabilities are carried at fair value under the FVO and are classified as Level 3.

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

The fair value of the residential mortgage loans in the FG VIEs’ assets is generally sensitive to changes in estimated prepayment speeds;

estimated default rates (determined on the basis of an analysis of collateral attributes such as:

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Significant changes to some of these inputs could have materially changed the fair value of the FG VIEs’ assets and the implied collateral losses within these transactions.

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 lead 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.

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.

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.

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

The third party pricing service utilizes an internal model to determine an appropriate yield at which to discount the cash flows of the security by factoring in collateral types, weighted average lives and other structural attributes specific to the security being priced.

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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.

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

This is a significant factor in determining the implied benefit of the Company’s insurance policy, which guarantees the timely payment of principal and interest for the insured tranches of debt issued by the FG VIEs.

In general, extending the timing of expected loss payments by the Company typically leads to a decrease in the value of the Company’s insurance and a decrease in the fair value of the Company’s FG VIEs’ liabilities with recourse, while a shortening of the timing of expected loss payments by the Company typically could lead to an increase in the value of the Company’s insurance and an increase in the fair value of the Company’s FG VIEs’ liabilities with recourse.

The liabilities of the Puerto Rico Trusts were priced based on the value of the assets in the Puerto Rico Trusts including the value of the Company’s financial guaranty policy.

The timing of expected losses within an insured transaction is a significant factor in determining the implied benefit of the Company’s insurance policy, which guarantees the timely payment of principal and interest for the insured tranches of debt issued by the FG VIEs.

In general, a longer time period until the Company’s expected loss payments typically leads to a decrease in the value of the Company’s insurance and a decrease in the fair value of the Company’s FG VIEs’ liabilities with recourse, while a shorter time period until the Company’s expected loss payments typically could lead to an increase in the value of the Company’s insurance and an increase in the fair value of the Company’s FG VIEs’ liabilities with recourse.

Assets and Liabilities of CIVs

Investments held by CIVs which are quoted on a national securities exchange are valued at their last reported sale price on the date of determination.

Investments held by CIVs which are traded over-the-counter reflect third-party data generally at the average of dealer offer and bid prices.

Investments held by CIVs which are traded over-the-counter reflect third-party data and generally reflect the average of dealer offer and bid prices.

The valuation methodology may include, but is not limited to:

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and/or (vi) evaluating information provided by the investment manager.

Inputs may include dealer price quotations, yield curves, credit curves, forward/CDS/index spreads, prepayments rates, strike and expiry dates, volatility statistics and other factors.

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

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

include dealer price quotations, yield curves, credit curves, forward/CDS/index spreads, prepayments rates, strike and expiry dates, volatility statistics and other factors.

Investments in private equity funds are generally valued utilizing NAV.

The CLOs were collateralized financing entities (CFEs) that were consolidated until July 1, 2023.

Loans in CLOs were priced using a loan pricing service which aggregated quotes from loan market participants.

The loans were all Level 2 assets, which are more observable than the fair value of the Level 3 debt issued by the consolidated CLOs.

As a result, the less observable CLO debt was measured on the basis of the more observable CLO loans.

Under the CFE practical expedient guidance, the loans of consolidated CLOs were measured at fair value and the debt of consolidated CLOs were measured as:

(1) the sum of (i) the fair value of the financial assets, and (ii) the carrying value of any nonfinancial assets held temporarily;

less (2) the sum of (iii) the fair value of any beneficial interests retained by the Company (other than those that represent compensation for services), and (iv) the Company’s carrying value of any beneficial interests that represent compensation for services.

The resulting amount was allocated to the individual financial liabilities (other than the underlying financial liabilities to the beneficial interests retained by the Company).

Prior to securitization, when a CLO’s loans were warehoused in an investment vehicle, such vehicle was not considered a CFE.

The Company had elected the FVO to measure the loans held, and the debt issued, by CLO warehouses, mitigating the accounting mismatch between such assets and liabilities upon securitization.

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

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

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Fair Value Hierarchy of Financial Instruments Carried at Fair Value

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FG VIEs’ assets — — 147 147

Assets of CIVs:

Equity securities and warrants — 3 80 83

Structured products — 59 189 248

Total assets of CIVs — 62 269 331

Assets of CIVs, equity securities — — 99 99

Other assets 65 59 7 131

Total assets carried at fair value $ 1,283 $ 5,387 $ 1,448 $ 8,118

Credit derivative liabilities $ — $ — $ 53 $ 53

FG VIEs’ liabilities (2) $ — $ — $ 164 $ 164

Other liabilities — — 34 34

Total liabilities carried at fair value $ — $ — $ 198 $ 198

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Assets of CIVs:

Fund investments:

Equity securities and warrants — 5 297 302

Corporate securities — — 96 96

Equity securities — 3 80 83

Structured products — 59 189 248

CLOs and CLO warehouse assets:

Loans — 4,570 — 4,570

Short-term investments 135 — — 135

Total assets of CIVs — 62 269 331

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Total assets carried at fair value $ 1,712 $ 5,780 $ 1,425 $ 8,917

Credit derivative liabilities $ — $ — $ 163 $ 163

FG VIEs’ liabilities (2) $ — $ — $ 554 $ 554

Liabilities of CIVs:

CLO obligations of CFEs — — 4,090 4,090

Warehouse financing debt — 277 36 313

Securitized borrowing — — 28 28

Total liabilities of CIVs — 277 4,154 4,431

Other liabilities — — 53 53

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(1) Includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis.

(2) As of December 31, 2022, e xcludes $ 5 million in investments in AssuredIM funds for which the Company recorded a 100% NCI.

The consolidation of these funds resulted in a gross up of assets and NCI on the consolidated financial statements;

however, it resulted in no economic equity or net income attributable to AGL.

(2) Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse.

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Subdivisions RMBS Asset-

Securities FG VIEs’

Assets Equity Securities and Warrants Corporate Securities Structured Products Other

Securities Fixed-Maturity Securities, Trading FG VIEs’

Assets Equity Securities Structured Products Other

(in millions)

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Settlements — ( 25 ) ( 149 ) ( 3 ) ( 23 ) — — —

Reclassifications (10) — — 245 8 — — ( 253 ) —

Deconsolidations — — — — — ( 1 ) ( 2 ) —

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Liabilities (8)

Liabilities of CIVs

(in millions)

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Settlements ( 1 ) 375

Deconsolidations — 7 4,199

Fair value as of December 31, 2024 $ ( 29 ) $ ( 164 )

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Settlements ( 3 ) ( 30 ) ( 36 ) ( 33 ) — — — ( 4 )

Consolidation — — — 22 — — — —

Deconsolidations — — — ( 7 ) ( 219 ) ( 84 ) 165 —

Transfers into Level 3 3 — — 1 — — — —

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

Fair value as of December 31, 2023 $ 6 $ 154 $ 803 $ 174 $ 80 $ — $ 189 $ 14

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Settlements ( 1 ) 149 13

Consolidations — ( 571 ) ( 26 )

Deconsolidations — 7 4,199

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Earnings $ 112 (6) $ — $ —

OCI $ ( 3 ) $ 42

__________________

(1) Included in “net realized investment gains (losses)” and “net investment income.”

(2) Included in “fair value gains (losses) on FG VIEs.”

(2) Reported in “fair value gains (losses) on FG VIEs.”

(3) Reported in “fair value gains (losses) on CCS,” “net investment income” and “other income (loss).”

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(5) Represents the net position of credit derivatives.

Credit derivative assets (reported in “other assets”) and credit derivative liabilities (presented as a separate line item) are shown as either assets or liabilities in the consolidated balance sheets based on net exposure by transaction.

Credit derivative assets (reported in “other assets”) and credit derivative liabilities (reported in “other liabilities”) are shown as either assets or liabilities in the consolidated balance sheets.

(6) Reported in “fair value gains (losses) on credit derivatives.”

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(8) Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse.

(9) Includes primarily various tranches of CLO debt.

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

(10) Represents securities transferred from two of the CIVs to the investment portfolio due to the distribution of assets of these CIVs.

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

Assured Guaranty Ltd.

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Obligations of state and political subdivisions $ 10 Yield 5.5 % - 22.0 % 7.5 %

RMBS 154 CPR 0.1 % - 15.0 % 3.4 %

RMBS 145 Conditional prepayment rate (CPR)

1.8 % - 17.0 % 2.8 %

CDR 1.8 % - 18.7 % 5.4 %

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CLOs 611 Discount margin 0.8 % - 2.9 % 1.9 %

Yield 12.5 % - 22.5 % 17.9 %

Others 420 Yield 6.4 % - 9.1 % 6.7 %

Fixed-maturity securities, trading (1) 5 Yield 19.8 % - 169.5 % 163.8 %

FG VIEs’ assets (1) 147 CPR 2.2 % - 25.0 % 5.7 %

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Yield 6.8 % - 10.8 % 9.3 %

Assets of CIVs (3):

Equity securities and warrants 80 Discount rate 20.9 %

Assets of CIVs - equity securities (3) 99 Discount rate 24.3 %

Market multiple-price to book 1.05 x

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Exit multiple-price to earnings 5.50 x

Structured products 189 Yield 14.7 % - 21.4 % 18.0 %

Other assets (1) 2 Implied Yield 6.5 % - 7.0 % 6.8 %

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Internal floor (in bps) 10.0 - 85.5 29.7

Internal credit rating CCC - AAA A

Internal credit rating AAA - CCC A

Discount rates of future expected premium cash flows 3.9 % - 4.4 % 4.3 %

FG VIEs’ liabilities (1) ( 164 ) CPR 2.2 % - 25.0 % 5.7 %

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(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.

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Assets (Liabilities)

(in millions) Significant

(in millions) Significant Unobservable

Inputs Range Weighted Average (4)

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Assets of CIVs (3):

Equity securities and warrants 297 Yield 10.0 %

Discount rate 19.8 % - 25.1 % 22.7 %

Market multiple-enterprise value/revenue 1.05 x

Market multiple-enterprise value/EBITDA (6) 2.50 x

Equity securities 80 Discount rate 20.9 %

Market multiple-price to book 1.10 x

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Terminal growth rate 4.0 %

Exit multiple -EBITDA 8.00 x

Exit multiple-price to book 1.10 x

Exit multiple-price to earnings 5.50 x

Corporate securities 96 Discount rate 20.8 % - 23.8 % 21.7 %

Exit multiple-EBITDA 8.00 x

Market multiple-enterprise value/EBITDA 2.50 x

Structured products 189 Yield 14.7 %

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Bank profit (in bps) 105.6 - 302.6 158.6

Internal credit rating AAA - CCC AA

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Financial Instrument Description Fair Value

Assets (Liabilities)

(in millions) Significant

Inputs Range Weighted Average (4)

Internal floor (in bps) 10.0

Internal credit rating AAA - CCC A

Discount rates of future expected premium cash flows 3.3 % - 4.8 % 3.6 %

FG VIEs’ liabilities (1) ( 554 ) CPR 0.2 % - 21.4 % 7.8 %

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Yield 5.0 % - 10.7 % 5.8 %

Liabilities of CIVs (1):

CLO obligations of CFEs (5) ( 4,090 ) Yield 3.0 % - 27.4 % 5.5 %

Warehouse financing debt ( 36 ) Yield 11.7 % - 16.9 % 12.9 %

Securitized borrowing ( 28 ) Discount rate 20.9 %

Terminal growth rate 3.0 %

Exit multiple-EBITDA 11.00 x

Market multiple-enterprise value/EBITDA 10.00 x

____________________

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(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.

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

(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.

(5) See CFE fair value methodology described above for consolidated CLOs.

(6) Earnings before interest, taxes, depreciation, and amortization (EBITDA).

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Not Carried at Fair Value

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.

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The market conventions utilize market quotations, market transactions for the Company’s comparable instruments, and to a lesser extent, similar instruments in the broader insurance industry.

Assets and Liabilities of CIVs

Cash equivalents are recorded at cost which approximates fair value.

Due from/to brokers and counterparties primarily consists of cash, margin deposits, cash collateral with the clearing brokers and various counterparties and the net amounts receivable/payable for securities transactions that had not settled at the balance sheet date.

Due from/to brokers and counterparties represents balances on a net-by counterparty basis on the consolidated balance sheets where a contractual right of offset exists under an enforceable netting arrangement.

The cash at brokers is partially related to derivative contracts;

its use is therefore restricted until the derivative contracts are closed.

The carrying value approximates fair value of these items and are considered Level 1 in the fair value hierarchy.

Other Liabilities

As of December 31, 2022, $ 35 million of AssuredIM’s obligation under a master repurchase agreement to finance AssuredIM’s purchase of 5 % of the senior and equity notes issued by certain consolidated European CLOs, which was required to comply with its European risk retention obligations, were included in “other liabilities.”

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Assets of CIVs

Cash equivalents are recorded at cost which approximates fair value and are considered Level 1 in the fair value hierarchy.

The carrying amount and estimated fair value of the Company’s financial instruments not carried at fair value are presented in the following table.

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Long-term debt ( 1,699 ) ( 1,579 ) ( 1,694 ) ( 1,593 )

Liabilities of CIVs — — ( 170 ) ( 170 )

Other liabilities ( 16 ) ( 16 ) ( 15 ) ( 15 )

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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.

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 may report performance fees reported in “other income.”

Accounting Policy

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The Company recognizes revenue when the contractual performance criteria are met and only to the extent that it is probable that a significant reversal in the amount of cumulative revenue recognized would not occur when the uncertainty associated with the variable consideration is resolved.

Given the uniqueness of each fee arrangement, performance fee contractual provisions were evaluated on an individual basis to determine the timing of revenue recognition.

The following table presents the sources of asset management fees on a consolidated basis through the end of December 31, 2023.

Performance fee contractual provisions are evaluated on an individual basis to determine the timing of revenue recognition.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Asset Management Fees

The following table presents the sources of asset management fees on a consolidated basis.

Asset Management Fees

Year Ended December 31,

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(1) Represents asset management fees associated with the AssuredIM consolidated business for the first half of 2023, prior to the Sound Point Transaction and AHP Transaction.

As of December 31, 2022, the Company had related party receivables, which were included in “other assets” on the consolidated balance sheets, consisting of management and performance fees receivable of $ 10 million and other receivables of $ 3 million from AssuredIM managed funds.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

In the second half of 2023, after the consummation of the Sound Point Transaction, one AssuredIM GP is still consolidated in the Company’s financial statements, which had $ 5 million of revenues and $ 3 million of expenses.

Goodwill and Other Intangible Assets

Accounting Policy

Goodwill represents the excess of cost over the net fair value of assets and liabilities at the date of acquisition.

Finite-lived intangible assets are recorded at fair value on the date of acquisition and are amortized over their estimated useful lives.

Goodwill and Intangible Assets

The following table summarizes the carrying value for the Company’s goodwill and other intangible assets:

Goodwill and Other Intangible Assets

As of December 31,

(in millions)

Goodwill $ — $ 117

Finite-lived intangible assets:

Finite-lived intangible assets, gross (1) 1 82

Accumulated amortization ( 1 ) ( 42 )

Finite-lived intangible assets, net — 40

Indefinite-lived intangible assets (insurance licenses) 6 6

Total goodwill and other intangible assets $ 6 $ 163

____________________

(1) The December 31, 2022 amount primarily included CLO contracts and investment management contracts of $ 42 million and $ 24 million, respectively, and had a weighted average amortization period ranging from 1.2 years to 6.8 years.

Goodwill and substantially all finite-lived intangible assets were related to AssuredIM.

In 2023, in connection with the Sound Point Transaction and the AHP Transaction, the carrying value of all goodwill and the intangible assets associated with AssuredIM were reduced to zero .

See Note 1, Business and Basis of Presentation, for additional information.

To date, there have been no impairments of goodwill or finite-lived intangible assets.

Amortization expense associated with the finite-lived intangible assets was $ 2 million, $ 11 million and $ 12 million for the years ended December 31, 2023, 2022 and 2021, respectively, and is reported in “other operating expenses” in the consolidated statements of operations.

The Company merged MAC with and into AGM, with AGM as the surviving company on April 1, 2021.

Upon the merger, all direct insurance policies issued by MAC became direct insurance obligations of AGM.

As a result, the Company wrote off the $ 16 million carrying value of the indefinite-lived intangible asset related to the MAC insurance licenses.

This was reported in “other operating expenses” in the Insurance segment.

In the second half of 2023, after the consummation of the Sound Point Transaction, one AssuredIM general partnership is still consolidated in the Company’s financial statements, which had $ 10 million of revenues and $ 6 million of expenses in 2024, and $ 5 million of revenues and $ 3 million of expenses in 2023.

Long-Term Debt and Credit Facilities

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(i) unamortized original issue discount or premium;

(ii) unamortized acquisition date fair value adjustments for AGM and AGMH debt;

(ii) unamortized acquisition date fair value adjustments for AGMH debt;

and (iii) debt issuance costs.

Original issue discount and premium, acquisition date fair value adjustments for AGM and AGMH debt, and debt issuance costs are accreted into interest expense over the contractual term of the applicable debt.

Original issue discount and premium, acquisition date fair value adjustments for AGMH debt, and debt issuance costs are accreted into interest expense over the contractual term of the applicable debt.

When long-term debt is redeemed, the difference between the cash paid to redeem the debt and the carrying value of the debt is reported as a “loss on extinguishment of debt” in the consolidated statements of operations.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

CCS are carried at fair value with changes in fair value reported in the consolidated statement of operations.

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AGL’s guarantee of the junior subordinated debentures is on a junior subordinated basis.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Principal and Carrying Amounts of Debt

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AGMH Junior Subordinated Debentures (1) 146 113 146 110

AGUS 5 % Senior Notes

Total $ 1,746 $ 1,699 $ 1,746 $ 1,694

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AGUS may redeem all or part of the 3.15 % Senior Notes at any time or from time to time prior to March 15, 2031 (the date that is three months prior to the maturity of the 3.15 % Senior Notes), at its option, at a redemption price equal to the greater of:

(i) 100 % of the principal

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

amount of the 3.15 % Senior Notes being redeemed;

(i) 100 % of the principal amount of the 3.15 % Senior Notes being redeemed;

or (ii) the sum of the present values of the remaining scheduled payments of principal and interest on the Notes being redeemed (excluding interest accrued to the redemption date) from the redemption date to March 15, 2031 discounted to the date of redemption on a semi-annual basis (assuming a 360-day year consisting of twelve 30-day months) at a discount rate equal to the Treasury Rate plus 25 bps;

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The 3.15 % Senior Notes are senior unsecured obligations of AGUS and rank equal in right of payment with all of AGUS’s other unsecured and unsubordinated indebtedness outstanding.

The guarantee is a senior unsecured obligation of AGL and ranks equal in right of payment with all of AGL’s other unsecured and unsubordinated indebtedness outstanding.

The guarantee is a senior

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

unsecured obligation of AGL and ranks equal in right of payment with all of AGL’s other unsecured and unsubordinated indebtedness outstanding.

7 % Senior Notes.

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The debentures are redeemable, in whole or in part, at their principal amount plus accrued and unpaid interest to the date of redemption.

5 % Senior Notes.

On June 20, 2014, AGUS issued $ 500 million of 5 % Senior Notes due 2024 ( 5 % Senior Notes) for net proceeds of $ 495 million.

The net proceeds from the sale of the notes were used for general corporate purposes, including the purchase of AGL common shares.

The notes were redeemable, in whole or in part, at their principal amount plus accrued and unpaid interest to the date of redemption or, if greater, the make-whole redemption price.

As mentioned above, on September 27, 2021, the Company used a portion of the proceeds from the issuance of AGUS’s 3.6 % Senior Notes on August 20, 2021 to redeem $ 170 million of the outstanding principal of these 5 % Senior Notes;

and, on September 25, 2023, the Company used a portion of the proceeds from the issuance of AGUS’s 6.125 % Senior Notes on August 21, 2023 to redeem the remaining $ 330 million of the outstanding principal of these 5 % Senior Notes.

Debt Issued by AGMH

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On November 22, 2006, AGMH issued $ 300 million face amount of Junior Subordinated Debentures with a scheduled maturity date of December 15, 2036 and a final repayment date of December 15, 2066.

The final repayment date of December 15, 2066 may be automatically extended up to four times in five-year increments

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

provided certain conditions are met.

The final repayment date of December 15, 2066 may be automatically extended up to four times in five-year increments provided certain conditions are met.

The debentures are redeemable, in whole or in part, at any time prior to December 15, 2036 at their principal amount plus accrued and unpaid interest to the date of redemption or, if greater, the make-whole redemption price.

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Over the past several years AGUS purchased, and as of December 31, 2024 and 2023, AGUS holds approximately $ 154 million in principal of the AGMH Subordinated Debentures.

Loss on Extinguishment of Debt

In 2021, a portion of the proceeds from the issuance of the 3.15 % Senior Notes and all of the proceeds from the issuance of the 3.6 % Senior Notes were used to redeem $ 430 million of AGMH debt and $ 170 million of AGUS’s 5 % Senior Notes due in 2024.

As a result of the redemptions discussed above, the Company recognized a loss on extinguishment of debt of approximately $ 175 million on a pre-tax basis ($ 138 million after-tax) in the year ended December 31, 2021, which represents the difference between the amount paid to redeem the debt and the carrying value of the debt.

The loss on extinguishment of debt primarily consists of a $ 156 million acceleration of unamortized fair value adjustments that were originally recorded upon the acquisition of AGMH in 2009 and a $ 19 million make-whole payment associated with the redemption of $ 170 million of AGUS’s 5 % Senior Notes.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Debt Maturity and Interest Expense

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(in millions)

2029-2048 700

2049-2066 696

Total $ 1,746

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Committed Capital Securities

Each of AGC and AGM is party to an arrangement that enables it to access, at its discretion, up to $ 200 million of capital, at any time, and has the right to use such capital for any purpose, including to pay claims.

The arrangement entails four custodial trusts (Woodbourne Capital Trust I, II, III and IV) relating to AGC 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” and invested the proceeds of that issuance in eligible assets that would enable the trust to have the cash necessary to respond to AGC’s or AGM’s exercise, respectively, of a put option.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

The put option consists of a right that each of AGC and AGM has, pursuant to separate put agreements that AGC 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 AGC and AGM).

When AGC 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 AGC 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” 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.

Accordingly, each of AGC and AGM currently has the ability to exercise put options to raise up to $ 200 million of capital at any time.

Employee Benefit Plans

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Long-Term Incentive Plan

Under the Assured Guaranty Ltd.

2004 Long-Term Incentive Plan, as amended (the Incentive Plan), the number of AGL common shares that may be delivered under the Incentive Plan may not exceed 18,670,000 .

As of December 31, 2023, 7,841,664 common shares were available for grant under the Incentive Plan.

The Company maintains the Assured Guaranty Ltd.

2024 Long-Term Incentive Plan (the Incentive Plan), which is the successor plan to the Assured Guaranty Ltd.

2004 Long-Term Incentive Plan (the Prior Plan).

The number of AGL common shares that may be delivered under the Incentive Plan include (i) 1,750,000 shares;

plus (ii) any shares that were granted under the Prior Plan that are forfeited, expire, or are cancelled without delivery of shares or which result in the forfeiture of the shares back to the Company to the extent that such shares would have been added back to the reserve under the terms of the Prior Plan.

As of December 31, 2024, 1,731,773 common shares were available to grant under the Incentive Plan.

In the event of certain transactions affecting AGL’s common shares, the number or type of shares subject to the Incentive Plan, the number and type of shares subject to outstanding awards under the Incentive Plan, and the exercise price of awards under the Incentive Plan, may be adjusted.

The Incentive Plan authorizes the grant of incentive stock options, non-qualified stock options, stock appreciation rights and full value awards that are based on AGL’s common shares.

The grant of full value awards may be in return for a participant's previously performed services, or in return for the participant surrendering other compensation that may be due, or may be contingent on the achievement of performance or other objectives during a specified period.

The Incentive Plan provides for the grant of full value awards, which may be granted in return for a participant's previously performed services, or in return for the participant surrendering other compensation that may be due, or may be contingent on the achievement of performance or other objectives during a specified period.

The grant of full value awards are subject to a risk of forfeiture or other restrictions that will lapse upon the achievement of one or more goals relating to completion of service by the participant, or achievement of performance or other objectives.

Awards under the Incentive Plan may accelerate and become vested upon a change in control of AGL.

In addition to full value awards,

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

the Incentive Plan also provides for the grant of incentive stock options, non-qualified stock options and stock appreciation rights.

The Incentive Plan is administered by the Compensation Committee of AGL’s Board of Directors (the Board), except as otherwise determined by the Board.

The Board may amend or terminate the Incentive Plan.

The Company issues new shares to settle share-based awards.

Accounting Policy

Share-based compensation expense is based on the grant date fair value using the grant date closing price or the Monte Carlo or Black-Scholes-Merton (Black-Scholes) pricing models.

Except for the share-based awards to retirement-eligible employees, the Company amortizes the fair value of share-based awards on a straight-line basis over the requisite service periods of the awards, which are generally the vesting periods.

For retirement-eligible employees, the Company expenses the portion of the unvested time-based awards that fully vest upon retirement eligibility.

Except for the time-based awards to retirement-eligible employees, the Company amortizes the fair value of share-based awards on a straight-line basis over the requisite service periods of the awards, which are generally the vesting periods.

The fair value of each award under the Assured Guaranty Ltd.

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Long-Term Incentive Plan

Restricted Stock Units

Restricted stock units are valued based on the closing price of the underlying shares at the date of grant.

The Company awards restricted stock units to employees that generally vest after a three-year or over a four-year period.

Occasionally the Company may award restricted stock units to employees that vest after a four-year period.

Restricted Share Units

Restricted share units are valued based on the closing price of the underlying shares at the date of grant.

These restricted share units generally vest pro rata over a four-year period or all at once after a three-year period.

The shares are delivered on the vesting date.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Restricted Stock Unit Activity

Nonvested Stock Units Number of

Restricted Share Unit Activity

Nonvested Share Units Number of

Weighted Average Grant Date Fair Value Per Share

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Nonvested at December 31, 2024 780,481 $ 64.03

As of December 31, 2023, the total unrecognized compensation cost related to outstanding non-vested restricted stock units was $ 15 million, which the Company expects to recognize over the weighted average remaining service period of 1.7 years.

The total fair value of restricted stock units vested during the years ended December 31, 2023, 2022 and 2021 was $ 18 million, $ 12 million and $ 12 million, respectively.

The weighted average grant-date fair value of restricted stock units granted during the years ended December 31, 2023, 2022 and 2021 was $ 61.26 , $ 56.46 , and $ 44.08 , respectively.

Performance Restricted Stock Units

Each performance restricted stock unit represents a contingent right to receive up to a certain number of the Company’s common shares.

As of December 31, 2024, the total unrecognized compensation cost related to outstanding non-vested restricted share units was $ 14 million, which the Company expects to recognize over the weighted average remaining service period of 1.6 years.

The total fair value of restricted share units vested during the years ended December 31, 2024, 2023 and 2022 was $ 16 million, $ 18 million and $ 12 million, respectively.

The weighted average grant-date fair value per share of restricted share units granted during the years ended December 31, 2024, 2023 and 2022 was $ 84.59 , $ 61.26 , and $ 56.46 , respectively.

Performance-Based Restricted Share Units

Each performance-based restricted share unit represents a contingent right to receive up to a certain number of the Company’s common shares.

Awards tied to core adjusted book value per share represent the right to receive up to two shares at the end of a three-year performance period, depending on the growth in core adjusted book value per share over the three-year performance period.

Performance restricted stock units tied to total shareholder return (TSR) relative to the TSR of the 55th percentile of the Russell Midcap Financial Services Index represent the right to receive up to 2.5 shares at the end of a three-year performance period.

Performance-based restricted share units tied to total shareholder return (TSR) relative to the TSR of the 55th percentile of the Russell Midcap Index - Financials (Index) represent the right to receive up to 2.5 shares at the end of a three-year performance period.

The shares related to awards tied to core adjusted book value per share are delivered on the vesting date and the shares related to awards tied to relative TSR are generally delivered on the fourth anniversary of the grant date.

Performance Restricted Stock Unit Activity

Performance Restricted Stock Units Number of

Performance Share Units

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Performance-Based Restricted Share Unit Activity

Performance-Based Restricted Share Units Number of

Performance-Based Share Units

Weighted Average Grant Date Fair Value Per Share

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____________________

(1) Includes 86,501 ABV performance restricted stock units and 81,441 TSR performance restricted stock units that were granted prior to 2023 at a weighted average grant date fair value of $ 43.09 and $ 38.96 , respectively, but met performance hurdles and vested during 2023.

(1) Includes 118,086 adjusted book value performance-based restricted share units and 177,130 TSR performance-based restricted share units that were granted prior to 2024 at a weighted average grant date fair value of $ 44.01 and $ 60.06 , respectively, but met performance hurdles and vested during 2024.

The weighted average grant date fair value per share excludes these shares.

(2) Excludes 167,942 TSR performance restricted stock units that vested during 2023 but were not delivered.

(3) Excludes 295,216 performance restricted stock units that have met performance hurdles and vested in February 2024.

Includes 167,942 TSR performance restricted stock units that vested during 2023 but will be delivered in 2024.

As of December 31, 2023, the total unrecognized compensation cost related to outstanding non-vested performance share units was $ 13 million, which the Company expects to recognize over the weighted average remaining service period of 1.7 years.

The total value of performance restricted stock units vested during the years ended December 31, 2023, 2022 and 2021 was based on grant date fair value and was $ 11 million, $ 8 million and $ 9 million, respectively.

For the 2023, 2022 and 2021 awards, the grant-date fair value of the performance restricted stock units tied to relative TSR was calculated using a Monte Carlo simulation in order to determine the total return of the Company’s shares relative to the total return of financial companies in the Russell Midcap Financial Services Index (Index).

(2) Excludes 295,216 TSR performance-based restricted share units that vested during 2024 but were not delivered.

(3) Excludes 157,854 performance-based restricted share units that have met performance hurdles and vest in February 2025.

Includes 295,216 TSR performance-based restricted share units that vested during 2024 but will be delivered in 2025.

As of December 31, 2024, the total unrecognized compensation cost related to outstanding non-vested performance-based share units was $ 18 million, which the Company expects to recognize over the weighted average remaining service period of 1.9 years.

The total value of performance-based restricted share units vested during the years ended December 31, 2024, 2023 and 2022 was based on grant date fair value and was $ 17 million, $ 11 million and $ 8 million, respectively.

For the 2024, 2023 and 2022 awards, the grant-date fair value of the performance-based restricted share units tied to relative TSR was calculated using a Monte Carlo simulation in order to determine the total return of the Company’s shares relative to the total return of financial companies in the Index.

The inputs to the simulation include the beginning share price and historical share price volatility of each company in the Index as well as the historical correlation coefficient between the share price of each company in the Index and the Index itself.

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Because the simulation is calculating the total rate of return for each company in the Index, the simulation assumes that all dividends for all companies are reinvested.

As a result, all dividends

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

within the simulation are set to zero regardless any actual (real world) dividends paid by any of the companies in the Index, so actual dividend data are not used as inputs.

The following are significant assumptions used in determining the fair value of the performance restricted stock units tied to relative TSR.

As a result, all dividends within the simulation are set to zero regardless of any actual (real world) dividends paid by any of the companies in the Index, so actual dividend data are not used as inputs.

The following are significant assumptions used in determining the fair value of the performance-based restricted share units tied to relative TSR.

Years Ended December 31,

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Risk-free-rates 4.38 % 4.38 % 1.74 %

Grant-date fair value $ 80.80 $ 83.97 $ 60.06

For the 2023, 2022 and 2021 awards, the grant-date fair value of the performance restricted stock units tied to core adjusted book value was based on the grant date closing price.

The weighted average grant-date fair value of the 2023, 2022 and 2021 awards was $ 71.34 , $ 62.89 and $ 52.04 , respectively.

Restricted Stock Awards

Restricted stock awards are valued based on the closing price of the underlying shares at the date of grant.

The Company awards restricted stock awards to non-executive directors that vest after one year.

Grant-date fair value per share $ 104.27 $ 80.80 $ 83.97

For the 2024, 2023 and 2022 awards, the grant-date fair value of the performance-based restricted share units tied to core adjusted book value was based on the grant date closing price.

The weighted average grant-date fair values per share of all performance-based awards in 2024, 2023 and 2022 were $ 94.56 , $ 71.34 and $ 62.89 , respectively.

Restricted Share Awards

Restricted share awards are valued based on the closing price of the underlying shares at the date of grant.

The Company awards restricted share awards to non-executive directors, and vest after one year.

The shares are delivered on the vesting date.

Restricted Stock Award Activity

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Restricted Share Award Activity

Nonvested Shares Number of

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Nonvested at December 31, 2024 21,413 $ 77.54

As of December 31, 2023, the total unrecognized compensation cost related to outstanding non-vested restricted stock awards was $ 0.7 million, which the Company expects to recognize over the weighted average remaining service period of 0.3 years.

As of December 31, 2024, the total unrecognized compensation cost related to outstanding non-vested restricted share awards was $ 0.5 million, which the Company expects to recognize over the weighted average remaining service period of 0.3 years.

The total fair value of shares vested during the years ended December 31, 2024, 2023 and 2022 was $ 2.0 million, $ 2.2 million and $ 2.3 million, respectively.

The weighted average grant-date fair value of shares granted during the years ended December 31, 2023, 2022 and 2021 was $ 52.26 , $ 59.47 and $ 51.34 , respectively.

The weighted average grant-date fair values per share of shares granted during the years ended December 31, 2024, 2023 and 2022 was $ 77.54 , $ 52.26 and $ 59.47 , respectively.

Employee Stock Purchase Plan

The Company established the AGL Employee Stock Purchase Plan (Stock Purchase Plan) in accordance with Internal Revenue Code of 1986 (the Code) Section 423, and participation is available to all eligible employees.

Maximum annual purchases by participants are limited to the number of whole shares that can be purchased by an amount equal to 10 % of the participant's compensation or, if less, shares having a value of $ 25,000 .

The Company established the AGL Employee Stock Purchase Plan (ESPP) in accordance with Internal Revenue Code of 1986 (the Code) Section 423, and participation is available to all eligible employees.

Maximum annual purchases by participants are limited to the number of whole shares that can be purchased with an amount equal to 10 % of the participant's compensation or, if less, shares having a value of $ 25,000 .

Participants may purchase shares at a purchase price equal to 85 % of the lesser of the fair market value of the stock on the first day or the last day of the subscription period.

The Company has reserved for issuance and purchases under the Stock Purchase Plan 1,200,000 AGL common shares.

As of December 31, 2023, 367,838 common shares were available for grant under the Stock Purchase Plan.

The fair value of each award under the Stock Purchase Plan is estimated using the following assumptions:

The Company has reserved for issuance and purchases under the ESPP 1,200,000 AGL common shares.

As of December 31, 2024, 334,490 common shares were available for grant under the ESPP.

The Company issues new shares to settle share-based awards.

The fair value of each award under the ESPP is estimated using the following assumptions:

(i) the expected dividend yield is based on the current expected annual dividend and share price on the grant date;

(ii) the expected volatility is estimated at the date of grant based on the historical share price volatility, calculated on a daily basis;

(iii) the risk-

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

free rate for periods within the contractual life of the option is based on the U.S.

(iii) the risk-free rate for periods within the contractual life of the option is based on the U.S.

Treasury yield curve in effect at the time of grant;

and (iv) the expected life is based on the term of the offering period.

Stock Purchase Plan

AGL Employee Stock Purchase Plan

Year Ended December 31,

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Income tax benefit 5 5 6

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Defined Contribution Plan

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Payable to Sound Point and AHP

As of December 31, 2023, the Company had an $ 8 million payable for compensation to former employees of AssuredIM in accordance with the Sound Point Transaction and the AHP Transaction.

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 AG Re, AGRO and Cedar Personnel Ltd.

(collectively, the Bermuda Subsidiaries) in 2023.

As of December 31, 2024 and December 31, 2023, the Company had $ 3 million and $ 8 million payable for compensation to former employees of AssuredIM in accordance with the Sound Point Transaction and the AHP Transaction, respectively.

AGL is a tax resident in the U.K.

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 2024 and 2023.

AGL’s U.S., U.K.

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domestic corporation.

AGL is a tax resident in the U.K.

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

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

In July of 2023, the U.K.

government passed legislation to implement the Organization for Economic Co-Operation and Development’s (OECD) Base Erosion and Profit Shifting (BEPS) Pillar Two income inclusion rule.

This includes a multinational top-up tax which will apply to large multinational corporations for accounting periods beginning on or after December 31, 2023.

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 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.

The ETA is expected to be utilized over 10 to 15 years, beginning in 2025.

AGUS files a consolidated federal income tax return with all of its U.S.

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and its subsidiaries, AGRO and AG Intermediary Inc., file their own consolidated federal income tax return.

In July of 2023, the U.K.

government passed legislation to implement the Organization for Economic Co-Operation and Development (OECD) Base Erosion and Profit Shifting (BEPS) Pillar Two income inclusion rule.

This includes a multinational top-up tax which will apply to large multinational corporations for accounting periods beginning on or after December 31, 2023.

It is expected this will apply to AGL and its subsidiaries, requiring a minimum effective rate of 15% in all jurisdictions in which they operate.

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

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

Effective at the beginning of 2025, AGL’s Bermuda Subsidiaries will be subject to a 15% corporate income tax.

Accounting Policy

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Deferred income taxes are provided for temporary differences between the financial statement carrying amounts and tax bases of assets and liabilities, using enacted rates in effect for the year in which the differences are expected to reverse.

A valuation allowance is recorded to reduce the deferred tax asset to an amount that is more likely than not to be realized.

Non-interest-bearing tax and loss bonds are purchased in the amount of the tax benefit that results from deducting statutory-basis contingency reserves as provided under the Code Section 832(e).

The Company records the purchase of tax and loss bonds in deferred taxes.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

The Company recognizes tax benefits only if a tax position is “more likely than not” to prevail.

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(in millions)

Net deferred tax assets (liabilities) $ 250 $ 114

Net current tax assets (liabilities) ( 9 ) 63

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Deferred tax assets (liabilities) $ 262 $ 250

Current tax assets 10 —

Current tax liabilities ( 13 ) ( 9 )

Components of Net Deferred Tax Assets (Liabilities)

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Deferred tax assets:

Unearned premium reserves, net

Net unrealized investment losses $ 54 $ 49

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Value of in-force business 45 45

Investments — 4

Net operating loss

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Investments 127 65

Loss and LAE reserve

Total deferred tax liabilities 176 132

Valuation allowance — 5

Net deferred tax assets (liabilities) $ 262 $ 250

The new Bermuda corporate income tax allows 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.

The ETA 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.

The ETA is expected to be utilized over 10 to 15 years, beginning in 2025.

As part of the acquisition of CIFG Holding Inc.

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The NOL has been limited under the Code Section 382 due to a change in control as a result of the acquisition.

As of December 31, 2023, certain U.S.

subsidiaries had gross deferred tax assets of approximately $ 23 million for federal NOL carryforwards which will begin to expire in 2033.

As of December 31, 2024, AG, a U.S.

subsidiary, had gross deferred tax assets of approximately $ 21 million for federal NOL carryforwards which will begin to expire in 2033.

In addition, as of December 31, 2024, the Company had gross deferred tax assets for certain non-U.S.

1 unchanged sentence

Valuation Allowance

During 2023, the Company recorded a return to provision adjustment, which included the utilization of $ 3 million in foreign tax credits (FTC), thereby reducing the Company’s FTC from $ 5 million as of December 31, 2022 to $ 2 million.

As of December 31, 2023, the Company believes that the weight of the positive evidence outweighs the negative evidence regarding the realization of the Company’s FTC, resulting in the release of the corresponding $ 2 million valuation allowance.

During 2022, the Company recorded a return to provision adjustment, which included the utilization of $ 19 million in FTC, thereby reducing the Company’s FTC from $ 24 million as of December 31, 2021 to $ 5 million as of December 31, 2022.

FTC were established under the 2017 Tax Cuts and Jobs Act (TCJA) for use against regular tax in future years, and will expire in 2027.

During 2022, the Company recorded a return to provision adjustment, which included the utilization of $ 19 million in foreign tax credits (FTC), thereby reducing the Company’s FTC from $ 24 million as of December 31, 2021 to $ 5 million as of December 31, 2022.

FTC were established under the 2017 Tax Cuts and Jobs Act (TCJA) for use against regular tax in future years, and would expire in 2027.

In analyzing the future realizability of FTC, the Company notes limitations on future foreign source income due to overall foreign losses as negative evidence.

After reviewing positive and negative evidence, the Company came to the conclusion that it is more likely than not that the remaining FTC of $ 5 million will not be utilized, and therefore maintained a

As of December 31, 2022, the Company came to the

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

valuation allowance with respect to this tax attribute, resulting in a decrease in the valuation allowance from $ 24 million as of December 31, 2021 to $ 5 million as of December 31, 2022.

There were no changes in the valuation allowance for 2021 .

conclusion that, after reviewing positive and negative evidence, it is more likely than not that the FTC would not be utilized, and therefore, maintained a valuation allowance of $ 5 million with respect to this tax attribute.

During 2023, the Company recorded a return to provision adjustment, which included the utilization of $ 3 million in FTC, thereby reducing the Company’s FTC to $ 2 million.

As of December 31, 2023, the Company believed that the weight of the positive evidence outweighed the negative evidence regarding the realization of the Company’s FTC, resulting in the release of the corresponding $ 2 million valuation allowance and bringing it to zero .

The Company came to the conclusion that it is more likely than not that the deferred tax assets will be fully realized after weighing all positive and negative evidence available as required under GAAP.

3 unchanged sentences

The Company will continue to analyze the need for a valuation allowance on a quarterly basis.

Changes in market conditions during 2023 and 2022, including rising interest rates, resulted in the recording of deferred tax assets related to net unrealized tax capital losses.

Changes in market conditions since 2022, including rising interest rates, resulted in the recording of deferred tax assets related to net unrealized tax capital losses that remained as of December 31, 2024 and December 31, 2023.

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.

13 unchanged sentences

Federal 3 31 12

State and local — — —

Foreign ( 7 ) ( 187 ) ( 15 )

4 unchanged sentences

subsidiaries taxed at the U.S.

marginal corporate income tax rate of 21 % in 2023, 2022 and 2021;

• French subsidiary taxed at the French marginal corporate tax rate of 25 % in 2023, 25 % in 2022, and 27.5 % in 2021;

• no taxes on the income of the Company’s Bermuda Subsidiaries unless subject to U.S.

marginal corporate income tax rate of 21 %;

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

• Bermuda Subsidiaries taxed at the Bermuda marginal corporate tax rate of 0 %, unless subject to U.S.

tax by election;

subsidiaries taxed at the U.K.

blended marginal corporate tax rate of 23.5 % for the full year 2023, and 19 % for the periods between April 1, 2017 and March 31, 2023.

For periods subsequent to April 1, 2023, the U.K.

corporation tax rate was increased to 25 %.

marginal corporate tax rate of 25 % for periods starting April 1, 2023 and 19 % for periods ending on or before March 31, 2023.

Effective January 1, 2024, the U.K.

adopted a global minimum tax rate of 15 % under the OECD’s BEPS Pillar Two rules.

Controlled foreign corporations (CFCs) apply the local marginal corporate tax rate.

14 unchanged sentences

Stock based compensation 1 2 5

( 1 ) ( 189 ) —

Global minimum tax 13 — —

Other ( 3 ) ( 3 ) 2

45 unchanged sentences

(in millions)

statutory companies:

AGM (1) $ 2,646 $ 2,747 $ 209 $ 163 $ 352

AGC (2) 1,651 1,916 79 62 282

domiciled) (1)(2) $ 3,524 $ 3,997 $ 355 $ 289 $ 225

Bermuda statutory companies:

2 unchanged sentences

____________________

(1) Policyholders’ surplus is net of contingency reserves of $ 876 million and $ 855 million as of December 31, 2023 and December 31, 2022, respectively.

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

Furthermore, in accordance with the National Association of Insurance Commissioners (NAIC) Annual Statement instructions, the prior year numbers have been restated to reflect the merger of AGM with and into AG.

(2) Policyholders’ surplus is net of contingency reserves of $ 1,392 million and $ 1,296 million as of December 31, 2024 and December 31, 2023, respectively.

1 unchanged sentence

United States

Each of the Company’s U.S.

domiciled insurance companies’ ability to pay dividends depends, among other things, upon its financial condition, results of operations, cash requirements, compliance with rating agency requirements, and is also subject to restrictions contained in the insurance laws and related regulations of its state of domicile and other states.

AG’s ability to pay dividends depends, among other things, upon its financial condition, results of operations, cash requirements, compliance with rating agency requirements, and is also subject to restrictions contained in the insurance laws and related regulations of its state of domicile and other states.

Financial statements prepared in accordance with accounting practices prescribed or permitted by local insurance regulatory authorities differ in certain respects from GAAP.

The Company’s U.S.

domiciled insurance companies prepare statutory financial statements in accordance with accounting practices prescribed or permitted by the National Association of Insurance Commissioners (NAIC) and their respective insurance departments.

AG prepares statutory financial statements in accordance with accounting practices prescribed or permitted by the NAIC and its respective insurance department.

Prescribed statutory accounting practices (SAP) are set forth in the NAIC Accounting Practices and Procedures Manual.

The Company has no permitted accounting practices on a statutory basis.

GAAP differs in certain significant respects from the U.S.

insurance companies’ SAP prescribed or permitted by insurance regulatory authorities.

AG has no permitted accounting practices on a statutory basis.

GAAP differs in certain significant respects from AG’s SAP prescribed or permitted by insurance regulatory authorities.

The principal differences result from the SAP listed below.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

• Upfront premiums are earned upon expiration of risk and installment premiums are earned on a pro-rata basis over the installment period, rather than in proportion to the amount of insurance protection provided under GAAP.

The timing of premium accelerations may also differ between SAP and GAAP.

Under GAAP, premiums are accelerated only upon the legal defeasance of an insured obligation, whereas statutory premiums may be accelerated earlier if an insured obligation is economically defeased prior to legal defeasance.

Under GAAP, premiums are

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

accelerated only upon the legal defeasance of an insured obligation, whereas statutory premiums may be accelerated earlier if an insured obligation is economically defeased prior to legal defeasance.

• Acquisition costs are charged to expense as incurred rather than expensed over the period that the related premiums are earned under GAAP.

12 unchanged sentences

Under GAAP, such VIEs are consolidated and any transactions with the Company are eliminated.

• Surplus notes are recognized as surplus and each payment of principal and interest is recorded only upon approval of the insurance regulator rather than as liabilities with periodic accrual of interest under GAAP.

• Acquisitions are accounted for as either statutory purchases or statutory mergers, rather than under the purchase method under GAAP.

3 unchanged sentences

• The put options in CCS are not accounted for as derivatives as they are under GAAP.

• Non-USD denominated unearned premiums reserve is remeasured at current exchange rates rather than carried at historical rates under GAAP.

dollar denominated unearned premiums reserve is remeasured at current exchange rates rather than carried at historical rates under GAAP.

AG Re, a Bermuda regulated Class 3B insurer, and AGRO, a Bermuda regulated Class 3A and Class C insurer, prepare their statutory financial statements in conformity with the accounting principles set forth in the Insurance Act 1978, amendments thereto and related regulations.

As of December 31, 2016, the Bermuda Monetary Authority (the Authority) requires insurers to prepare statutory financial statements in accordance with the particular accounting principles adopted by the insurer (which, in the case of AG Re and AGRO, are GAAP), subject to certain adjustments.

The adjustments are mainly related to certain assets designated as “non-admitted assets” which are charged directly to statutory surplus rather than reflected as assets as they are under GAAP.

The adjustments relate to certain assets designated as “non-admitted assets” which are charged directly to statutory surplus rather than reflected as assets as they are under GAAP.

United Kingdom

AGUK prepares its Solvency and Financial Condition Report based on Prudential Regulation Authority and Solvency II Regulations (Solvency II).

AGUK prepares its Solvency and Financial Condition Report based on Solvency UK Regulations.

As of December 31, 2024, AGUK’s eligible own funds were an estimated £ 439 million (or $ 549 million).

As of December 31, 2023, AGUK’s own funds were an estimated £ 528 million (or $ 672 million).

AGE prepares its Solvency and Financial Condition Report and other required regulatory financial reports based on Autorité de Contrôle Prudentiel et de Résolution (ACPR) regulations and Solvency II.

As of December 31, 2024, AGE’s own

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

As of December 31, 2023 AGE’s own funds were an estimated € 44 million (or $ 49 million).

funds were an estimated € 35 million (or $ 36 million).

As of December 31, 2023, AGE’s own funds were an estimated € 44 million (or $ 49 million).

1 unchanged sentence

United States

Under the New York insurance law, AGM may only pay dividends out of “earned surplus,” which is the portion of an insurer’s surplus that represents the net earnings, gains or profits (after deduction of all losses) that have not been distributed to the insurer’s shareholders as dividends, transferred to stated capital or capital surplus, or applied to other purposes permitted by law, but does not include unrealized appreciation of assets.

AGM may pay dividends without the prior approval of the New York State Department of Financial Services Superintendent (New York Superintendent) in an amount that, together with all dividends declared or distributed by it during the preceding 12 months, does not exceed the lesser of 10 % of its policyholders’ surplus (as of its last annual or quarterly statement filed with the New York Superintendent) or 100 % of its adjusted net investment income during that period.

The maximum amount available during 2024 for AGM to distribute as dividends without regulatory approval is estimated to be approximately $ 265 million.

Of such $ 265 million, $ 47 million is estimated to be available for distribution in the first quarter of 2024.

Under Maryland’s insurance law, AGC may, with prior notice to the Maryland Insurance Administration Commissioner, pay an ordinary dividend in an amount that, together with all dividends paid in the prior 12 months, does not exceed the lesser of 10 % of its policyholders’ surplus (as of the prior December 31) or 100 % of its adjusted net investment income during that period.

The maximum amount available during 2024 for AGC to distribute as ordinary dividends is approximately $ 117 million.

Of such $ 117 million, approximately $ 35 million is estimated to be available for distribution in the first quarter of 2024.

Under Maryland’s insurance law, AG may, with prior notice to the Commissioner of its domiciliary regulator, the MIA, pay an ordinary dividend in an amount that, together with all dividends and distributions paid in the prior 12 months, does not exceed the lesser of 10 % of its policyholders’ surplus (as of the prior December 31) or 100 % of its adjusted net investment income during that period.

“Adjusted net investment income” means the sum of (x) AG’s net investment income during the 12-month period ending December 31 of the preceding year (excluding realized capital gains and pro rata distributions of its own securities), and (y) AG’s net investment income (excluding realized capital gains) from the three calendar years prior to the preceding calendar year that has not already been paid out as dividends.

The maximum amount available during 2025 for AG to distribute as ordinary dividends is approximately $ 287 million.

Such payments would be payable in the second half of 2025 because AG’s ordinary dividends were concentrated in the second half of 2024 following the August 1, 2024 merger of AGM with and into AG.

However, in order to enable AG to make payments over the course of the year, AG has put in place for 2025 a quarterly process with the MIA, pursuant to which AG will confirm that the MIA does not object to AG dividending $ 71.8 million (i.e., 25 %) of the $ 287 million amount in each calendar quarter of 2025.

Pursuant to this process, AG obtained the MIA’s non-objection to pay, and expects to pay, a $ 71.8 million dividend on March 7, 2025.

For AG Re, any distribution (including repurchase of shares) of any share capital, contributed surplus or other statutory capital that would reduce its total statutory capital by 15 % or more of its total statutory capital as set out in its previous year's financial statements requires the prior approval of the Authority.

17 unchanged sentences

While the U.K.

insurance regulatory laws impose no statutory restrictions on a general insurer’s ability to declare a dividend, the Prudential Regulation Authority’s capital requirements may in practice act as

insurance regulatory laws impose no statutory restrictions on a general insurer’s ability to declare a dividend, the Prudential Regulation Authority’s capital requirements may in practice act as a restriction on dividends for AGUK.

In 2024 and 2023, AGUK made cash distributions and plans to make further distributions of excess capital in the future.

French company law prohibits AGE from declaring a dividend to its shareholders unless it has “profits and/or reserves available for distribution.” The determination of whether a company has profits available for distribution is based on its accumulated realized profits less its accumulated realized losses.

While French law imposes no statutory restrictions on an

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

a restriction on dividends for AGUK.

In 2023 AGUK paid a dividend and plans to make further distributions of excess capital in the future.

While French law imposes no statutory restrictions on an insurer’s ability to declare a dividend, the ACPR’s capital requirements may, in practice, act as a restriction on dividends for AGE.

insurer’s ability to declare a dividend, the ACPR’s capital requirements may, in practice, act as a restriction on dividends for AGE.

Dividend Restrictions and Capital Requirements

Distributions from Insurance Company Subsidiaries

Distributions from Insurance Subsidiaries

Year Ended December 31,

1 unchanged sentence

(in millions)

Dividends paid by AGC to AGUS $ 102 $ 207 $ 94

Dividends paid by AGM to AGMH 257 266 291

Dividends paid by AG Re to AGL $ 97 $ 53 $ —

Dividends from AGUK to AGM 127 — —

Redemption of common stock by AGC from AGUS 200 — —

Distributions from AGUK to its parent 128 127 —

Dividends paid by AG to U.S.

Holding Companies (1) 400 358 473

Stock redemptions by insurance subsidiaries 400 200 —

___________________

(1) 2021 included fixed-maturity securities with a fair value of $ 46 million.

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

Prior to the merger, AG had been directly owned by AGUS.

As a result of the merger, AG is directly owned by AGMH, a subsidiary of AGUS.

Related Party Transactions

4 unchanged sentences

(ii) entities for which investments in their equity securities would be required, absent the election of the FVO, to be accounted for by the equity method;

(iii) trusts for the benefit of employees, such as pension and profit sharing trusts that are managed by or under the trusteeship of management;

(iii) trusts for the benefit of employees, such as pension and profit sharing trusts that are managed by or under the trusteeship of the Company’s management;

(iv) the Company’s principal owners;

4 unchanged sentences

Related Party Transactions

Prior to the Sound Point Transaction and the AHP Transaction, certain Related Persons were eligible to make investments in various private funds, vehicles or accounts managed by AssuredIM and AHP, subject to compliance with applicable laws.

Generally, these investments were not subject to the management fees and performance allocations or incentive fees charged to other investors.

See Note 10, Asset Management Fees, for information on management fees from AssuredIM funds and CLOs.

Subsequent to the Sound Point Transaction, from time to time, certain Related Persons may make investments in various private funds, vehicles or accounts managed by Sound Point that are not subject to management fees, performance allocations or incentive fees charged to other investors.

As of December 31, 2024 and December 31, 2023, each of Wellington Management Company, LLP (together with its affiliates, Wellington) and BlackRock Financial Management Inc.

1 unchanged sentence

Both Wellington and BlackRock are Related Persons.

Wellington is

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

one of the Company’s investment managers, and BlackRock was also one of the Company’s investment managers until September 2020.

Wellington is one of the Company’s investment managers, and BlackRock was also one of the Company’s investment managers until September 2020.

BlackRock also provides investment reporting software to the Company.

2 unchanged sentences

Throughout the notes to these consolidated financial statements, the Company describes several affiliated balances and transactions.

In Note 1, Business and Basis of Presentation and Note 7, Investments and Cash, the Company includes a discussion of, and amounts related to, its various equity method investments, including an equity method investment in Sound Point, and several Sound Point managed funds.

In Note 1, Business and Basis of Presentation, and Note 7, Investments and Cash, the Company includes a discussion of, and amounts related to, its various equity method investments, including an equity method ownership interest in Sound Point and several Sound Point managed funds.

Certain of the Sound Point (and prior to July 1, 2023, AssuredIM) managed funds in which the Company invests are reported as CIVs as described in Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Prior to the Sound Point Transaction and AHP Transaction, the Company owned and consolidated AssuredIM and earned management and performance fees for its investment advisory and management services in respect of AssuredIM Funds.

Amounts earned in respect of such services are presented in Note 10, Asset Management Fees, along with the related receivables and payables.

Amounts contributed to employee retirement and savings plans are disclosed in Note 13, Employee Benefit Plans.

Amounts contributed to employee retirement and savings plans, and amounts payable to Sound Point and AHP, are disclosed in Note 12, Employee Benefit Plans.

The Company is party to various non-cancelable lease agreements, all of which are operating leases as of December 31, 2024.

The majority of the Company's leases relate to office space dedicated to the Company's operations in various locations (primarily New York City, San Francisco, Bermuda, London and Paris) with expiration dates ranging from 2024 to 2032.

The majority of the Company’s leases relate to office space dedicated to the Company’s operations in various locations (primarily Hamilton, Bermuda, New York City, London, and Paris) with expiration dates ranging from 2025 to 2032.

The Company subleases certain properties that are not used in its operations.

13 unchanged sentences

Any impairment is reported in “other operating expenses” in the consolidated statement of operations.

Lease Assets and Liabilities

As of December 31, 2023, the ROU asset and lease liability was $ 71 million and $ 97 million, respectively.

As of December 31, 2022, the ROU asset and lease liability was $ 87 million and $ 116 million, respectively.

The weighted average

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

remaining lease term as of December 31, 2023 and December 31, 2022 was 7.8 years and 8.2 years, respectively.

The Company used a weighted average discount rate of 2.60 % and 2.49 % as of December 31, 2023 and December 31, 2022, respectively.

Lease Assets and Liabilities

ROU Assets and Lease Liabilities

As of December 31,

(dollars in millions)

ROU assets $ 60 $ 71

Lease liabilities $ 84 $ 97

Weighted average discount rate 2.65 % 2.60 %

Weighted average remaining lease term (in years) 7.1 7.8

Lease Expense and Other Information

2 unchanged sentences

(in millions)

Operating lease cost $ 20 $ 16 $ 16

Other lease costs (1) 2 3 3

Operating lease costs (1) $ 14 $ 20 $ 16

Variable and short-term lease costs 2 2 3

Sublease income ( 3 ) ( 7 ) ( 7 )

Total lease cost $ 15 $ 12 $ 14

Total lease costs $ 13 $ 15 $ 12

Cash paid for amounts included in the measurement of lease liabilities

Operating cash outflows for operating leases $ 16 $ 24 $ 23

ROU assets obtained in exchange for new operating lease liabilities (2) 1 1 35

____________________

(1) Primarily includes variable and short-term lease costs.

(2) The amounts in 2021 relate primarily to additional office space leased in New York City.

During the fourth quarter of 2023, the Company made the decision to sublease office space that was previously occupied by the Company in support of its operations.

The Company concluded that the associated ROU asset was not recoverable.

Accordingly, the Company recognized an ROU asset impairment of $ 3 million as of December 31, 2023, reducing the carrying value of the associated ROU asset to its estimated fair value.

(1) Includes an ROU asset impairment of $ 2 million in 2024 and $ 3 million in 2023.

Future Minimum Rental Payments

6 unchanged sentences

Total lease liabilities $ 84

Commitments and Contingencies

Contingencies

Legal Proceedings

2 unchanged sentences

In addition, in the ordinary course of their respective businesses, certain of AGL’s insurance subsidiaries are involved in litigation with third parties to recover insurance losses paid in prior periods or prevent or reduce losses in the future.

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 various of its related authorities and public corporations.

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

The impact, if any, of these and other proceedings on the amount of recoveries the Company receives and losses it pays in the future is

There remains one active proceeding related to PREPA, while there are a number of unresolved proceedings related to PREPA that remain stayed pending the

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

uncertain, and the impact of any one or more of these proceedings during any quarter or year could be material to the Company’s results of operations in that particular quarter or year.

In the first quarter of 2023, the Company reduced its previously recorded accrual of $ 20 million to zero in connection with developments in litigation.

Federal District Court of Puerto Rico’s determination on the FOMB PREPA Plan.

See Note 4, Expected Loss to be Paid (Recovered), Loss Estimation Process, Public Finance, Puerto Rico, for a description of such actions.

The impact, if any, of these and other proceedings on the amount of recoveries the Company receives and losses it pays in the future is uncertain, and the impact of any one or more of these proceedings during any quarter or year could be material to the Company’s results of operations in that particular quarter or year.

The Company also receives subpoenas and interrogatories from regulators from time to time.

2 unchanged sentences

Additionally, it discloses such amounts if material to the financial position of the Company.

For litigation and regulatory matters where a loss may be reasonably possible, but not probable, or is probable but not reasonably estimable, no accrual is established, but if the matter is material, it would be disclosed below.

For litigation and regulatory matters where a loss may be reasonably possible but not probable, or is probable but not reasonably estimable, no accrual is established, but the matter would be disclosed below if material.

The Company reviews relevant information with respect to its litigation and regulatory matters on a quarterly basis and updates its accruals, disclosures, and estimates of reasonably possible loss based on such reviews.

On November 28, 2011, Lehman Brothers International (Europe) (in administration) (LBIE) sued AG Financial Products Inc.

(AGFP), an affiliate of AGC, which, in the past, had provided credit protection to counterparties under CDS.

AGC acts as the credit support provider of AGFP under these CDS.

LBIE’s complaint, which was filed in the Supreme Court of the State of New York (the Court), asserted a claim for breach of the implied covenant of good faith and fair dealing based on AGFP's termination in December 2008 of nine credit derivative transactions between LBIE and AGFP and asserted claims for breach of contract and breach of the implied covenant of good faith and fair dealing based on AGFP’s termination in July 2009 of 28 other credit derivative transactions between LBIE and AGFP and AGFP’s calculation of the termination payment in connection with those 28 other credit derivative transactions.

Following defaults by LBIE, AGFP had terminated the transactions in question in compliance with the agreement between AGFP and LBIE, and properly calculated that LBIE owes AGFP approximately $ 4 million for the claims which were dismissed (as described below) and approximately $ 21 million in connection with the termination of the other credit derivative transactions, whereas LBIE asserted in the complaint that AGFP owes LBIE a termination payment of approximately $ 1.4 billion.

On March 15, 2013, the Court granted AGFP’s motion to dismiss in respect of the count relating to the nine credit derivative transactions and narrowed LBIE’s claim with respect to the 28 other credit derivative transactions.

(AGFP), an affiliate of AG, which, in the past, had provided credit protection to counterparties under CDS.

Following defaults by LBIE under transaction documents governing CDS between LBIE and AGFP, AGFP terminated the CDS in compliance with the transaction documents and properly calculated that LBIE owed AGFP approximately $ 25 million in connection with the termination, whereas LBIE asserted in its complaint filed in the Supreme Court of the State of New York (the Court) that AGFP owed LBIE a termination payment of approximately $ 1.4 billion.

Following a bench trial, on March 8, 2023, the Court rendered its decision and found in favor of AGFP.

On June 30, 2023, the clerk entered judgment in favor of AGFP in the amount of approximately $ 54 million plus post-judgment simple interest at an annual rate of 8 %.

On July 1, 2023, AGFP moved the Court to award it approximately $ 58 million for attorneys’ fees and expenses AGFP incurred through March 2023.

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.

Briefing on the appeal was completed on January 12, 2024, and oral argument on the appeal was heard on February 21, 2024.

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

Accordingly, in the first quarter of 2023, the Company reduced its previously recorded accrual of $ 20 million to zero , in connection with developments in litigation.

Following the exhaustion of LBIE’s appeals, the Company will recognize a gain in the first quarter of 2025 of approximately $ 103 million, which represents the full satisfaction of the judgment it was awarded and its claims for attorneys’ fees, expenses and interest in connection with this litigation.

Shareholders’ Equity

1 unchanged sentence

The Company records share repurchases as a reduction to “common shares” and “additional paid-in capital.” Once additional paid-in capital has been exhausted, share repurchases are recorded as a reduction to common shares and retained earnings.

Any excise taxes incurred related to share repurchases are charged to additional paid-in-capital or retained earnings, as appropriate.

Share Issuances

5 unchanged sentences

Holders of AGL’s common shares are entitled to receive dividends as lawfully may be declared from time to time by the Board.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

In general, and except as provided below, shareholders have one vote for each common share held by them and are entitled to vote with respect to their fully paid shares at all meetings of shareholders.

3 unchanged sentences

The formula is applied repeatedly until there is no U.S.

Person whose controlled shares constitute 9.5 % or more of the voting power of all issued and outstanding shares and who generally would be required to recognize income with respect to AGL under the Code if AGL were a CFC as defined in the Code and if the ownership threshold under the Code were 9.5 % (as defined in AGL’s Bye-Laws as a 9.5 % U.S.

Person whose controlled shares

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

constitute 9.5 % or more of the voting power of all issued and outstanding shares and who generally would be required to recognize income with respect to AGL under the Code if AGL were a CFC as defined in the Code and if the ownership threshold under the Code were 9.5 % (as defined in AGL’s Bye-Laws as a 9.5 % U.S.

Shareholder).

11 unchanged sentences

Share Repurchases

On November 1, 2023, the Board authorized the repurchase of an additional $ 300 million of its common shares.

As of February 27, 2024, the Company was authorized to purchase $ 228 million of its common shares.

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

As of February 27, 2025, the remaining amount the Company was authorized to purchase was approximately $ 276 million of its common shares.

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

10 unchanged sentences

829,461 76 91.53

____________________

(1) Excludes commissions and excise taxes.

Deferred Compensation

2 unchanged sentences

Each unit in the employer stock fund represents the right to receive one AGL common share upon a distribution from the AGS SERP.

Each unit equals the number of AGL common shares which could have been purchased with the value of the account deemed invested in the

Each unit equals the number of AGL common shares which could have been purchased with the value of the account deemed invested in the employer stock fund as of the date of such election.

As of December 31, 2024 and 2023, there were 68,535 units and 74,309 units, respectively, in the AGS SERP.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

employer stock fund as of the date of such election.

As of December 31, 2023 and 2022, there were 74,309 and 74,309 units, respectively, in the AGS SERP.

Any determination to pay dividends is at the discretion of the Company’s Board, and depends upon the Company’s results of operations, cash flows from operating activities, its financial position, capital requirements, general business conditions, legal, tax, regulatory, rating agency and contractual restrictions on the payment of dividends, other potential uses for such funds and any other factors the Company’s Board deems relevant.

Any determination to pay dividends is at the discretion of the Board, and depends upon the Company’s results of operations, cash flows from operating activities, its financial position, capital requirements, general business conditions, legal, tax, regulatory, rating agency and contractual restrictions on the payment of dividends, other potential uses for such funds and any other factors the Board deems relevant.

For more information concerning regulatory constraints that affect the Company’s ability to pay dividends, see Note 14, Insurance Company Regulatory Requirements.

14 unchanged sentences

Fair value gains (losses) on FG VIEs — — ( 3 ) — — ( 3 )

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

Interest expense — — — — 1 1

18 unchanged sentences

Fair value gains (losses) on FG VIEs — — ( 3 ) — — ( 3 )

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

Interest expense — — — — 1 1

Total before tax ( 1 ) ( 13 ) ( 3 ) ( 6 ) 1 ( 22 )

15 unchanged sentences

Fair value gains (losses) on FG VIEs — — ( 3 ) — — ( 3 )

Interest expense — — — — 1 1

Total before tax ( 44 ) ( 21 ) ( 3 ) — — ( 68 )

89 unchanged sentences

Cash flows from investing activities:

Fixed-maturity securities, available for sale:

Maturities and paydowns 3 — —

Short-term investments with maturities of over three months:

5 unchanged sentences

Repurchases of common shares ( 502 ) ( 199 ) ( 500 )

Other ( 18 ) ( 12 ) ( 10 )

Payments related to tax withholding for share-based compensation ( 30 ) ( 20 ) ( 14 )

Net cash flows provided by (used in) financing activities ( 598 ) ( 284 ) ( 576 )

Increase (decrease) in cash — — —

Cash at beginning of period — — —

Cash at end of period $ — $ — $ —

Supplemental disclosure of non-cash investing activities:

Dividend from a subsidiary in the form of fixed-maturity securities $ — $ — $ 46

Increase (decrease) in cash and restricted cash 1 — —

Cash and restricted cash at beginning of period — — —

Cash and restricted cash at end of period $ 1 $ — $ —

As of December 31,

2024 2023 2022

Reconciliation of cash and restricted cash to the balance sheets:

Cash $ — $ — $ —

Restricted cash (included in other assets) 1 — —

Cash and restricted cash at the end of period $ 1 $ — $ —

Basis of Presentation

4 unchanged sentences

See Note 1, Business and Basis of Presentation, for further information regarding the basis of presentation.

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

Guaranties of Obligations of Affiliates

4 unchanged sentences

On October 25, 2013, AGL, as borrower, and AGUS, as lender, entered into a revolving credit facility pursuant to which AGL may, from time to time, borrow for general corporate purposes.

Under the credit facility, AGUS committed to lend

Assured Guaranty Ltd.

Notes to Consolidated Financial Statements, Continued

a principal amount not exceeding $ 225 million in the aggregate.

Under the credit facility, AGUS committed to lend a principal amount not exceeding $ 225 million in the aggregate.

In October 2023, the commitment was extended until October 25, 2033 (the loan commitment termination date).

12 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-K

Item 8. Financial Statements and Supplementary Data