What changed in this filing

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Item 1. Financial Statements

2025-05-09 compared with 2024-11-12 · 508 added, 1126 removed, 1360 unchanged (55% of the section changed)

3 unchanged sentences

(dollars in millions except share data)

September 30, 2024 December 31, 2023

March 31, 2025 December 31, 2024

Fixed-maturity securities, available-for-sale, at fair value, net of allowance for credit loss of $ 45 and $ 60 (amortized cost of $ 6,774 and $ 6,827 )

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Salvage and subrogation recoverable 389 396

Financial guaranty variable interest entities’ assets (includes $ 156 and $ 174 , at fair value)

Financial guaranty variable interest entities’ assets, at fair value 145 147

Assets of consolidated investment vehicles (includes $ 118 and $ 99 , at fair value)

4 unchanged sentences

Long-term debt 1,700 1,699

Credit derivative liabilities, at fair value 39 53

Financial guaranty variable interest entities’ liabilities, at fair value (with recourse $ 153 and $ 155 , without recourse $ 10 and $ 9 )

Other liabilities 496 439

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

Total liabilities 6,281 6,348

15 unchanged sentences

(dollars in millions except share data)

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

2024 2023 2024 2023

Three Months Ended March 31,

Net earned premiums $ 91 $ 119

Net investment income 87 84

Asset management fees — — — 53

Net realized investment gains (losses) ( 16 ) 8

5 unchanged sentences

Fair value gains (losses) on trading securities 1 26

Gain on sale of asset management subsidiaries — 255 — 255

Other income (loss) 19 1

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Net income (loss) attributable to Assured Guaranty Ltd.

$ 171 $ 157 $ 358 $ 363

Earnings per share:

5 unchanged sentences

(in millions)

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

2024 2023 2024 2023

Three Months Ended March 31,

Net income (loss) $ 185 $ 113

1 unchanged sentence

Investments with no credit impairment, net of tax provision (benefit) of $ 6 and $( 5 )

152 ( 113 ) 111 ( 54 )

Investments with credit impairment, net of tax provision (benefit) of $ 5 and $ 0

10 ( 8 ) 18 ( 13 )

Change in net unrealized gains (losses) on investments 73 ( 28 )

5 unchanged sentences

Comprehensive income (loss) attributable to Assured Guaranty Ltd.

$ 332 $ 50 $ 486 $ 313

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

2 unchanged sentences

(dollars in millions, except share data)

For the Three Months Ended September 30, 2024

Shareholders’ Equity Attributable to Assured Guaranty Ltd.

Common Shares Outstanding Common

Par Value Retained Earnings Accumulated

Comprehensive Income (Loss) Deferred

Equity Compensation Total Nonredeemable Noncontrolling Interests

Shareholders’ Equity

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

Net income — — 171 — — 171 5 176

Dividends ($ 0.31 per share)

— — ( 16 ) — — ( 16 ) — ( 16 )

Common shares repurchases ( 1,658,441 ) — ( 132 ) — — ( 132 ) — ( 132 )

Share-based compensation 29,484 — 5 — — 5 — 5

Distributions — — — — — — ( 7 ) ( 7 )

Other comprehensive income — — — 161 — 161 — 161

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

For the Three Months Ended September 30, 2023

Shareholders’ Equity Attributable to Assured Guaranty Ltd.

Common Shares Outstanding Common

Par Value Retained Earnings Accumulated

Comprehensive Income (Loss) Deferred

Equity Compensation Total Nonredeemable Noncontrolling Interests

Shareholders’ Equity

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

Net income — — 157 — — 157 2 159

Dividends ($ 0.28 per share)

— — ( 16 ) — — ( 16 ) — ( 16 )

Common shares repurchases ( 1,065,902 ) — ( 64 ) — — ( 64 ) — ( 64 )

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

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

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

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

Assured Guaranty Ltd.

Condensed Consolidated Statements of Shareholders’ Equity (Unaudited)

(dollars in millions, except share data)

For the Nine Months Ended September 30, 2024

Shareholders’ Equity Attributable to Assured Guaranty Ltd.

For the Three Months Ended March 31, 2025

Total Shareholders’ Equity Attributable to Assured Guaranty Ltd.

Common Shares Outstanding Common

9 unchanged sentences

Share-based compensation 383,346 — ( 14 ) — — ( 14 ) — ( 14 )

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

Other comprehensive income — — — 71 — 71 — 71

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

For the Nine Months Ended September 30, 2023

Shareholders’ Equity Attributable to Assured Guaranty Ltd.

As of March 31, 2025 49,553,438 $ — $ 5,903 $ ( 314 ) $ 1 $ 5,590 $ 67 $ 5,657

For the Three Months Ended March 31, 2024

Total Shareholders’ Equity Attributable to Assured Guaranty Ltd.

Common Shares Outstanding Common

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Share-based compensation 403,557 — ( 15 ) — — ( 15 ) — ( 15 )

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

Contributions — — — — — — 20 20

Distributions — — — — — — ( 3 ) ( 3 )

Other comprehensive loss — — — ( 28 ) — ( 28 ) — ( 28 )

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

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

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

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

2 unchanged sentences

(in millions)

Nine Months Ended September 30,

Three Months Ended March 31,

Net cash flows provided by (used in) operating activities $ 87 $ ( 74 )

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Sales of and return of capital from other invested assets 10 17

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

Other ( 4 ) ( 1 )

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Net paydowns of financial guaranty variable interest entities’ liabilities ( 4 ) ( 148 )

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

Redemption of debt — ( 330 )

Payments related to tax withholding for share-based compensation ( 28 ) ( 29 )

Cash flows from consolidated investment vehicles:

Repayment of collateralized loan obligations — ( 1 )

Repayment of warehouse financing debt — ( 166 )

Borrowing (payment) under credit facilities — ( 4 )

Distributions to noncontrolling interests from consolidated investment vehicles — ( 3 )

8 unchanged sentences

(in millions)

Nine Months Ended September 30,

Three Months Ended March 31,

Supplemental cash flow information

2 unchanged sentences

Supplemental disclosure of non-cash activities:

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

Contributions from noncontrolling interests — 20

Distributions to noncontrolling interests — 27

Sale of asset management subsidiaries (see Note 1)

Assets acquired — 444

Assets transferred — 241

Liabilities transferred — 66

September 30, 2024 September 30, 2023

Receipt of fixed-maturity securities, available-for-sale $ 5 $ —

Distributions from equity method investments — 7

March 31, 2025 March 31, 2024

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

Cash $ 177 $ 115

Restricted cash (included in other assets) 4 —

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

Restricted cash (included in other assets) 4 —

Cash and cash equivalents and restricted cash at the end of period $ 182 $ 137

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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, organized in the U.K.;

• Assured Guaranty (Europe) SA, 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.

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 March 31, 2025.

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).

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.

On July 1, 2023, Assured Guaranty contributed to Sound Point, LP most of its asset management business, other than that conducted by Assured Healthcare Partners LLC (AHP) (AssuredIM Contributed Business), as contemplated by the transaction agreement entered into with Sound Point on April 5, 2023 (Transaction Agreement).

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.

(AGM) and Assured Guaranty Inc.

(AG, formerly known as Assured Guaranty Corp., and, together with AGM, 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, within 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, 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 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 for 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.

The Company participates in the asset management business through its approximately 30 % 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).

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 the Company 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.

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.

1 unchanged sentence

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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 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.

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

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

Gain on Sound Point Transaction and AHP Transaction

(in millions)

Fair value of investment in Sound Point $ 419

Fair value of other consideration 25

Total consideration 444

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

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

____________________

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

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

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

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

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

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

Assets and Liabilities Held For Sale

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Holding Companies

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.

Basis of Presentation

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Actual results could differ from those estimates.

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

These unaudited interim condensed consolidated financial statements are as of March 31, 2025 and cover the three-month period ended March 31, 2025 (first quarter 2025) and the three-month period ended March 31, 2024 (first quarter 2024).

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

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Certain prior year balances have been reclassified to conform to the current period’s presentation.

The unaudited interim condensed consolidated financial statements include the accounts of AGL, its direct and indirect subsidiaries, and its consolidated financial guaranty VIEs (FG VIEs) and CIVs.

The unaudited interim condensed consolidated financial statements include the accounts of AGL, its direct and indirect subsidiaries, and its consolidated financial guaranty VIEs (FG VIEs) and consolidated investment vehicles (CIVs).

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

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These unaudited interim condensed consolidated financial statements should be read in conjunction with the consolidated financial statements included in the Annual Report on Form 10-K for the year ended December 31, 2024 filed with the U.S.

Securities and Exchange Commission (SEC).

The Company’s principal insurance subsidiaries are:

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

▪ Assured Guaranty UK Limited, 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.

Insurance Subsidiaries - Stock Redemptions and Merger

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

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

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

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

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

Investment Subsidiary and U.S.

Holding Companies

AG owns (and until August 1, 2024, AG and AGM jointly owned) 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 AGMH (collectively, the U.S.

Holding Companies) - have public debt outstanding.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Securities and Exchange Commission.

Recent Accounting Standards Not Yet Adopted

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 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.

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

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

In December 2023, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2023-09, Income Taxes (Topic 740):

Improvements to Income Tax Disclosures .

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Early adoption is permitted.

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

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.

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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 Company’s CODM reviews the business to assess performance and allocate resources.

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.

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

The CODM predominantly uses adjusted operating income

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

to allocate resources for each segment 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:

• Elimination of realized gains (losses) on the Company’s investments, except for gains and losses on securities classified as trading.

• Elimination of non-credit impairment-related unrealized fair value gains (losses) on credit derivatives that are recognized in net income, which is the amount of unrealized fair value gains (losses) in excess of the present value of the expected estimated economic credit losses, and non-economic payments.

• Elimination of non-credit impairment-related fair value gains (losses) on credit derivatives that are recognized in net income, which is the amount of unrealized fair value gains (losses) in excess of the present value of the expected estimated economic credit losses.

• Elimination of fair value gains (losses) on the Company’s committed capital securities (CCS) that are recognized in net income.

1 unchanged sentence

• 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, the adjusted operating income (loss) segment measure differs from GAAP in other respects.

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 the U.S.

Insurance Subsidiaries that guarantee the FG VIEs’ debt;

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

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

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.

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

(i) the Company’s insurance subsidiaries;

and (ii) AGAS.

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

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

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

(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 all their investments in funds managed by Sound Point 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 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”).

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

The Insurance segment primarily consists of the adjusted operating income (loss) of the Company’s insurance subsidiaries and AGAS.

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:

2 unchanged sentences

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

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

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

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.

Holding Companies, (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 a stock redemption that occurred on August 5, 2024, and (iii) gains and losses associated with certain corporate development or other strategic initiatives.

The Other category in the tables below primarily includes the effect of consolidating FG VIEs, CIVs and intersegment eliminations.

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

1 unchanged sentence

Segment Information

Third Quarter

First Quarter

Insurance (1) Asset Management Insurance Asset Management

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Segment revenues 239 6 229 1

Segment loss and LAE (benefit) ( 23 ) — 4 —

Segment employee compensation and benefit expenses 52 — 48 —

Segment amortization of deferred acquisition cost 5 — 6 —

Other segment items (2) 30 4 27 —

Segment expenses 64 4 85 —

2 unchanged sentences

Segment adjusted operating income (loss) $ 168 $ 12 $ 149 $ 1

Selected components of segment adjusted operating income:

Net investment income $ 86 $ — $ 83 $ —

Non-cash compensation and operating expenses (3) 18 — 17 —

_____________________

(1) First quarter 2025 results include the gain recognized in connection with the Lehman Brothers International (Europe) (in administration) (LBIE) litigation, which represents the full satisfaction of the judgment it was awarded and its claims for attorneys’ fees, expenses and interest.

See Note 6, Contracts Accounted for as Credit Derivatives, for additional information.

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

(3) Consists of depreciation and amortization and share-based compensation expenses.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Insurance Asset Management Insurance Asset Management

(in millions)

Third-party revenues $ 615 $ 8 $ 615 $ 44

Intersegment revenues 7 2 7 27

Segment revenues 622 10 622 71

Segment expenses 183 6 354 75

Segment equity in earnings (losses) of investees 83 2 60 —

Segment provision (benefit) for income taxes 95 1 46 ( 1 )

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

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

Reconciliation of Segment Information to Consolidated Information

Three Months Ended September 30, 2024

Equity in Earnings (Losses) of Investees Less:

Net Income (Loss) Attributable to AGL

Revenues Expenses Provision (Benefit) for Income Taxes Noncontrolling Interests

(in millions)

Insurance $ 204 $ 28 $ 28 $ 42 $ — $ 162

Asset Management 2 2 4 — — 4

Total segments 206 30 32 42 — 166

Corporate division 4 37 — ( 4 ) — ( 29 )

Other 8 ( 2 ) ( 14 ) ( 2 ) 5 ( 7 )

Subtotal 218 65 18 36 5 130

Reconciling items:

Realized gains (losses) on investments — — — — — —

Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives — 2 — — — ( 2 )

Fair value gains (losses) on CCS ( 3 ) — — — — ( 3 )

Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves 54 — — — — 54

Tax effect — — — 8 — ( 8 )

Total consolidated $ 269 $ 67 $ 18 $ 44 $ 5 $ 171

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Reconciliation of Segment Information to Consolidated Information

Three Months Ended September 30, 2023

Equity in Earnings (Losses) of Investees Less:

Net Income (Loss) Attributable to AGL

Revenues Expenses Provision (Benefit) for Income Taxes Noncontrolling Interests

(in millions)

Insurance $ 208 $ 165 $ 25 $ 9 $ — $ 59

Asset Management — — — — — —

Total segments 208 165 25 9 — 59

Corporate division 259 57 — 47 — 155

Other ( 4 ) ( 3 ) ( 7 ) ( 2 ) 2 ( 8 )

Subtotal 463 219 18 54 2 206

Reconciling items:

Realized gains (losses) on investments ( 9 ) — — — — ( 9 )

Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives 6 — — — — 6

Fair value gains (losses) on CCS ( 20 ) — — — — ( 20 )

Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves ( 37 ) — — — — ( 37 )

Tax effect — — — ( 11 ) — 11

Total consolidated $ 403 $ 219 $ 18 $ 43 $ 2 $ 157

Reconciliation of Segment Information to Consolidated Information

Nine Months Ended September 30, 2024

First Quarter 2025

Equity in Earnings (Losses) of Investees Less:

14 unchanged sentences

Tax effect — — — 3 — ( 3 )

Total consolidated $ 716 $ 305 $ 47 $ 88 $ 12 $ 358

Consolidated $ 345 $ 169 $ 53 $ 44 $ 9 $ 176

Assured Guaranty Ltd.

1 unchanged sentence

Reconciliation of Segment Information to Consolidated Information

Nine Months Ended September 30, 2023

First Quarter 2024

Equity in Earnings (Losses) of Investees Less:

14 unchanged sentences

Tax effect — — — — — —

Total consolidated $ 1,046 $ 605 $ 25 $ 84 $ 19 $ 363

Consolidated $ 245 $ 125 $ 24 $ 31 $ 4 $ 109

Outstanding Exposure

The Company sells credit protection primarily in financial guaranty insurance form.

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

The Company may also sell credit protection in other forms of insurance or by issuing policies that guarantee payment obligations under credit default swaps (CDS).

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.

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Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

Surveillance Categories

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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.

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 the probability of a loss and to calculate the expected loss to be paid.

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.

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

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

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

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

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

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

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 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 the 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.

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Gross par outstanding generally represents the principal amount of the insured obligation at a point in time.

Net par outstanding equals gross par outstanding net of any reinsurance.

The Company includes in its par outstanding calculation the impact of any consumer price index inflator to the reporting date as well as, in the case of accreting (zero-coupon) obligations, accretion to the reporting date.

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

Net par outstanding equals

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

gross par outstanding net of any reinsurance.

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

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

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

Amounts attributable to Loss Mitigation Securities are excluded from par and debt service outstanding, and are instead reported as Loss Mitigation Securities in the investment portfolio.

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

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

As of both March 31, 2025 and December 31, 2024, 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.

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dollar denominated insured obligations and other factors.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Financial Guaranty Portfolio

Debt Service and Par Outstanding

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

As of March 31, 2025 As of December 31, 2024

Gross Net Gross Net

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Total financial guaranty $ 264,072 $ 263,591 $ 262,032 $ 261,552

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

In addition to amounts shown in the table above, the Company had outstanding commitments to provide guaranties of $ 956 million of public finance gross par and $ 1.6 billion of structured finance gross par as of March 31, 2025.

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

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

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

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

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

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

Financial Guaranty Portfolio by Internal Rating

As of September 30, 2024

As of March 31, 2025

Public Finance

1 unchanged sentence

Structured Finance

U.S Structured Finance

Non-U.S Total

Structured Finance

Category Net Par

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Structured Finance

U.S Structured Finance

Non-U.S Total

Structured Finance

Category Net Par

15 unchanged sentences

Components of BIG Net Par Outstanding

As of September 30, 2024

As of March 31, 2025

BIG Net Par Outstanding Net Par

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BIG Net Par Outstanding and Number of Risks

As of September 30, 2024

As of March 31, 2025

Net Par Outstanding Number of Risks (2)

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(2) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments

Exposure to Puerto Rico

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

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

Puerto Rico Par and Debt Service Schedules

The following tables show the Company’s insured exposure to various authorities and public corporations of Puerto Rico.

Gross Par and Gross Debt Service Outstanding

Gross Par Outstanding Gross Debt Service Outstanding

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

(in millions)

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

____________________

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Net Par Outstanding

September 30, 2024 December 31, 2023

(in millions)

Defaulted Puerto Rico Exposures

PREPA $ 531 $ 624

Total Defaulted 531 624

Resolved Puerto Rico Exposures (1)

PRHTA (Transportation revenue)

PRHTA (Highway revenue) 24 128

Total Resolved 228 372

Non-Defaulting Puerto Rico Exposures (2)

Municipal Finance Agency (MFA)

University of Puerto Rico (U of PR) 1 1

Total Non-Defaulting 92 109

Total net exposure to Puerto Rico $ 851 $ 1,105

____________________

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

All of the Toll Bonds (as defined below) received from the PRHTA under the 2022 Puerto Rico Resolutions for the insured PRHTA bonds have been sold or redeemed;

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

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

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

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Amortization Schedule of Puerto Rico

Net Par Outstanding and Net Debt Service Outstanding

As of September 30, 2024

Scheduled Net Par Amortization Scheduled Net Debt Service Amortization

(in millions)

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

2025 (January 1 - March 31) — 18

2025 (April 1 - June 30) — 2

2025 (July 1 - September 30) 84 102

2025 (October 1 - December 31) — 2

Subtotal 2025 84 124

2029-2033 197 282

2034-2038 132 170

2039-2041 97 106

Total $ 851 $ 1,119

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

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

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

On April 8, 2022, the United States District Court of the District of Puerto Rico (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.

The Financial Oversight and Management Board (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 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 on 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 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 17, 2023, the Federal District Court of Puerto Rico approved the supplemental disclosure statement (Supplemental Disclosure Statement) supporting the PREPA plan of adjustment filed by the FOMB (as amended or modified from time to time).

On February 16, 2024, 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.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

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

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

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

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

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

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

Resolved Puerto Rico Exposures

In 2022, as a result of the resolution of the Company’s exposure to insured Puerto Rico credits experiencing payment default other than PREPA (2022 Puerto Rico Resolutions), the Company received cash, new general obligation bonds (New GO Bonds), new bonds backed by toll revenues (Toll Bonds, and together with New GO Bonds, New Recovery Bonds) and contingent value instruments (CVIs).

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.

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

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

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

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

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

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

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

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

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

Certain insured bondholders elected to receive custody receipts representing an interest in custodial trusts that hold the legacy insurance policy plus Plan Consideration that were reported in FG VIEs’ assets at the time of the receipt.

Non-Defaulting Puerto Rico Exposures

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

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

Puerto Rico Litigation

Currently, there are numerous legal actions relating to the default by the Commonwealth of Puerto Rico 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.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

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

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

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

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

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

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

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

Specialty Business

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Specialty Business

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

As of March 31, 2025 As of December 31, 2024

Gross Exposure Net Exposure Gross Exposure Net Exposure

(in millions)

Insurance securitizations (1) $ 1,454 $ 1,124 $ 1,370 $ 1,043

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

Insurance reserve financings and securitizations 1,495 1,169 1,449 1,126

Pooled corporate obligations 836 836 868 868

1 unchanged sentence

____________________

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

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

(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.

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), 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 both March 31, 2025 and December 31, 2024.

In addition to the amounts shown in the table above, as of March 31, 2025, 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)

Net expected loss to be paid (recovered) is equal to the present value of expected future cash outflows for loss and

LAE payments, net of:

Net expected loss to be paid (recovered) is equal to the present value of expected future cash outflows for loss and LAE payments, net of:

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

(ii) excess spread on underlying

collateral, as applicable;

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

and (iii) amounts ceded to reinsurers.

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

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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.

8 unchanged sentences

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

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

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

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) 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.

1 unchanged sentence

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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.

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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, airport authorities or healthcare systems, 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 and regulated utilities, airport authorities or healthcare systems, generally will be influenced by factors impacting their revenue levels, such as changes in demand;

changing demographics;

and other economic factors, especially if the obligations do not benefit from financial support from other tax revenues or governmental authorities.

and other economic and regulatory factors, especially if the obligations do not benefit from financial support from other tax revenues or governmental authorities.

Changes over a reporting period in the Company’s loss estimates for its tax-supported and general obligation public finance transactions generally will be influenced by factors impacting the public issuer’s ability and willingness to pay, such as changes in the economy and population of the relevant area;

6 unchanged sentences

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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.

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, 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.

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

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

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

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.

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

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

As of Third Quarter Nine Months

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

As of First Quarter

Accounting Model March 31, 2025 December 31, 2024 2025 2024

(in millions)

2 unchanged sentences

FG VIEs (see Note 8)

236 240 ( 1 ) ( 6 ) — ( 15 )

Credit derivatives (see Note 6)

$ 150 $ 106 $ ( 15 ) $ ( 7 )

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

____________________

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

insurance, derivative or FG VIE.

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

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

Net expected losses to be paid for U.S.

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

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

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

The Company used risk-free rates that ranged from 1.99 % to 5.41 % with a weighted average of 4.18 % as of March 31, 2025 and 1.98 % to 5.22 % with a weighted average of 4.38 % as of December 31, 2024.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Net Expected Loss to be Paid (Recovered)

Third Quarter Nine Months

2024 2023 2024 2023

First Quarter

(in millions)

7 unchanged sentences

Net expected loss to be paid (recovered), end of period $ 150 $ 433

____________________

(1) First quarter 2025 amounts include recoveries recognized in connection with the resolution of the LBIE litigation.

See Note 6, Contracts Accounted for as Credit Derivatives, for additional information.

Net Expected Loss to be Paid (Recovered)

Roll Forward by Sector

Third Quarter 2024

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

First Quarter 2025

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

Development (Benefit) Net (Paid)

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

Net Expected Loss to be Paid (Recovered) as of March 31, 2025

(in millions)

8 unchanged sentences

Total $ 106 $ ( 15 ) $ 59 $ 150

____________________

(1) First quarter 2025 amounts include recoveries recognized in connection with the resolution of the LBIE litigation.

See Note 6, Contracts Accounted for as Credit Derivatives, for additional information.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Third Quarter 2023

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

Development (Benefit) Net (Paid)

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

(in millions)

Public finance:

public finance $ 433 $ 135 $ ( 169 ) $ 399

public finance 10 ( 1 ) — 9

Public finance 443 134 ( 169 ) 408

Structured finance:

RMBS 73 ( 48 ) 13 38

Other structured finance 44 1 ( 1 ) 44

Structured finance 117 ( 47 ) 12 82

Total $ 560 $ 87 $ ( 157 ) $ 490

Nine Months 2024

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

Development (Benefit) Net (Paid)

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

(in millions)

Public finance:

public finance $ 398 $ ( 14 ) $ ( 146 ) $ 238

public finance 20 63 ( 2 ) 81

Public finance 418 49 ( 148 ) 319

Structured finance:

RMBS 43 ( 69 ) ( 20 ) ( 46 )

Other structured finance 44 — ( 11 ) 33

Structured finance 87 ( 69 ) ( 31 ) ( 13 )

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

Nine Months 2023

First Quarter 2024

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

Development (Benefit) Net (Paid)

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

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

(in millions)

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

The tables above include (i) net LAE paid (recovered) of $( 61 ) million and $ 7 million for first quarter 2025 and first quarter 2024, respectively, and (ii) net expected LAE to be paid of $ 12 million as of March 31, 2025 and $ 11 million as of December 31, 2024, respectively.

Public Finance

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

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

regulated utilities exposures.

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

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

public finance exposures is net of expected recoveries of $ 260 million and $ 262 million as of March 31, 2025 and December 31, 2024, respectively, for certain claims that have already been paid.

In first quarter 2025, the economic loss development for public finance transactions was primarily attributable to higher expected losses for Puerto Rico Electric Power Authority (PREPA) and U.K.

regulated utilities exposures.

Regulated Utilities and European Renewable Energy

In 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 hospitals with large Medicaid and Medicare payor mixes have not seen reimbursement levels keep pace with rising costs.

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

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

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

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

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

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

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

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

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

The Company’s Puerto Rico net par and net debt service outstanding as of March 31, 2025 were $ 637 million and $ 744 million, respectively, compared with net par and net debt service outstanding as of December 31, 2024 of $ 637 million and $ 756 million, respectively.

Defaulting Puerto Rico Exposure

As of March 31, 2025, the Company’s only unresolved outstanding insured Puerto Rico exposure subject to a payment default was PREPA.

As of March 31, 2025, the Company’s PREPA net par and debt service outstanding were $ 532 million and

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

$ 619 million, respectively.

As of December 31, 2024, the Company’s PREPA net par and debt service outstanding were $ 532 million and $ 629 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 (FOMB) established under the Puerto Rico

Oversight, Management, and Economic Stability Act (PROMESA) 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 for the District of Puerto Rico’s (Federal District Court of Puerto Rico) determination on the FOMB PREPA Plan, as described below in PREPA – Current Proceedings, Plan of Adjustment and Disclosure Statement.

PREPA – Current Proceedings

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 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.

Plan of Adjustment and Disclosure Statement .

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

On February 16, 2024, the FOMB filed with the Federal District Court of Puerto Rico 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 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.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

In light of the decision by the First Circuit described above in Lien Challenge Adversary Proceeding and Appeal, in March 2025, the Federal District Court of Puerto Rico ordered the parties to propose an agreed proposal or competing proposals for a litigation schedule for resolving certain key issues related to PREPA bondholders’ claims prior to a further FOMB PREPA Plan confirmation hearing.

On March 13, 2025, the parties submitted competing proposals.

At an Omnibus Hearing held on March 19, 2025, the Federal District Court of Puerto Rico indicated that it would allow the bondholders, including AG, to litigate an administrative expense claim based on PREPA’s post-petition use of the bondholders’ collateral and that the parties could revisit the possibility of litigating other key issues at a later time.

On March 28, 2025, the FOMB filed its Fifth Amended Title III Plan of Adjustment and related Disclosure Statement for informational purposes of the parties, as directed by the Federal District Court of Puerto Rico at the March 19, 2025 Omnibus Hearing.

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 October 31, 2025.

Following the Omnibus Hearing held on March 19, 2025, the Federal District Court of Puerto Rico partially lifted the PREPA litigation stay, and indicated that the PREPA litigation stay otherwise remains in place for the time being.

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.

• AG motion to intervene in a 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 both March 31, 2025 and December 31, 2024, the Company had approximately $ 92 million 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 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.

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.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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.

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.

The loss severity is the amount of loss the transaction experiences on a defaulted loan after the application of net proceeds from the disposal of the underlying property.

The Company projects loss severities by sector and vintage based on its experience to date.

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.

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.

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;

assumed voluntary prepayments;

and servicer advances.

The Company then applies an individual model of the structure of the transaction to the projected future cash flow from that transaction’s collateral pool to project the Company’s future claims and claim reimbursements for that individual transaction.

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, 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 interest rate environment and other factors.

Net Economic Loss Development (Benefit)

Third Quarter Nine Months

2024 2023 2024 2023

First Quarter

(in millions)

3 unchanged sentences

RMBS ( 5 ) ( 2 )

RMBS economic loss development (benefit) $ ( 3 ) $ ( 3 )

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

First Lien U.S.

3 unchanged sentences

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.

Collateral losses are projected to be offset by recoveries on

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

deferred principal balances.

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

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.

First Lien U.S.

RMBS Liquidation Rates

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

Range (1) Range (1)

Current but recently delinquent 20 % 20 %

30 – 59 Days Delinquent 30 % – 40 % 30 % – 35 %

60 – 89 Days Delinquent 35 % – 40 % 40 % – 45 %

90+ Days Delinquent 35 % – 45 % 45 % – 60 %

Bankruptcy 40 % – 50 % 40 % – 50 %

Foreclosure 40 % – 50 % 55 % – 65 %

Real Estate Owned 100 % 100 %

____________________

(1) The ranges represent variation in calculated liquidation rates across RMBS sectors.

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 conditional default rate (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 recent severity levels generally will continue for another 18 months.

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

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

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

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The 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.

1 unchanged sentence

First Lien U.S.

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

As of March 31, 2025 As of December 31, 2024

Range Weighted Average Range Weighted Average

3 unchanged sentences

Future recovery for deferred principal balances 50 % 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, 2023.

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

Liquidation rates (1) 20 % - 50 % 20 % - 50 %

____________________

(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.

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 September 30, 2024 and December 31, 2023.

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

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 $ 32 million for all first lien U.S.

6 unchanged sentences

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

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).

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.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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 permit 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 have reset to full amortization.

The Company has observed the performance of the modified loans that have finally reset to full amortization 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.

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

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

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

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.

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

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

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 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, 2023.

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, the ultimate prepayment rate and recoveries for charged-off loans are the primary drivers of the amount of losses the collateral will likely suffer.

Assured Guaranty Ltd.

2 unchanged sentences

Key Assumptions in Base Scenario Expected Loss Estimates

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

As of March 31, 2025 As of As of December 31, 2024

Range Weighted Average Range Weighted Average

2 unchanged sentences

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

Current but recently delinquent 20 % 20 %

30 – 59 Days Delinquent 30 30

60 – 89 Days Delinquent 30 40

90+ Days Delinquent 40 60

Bankruptcy 55 55

Foreclosure 40 55

Real Estate Owned 100 100

Loss severity on future defaults 98 % 98 %

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

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

____________________

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

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 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 $ 81 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 $ 82 million for HELOC transactions.

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 $ 77 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 $ 77 million for HELOC transactions.

Recovery Litigation and Dispute Resolution

2 unchanged sentences

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.

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

5 unchanged sentences

Net Earned Premiums

Third Quarter Nine Months

2024 2023 2024 2023

First Quarter

(in millions)

8 unchanged sentences

Net of Commissions Payable on Assumed Business

First Quarter

(in millions)

2 unchanged sentences

Financial guaranty insurance premiums receivable 1,550 1,467

Gross written premiums on new business, net of commissions 278 215

New business and supplemental premiums, net of commissions 39 63

Gross premiums received, net of commissions ( 58 ) ( 75 )

4 unchanged sentences

Specialty insurance premium receivable 1 1

September 30, $ 1,513 $ 1,376

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

March 31, $ 1,568 $ 1,450

Approximately 69 % of gross premiums receivable, net of commissions payable, as of both March 31, 2025 and December 31, 2024, are denominated in currencies other than the U.S.

dollar, primarily the pound sterling and euro.

4 unchanged sentences

Expected Future Premium Collections and Earnings

As of September 30, 2024

As of March 31, 2025

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)

2025 (April 1 - June 30) $ 71 $ 76 $ 9 $ 85

2025 (July 1 - September 30) 46 75 9 84

2025 (October 1 - December 31) 42 73 9 82

Subtotal 2025 159 224 27 251

2026 130 278 34 312

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2028 117 248 30 278

2029 106 231 28 259

2030-2034 417 922 118 1,040

2035-2039 319 601 86 687

2040-2044 244 393 56 449

2045-2049 185 261 32 293

2050-2054 115 137 15 152

After 2054 123 109 12 121

Total $ 2,038 $ 3,665 $ 470 $ 4,135

Future accretion 415

Total future net earned premiums $ 4,036

____________________

2 unchanged sentences

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

September 30, 2024 December 31, 2023

March 31, 2025 December 31, 2024

(dollars in millions)

3 unchanged sentences

Weighted-average period of premiums receivable (in years) 12.2 12.3

Losses and Recoveries

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

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

Insurance Contracts’ Losses Reported in the Consolidated Financial Statements

Loss reserves and salvage and subrogation recoverable are discounted at risk-free rates for financial guaranty insurance obligations that ranged from 1.99 % to 5.41 % with a weighted average of 4.19 % as of March 31, 2025 and 1.98 % to 5.22 % with a weighted average of 4.38 % as of December 31, 2024.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

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

Sector September 30, 2024 December 31, 2023

Sector March 31, 2025 December 31, 2024

(in millions)

13 unchanged sentences

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

As of September 30, 2024

As of March 31, 2025

(in millions)

6 unchanged sentences

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

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.

2 unchanged sentences

Financial Guaranty Insurance Contracts

As of September 30, 2024

As of March 31, 2025

(in millions)

2025 (April 1 - June 30) $ 4

2025 (July 1 - September 30) 3

2025 (October 1 - December 31) 3

After 2043 39

Subtotal 2025 10

Net expected loss to be expensed (present value) 250

Future accretion ( 76 )

Future expected accretion 6

Total expected future loss and LAE $ 256

1 unchanged sentence

Loss and LAE (Benefit) by Sector

Third Quarter Nine Months

First Quarter

Sector 2025 2024

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Structured finance:

RMBS $ ( 39 ) $ ( 35 ) $ ( 42 ) $ ( 31 )

Other structured finance ( 2 ) ( 1 )

6 unchanged sentences

BIG Transaction Loss Summary

As of September 30, 2024

As of March 31, 2025

Gross Net Total BIG

41 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.

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.

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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 maturity.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

1 unchanged sentence

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

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

The estimated remaining weighted average life of credit derivatives was 9.1 years and 8.4 years as of March 31, 2025 and December 31, 2024, respectively.

Credit Derivatives (1)

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

As of March 31, 2025 As of December 31, 2024

Sector Net Par

10 unchanged sentences

Fair Value Gains (Losses) on Credit Derivatives

Third Quarter Nine Months

2024 2023 2024 2023

First Quarter

(in millions)

2 unchanged sentences

Fair value gains (losses) on credit derivatives $ 104 $ 10

On November 28, 2011, LBIE sued AG Financial Products Inc.

(AGFP), a subsidiary of AGL, 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.

Following the exhaustion of LBIE’s appeals, the Company recognized a realized gain on credit derivatives in first quarter 2025 of $ 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.

The impact of changes in credit spreads will vary based upon the volume, tenor, interest rates and other market conditions at the time these fair values are determined.

3 unchanged sentences

CDS Spread on AG (in basis points)

As of September 30,

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

As of March 31,

2025 As of December 31, 2024 As of March 31,

2024 As of December 31, 2023

1 unchanged sentence

One-year CDS spread 30 25 19 23

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Fair Value of Credit Derivative Assets (Liabilities)

and Effect of AG Credit Spread

September 30, 2024 December 31, 2023

March 31, 2025 December 31, 2024

(in millions)

2 unchanged sentences

Net fair value of credit derivatives $ ( 30 ) $ ( 29 )

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

The fair value of CDS contracts as of March 31, 2025, 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.

The largest component of the investment portfolio is fixed-maturity securities, the majority of which are investment grade and 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) trading securities consisting primarily of CVIs 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

Carrying Value

September 30, 2024 December 31, 2023

March 31, 2025 December 31, 2024

(in millions)

Fixed-maturity securities, available-for-sale $ 6,415 $ 6,369

Externally managed $ 5,554 $ 5,372

Loss Mitigation Securities 468 459

Other 262 476

Fixed-maturity securities, trading 137 147

2 unchanged sentences

Equity method investments:

Alternative investments (3) 487 394

Ownership interest in Sound Point 411 418

Funds and other investments 531 496

Total (1) $ 8,670 $ 8,663

____________________

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

BIG rated securities consisted primarily of Loss Mitigation Securities.

(2) These securities are not rated.

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

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

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

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

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

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

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

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

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

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

regulated utility to which it has insured exposure.

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

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

(1) In the investment portfolio, the aggregate carrying value of Sound Point managed investments was $ 547 million and $ 569 million as of March 31, 2025 and December 31, 2024, respectively, excluding the Company’s ownership interest in Sound Point of $ 411 million and $ 418 million as of March 31, 2025 and December 31, 2024, respectively, and excluding certain investments in funds that are accounted for as CIVs.

As of March 31, 2025 and December 31, 2024, 12.3 % and 12.6 % of available-for-sale fixed-maturity securities were either rated BIG or not rated, primarily consisting of Loss Mitigation Securities and collateralized loan obligation (CLO) equity tranches.

As of March 31, 2025 and December 31, 2024, the carrying value of Loss Mitigation Securities was $ 497 million and $ 479 million, respectively.

As of March 31, 2025 and December 31, 2024, the carrying value of CLO equity tranches was $ 240 million and $ 277 million, respectively.

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

The investment portfolio includes $ 892 million in alternative investments primarily consisting of (i) CLO equity securities classified as available-for-sale fixed-maturity securities, and (ii) $ 549 million of investments across various asset classes that are reported in other invested assets.

In addition, as of March 31, 2025 and December 31, 2024, $ 39 million and $ 33 million, respectively, of the Company’s total alternative investments was invested in a Sound Point managed fund which was reported in “assets of CIVs,” “other liabilities” and “nonredeemable noncontrolling interests.” See Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles.

The Company’s alternative investment commitments as of March 31, 2025 include $ 608 million in unfunded commitments which together with its $ 892 million in funded commitments total $ 1.5 billion, including a $ 1 billion commitment to invest in Sound Point managed alternative investments.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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 Company’s alternative investments agreement with Sound Point.

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.

As of March 31, 2025, the Company estimated that it would purchase approximately £ 110 million (or $ 142 million) in liquidity bonds under this commitment.

Accrued investment income, which is reported in “other assets,” was $ 67 million as of March 31, 2025 and $ 64 million as of December 31, 2024.

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

As of September 30, 2024

As of March 31, 2025

Security Type Percent

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Total available-for-sale fixed-maturity securities 100 % $ 6,774 $ ( 45 ) $ 57 $ ( 371 ) $ 6,415

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

20 unchanged sentences

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

government-agency obligations were approximately 68 % of mortgage-backed securities as of both March 31, 2025 and December 31, 2024, based on fair value.

(4) Includes an investment in an affiliated entity with amortized cost of $ 41 million and fair value of $ 42 million as of both March 31, 2025 and December 31, 2024.

Gross Unrealized Loss by Length of Time

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

As of September 30, 2024

As of March 31, 2025

Less than 12 months 12 months or more Total

15 unchanged sentences

Number of securities (1) 416 1,006 1,399

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Gross Unrealized Loss by Length of Time

22 unchanged sentences

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

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

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

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

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

The Company has determined that the unrealized losses recorded as of March 31, 2025 and December 31, 2024 were primarily related to higher interest rates rather than credit quality.

As of March 31, 2025, 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 March 31, 2025, of the securities in an unrealized loss position for which an allowance for credit loss was not recorded, 371 securities had unrealized losses in excess of 10% of their carrying value, whereas as of December 31, 2024, 438 securities had unrealized losses in excess of 10% of their carrying value.

The total unrealized loss for these securities was $ 202 million as of March 31, 2025 and $ 223 million as of December 31, 2024.

The amortized cost and estimated fair value of available-for-sale fixed-maturity securities by contractual maturity as of March 31, 2025 are shown below.

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

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

As of September 30, 2024

As of March 31, 2025

Cost Estimated

6 unchanged sentences

Total $ 6,774 $ 6,415

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), 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 $ 82 million as of March 31, 2025 and $ 79 million as of December 31, 2024.

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 $ 1,079 million and $ 1,135 million as of March 31, 2025 and December 31, 2024, respectively.

Income from Investments

1 unchanged sentence

Income from Investments

Third Quarter Nine Months

2024 2023 2024 2023

First Quarter

(in millions)

1 unchanged sentence

Fixed-maturity securities, available-for-sale (1) $ 74 $ 62

Externally managed $ 52 $ 51 $ 154 $ 156

Loss Mitigation Securities 7 24 21 46

Puerto Rico, New Recovery Bonds — 1 — 5

Other 3 5 9 12

Short-term investments 13 23

5 unchanged sentences

Equity in earnings (losses) of investees:

Sound Point (2) $ 4 $ — $ 5 $ —

Funds (3) 8 12 27 12

Other 6 6 15 13

Ownership interest in Sound Point $ 13 $ 4

Funds and other investments 40 20

Equity in earnings (losses) of investees $ 53 $ 24

____________________

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

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

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

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

(1) Includes $ 7 million income on Loss Mitigation Securities for both first quarter 2025 and first quarter 2024.

(2) Fair value gains on trading securities pertaining to securities still held as of March 31, 2024 were $ 22 million for first quarter 2024.

Fair Value Gains (Losses) on Trading Securities

A majority of the trading securities are Puerto Rico CVIs.

In 2022, as a result of the resolution of certain defaulting Puerto Rico exposures, the Company received Puerto Rico CVIs, along with other consideration.

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 March 31, 2025, the remaining CVIs had a fair value of $ 115 million.

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

Assured Guaranty Ltd.

4 unchanged sentences

Net Realized Investment Gains (Losses)

Third Quarter Nine Months

2024 2023 2024 2023

First Quarter

(in millions)

3 unchanged sentences

Change in the allowance for credit losses and intent to sell (1) ( 10 ) 10

Other net realized gains (losses) 1 ( 1 ) 2 ( 1 )

Net realized investment gains (losses) $ ( 16 ) $ 8

____________________

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

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

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

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

(1) 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

for Available-for-Sale Fixed-Maturity Securities

Third Quarter Nine Months

2024 2023 2024 2023

First Quarter

(in millions)

2 unchanged sentences

Additions (reductions) for securities for which credit losses were previously recognized 9 ( 10 )

Write-offs charged against the allowance ( 25 ) —

Balance, end of period $ 45 $ 67

The Company did not purchase any securities with credit deterioration during the periods presented.

Most of the Company’s securities with credit deterioration are Loss Mitigation Securities.

Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles

Structured Finance and Other 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 protections to the insurance subsidiaries.

1 unchanged sentence

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

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

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

1 unchanged sentence

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 insured debt obligations issued by the structured finance and other FG VIEs (which excludes the Puerto Rico Trusts described below) and would only be required to make payments on those insured debt obligations in the event that the issuer of such debt obligations defaults on any principal or interest due and only for the amount of the shortfall.

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

The insurance subsidiaries are not primarily liable for the insured debt obligations issued by structured finance FG VIEs 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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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.

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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 Company has elected the fair value option (FVO) for all assets and all liabilities of the structured finance and other FG VIEs.

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.

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

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

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 and investments.

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.

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 after giving effect to the distributions described in the immediately preceding sentence.

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

bonds at any time thereafter, with 30 days’ notice, by paying 100% of the then outstanding principal amount of insured bonds plus accrued interest.

By 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 AG under its financial guaranty policies and are no longer dependent on the credit of PRHTA.

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

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

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

Components of FG VIEs’ Assets and Liabilities

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.

The Company has elected the fair value option (FVO) for all assets and all liabilities of the structured finance FG VIEs, which are all RMBS as of both March 31, 2025 and December 31, 2024.

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, and to allow for consistency in the accounting for the assets and liabilities of its consolidated FG VIEs.

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

As of both March 31, 2025 and December 31, 2024, the Company consolidated 23 structured finance FG VIEs.

Net fair value gains and losses on FG VIEs are expected to reverse to zero by the maturity of the FG VIEs’ debt, except for net premiums received and net claims paid by the insurance subsidiaries under the financial guaranty insurance contracts.

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).

The table below shows the carrying value of FG VIEs’ assets and liabilities segregated by type of collateral.

Consolidated FG VIEs by Type of Collateral

September 30, 2024 December 31, 2023

(in millions)

FG VIEs’ assets:

RMBS first lien $ 129 $ 145

RMBS second lien 25 28

Puerto Rico Trusts’ assets (includes $ 2 and $ 1 at fair value) (1)

Total FG VIEs’ assets $ 156 $ 328

FG VIEs’ liabilities with recourse:

RMBS first lien $ 144 $ 156

RMBS second lien 20 21

Puerto Rico Trusts’ liabilities 218 366

Total FG VIEs’ liabilities with recourse $ 382 $ 543

FG VIEs’ liabilities without recourse:

RMBS first lien $ 10 $ 11

Total FG VIEs’ liabilities without recourse $ 10 $ 11

____________________

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

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

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

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

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Measured under the FVO

September 30, 2024 December 31, 2023

March 31, 2025 December 31, 2024

(in millions)

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

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

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

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

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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 condensed consolidated statements of operations.

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

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Assets and Liabilities of CIVs

September 30, 2024 December 31, 2023

(in millions)

Cash and cash equivalents $ 23 $ 35

Equity securities 97 83

Structured products 237 248

Total assets (1) $ 359 $ 366

Due to brokers and counterparties $ 15 $ —

Other liabilities 3 4

Total liabilities (2) $ 18 $ 4

____________________

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

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

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

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

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

As of March 31, 2025, the Company consolidated one CIV with assets of $ 119 million, consisting of $ 1 million of cash and $ 118 million of investments with Sound Point affiliated entities.

As of December 31, 2024, the Company consolidated one active CIV with assets of $ 101 million, consisting of $ 2 million of cash and $ 99 million of investments with Sound Point affiliated entities.

Noncontrolling Interest in CIVs

Noncontrolling interest (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 “credit derivative liabilities” on the condensed consolidated balance sheets.

In the first quarter of 2024, the Company deconsolidated the largest of these VIEs.

The NCI is nonredeemable and presented on the statement of shareholders’ equity.

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

Of the approximately 15 thousand policies monitored as of March 31, 2025, 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 September 30, 2024 and December 31, 2023, the Company identified 59 and 68 policies, respectively, that contain provisions and experienced events that may trigger consolidation.

As of both March 31, 2025 and December 31, 2024, the Company identified 50 policies that contain provisions and experienced events that may trigger consolidation.

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

As of March 31, 2025, the Company’s maximum exposure to losses relating to these VIEs was $ 766 million, which is limited to the carrying value of these assets.

Fair Value Measurement

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Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., exit or transfer price).

The price represents the price available in the principal market for the asset or liability.

The price represents the price available in the principal market for the asset or

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

If there is no principal market, then the price is based on a hypothetical market that maximizes the value received for an asset or minimizes the amount paid for a liability (i.e., the most advantageous market).

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

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

During first quarter 2025, no changes were made to the Company’s valuation models that had (or are expected to have) a material impact on the Company’s condensed consolidated balance sheets or statements of operations and comprehensive income.

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

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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.

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, due to changes in observability of pricing inputs, and in CIVs, in connection with the distribution of assets from the CIV, in third quarter 2024 and nine months 2024.

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

Level 3 financial instruments 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 in CIVs due to changes in observability of pricing inputs in first quarter 2024.

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Carried at Fair Value

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The pricing services evaluate each asset class based on relevant market and credit information, perceived market movements and sector news.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

In many cases, benchmark yields have proven to be more reliable indicators of the market for a security, as compared to reported trades for infrequently traded securities and distressed transactions.

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

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

As of March 31, 2025, the Company used models to price 175 securities.

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

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

Committed Capital Securities

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

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

The 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 CCS and invested the proceeds of that issuance in eligible assets that 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.

When AG exercises its put option, the relevant trust 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.

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

comparable security.

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

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

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

The change in fair value of the CCS is reported in “fair value gains (losses) on committed capital securities” in the condensed 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’s CDS spreads, the Company’s publicly traded debt and an estimation of the securities’ remaining term.

The CCS are classified as Level 3.

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The change in fair value of these assets is reported in “other operating expenses” in the condensed consolidated statements of operations.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Contracts Accounted for as Credit Derivatives

The Company’s credit derivatives, which primarily consist of insured CDS contracts, qualify as derivatives under GAAP that require fair value measurement, with changes in fair value reported in the condensed consolidated statements of operations.

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 of default or termination event that entitles the Company to terminate such 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.

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

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

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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.

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

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 as of March 31, 2025 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 primary sources of information used to determine gross spread and the fair value for CDS contracts include actual collateral credit spreads (if up-to-date and reliable market-based spreads are available), transactions priced or closed during a specific quarter within a specific asset class and specific rating, and information provided by the counterparty of the CDS.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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 credit derivative.

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 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 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.

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

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

As the cost to acquire CDS protection referencing AG increases, the amount of premium the Company retains on a transaction generally decreases.

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

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 premium and the contractual premium for the remaining duration of each contract to the notional value of such contract and then discounting such amounts using the applicable discount rate corresponding to the weighted average remaining life of the contract.

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

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

However, because there is no exit market or any actual exit transactions, the Company’s exit market is a hypothetical one based on the Company’s entry market and there is a very limited and illiquid market in which to validate the reasonableness of the fair values developed by the Company’s model.

The minimum premium had no effect on the fair value of CDS contracts as of March 31, 2025 and December 31, 2024.

FG VIEs’ Assets and Liabilities

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

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

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

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 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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yields implied by market prices for similar securities;

and, as applicable, house price depreciation/appreciation rates based on macroeconomic forecasts.

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 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.

and, as applicable, house price depreciation/appreciation rates based on

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

macroeconomic forecasts.

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.

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.

The expected yield is further calibrated by utilizing algorithms designed to aggregate market color, received by the independent third party, on comparable bonds.

The models used to price the FG VIEs’ liabilities (other than the liabilities of the Puerto Rico Trusts) generally apply the same inputs used in determining fair value of FG VIEs’ assets.

The models used to price the FG VIEs’ liabilities generally apply the same inputs used in determining fair value of FG VIEs’ assets.

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 Company’s insurance subsidiary that issued the financial guaranty policy.

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

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 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.

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

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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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(iii) calculating the present value of future cash flows;

(iv) assessing other data related to the investment that is an indication of value;

(iv) assessing other data related to the investment that may be an indication of value;

(v) obtaining information provided by third parties;

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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 consolidated assets and liabilities.

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.

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Fair Value Hierarchy of Financial Instruments Carried at Fair Value

As of September 30, 2024

As of March 31, 2025

Fair Value Hierarchy

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FG VIEs’ assets — — 145 145

Assets of CIVs:

Equity securities — — 97 97

Structured products — — 237 237

Total assets of CIVs — — 334 334

Assets of CIVs, equity securities — — 118 118

Other assets 68 58 8 134

Total assets carried at fair value $ 1,222 $ 5,467 $ 1,421 $ 8,110

Credit derivative liabilities $ — $ — $ 39 $ 39

FG VIEs’ liabilities (2) $ — $ — $ 163 $ 163

Other liabilities — — 34 34

Total liabilities carried at fair value $ — $ — $ 197 $ 197

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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

6 unchanged sentences

Changes in Level 3 Fair Value Measurements

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

The tables below present a roll forward of the Company’s Level 3 financial instruments carried at fair value on a recurring basis during first quarter 2025 and first quarter 2024.

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

Third Quarter 2024

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

Subdivisions RMBS Asset-

First Quarter 2025

Fixed-Maturity Securities, Available-for-Sale

Subdivisions Corporate RMBS Asset-

Securities Fixed-Maturity Securities, Trading FG VIEs’

Assets Equity Securities Structured Products Other

Assets Assets of CIVs, Equity Securities Other

(in millions)

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

Fair value as of December 31, 2024 $ 10 $ — $ 145 $ 1,031 $ 5 $ 147 $ 99 $ 5

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

4 unchanged sentences

Settlements — — ( 6 ) ( 47 ) — ( 5 ) — —

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

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

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

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

Fair value as of March 31, 2025 $ 10 $ 5 $ 144 $ 983 $ 5 $ 145 $ 118 $ 6

Change in unrealized gains (losses) related to financial instruments held as of March 31, 2025 included in:

Earnings $ ( 1 ) (9) $ 2 (2) $ 19 (4) $ 2 (3)

1 unchanged sentence

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

Third Quarter 2024

First Quarter 2025

Credit Derivative

1 unchanged sentence

(in millions)

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

Fair value as of December 31, 2024 $ ( 29 ) $ ( 164 )

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

1 unchanged sentence

Other comprehensive income (loss) — ( 1 )

Issuances ( 2 ) —

Settlements ( 105 ) 4

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

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

Fair value as of March 31, 2025 $ ( 30 ) $ ( 163 )

Change in unrealized gains (losses) related to financial instruments held as of March 31, 2025 included in:

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

2 unchanged sentences

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

Third Quarter 2023

First Quarter 2024

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

1 unchanged sentence

Securities FG VIEs’

Assets Equity Securities Corporate Securities Structured Products Other

(in millions)

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

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

Net income (loss) — 4 (1) 13 (1) 1 (2) 5 (4) — 7 (4) ( 20 ) (3)

Other comprehensive income (loss) ( 3 ) ( 6 ) ( 2 ) — — — — —

Purchases — — — — 3 — — —

Sales — — — — ( 4 ) — — —

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

Consolidations — — — — — — — —

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

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

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

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

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

OCI $ — $ ( 6 ) $ 3 $ —

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

Third Quarter 2023

Credit Derivative

Liability, net (5) FG VIEs’ Liabilities (8) Liabilities of CIVs (9)

(in millions)

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

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

Net income (loss) 9 (6) 17 (2) —

Other comprehensive income (loss) — 13 —

Settlements ( 1 ) 127 —

Deconsolidations — — 4,199

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

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

Earnings $ 9 (6) $ 9 (2) $ —

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

Nine Months 2024

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

Subdivisions RMBS Asset-

Securities FG VIEs’

Assets Equity Securities Structured Products Other

7 unchanged sentences

Settlements — ( 5 ) ( 30 ) ( 6 ) — — —

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

Transfers into Level 3 — — 20 — 3 10 —

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

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

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

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

Change in unrealized gains (losses) related to financial instruments held as of March 31, 2024 included in:

Earnings $ ( 3 ) (2) $ 7 (4) $ 5 (4) $ ( 10 ) (3)

1 unchanged sentence

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

Nine Months 2024

First Quarter 2024

Credit Derivative

5 unchanged sentences

Other comprehensive income (loss) — ( 2 )

Issuances ( 2 ) —

Settlements 1 148

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

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

Earnings $ 9 (6) $ —

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

Nine Months 2023

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

Subdivisions RMBS Asset-

Securities FG VIEs’

Assets Equity Securities and Warrants Corporate Securities Structured Products Other

(in millions)

Fair value as of December 31, 2022

$ 47 $ 179 $ 794 $ 204 $ 297 $ 96 $ 46 $ 50

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

Net income (loss) 1 (1) 11 (1) 13 (1) — 45 (4) ( 3 ) (4) 9 (4) ( 33 ) (3)

Other comprehensive income (loss) ( 3 ) ( 14 ) ( 10 ) — — — — —

Purchases — — 23 — 41 6 — —

Sales — — ( 2 ) — ( 89 ) ( 15 ) ( 48 ) —

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

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

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

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

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

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

OCI $ — $ ( 13 ) $ — $ —

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

Nine Months 2023

Credit Derivative

Liability, net (5) FG VIEs’

Liabilities (8) Liabilities of CIVs (9)

(in millions)

Fair value as of December 31, 2022

$ ( 162 ) $ ( 715 ) $ ( 4,154 )

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

Net income (loss) 115 (6) 18 (2) ( 45 ) (4)

Other comprehensive income (loss) — 14 ( 13 )

Settlements ( 2 ) 141 13

Deconsolidations — — 4,199

Fair value as of September 30, 2023

$ ( 49 ) $ ( 542 ) $ —

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

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

Change in unrealized gains (losses) related to financial instruments held as of March 31, 2024 included in:

Earnings $ 4 (6) $ 2 (2)

1 unchanged sentence

(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).”

1 unchanged sentence

(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 condensed consolidated balance sheets based on policy.

Credit derivative assets (reported in “other assets”) and credit derivative liabilities (reported in “other liabilities”) are shown as either assets or liabilities in the condensed consolidated balance sheets.

(6) Reported in “fair value gains (losses) on credit derivatives.”

1 unchanged sentence

(8) Includes FG VIEs’ liabilities with recourse and FG VIEs’ liabilities without recourse.

(9) Includes primarily various tranches of CLO debt.

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

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

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

(9) Reported in “fair value gains (losses) on trading securities.”

Assured Guaranty Ltd.

2 unchanged sentences

Quantitative Information About Level 3 Fair Value Inputs

As of September 30, 2024

As of March 31, 2025

Financial Instrument Description Fair Value Assets (Liabilities)

3 unchanged sentences

Obligations of state and political subdivisions $ 10 Yield 5.8 % - 20.0 % 7.7 %

RMBS 152 CPR 1.8 % - 17.0 % 2.5 %

Corporate 5 Yield 15.0 %

RMBS 144 Conditional prepayment rate (CPR) 2.0 % - 17.0 % 3.2 %

CDR 1.5 % - 18.7 % 5.4 %

3 unchanged sentences

CLOs 542 Discount margin 1.1 % - 2.9 % 2.0 %

Yield 15.2 % - 23.3 % 19.7 %

Others 441 Yield 6.5 % - 9.9 % 6.8 %

4 unchanged sentences

Yield 7.0 % - 10.6 % 9.3 %

Assets of CIVs (3):

Equity securities 97 Discount rate 19.7 % - 42.3 % 24.8 %

Assets of CIVs - equity securities (3) 118 Discount rate 24.9 %

Market multiple-price to book 1.10 x

3 unchanged sentences

Exit multiple-price to earnings 5.75 x

Structured products 237 Yield 12.2 % - 42.3 % 15.5 %

Other assets (1) 4 Implied Yield 6.5 % - 7.1 % 6.8 %

4 unchanged sentences

Internal credit rating AAA - CCC A

Discount rates of future expected premium cash flows 3.6 % - 4.2 % 4.1 %

FG VIEs’ liabilities (1) ( 163 ) CPR 2.4 % - 27.7 % 5.5 %

6 unchanged sentences

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

the key inputs to the valuation are yield/

discount rates and market multiples.

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

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

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

Assured Guaranty Ltd.

13 unchanged sentences

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 %

2 unchanged sentences

Yield 6.8 % - 10.8 % 9.3 %

Assets of CIVs (3):

Equity securities 80 Discount rate 20.9 %

Assets of CIVs - equity securities (3) 99 Discount rate 24.3 %

Market multiple-price to book 1.05 x

3 unchanged sentences

Exit multiple-price to earnings 5.50 x

Structured products 189 Yield 14.7 % - 21.4 % 18.0 %

Other assets (1)

5 unchanged sentences

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 %

5 unchanged sentences

(2) Excludes several investments reported in “other invested assets” with a fair value of $ 4 million.

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

discount rates and market multiples.

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

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

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

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

Assured Guaranty Ltd.

9 unchanged sentences

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 condensed 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.

The carrying amount and estimated fair value of the Company’s financial instruments not carried at fair value are presented in the following table.

Fair Value of Financial Instruments Not Carried at Fair Value

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

As of March 31, 2025 As of December 31, 2024

Amount Estimated

3 unchanged sentences

Assets (liabilities):

Assets of CIVs $ 31 $ 31 $ 19 $ 19

Other assets (including other invested assets) $ 103 $ 104 $ 115 $ 116

5 unchanged sentences

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 2023 and nine months 2024.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

AGL’s subsidiaries are subject to income taxes imposed by the local tax authorities in the jurisdictions in which they operate and file applicable tax returns.

In addition, AGRO, a Bermuda domiciled company, has elected under Section 953(d) of the Internal Revenue Service (IRS) to be taxed as a U.S.

domestic corporation.

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.

government passed legislation to implement the Organization for Economic Co-Operation and Development’s Base Erosion and Profit Shifting 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.

AGL’s U.S., U.K.

and French subsidiaries are subject to income taxes imposed by U.S., U.K.

and French authorities, respectively, and file applicable tax returns.

In addition, AGRO, a Bermuda domiciled company, has elected under Internal Revenue Code Section 953(d) to be taxed as a U.S.

domestic corporation.

On December 27, 2023, the Bermuda government enacted a corporate income tax at the rate of 15 % which applies to the Bermuda Subsidiaries (collectively, AG Re, AGRO and Cedar Personnel Ltd.) for accounting periods starting on or after January 1, 2025.

AGUS files a consolidated federal income tax return with all of its U.S.

2 unchanged sentences

and its subsidiaries, AGRO and AG Intermediary Inc., file their own consolidated federal income tax return.

Tax Assets (Liabilities)

Deferred and Current Tax Assets (Liabilities)

September 30, 2024 December 31, 2023

(in millions)

Net deferred tax assets (liabilities) $ 222 $ 250

Net current tax assets (liabilities) ( 21 ) ( 9 )

Valuation Allowance

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.

The positive evidence that was considered included the cumulative income the Company has earned over the last three years and the significant unearned premium income to be included in taxable income.

The positive evidence outweighs any negative evidence that exists.

As such, the Company believes that no valuation allowance is necessary in connection with the remaining deferred tax assets.

The Company will continue to analyze the need for a valuation allowance on a quarterly basis.

Changes in market conditions during 2024 and 2023, including rising interest rates, resulted in the recording of deferred tax assets related to net unrealized tax capital losses.

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Provision for Income Taxes

The Company’s provision for income taxes for interim financial periods is not based on an estimated annual effective rate due, for example, to the variability in loss reserves, fair value of its credit derivatives and VIEs and foreign exchange gains and losses which prevents the Company from projecting a reliable estimated annual effective tax rate and pre-tax income for the full year 2024.

The Company’s provision for income taxes for interim financial periods is not based on an estimated annual effective rate due, for example, to the variability in loss reserves, fair value of its credit derivatives and VIEs and foreign exchange gains and losses which prevent the Company from projecting a reliable estimated annual effective tax rate and pre-tax income for the full year 2025.

A discrete calculation of the provision is calculated for each interim period.

3 unchanged sentences

marginal corporate income tax rate of 21 %,

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

• Bermuda Subsidiaries taxed at the Bermuda marginal corporate tax rate of 0 %, unless subject to U.S.

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

• Bermuda Subsidiaries taxed at the Bermuda marginal corporate tax rate of 15 % starting January 1, 2025, and 0 % for 2024, unless subject to U.S.

tax by election, and

subsidiaries taxed at the U.K.

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.

A reconciliation of the difference between the provision for income taxes and the expected tax provision at statutory rates in taxable jurisdictions is presented below.

Effective Tax Rate Reconciliation

Third Quarter Nine Months

2024 2023 2024 2023

(in millions)

Expected tax provision (benefit) $ 39 $ 45 $ 78 $ 88

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

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

State taxes 4 1 7 8

Foreign taxes 2 7 4 8

Global minimum tax 5 — 12 —

Other ( 3 ) ( 1 ) ( 6 ) ( 5 )

Total provision (benefit) for income taxes $ 44 $ 43 $ 88 $ 84

Effective tax rate 19.9 % 21.4 % 19.2 % 18.1 %

The expected tax provision (benefit) is calculated as the sum of pre-tax income in each jurisdiction multiplied by the statutory tax rate of the jurisdiction by which it will be taxed.

Where there is a pre-tax loss in one jurisdiction and pre-tax income in another, the total combined expected tax rate may be higher or lower than any of the individual statutory rates.

The following tables present pre-tax income and revenue by jurisdiction.

Pre-tax Income (Loss) by Tax Jurisdiction

Third Quarter Nine Months

2024 2023 2024 2023

(in millions)

$ 183 $ 233 $ 399 $ 458

Bermuda 37 ( 17 ) 84 41

1 ( 10 ) ( 17 ) ( 25 )

France ( 1 ) ( 4 ) ( 8 ) ( 8 )

Total $ 220 $ 202 $ 458 $ 466

Revenue by Tax Jurisdiction

Third Quarter Nine Months

2024 2023 2024 2023

(in millions)

$ 211 $ 373 $ 581 $ 901

Bermuda 43 30 110 123

France 3 ( 1 ) 2 —

Total $ 269 $ 403 $ 716 $ 1,046

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

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

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

marginal corporate tax rate of 25 %.

For first quarter 2025, the Company’s effective tax rate was 18.9 % compared to 21.4 % in the prior year period.

The effective tax rates are different from the expected tax provision (benefit) primarily due to a tax provision for U.S.

state taxes, a tax benefit for U.S.

tax-exempt interest and the exclusion of income from noncontrolling interests.

In addition, the prior period included a tax provision for foreign taxes and the global minimum tax.

During first quarter 2025, the IRS audit of AGUS’s 2018 and 2019 tax years closed with no impact to previously accrued taxes.

As of March 31, 2025, AGUS had open tax years with the IRS for 2021 forward and is not currently under audit.

As of March 31, 2025, Assured Guaranty Overseas US Holdings Inc.

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

In September 2022, His Majesty’s Revenue & Customs (HMRC) completed a business risk review of Assured Guaranty that commenced in July 2022 and assigned a low-risk rating for corporate taxes in the U.K.

In December 2023, HMRC issued an inquiry into the Company’s 2021 U.K.

As of December 31, 2023, the Company's U.K.

In December 2023, His Majesty’s Revenue & Customs (HMRC) issued an inquiry into the Company’s 2021 U.K.

As of March 31, 2025, the Company’s U.K.

subsidiaries had open tax years with HMRC for 2021 forward.

5 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 its related PREPA.

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

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

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 of PREPA it insures.

There are two current proceedings related to PREPA, while there are a number of other unresolved proceedings related to PREPA that remain stayed pending the 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.

In the first quarter of 2023, the Company reduced its previously recorded accrual of $ 20 million to zero in connection with developments in litigation.

The Company also receives subpoenas and interrogatories from regulators from time to time.

On November 28, 2011, Lehman Brothers International (Europe) (in administration) (LBIE) sued AG Financial Products Inc.

(AGFP), an affiliate of AG, which, in the past, had provided credit protection to counterparties under CDS.

AG 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.

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 (Appellate Division).

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

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

a ruling on the motion is pending.

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

Shareholders’ Equity

2 unchanged sentences

Changes in Accumulated Other Comprehensive Income (Loss) by Component

Third Quarter 2024

Net Unrealized Gains (Losses) on Investments with:

FG VIEs’ Liabilities with Recourse Cumulative

Adjustment Cash Flow

Hedge Total AOCI

No Credit Impairment Credit Impairment

(in millions)

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

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

Amounts reclassified from AOCI to:

Net realized investment gains (losses)

( 4 ) 3 — — — ( 1 )

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

Total before tax

( 4 ) 3 ( 1 ) — — ( 2 )

Tax (provision) benefit

( 1 ) — — — — ( 1 )

Total amount reclassified from AOCI, net of tax ( 5 ) 3 ( 1 ) — — ( 3 )

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Changes in Accumulated Other Comprehensive Income (Loss) by Component

Third Quarter 2023

Net Unrealized Gains (Losses) on Investments with:

FG VIEs’ Liabilities with Recourse Cumulative

Adjustment Cash Flow

Hedge Total AOCI

No Credit Impairment Credit Impairment

(in millions)

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

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

Amounts reclassified from AOCI to:

Net realized investment gains (losses)

( 2 ) ( 7 ) — — — ( 9 )

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

Total before tax

( 2 ) ( 7 ) — ( 6 ) — ( 15 )

Tax (provision) benefit

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

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

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

Changes in Accumulated Other Comprehensive Income (Loss) by Component

Nine Months 2024

First Quarter 2025

Net Unrealized Gains (Losses) on Investments with:

9 unchanged sentences

( 6 ) ( 10 ) — — — ( 16 )

Fair value gains (losses) on FG VIEs

— — ( 2 ) — — ( 2 )

Total before tax

1 unchanged sentence

Tax (provision) benefit

— ( 2 ) — — — ( 2 )

Total amount reclassified from AOCI, net of tax ( 6 ) ( 8 ) — — — ( 14 )

Other comprehensive income (loss) 52 21 ( 1 ) ( 1 ) — 71

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Balance, March 31, 2025 $ ( 183 ) $ ( 78 ) $ ( 19 ) $ ( 38 ) $ 4 $ ( 314 )

Changes in Accumulated Other Comprehensive Income (Loss) by Component

Nine Months 2023

First Quarter 2024

Net Unrealized Gains (Losses) on Investments with:

10 unchanged sentences

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

— — ( 2 ) — — ( 2 )

Fair value gains (losses) on CIVs

— — — ( 6 ) — ( 6 )

Interest expense — — — — 1 1

Total before tax

4 unchanged sentences

Other comprehensive income (loss) ( 29 ) 1 ( 1 ) 1 — ( 28 )

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

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

Share Repurchases

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

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

The repurchase program may be modified, extended or terminated by AGL’s Board of Directors at any time and does not have an expiration date.

As of May 8, 2025, the remaining amount the Company was authorized to purchase was approximately $ 181 million of its common shares.

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

The timing, form and amount of the share repurchases under the program are at the discretion of management and will depend on a variety of factors, including funds available at the parent company, other potential uses for such funds, market conditions, the Company’s capital position, legal requirements and other factors.

The repurchase program may be modified, extended or terminated by the Board at any time.

It does not have an expiration date.

The timing, form and amount of the share repurchases under the program are at

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

the discretion of management and will depend on a variety of factors, including funds available at the parent company, other potential uses for such funds, market conditions, the Company’s capital position, legal requirements and other factors.

Share Repurchases

7 unchanged sentences

2025 (January 1 - March 31) 1,335,228 120 89.72

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

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

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

2025 (April 1 - May 8) 603,103 51 84.43

Total 2025 1,938,331 $ 171 $ 88.08

1 unchanged sentence

(1) Excludes commissions and excise taxes.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Earnings Per Share

Computation of Earnings Per Share

Third Quarter Nine Months

2024 2023 2024 2023

First Quarter

(in millions, except per share amounts)

15 unchanged sentences

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

What changed 10-Q

Item 1. Financial Statements