What changed in this filing

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Item 1. Financial Statements

2026-05-08 compared with 2025-11-07 · 839 added, 861 removed, 1331 unchanged (56% of the section changed)

3 unchanged sentences

(dollars in millions except share data)

September 30, 2025 December 31, 2024

March 31, 2026 December 31, 2025

Fixed-maturity securities, available-for-sale, at fair value, net of allowance for credit loss of $ 63 and $ 54 (amortized cost of $ 7,241 and $ 6,572 )

4 unchanged sentences

Total investments 8,906 8,487

Premiums receivable, net of commissions payable 1,583 1,551

Premiums receivable, net of commissions payable, net of allowance for credit losses of $ 3 and $ 3

Funds withheld, at fair value 296 —

Deferred acquisition costs 197 192

Salvage and subrogation recoverable 437 449

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

Financial guaranty variable interest entities’ assets (includes $ 167 and $ 172 , at fair value)

Assets of consolidated investment vehicles (includes $ — and $ 167 , at fair value)

3 unchanged sentences

Loss and loss adjustment expense reserve 310 309

Future policy benefits for annuity reinsurance contracts 475 —

Policyholder account balances for annuity reinsurance contracts 263 —

Long-term debt 1,705 1,704

Financial guaranty variable interest entities’ liabilities, at fair value ($ 150 and $ 155 with recourse, $ 9 and $ 9 without recourse)

Financial guaranty variable interest entities’ liabilities (includes $ 152 and $ 197 , at fair value, $ 178 and $ 182 with recourse, $ 16 and $ 16 without recourse)

Other liabilities (includes $ 26 and $ 21 , at fair value)

9 unchanged sentences

Total shareholders’ equity attributable to Assured Guaranty Ltd.

Nonredeemable noncontrolling interests (Note 8)

Non-redeemable noncontrolling interest (Note 10)

Total shareholders’ equity 5,564 5,789

4 unchanged sentences

(dollars in millions except share data)

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

2025 2024 2025 2024

Three Months Ended March 31,

Net earned premiums $ 82 $ 91

1 unchanged sentence

Net realized investment gains (losses) ( 15 ) ( 16 )

Fair value gains (losses) on credit derivatives 5 3 110 19

Fair value gains (losses) on derivatives 2 104

Fair value gains (losses) on committed capital securities 6 2

Fair value gains (losses) on financial guaranty variable interest entities 3 ( 7 ) 6 ( 11 )

Gains (losses) on financial guaranty variable interest entities ( 5 ) 1

Fair value gains (losses) on consolidated investment vehicles 9 19

1 unchanged sentence

Fair value gains (losses) on trading securities 6 1

Asset management revenues 94 5

Other income (loss) 9 14

1 unchanged sentence

Loss and loss adjustment expenses (benefit) 17 40

Benefit expense for annuity reinsurance contracts 7 —

Interest expense 22 22

1 unchanged sentence

Employee compensation and benefit expenses 63 60

Asset management expenses 68 4

Other operating expenses 45 38

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Net income (loss) 85 185

Noncontrolling interests 9 5 21 12

Noncontrolling interest ( 3 ) 9

Net income (loss) attributable to Assured Guaranty Ltd.

$ 105 $ 171 $ 384 $ 358

Earnings per share:

5 unchanged sentences

(in millions)

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

2025 2024 2025 2024

Three Months Ended March 31,

Net income (loss) $ 85 $ 185

1 unchanged sentence

Investments with no credit impairment, net of tax provision (benefit) of $( 16 ) and $ 6

37 152 174 111

Investments with credit impairment, net of tax provision (benefit) of $( 11 ) and $ 5

1 unchanged sentence

Change in instrument-specific credit risk on financial guaranty variable interest entities’ liabilities with recourse, net of tax provision (benefit) — ( 1 )

Change in discount rates on future policy benefits for annuity reinsurance contracts, net of tax provision (benefit) of $ 4 and $ —

Other, net of tax provision (benefit) ( 1 ) ( 1 )

1 unchanged sentence

Comprehensive income (loss) ( 27 ) 256

Comprehensive income (loss) attributable to noncontrolling interests 9 5 21 12

Comprehensive income (loss) attributable to noncontrolling interest ( 3 ) 9

Comprehensive income (loss) attributable to Assured Guaranty Ltd.

4 unchanged sentences

(dollars in millions, except share data)

For the Three Months Ended September 30, 2025

Total 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, 2025 48,109,439 $ — $ 5,859 $ ( 227 ) $ 1 $ 5,633 $ 96 $ 5,729

Net income — — 105 — — 105 9 114

Dividends ($ 0.34 per share)

— — ( 16 ) — — ( 16 ) — ( 16 )

Deconsolidation — — — — — — ( 26 ) ( 26 )

Common shares repurchases ( 1,423,121 ) — ( 120 ) — — ( 120 ) — ( 120 )

Share-based compensation 22,246 — 8 — — 8 — 8

Other comprehensive income — — — 48 — 48 — 48

As of September 30, 2025 46,708,564 $ — $ 5,836 $ ( 179 ) $ 1 $ 5,658 $ 79 $ 5,737

For the Three Months Ended September 30, 2024

Total 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

Assured Guaranty Ltd.

Condensed Consolidated Statements of Shareholders’ Equity (Unaudited) - (Continued)

(dollars in millions, except share data)

For the Nine Months Ended September 30, 2025

For the Three Months Ended March 31, 2026

Total Shareholders’ Equity Attributable to Assured Guaranty Ltd.

2 unchanged sentences

Comprehensive Income (Loss) Deferred

Equity Compensation Total Nonredeemable Noncontrolling Interests

Equity Compensation Total Non-redeemable Noncontrolling Interest

Shareholders’ Equity

5 unchanged sentences

Share-based compensation 288,244 — ( 4 ) — — ( 4 ) — ( 4 )

Other comprehensive income — — — 206 — 206 — 206

As of September 30, 2025 46,708,564 $ — $ 5,836 $ ( 179 ) $ 1 $ 5,658 $ 79 $ 5,737

For the Nine Months Ended September 30, 2024

Distributions — — — — — — ( 97 ) ( 97 )

Deconsolidation — — — — — — ( 4 ) ( 4 )

Other comprehensive loss — — — ( 112 ) — ( 112 ) — ( 112 )

As of March 31, 2026 44,591,054 $ — $ 5,821 $ ( 280 ) $ 1 $ 5,542 $ 22 $ 5,564

For the Three Months Ended March 31, 2025

Total Shareholders’ Equity Attributable to Assured Guaranty Ltd.

2 unchanged sentences

Comprehensive Income (Loss) Deferred

Equity Compensation Total Nonredeemable Noncontrolling Interests

Equity Compensation Total Non-redeemable Noncontrolling Interest

Shareholders’ Equity

5 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

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

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 $ 190 $ 87

2 unchanged sentences

Purchases ( 286 ) ( 344 )

Sales 533 575

Maturities and paydowns 153 188

8 unchanged sentences

Sales of and return of capital from other invested assets 43 10

Assured Life Reinsurance, Ltd.

acquisition, net of cash acquired (see Note 2)

Issuance of a loan ( 40 ) —

Other — ( 4 )

5 unchanged sentences

Payments related to tax withholding for share-based compensation ( 20 ) ( 28 )

Distributions to noncontrolling interests from consolidated investment vehicles — ( 10 )

Distributions to noncontrolling interest from consolidated investment vehicles ( 97 ) —

Net cash flows provided by (used in) financing activities ( 214 ) ( 170 )

7 unchanged sentences

(in millions)

Nine Months Ended September 30,

Supplemental cash flow information

Income taxes paid (received) $ 40 $ 59

Interest paid on long-term debt 63 66

Three Months Ended March 31,

Supplemental disclosure of non-cash activities:

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

September 30, 2025 September 30, 2024

March 31, 2026 March 31, 2025

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

Cash $ 312 $ 177

Cash and cash equivalents of financial guaranty variable interest entities 21 —

Cash and cash equivalents of consolidated investment vehicles — 1

8 unchanged sentences

public finance (including infrastructure) and structured finance markets.

Assured Guaranty also participates in the asset management business.

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

If an obligor defaults on a scheduled payment, including a scheduled principal or interest payment (collectively, debt service), the Company is required under its unconditional and irrevocable financial guaranty to pay the amount of the shortfall to the holder of the obligation.

The Company markets its financial guaranty insurance directly to issuers and underwriters of public finance and structured finance securities as well as to investors in such obligations.

Assured Guaranty also participates in the annuity reinsurance and asset management businesses.

Financial Guaranty Insurance

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

If an obligor defaults on a scheduled payment, including a scheduled principal or interest payment (collectively, debt service), the Company is required under its unconditional and irrevocable financial guaranty to pay the shortfall of the scheduled amount to the holder of the obligation, but generally cannot be required by the holder to pay on an accelerated basis.

The Company markets its FG insurance directly to issuers and underwriters of public finance and structured finance securities as well as to investors in such obligations.

The Company guarantees obligations issued principally in the U.S.

1 unchanged sentence

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:

The Company’s principal FG 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;

(AG), domiciled in Maryland, and its insurance subsidiaries:

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

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

• Assured Guaranty Re Ltd.

2 unchanged sentences

(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.

These assets and liabilities had carrying values of $ 30 million (reported in “other assets”) and $ 4 million (reported in “other liabilities”), respectively, as of September 30, 2025, and were sold in the fourth quarter of 2025.

The Company is evaluating the effect on its consolidated financial statements.

Annuity Reinsurance

On January 21, 2026 (the Acquisition Date), the Company purchased all of the outstanding share capital in Warwick Company (UK) Limited (Warwick), which is the 100 % indirect owner of Assured Life Reinsurance Ltd.

(Assured Life Re), formerly known as Warwick Re Limited.

Assured Life Re is a Class E long-term (life) reinsurance company incorporated and registered in Bermuda.

Assured Life Re Acquisition.

Assured Life Re specializes in annuity reinsurance.

As of the date of acquisition, Assured Life Re had reinsured two blocks of business:

bulk purchase annuities (pension risk transfers, PRT) denominated in pound sterling and U.S.

multi-year guaranteed annuities (MYGA) denominated in U.S.

PRT annuity obligations are generally long‑term, benefit‑driven cash flows that are long-dated, inflation-linked liabilities.

MYGA typically provide for guaranteed crediting rates over a specified term and include contractual features such as surrender charges, market value adjustments and limited withdrawal provisions.

Asset Management

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 AG, including through its investment subsidiary AG Asset Strategies LLC (AGAS), would, subject to the terms and conditions 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.

AG has made substantial investments with Sound Point across a variety of their strategies in order to seek to enhance its investment returns and anticipates continuing to invest with Sound Point pursuant to the terms of the Letter Agreement.

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

Similarly, under the Letter Agreement AG agreed to reinvest all gains and dividends from Sound Point Investments through July 1, 2025, 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 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 AG.

See Note 7, Investments.

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.

AGL directly or indirectly owns several holding companies.

Two of these holding companies, Assured Guaranty US Holdings Inc.

(AGUS) and Assured Guaranty Municipal Holdings Inc.

3 unchanged sentences

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

In management’s opinion, all material adjustments necessary for a fair statement of the financial condition, results of operations and cash flows of the Company, including its consolidated variable interest entities (VIEs), are reflected in the periods presented and are of a normal, recurring nature.

In management’s opinion, all material adjustments

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

necessary for a fair statement of the financial condition, results of operations and cash flows of the Company, including its consolidated variable interest entities (VIEs), are reflected in the periods presented and are of a normal, recurring nature.

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

Actual results could differ from those estimates.

These unaudited interim condensed consolidated financial statements are as of September 30, 2025 and cover the three-month period ended September 30, 2025 (third quarter 2025), the three-month period ended September 30, 2024 (third quarter 2024), the nine-month period ended September 30, 2025 (nine months 2025) and the nine-month period ended September 30, 2024 (nine months 2024).

These unaudited interim condensed consolidated financial statements are as of March 31, 2026 and cover the three-month period ended March 31, 2026 (first quarter 2026) and the three-month period ended March 31, 2025 (first quarter 2025).

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.

1 unchanged sentence

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 consolidated investment vehicles (CIVs).

See Note 8, Variable Interest Entities.

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

Variable Interest Entities.

Intercompany accounts and transactions between and among all consolidated entities have been eliminated.

3 unchanged sentences

Securities and Exchange Commission.

Recent Accounting Standards Adopted

In September 2025, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2025-07, Derivatives and Hedging (Topic 815) and Revenue from Contracts with Customers (Topic 606):

Derivatives Scope Refinements and Scope Clarification for Share-Based Noncash Consideration from a Customer in a Revenue Contract .

This ASU refines the scope of Accounting Standards Codification (ASC) 815 to clarify which contracts are subject to derivative accounting and provides clarification under ASC 606 for share-based payments from a customer in a revenue contract.

The Company elected to early adopt this ASU as of January 1, 2025, with no effect on the Company's consolidated financial statements.

Recent Accounting Standards Not Yet Adopted

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

Improvements to Income Tax Disclosures .

The amendments require enhanced annual disclosures regarding the rate reconciliation and income taxes paid.

This ASU is effective for fiscal years beginning after December 15, 2024.

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

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

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

The amendments in this ASU require disclosure about specific expense categories, including employee compensation, depreciation and intangible asset amortization, in the notes to financial

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

statements at interim and annual reporting periods.

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

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

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

5 unchanged sentences

This ASU updates the capitalization guidance for internal-use software development costs by removing all references to software development project stages and providing new guidance requiring an entity to start capitalizing when both of the following occur:

(i) management has authorized and committed to funding the software project;

(i) management has authorized and committed to funding a software project;

and (ii) it is probable that the project will be completed and the software will be used to perform the function intended.

2 unchanged sentences

The Company is evaluating when and how it will adopt this ASU and the effect it may have on its consolidated financial statements.

In December 2025, the FASB issued ASU 2025-11, Interim Reporting (Topic 270):

Narrow-Scope Improvements .

This ASU is intended to improve the navigability of guidance in ASC 270, Interim Reporting , and clarify when it applies.

The ASU also provides additional guidance on what disclosures should be provided in interim reporting periods.

This ASU is effective for fiscal years beginning after December 15, 2027, including interim periods within those fiscal years, and permits prospective or full retrospective adoption.

Early adoption is permitted.

The Company is evaluating when and how it will adopt this ASU and the effect it may have on its consolidated financial statements and related disclosures.

Assured Life Re Acquisition

On the Acquisition Date, the Company purchased all of the outstanding share capital in Warwick, which is the 100 % indirect owner of Assured Life Re, for a purchase price of $ 158 million, subject to certain post-closing adjustments (Assured Life Re Acquisition).

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The Assured Life Re Acquisition was accounted for under the acquisition method of accounting, which requires that the assets and liabilities acquired be recorded at fair value.

The most significant of these determinations related to the valuation of its insurance liabilities.

Annuity Reinsurance.

The fair value of each block of business was measured using a discounted cash flow methodology based on assumptions that market participants would use in pricing the asset.

The discount rate reflects the risk-free rate, an explicit risk margin, an adjustment for the Company’s non‑performance risk, and with respect to the PRT block of business an illiquidity premium.

The comparison of the fair value of each of the PRT and MYGA blocks of business to their respective insurance liabilities and policyholder account balances resulted in a positive value of business acquired (VOBA) for the PRT block of business of $ 14 million, which is reported in “other assets” in the condensed consolidated balance sheets, and a negative VOBA for the MYGA block of business of $ 14 million, which is reported in “other liabilities” in the condensed consolidated balance sheets.

The estimated weighed-average useful life is 10.3 years for the PRT block of business and 2.3 years for the MYGA block of business.

The excess of the fair value of net assets acquired over the consideration transferred was recorded as a provisional bargain purchase gain in “other income” in the condensed consolidated statements of operations.

The accounting for the acquisition is not final and is pending the finalization of the valuation of the net assets acquired and the calculation of the final purchase price.

The Company believes the provisional bargain purchase gain was attributable to unique circumstances in connection with the sellers’ desire to exit Warwick.

The following table shows the net effect of the Assured Life Re Acquisition on the Acquisition Date.

Net Effect of

Assured Life Re Acquisition

(in millions)

Cash purchase price $ 158

Assets purchased:

Investments 631

Funds withheld 293

Other assets 35

Total assets 972

Liabilities assumed:

Future policy benefits for annuity reinsurance contracts (including deferred profit liability) 504

Policyholder account balances for annuity reinsurance contracts 270

Other liabilities 34

Total liabilities 808

Net assets 164

Bargain purchase gain $ 6

Revenue and net income related to Assured Life Re from the Acquisition Date through March 31, 2026 included in the condensed consolidated statement of operations were approximately $ 14 million and $ 2 million, respectively.

The Company incurred $ 7 million of transaction costs primarily consisting of legal and advisory fees related to the Assured Life Re Acquisition.

Of this amount, $ 4 million was recognized as expenses in first quarter 2026 and reported in “other operating expenses” in the condensed consolidated statements of operations.

Had the Assured Life Re Acquisition occurred on January 1, 2025, the unaudited pro forma revenue and net income would be $ 257 million and $ 81 million, respectively, for the three months ended March 31, 2026, and $ 349 million and $ 178 million, respectively, for the three months ended March 31, 2025.

The pro forma accounts include the estimated historical results of the Company and Assured Life Re and pro forma adjustments related to the differences in the accounting standards

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

and policies between the Company and Assured Life Re, as well as the bargain purchase gain and acquisition-related expenses, together with the consequential tax effects.

The unaudited pro forma combined financial information is presented for illustrative purposes only and does not indicate the financial results of the combined company had the companies actually been combined as of January 1, 2025, nor is it indicative of the results of operations in future periods.

Statutory Information and Restrictions

Assured Life Re prepares its statutory financial statements in conformity with the accounting principles set forth in Bermuda’s Insurance Act 1978, amendments thereto and related regulations.

As of December 31, 2016, the Bermuda Monetary Authority (the Authority) requires insurers to prepare statutory financial statements in accordance with the particular accounting principles adopted by the insurer (which, in the case of Assured Life Re, are GAAP), subject to certain adjustments.

The adjustments relate to certain assets designated as “non-admitted assets” which are charged directly to statutory surplus rather than reflected as assets as they are under GAAP.

Under applicable law and regulations, Assured Life Re may declare and pay dividends during 2026, without prior approval of the Authority, in an aggregate amount equal to up to 25 % of its total statutory capital and surplus as of the prior year end (or $ 41 million).

Any such dividends would also be subject to the limitations that they may not exceed Assured Life Re’s statutory surplus or its unencumbered assets.

As of March 31, 2026, Assured Life Re’s statutory surplus was zero and, accordingly, it had no dividend capacity at that date;

its unencumbered assets were $ 25 million.

In addition, Assured Life Re may make capital distributions during 2026 of up to $ 31 million in the aggregate without prior approval of the Authority.

Given Assured Life Re’s focus on capital intensive growth initiatives, it does not expect to declare or pay any dividends or to make any capital distributions during 2026.

Segment Information

The Company reports its results of operations in two segments:

Prior to first quarter 2026, the Company disclosed two reportable segments:

Insurance and Asset Management.

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

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

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

As a result of the expansion of the Company’s business into annuity reinsurance, the chief operating decision maker (CODM) began assessing the results of operations of the Company’s annuity reinsurance business separately and therefore a new operating segment, Annuity Reinsurance, was added in first quarter 2026.

In addition, the Insurance segment was renamed the Financial Guaranty segment starting in first quarter 2026.

The Company separately reports the results of its Corporate division and the effects of consolidating financial guaranty VIEs (FG VIEs) and consolidated investment vehicles (CIVs).

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

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

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

• 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.

Segment adjusted operating income (loss) is defined as “net income (loss) attributable to AGL,” adjusted for the following items:

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

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

• Elimination of changes in fair value of freestanding derivatives in the Annuity Reinsurance segment that economically hedge market movements in financial instruments and insurance liabilities (but are not in designated hedging relationships in accordance with GAAP).

• Elimination of the changes in fair value of the embedded derivative in funds withheld related to realized and unrealized gains (losses) of the underlying investment portfolio.

• Elimination of fair value gains (losses) on committed capital securities (CCS).

• Elimination of foreign exchange gains (losses) on the remeasurement of assets and liabilities such as premiums receivables and insurance liabilities that are long term in nature.

• Income tax allocated to the adjustments above.

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

The Insurance segment includes:

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

and (ii) the insurance subsidiaries’ share of earnings from 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 Financial Guaranty segment includes:

(i) premiums and losses from the FG insurance policies issued by AG that guarantee FG VIE debt;

(ii) the insurance subsidiaries’ share of earnings from all its investments in funds managed by Sound

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

Point in “equity in earnings (losses) of investees;

and (iii) investment income on the FG VIE debt owned.” 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”);

(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 Financial Guaranty segment’s “equity in earnings (losses) of investees” associated with the Company’s ownership interest in CIVs are presented in “other”);

and (iii) FG VIEs are consolidated by AG and the investment income on the FG VIE debt owned is eliminated (the reconciliation tables below present the FG VIEs and related eliminations 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 Financial Guaranty segment primarily consists of the adjusted operating income (loss) of the Company’s FG insurance subsidiaries and AG Asset Strategies LLC (AGAS).

The Annuity Reinsurance segment comprises the results of Assured Life Re and other subsidiaries acquired in the Assured Life Re Acquisition.

The Asset Management segment includes the results of the Company’s equity method ownership interest in Sound Point and other asset management-related incentive fees.

The incentive fees are performance fees earned by the consolidated general partner of a fund managed by Sound Point.

The Asset Management segment recognized revenues and expenses of this general partnership of $ 118 million and $ 68 million, respectively, in first quarter 2026, and $ 6 million and $ 4 million, respectively, in first quarter 2025.

For segment reporting, the Company includes intersegment revenues, which are eliminated in consolidation, but are included in the measure of Asset Management segment’s results.

At the end of first quarter 2026, the Company deconsolidated this general partner and the corresponding CIV after the payout of carried interest from the sale of the underlying asset in a single-asset fund.

Variable Interest Entities.

The Corporate division primarily consists of:

2 unchanged sentences

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

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.

Holding Companies, (iii) equity in earnings from certain alternative investments;

(iv) beginning in the fourth quarter of 2025, a portion of the equity in earnings of Assured Healthcare Partners LLC managed funds that were transferred from AG to AGMH as a part of a stock redemption;

and (v) gains and losses associated with certain corporate development or other strategic initiatives.

In addition, the Corporate division includes a bargain purchase gain recognized in connection with the Assured Life Re Acquisition in first quarter 2026.

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

See Note 8, Variable Interest Entities.

Variable Interest Entities.

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

Intersegment revenues include transactions between and among the segments, the Corporate division and Other category.

Segment Information

Third Quarter

Insurance Asset Management Insurance Asset Management

(in millions)

Third-party revenues $ 204 $ 6 $ 202 $ 1

Intersegment revenues 2 2 2 1

Segment revenues 206 8 204 2

Segment loss and LAE (benefit) ( 31 ) — ( 53 ) —

Segment employee compensation and benefit expenses 44 — 40 —

Segment amortization of deferred acquisition costs (DAC) 6 — 5 —

Other segment items (2) 32 4 36 2

Segment expenses 51 4 28 2

Segment equity in earnings (losses) of investees 16 — 28 4

Segment provision (benefit) for income taxes 26 1 42 —

Segment adjusted operating income (loss) $ 145 $ 3 $ 162 $ 4

Selected components of segment adjusted operating income:

Net investment income $ 94 $ — $ 82 $ —

Non-cash compensation and operating expenses (3) 15 — 18 —

Intersegment revenues include transactions between and among the segments, the Corporate division and the Other category.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Insurance (1) Asset Management Insurance Asset Management

Segment Information

First Quarter

Financial Guaranty Annuity Reinsurance Asset Management Financial Guaranty (1) Asset Management

(in millions)

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Segment revenues 182 10 118 239 6

Segment loss and LAE (benefit) ( 27 ) — ( 49 ) —

Segment loss and loss adjustment expense (LAE) (benefit) 17 — — ( 23 ) —

Segment benefit expense for annuity reinsurance contracts — 7 — — —

Segment employee compensation and benefit expenses 54 2 — 52 —

Segment amortization of DAC 16 — 14 —

Segment amortization of deferred acquisition costs 5 — — 5 —

Other segment items (2) 31 2 68 30 4

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_____________________

(1) Nine months 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 the Company 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 for the Insurance segment include professional services expenses, maintenance, depreciation expense, lease expense, investment management expenses and certain overhead expenses;

and for the Asset Management segment include expenses associated with incentive fees.

(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 the Company was awarded and its claims for attorneys’ fees, expenses and interest.

Derivatives, for additional information.

(2) Other segment items for the Financial Guaranty segment include professional services expenses, maintenance, depreciation expense, lease expense and certain overhead expenses;

for the Asset Management segment include expenses associated with incentive fees;

and for the Annuity Reinsurance segment include professional service fees and certain overhead expenses.

(3) Amounts consist of depreciation, amortization and share-based compensation expenses.

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

Reconciliation of Segment Information to Consolidated Information

Three Months Ended September 30, 2025

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 $ 206 $ 51 $ 16 $ 26 $ — $ 145

Asset Management 8 4 — 1 — 3

Total segments 214 55 16 27 — 148

Corporate division 3 38 9 ( 2 ) — ( 24 )

Other 13 ( 1 ) ( 5 ) — 9 —

Subtotal 230 92 20 25 9 124

Reconciling items:

Realized gains (losses) on investments ( 10 ) — — — — ( 10 )

Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives 1 — — — — 1

Fair value gains (losses) on CCS 8 — — — — 8

Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves ( 22 ) — — — — ( 22 )

Tax effect — — — ( 4 ) — 4

Consolidated $ 207 $ 92 $ 20 $ 21 $ 9 $ 105

Reconciliation of Segment Information to Consolidated Information

Three Months Ended September 30, 2024

Three Months Ended March 31, 2026

Equity in Earnings (Losses) of Investees Less:

Net Income (Loss) Attributable to AGL

Revenues Expenses Provision (Benefit) for Income Taxes Noncontrolling Interests

Revenues Expenses Provision (Benefit) for Income Taxes Noncontrolling Interest

(in millions)

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

Financial Guaranty $ 182 $ 107 $ 8 $ ( 19 ) $ — $ 102

Annuity Reinsurance 10 11 — ( 1 ) — —

Asset Management 118 68 6 12 — 44

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Realized gains (losses) on investments ( 15 ) — — — — ( 15 )

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

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

Fair value gains (losses) of freestanding derivatives in the Annuity Reinsurance segment ( 2 ) — — — — ( 2 )

Realized and unrealized fair value gains (losses) of the embedded derivative in funds withheld ( 2 ) — — — — ( 2 )

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

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

Foreign exchange gains (losses) on remeasurement of certain assets and liabilities ( 18 ) — — — — ( 18 )

Tax effect — — — ( 6 ) — 6

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Reconciliation of Segment Information to Consolidated Information

Nine Months Ended September 30, 2025

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 $ 644 $ 220 $ 48 $ 83 $ — $ 389

Asset Management 29 17 12 5 — 19

Total segments 673 237 60 88 — 408

Corporate division 11 117 28 ( 5 ) — ( 73 )

Other 29 ( 5 ) ( 12 ) — 21 1

Subtotal 713 349 76 83 21 336

Reconciling items:

Realized gains (losses) on investments ( 32 ) — — — — ( 32 )

Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives 61 63 — — — ( 2 )

Fair value gains (losses) on CCS 9 — — — — 9

Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves 82 — — — — 82

Tax effect — — — 9 — ( 9 )

Consolidated $ 833 $ 412 $ 76 $ 92 $ 21 $ 384

Reconciliation of Segment Information to Consolidated Information

Nine Months Ended September 30, 2024

Three Months Ended March 31, 2025

Equity in Earnings (Losses) of Investees Less:

Net Income (Loss) Attributable to AGL

Revenues Expenses Provision (Benefit) for Income Taxes Noncontrolling Interests

Revenues Expenses Provision (Benefit) for Income Taxes Noncontrolling Interest

(in millions)

Insurance $ 622 $ 183 $ 83 $ 95 $ — $ 427

Financial Guaranty $ 239 $ 64 $ 30 $ 37 $ — $ 168

Asset Management 6 4 13 3 — 12

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Realized gains (losses) on investments ( 16 ) — — — — ( 16 )

Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives 11 — — — 11

Non-credit impairment-related fair value gains (losses) on credit derivatives 61 63 — — — ( 2 )

Fair value gains (losses) on CCS 2 — — — — 2

Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves 42 — — — — 42

Foreign exchange gains (losses) on remeasurement of certain assets and liabilities 33 — — — — 33

Tax effect — — — 3 — ( 3 )

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Outstanding Exposure

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

The Company’s outstanding exposure presented in this note includes all FG contracts outstanding as of the dates presented, regardless of contractual form written (i.e., credit derivative form or traditional FG insurance) or applicable accounting model (i.e., FG insurance, credit derivatives, or FG VIE).

The presentation also includes specialty business with risk characteristics similar to those of the Company’s structured finance exposures written in FG form.

The Company sells credit protection primarily in FG insurance form.

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.

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 FG insurance contracts.

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

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

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

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sovereign and sub-sovereign issuers and governmental authorities.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Structured finance obligations insured by the Company are generally issued by special purpose entities, including VIEs, and backed by pools of assets having an ascertainable cash flow or market value or other specialized financial obligations.

Some of these VIEs are consolidated as described in Note 8, Variable Interest Entities.

Some of these VIEs are consolidated as described in Note 10.

Variable Interest Entities.

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

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Surveillance Categories

The Company segregates its insured portfolio into investment grade and BIG surveillance categories to facilitate the appropriate allocation of resources to monitoring and loss mitigation efforts and to aid in establishing the appropriate cycle for periodic review of each exposure.

The Company segregates its FG insured portfolio into investment grade and BIG surveillance categories to facilitate the appropriate allocation of resources to monitoring and loss mitigation efforts and to aid in establishing the appropriate cycle for periodic review of each exposure.

BIG exposures include all exposures with internal credit ratings below BBB-.

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

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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.

As discussed in Note 5.

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 GAAP.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Financial Guaranty Exposure

The Company measures its financial guaranty exposure in terms of (i) gross and net par outstanding and (ii) gross and net debt service.

The Company measures its FG exposure in terms of (i) gross and net par outstanding and (ii) gross and net debt service.

The Company typically guarantees the payment of debt service when due.

Since most of these payments are due in the future, the Company generally uses gross and net par outstanding as a proxy for its financial guaranty exposure.

Since most of these payments are due in the future, the Company generally uses gross and net par outstanding as a proxy for its FG exposure.

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

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

As of September 30, 2025 and December 31, 2024, the Company excluded net par outstanding of $ 801 million and $ 1.2 billion attributable to Loss Mitigation Securities.

As of both March 31, 2026 and December 31, 2025, the Company excluded net par outstanding of $ 0.8 billion, attributable to Loss Mitigation Securities.

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

3 unchanged sentences

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

reflects the Company’s expectations as to whether the obligations may be called and, in the case of obligations where principal payments are due when an underlying asset makes a principal payment, when the Company expects principal payments to be made prior to contractual maturity.

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

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

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

Actual debt service may differ from estimated debt service due to refundings, terminations, negotiated restructurings, prepayments, changes in interest rates on variable rate insured obligations, consumer price index behavior differing from that projected, changes in foreign exchange rates on non-U.S.

Actual debt service may differ from estimated debt service due to refundings, terminations, negotiated restructurings, prepayments, changes in interest rates on floating and variable rate insured obligations, consumer price indices differing from projections, changes in foreign exchange rates on non-U.S.

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, 2025 As of December 31, 2024

As of March 31, 2026 As of December 31, 2025

Gross Net Gross Net

(in millions)

(in billions)

Public finance $ 428.0 $ 427.9 $ 428.5 $ 428.4

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Total financial guaranty $ 279.2 $ 278.6 $ 277.6 $ 277.1

In addition to amounts shown in the table above, the Company had outstanding commitments to provide financial guaranties of $ 1.6 billion of public finance gross par and $ 2.2 billion of structured finance gross par as of September 30, 2025.

These commitments are contingent on the satisfaction of all conditions set forth in the financial 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.

The Company and Financial Guaranty Insurance Company (FGIC) had been parties to a novation agreement, dated as of February 8, 2024 (Novation Agreement) pursuant to which certain FGIC policies insuring approximately $ 353 million of public finance (including infrastructure) gross par and approximately $ 50 million of structured finance gross par as of December 31, 2023 could in the future have been novated to the Company in accordance with the terms and conditions of the Novation Agreement.

The Novation Agreement was entered into in connection with a potential transaction that would accelerate the run-off of FGIC’s insured portfolio (Proposed Transaction), and the Proposed Transaction and novations contemplated by the Novation Agreement, had been subject in all respects to review and approval by New York State Department of Financial Services (NYDFS).

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.

The Novation Agreement provided that either the Company or FGIC could terminate such agreement in accordance with its terms in the event the Proposed Transaction did not occur on or prior to September 30, 2025.

As the Proposed Transaction did not occur by such date, the Company terminated the Novation Agreement effective October 6, 2025.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Financial Guaranty Portfolio by Internal Rating

As of September 30, 2025

As of March 31, 2026

Public Finance

8 unchanged sentences

Outstanding %

(dollars in millions)

(dollars in billions)

AAA $ — — % $ 1.8 3.6 % $ 0.5 5.3 % $ 0.4 10.1 % $ 2.7 1.0 %

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Outstanding %

(dollars in millions)

(dollars in billions)

AAA $ — — % $ 1.8 3.5 % $ 0.5 5.8 % $ 0.5 12.6 % $ 2.8 1.0 %

4 unchanged sentences

Total net par outstanding $ 215.0 100.0 % $ 50.6 100.0 % $ 7.9 100.0 % $ 3.6 100.0 % $ 277.1 100.0 %

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Financial Guaranty Portfolio

Components of BIG Net Par Outstanding

As of September 30, 2025

BIG Net Par Outstanding Net Par

BIG 1 BIG 2 BIG 3 Total BIG Outstanding

(in millions)

As of March 31, 2026

BIG Net Par Outstanding

BIG 1 BIG 2 BIG 3 Total BIG

(in billions)

Public finance:

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Total $ 3.63 $ 3.83 $ 1.18 $ 8.64

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Financial Guaranty Portfolio

1 unchanged sentence

As of December 31, 2025

BIG Net Par Outstanding Net Par

BIG 1 BIG 2 BIG 3 Total BIG Outstanding

(in millions)

BIG Net Par Outstanding

BIG 1 BIG 2 BIG 3 Total BIG

(in billions)

Public finance:

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BIG Net Par Outstanding and Number of Risks

As of September 30, 2025

As of March 31, 2026

Net Par Outstanding Number of Risks (2)

4 unchanged sentences

Derivatives Total

(dollars in millions)

(dollars in billions)

BIG 1 $ 3.60 $ 0.03 $ 3.63 86 3 89

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Total BIG $ 8.61 $ 0.03 $ 8.64 192 7 199

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Financial Guaranty Portfolio

7 unchanged sentences

Derivatives Total

(dollars in millions)

(dollars in billions)

BIG 1 $ 3.71 $ 0.03 $ 3.74 87 3 90

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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.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Specialty Business

The Company also guarantees specialty business with risk profiles similar to those of its structured finance exposures written in financial guaranty form.

The Company also guarantees specialty business with risk characteristics similar to those of the Company’s structured finance exposures written in financial guaranty form.

Specialty Business

As of September 30, 2025 As of December 31, 2024

As of March 31, 2026 As of December 31, 2025

Gross Exposure Net Exposure Gross Exposure Net Exposure

(in millions)

(in billions)

Diversified real estate (1) $ 2.0 $ 2.0 $ 2.0 $ 2.0

1 unchanged sentence

Pooled corporate obligations 0.7 0.7 0.9 0.9

Aircraft residual value insurance 147 87 147 87

Aircraft residual value insurance (RVI) 0.2 0.1 0.2 0.1

____________________

(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.

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

This guaranty is accounted for in accordance with ASC 460, Guarantees.

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 September 30, 2025 and December 31, 2024.

In addition to the amounts shown in the table above, as of September 30, 2025, the Company had $ 60 million of outstanding aggregate gross aircraft residual value insurance commitments.

(2) Insurance reserve financings and securitizations exposure is projected to reach $ 1.6 billion gross and $ 1.3 billion net in 2027.

All of the exposure in the table above was rated investment grade except for $ 5 million of gross and net exposure of RVI that was rated BIG as of December 31, 2025.

In addition to the exposure disclosed above, the Company had outstanding commitments to provide financial guaranties of $ 1.4 billion of public finance gross par and $ 3.5 billion of structured finance gross par as of March 31, 2026.

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 .

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

Expected Loss to be Paid (Recovered)

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

The exposure reported in Note 4.

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

The three primary models are:

(i) FG insurance, as described in Note 6.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Accounted for as Financial Guaranty Insurance;

(ii) credit derivatives, as described in Note 8.

Derivatives, and Note 11.

Fair Value Measurement;

and (iii) FG VIE consolidation, as described in Note 10.

Variable Interest Entities.

The Company has paid claims 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.

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:

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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.

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

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

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

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

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

Investments, and Note 11.

Fair Value Measurement.

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

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

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

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

The three primary models are:

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

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

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

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

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

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

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

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

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

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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.

changing demographics;

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;

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 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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

issuer’s ability and willingness to pay, such as changes in the economy and population of the relevant area;

changes in the issuer’s ability or willingness to raise taxes, decrease spending or receive federal assistance;

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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 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, timing and severity of loan defaults experienced, changes in housing prices, discount rates, prepayments and the results of the Company’s loss mitigation activities.

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

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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.

Depending upon the characteristics of the risk, the

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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.

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 or use loss estimates provided by ceding insurers.

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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, 2025 December 31, 2024 2025 2024 2025 2024

As of First Quarter

Accounting Model March 31, 2026 December 31, 2025 2026 2025

(in millions)

Insurance (see Note 5)

FG insurance (see Note 6)

$ 129 $ 88 $ 44 $ 48

FG VIEs (see Note 10)

12 16 ( 4 ) ( 1 ) ( 5 ) —

Credit derivatives (see Note 8)

$ 141 $ 101 $ 44 $ ( 15 )

$ 104 $ 106 $ ( 38 ) $ ( 34 ) $ ( 17 ) $ ( 20 )

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.

FG insurance, credit derivative or FG VIE.

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

currencies that ranged from 1.92 % to 5.70 % with a weighted average of 4.02 % as of September 30, 2025 and 1.98 % to 5.22 % with a weighted average of 4.38 % as of December 31, 2024.

currencies that ranged from 1.93 % to 5.68 % with a weighted average of 4.16 % as of March 31, 2026 and 1.93 % to 5.35 % with a weighted average of 3.92 % as of December 31, 2025.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Net Expected Loss to be Paid (Recovered)

Third Quarter Nine Months

2025 2024 2025 2024

First Quarter

(in millions)

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____________________

(1) Nine months 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

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

Derivatives, for additional information.

Net Expected Loss to be Paid (Recovered)

Roll Forward by Sector

Third Quarter 2025

Sector Net Expected Loss to be Paid (Recovered) as of June 30, 2025 Net Economic Loss

Development (Benefit) Net (Paid)

Net Expected Loss to be Paid (Recovered) as of September 30, 2025

(in millions)

Public finance:

public finance $ 53 $ ( 2 ) $ ( 81 ) $ ( 30 )

public finance 139 ( 6 ) — 133

Public finance 192 ( 8 ) ( 81 ) 103

Structured finance:

RMBS ( 35 ) ( 31 ) 7 ( 59 )

Other structured finance (2) 29 1 30 60

Structured finance ( 6 ) ( 30 ) 37 1

Total $ 186 $ ( 38 ) $ ( 44 ) $ 104

Third Quarter 2024

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

Development (Benefit) Net (Paid)

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

(in millions)

Public finance:

public finance $ 374 $ ( 23 ) $ ( 113 ) $ 238

public finance 37 46 ( 2 ) 81

Public finance 411 23 ( 115 ) 319

Structured finance:

RMBS — ( 56 ) 10 ( 46 )

Other structured finance 36 ( 1 ) ( 2 ) 33

Structured finance 36 ( 57 ) 8 ( 13 )

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

Nine Months 2025

First Quarter 2026

Sector Net Expected Loss to be Paid (Recovered) as of December 31, 2025 Net Economic Loss

Development (Benefit) Net (Paid)

Net Expected Loss to be Paid (Recovered) as of September 30, 2025

Net Expected Loss to be Paid (Recovered) as of March 31, 2026

(in millions)

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Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Nine Months 2024

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)

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

(2) Nine months 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.

Includes cash proceeds for recoveries related to claims previously paid.

The tables above include (i) net LAE paid (recovered) of $ 5 million, $ 5 million, $( 51 ) million and $ 25 million for third quarter 2025, third quarter 2024, nine months 2025 and nine months 2024, respectively, and (ii) net expected LAE to be paid of $ 4 million as of September 30, 2025 and $ 11 million as of December 31, 2024.

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

Derivatives, for additional information.

Includes cash proceeds for recoveries related to amounts previously paid.

The tables above include (i) net LAE paid (recovered) of $ 2 million and $( 61 ) million for first quarter 2026 and first quarter 2025, respectively, and (ii) net expected LAE to be paid of $ 13 million and $ 8 million as of March 31, 2026 and December 31, 2025, respectively.

Public Finance

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regulated utility exposures, as well as Puerto Rico Electric Power Authority (PREPA).

The total net expected loss to be paid for public finance exposures is net of expected recoveries of $ 310 million and $ 265 million as of September 30, 2025 and December 31, 2024, respectively, for certain claims and LAE that have already been paid.

In third quarter 2025, the economic benefit for public finance transactions was primarily attributable to certain healthcare exposures.

In nine months 2025, the economic loss development for public finance transactions was primarily attributable to higher expected losses for certain U.K.

regulated utility exposures, PREPA and certain healthcare exposures.

Regulated Utility and European Renewable Energy

As of September 30, 2025, the Company insures net par of £ 3.8 billion (or $ 5.2 billion) of BIG U.K.

regulated utility and € 792 million (or $ 930 million) of BIG European renewable energy transactions that are experiencing operational strain.

As of September 30, 2025, the Company had £ 1.7 billion (or $ 2.3 billion) of net par outstanding of Thames Water Utilities Finance PLC (Thames), a BIG U.K.

The total net expected loss to be paid for public finance exposures is net of expected recoveries of $ 309 million and $ 311 million as of March 31, 2026 and December 31, 2025, respectively, for certain claims and LAE that have already been paid.

In first quarter 2026, the economic loss development for public finance transactions was primarily attributable to Brightline Trains Florida LLC (Brightline) and PREPA.

As of March 31, 2026, the Company had £ 1.8 billion (or $ 2.4 billion) of net par outstanding of Thames Water Utilities Finance PLC (Thames), a BIG rated U.K.

regulated utility.

All of the Company’s insured exposure to Thames is to senior Class A debt at the regulated operating company level and not holding company debt or subordinated debt.

The Company, as part of the Thames senior Class A creditor group, continues to engage the Water Services Regulation Authority (the governmental body responsible for the economic regulation of the privatized water and sewage industry in England and Wales, or Ofwat), His Majesty’s Treasury and other members of the U.K.

Government in restructuring negotiations, and is taking other actions to work out this insured credit.

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The Company is actively working to mitigate losses and reduce risk.

Following sustained controversy about the failures in the wider water sector, the U.K.

Government formed an independent commission to conduct a wide ranging review (known as the Cunliffe review) in recognition of the need for fundamental reform.

The final report, published in 2025, is the most comprehensive review since the industry’s privatization and covers a wide range of topics, including regulatory reform, company governance, long term investment, the legislative framework and overall strategy and planning in the water system.

Key amongst the many recommendations in this final report

Although uncertainty remains, the Thames creditors and Ofwat are engaged in discussions regarding a comprehensive settlement to restructure and recapitalize Thames.

European Renewable Energy and U.K.

Student Accommodation Transactions

As of March 31, 2026, the Company had insured net par of € 758 million (or $ 876 million) related to BIG European renewable energy transactions that are experiencing operational strain, and £ 292 million (or $ 386 million) in BIG U.K.

student accommodation transactions that are experiencing weak occupancy rates and financial strain.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

was the overhaul of the regulatory system and the consolidation of the U.K.

water utility regulators into a single regulator.

Some of the recommendations, if implemented, are expected to improve the financial condition of the Company’s insured obligations.

Government indicated that it is reviewing the report and will publish a white paper in late 2025 with its full response.

The Company has guaranteed project financings involving certain National Health Service (NHS) Trusts.

As of March 31, 2026, the Company had £ 417 million (or $ 552 million) of BIG net par outstanding with expected losses related to NHS Trusts.

Proceeds from the financings funded new and refurbished hospital buildings and facilities in the service area of the particular NHS Trust.

Certain of the bond issuers are involved in negotiations (including in some cases triggered by contract disputes) with the relevant NHS Trusts regarding various matters including the condition of the hospital facilities and service standards.

The Company takes into account the nature and severity of any disputes in its internal ratings.

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

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

hospitals with large Medicaid and Medicare payor mixes have not seen reimbursement levels keep pace with rising costs and may be further impacted by recent cuts to Medicaid funding that will go into effect in 2026 and 2027.

hospitals with large Medicaid and Medicare payor mixes have not seen reimbursement levels keep pace with rising costs and may be further impacted by cuts to Medicaid funding that will go into effect in 2026 and 2027.

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, or are in dispute as to who should fund, necessary capital expenditures and improvements to facilities.

Transportation

As of March 31, 2026, the Company had insured net par of $ 1.1 billion related to Brightline, supporting the development and operation of a private high speed passenger rail system connecting Miami, Orlando and population centers in between.

The Company insures a portion of the senior revenue bonds issued by Brightline, whose credit performance is dependent on ridership growth, fare revenues and available liquidity.

Brightline’s revenues and ridership, while growing, have lagged the initial projections.

The Company’s exposure benefits from a perpetual senior lien on the assets of Brightline.

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 September 30, 2025 were $ 553 million and $ 645 million, respectively, compared with net par and net debt service outstanding as of December 31, 2024 of $ 637 million and $ 756 million, respectively.

The Company’s Puerto Rico net par and net debt service outstanding as of March 31, 2026 were $ 553 million and $ 632 million, respectively, compared with net par and net debt service outstanding as of December 31, 2025 of $ 553 million and $ 643 million, respectively.

Defaulting Puerto Rico Exposure

As of September 30, 2025, the Company’s only unresolved outstanding insured Puerto Rico exposure subject to a payment default was PREPA.

As of September 30, 2025, the Company’s PREPA net par and debt service outstanding were $ 464 million and $ 539 million, respectively.

As of March 31, 2026, the Company’s only unresolved outstanding insured Puerto Rico exposure subject to a payment default was PREPA.

As of March 31, 2026, the Company’s PREPA net par and debt service outstanding were $ 464 million and $ 528 million, respectively.

As of December 31, 2025, the Company’s PREPA net par and debt service outstanding were $ 464 million and $ 537 million, respectively.

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

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

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

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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 two related recently active proceedings and a number of proceedings that remain stayed pending the U.S.

District Court for the District of Puerto Rico’s (Federal District Court of Puerto Rico) determination on a plan of adjustment and disclosure statement, as described below.

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

The remaining proceedings relate to PREPA’s default, including several recently active proceedings and a number of proceedings that remain stayed by the U.S.

District Court for the District of Puerto Rico (Federal District Court of Puerto Rico), pending ultimate determination on a plan of adjustment and disclosure statement to be subsequently submitted, as described below.

PREPA – Recently Active Proceedings

Lien Challenge Adversary Proceeding and Appeal.

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.

PREPA Litigation Stay and Motion for Relief from the Litigation Stay .

In July 2024, the Federal District Court of Puerto Rico entered a global stay of all PREPA-related litigation in the District Court.

In February 2025, the Company and

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

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

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

On November 30, 2023, the Company filed a notice of appeal with the U.S.

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

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

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

In both instances, the First Circuit upheld its determination, with the most recent decision published on December 31, 2024.

certain other PREPA bondholders moved for relief from that litigation stay.

In March 2025, the Federal District Court of Puerto Rico granted relief from the litigation stay to permit discrete PREPA-related litigation to go forward.

Bondholders’ Administrative Expense Claim .

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, including determining whether the bondholders’ perfected lien described above includes collateral used for PREPA’s administrative expenses, prior to a further 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 the Company, 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.

At an Omnibus Hearing held on October 22, 2025, the Federal District Court of Puerto Rico instructed the parties to submit a joint discovery schedule and status report for the administrative expense claim by November 24, 2025.

The Federal District Court of Puerto Rico permitted bondholders to file a motion asserting that they are entitled to compensation in the form of an administrative expense priority claim for PREPA’s consumption of net revenues during the pendency of the Title III case.

The bondholders filed their administrative expense motion in April 2025.

If the bondholders ultimately succeed in establishing an entitlement to an administrative expense priority claim, PREPA would be required under the U.S.

Bankruptcy Code to pay such claim in full in cash prior to exiting bankruptcy.

On March 16, 2026, the Federal District Court of Puerto Rico denied the bondholders’ administrative expense claim motion purely on legal grounds.

The bondholders appealed the decision, and such appeals are currently pending before the First Circuit, with briefing to occur over the next few months.

Reinstated Accounting Counterclaim.

On March 30, 2026, the Company and certain other bondholders sought relief from the Federal District Court of Puerto Rico’s litigation stay with respect to their counterclaim for an equitable accounting cause of action to recover net revenues that had been wrongfully diverted from debt service since the beginning of the Title III case.

On April 13, 2026, the Federal District Court of Puerto Rico issued an order indicating it was inclined to lift the litigation stay to permit the bondholders to pursue such counterclaim.

At the request of the Federal District Court of Puerto Rico, the parties submitted a report and discovery plan on April 18, 2026, which included competing proposals and schedules for litigating the counterclaim, including the scope and timing of relevant discovery.

Composition of the Financial Oversight and Management Board for Puerto Rico

In August 2025, the FOMB announced that the U.S.

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administration for reinstatement, alleging that they had been unlawfully terminated without cause and that their offices are a form of property protected by due process.

On October 3, 2025, the Federal District Court of Puerto Rico granted the plaintiffs’ request for a preliminary injunction.

Mediation and PREPA Litigation Stay

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, subsequently extending mediation and the litigation stay several times.

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 Federal District Court of Puerto Rico most recently extended the term of mediation through April 30, 2026.

On October 3, 2025, the Federal District Court of Puerto Rico granted the plaintiffs’ request for a preliminary injunction and enjoined the terminations.

On December 2, 2025, the U.S.

administration filed a notice of appeal of the preliminary injunction to the First Circuit.

Subsequently, the U.S.

administration requested a stay of the litigation pending the U.S.

Supreme Court’s decision in Trump v.

Cook, a case involving related questions of the powers of the U.S.

President to terminate a member of the Federal Reserve Board of Governors;

the requested stay was unopposed and granted on December 30, 2025.

Oral arguments in the Trump v.

Cook case were heard on January 21, 2026, with a decision expected to follow by the end of the U.S.

Supreme Court’s current term in late June or early July 2026.

After the Commonwealth purported to unilaterally terminate a 2019 restructuring support agreement for PREPA’s bonds in March 2022, the Federal District Court of Puerto Rico ordered the parties into mediation and appointed the Honorable Shelley C.

Chapman as lead mediator.

After the First Circuit issued its decision in the lien and estimation appeal, the Federal District Court of Puerto Rico ordered the FOMB and bondholders to resume mediation, subsequently extending mediation several times.

The Federal District Court of Puerto Rico most recently extended the mediation through October 31, 2026.

Plan of Adjustment, Disclosure Statement and Related Stayed Proceedings

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 (Fourth FOMB PREPA Plan).

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

The confirmation hearing for the Fourth 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 Fourth FOMB PREPA Plan under advisement.

As directed by the Federal District Court of Puerto Rico, the FOMB filed on March 28, 2025 its Fifth Amended Title III Plan of Adjustment and related Disclosure Statement for informational purposes of the parties.

The Plan of Adjustment remains before the Federal District Court of Puerto Rico with no schedule for any confirmation proceedings in anticipation that a revised Plan will be submitted.

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 ultimate determination on a plan of adjustment and disclosure statement:

• The Company’s 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 unsecured lenders of PREPA against the Company, among other parties, including various PREPA bondholders and bond insurers, seeking, among other things, declarations that the unsecured lines of credit qualify as “Current Expenses” under the trust agreement, there is no valid lien securing the PREPA

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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 a plan of adjustment and disclosure statement:

• The Company’s 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.

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

• Adversary complaint by certain fuel line lenders of PREPA against the Company, 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.

• The Company’s 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.

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 restructuring support agreement executed in May 2019 null and void.

• Adversary complaint filed in 2023 by the official committee of unsecured creditors, PREPA’s employee union, PREPA’s retirement system, and certain other unsecured creditors, against the FOMB, PREPA, Puerto Rico Fiscal Agency and Financial Advisory Authority, and the PREPA bond trustee.

The 2023 complaint seeks, among other things, declarations that plaintiffs’ claims are “Current Expenses” under the trust agreement, and an order subordinating the PREPA bondholders’ lien and claim to the plaintiffs’ claims.

Non-Defaulting Puerto Rico Exposure

As of September 30, 2025 and December 31, 2024, the Company had $ 76 million and $ 92 million, respectively, of remaining non-defaulting Puerto Rico net par outstanding related primarily to the Puerto Rico Municipal Finance Agency (MFA).

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

As of both March 31, 2026 and December 31, 2025, the Company had $ 76 million, of remaining non-defaulting Puerto Rico net par outstanding related primarily to the Puerto Rico Municipal Finance Agency (MFA).

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

RMBS Loss Projections

The Company projects losses on its insured U.S.

RMBS on a transaction-by-transaction basis by projecting the performance of the underlying pool of mortgages over time and then applying the structural features (e.g., payment priorities and tranching) of the RMBS and any expected representation and warranty recoveries/payables to the projected performance of the collateral over time.

The Company projects losses (and recoveries) on its insured U.S.

RMBS on a transaction-by-transaction basis by projecting the future cash flow of the underlying collateral pool of mortgages over time.

The Company then uses individual models for each transaction to project the Company’s future claims and claim reimbursements based upon these collateral cashflow projections, the payment priorities among the transaction liabilities, and assumptions about future market conditions.

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.

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.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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.

During third quarter 2025, 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 60 %, up from 50 %, which resulted in a benefit in economic development of $ 26 million.

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

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.

Each period the Company reviews the assumptions it uses to make RMBS loss and recovery projections based upon the performance of its insured transactions as well as the residential property market, interest rate environment 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.

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

The loss and recovery projections for insured RMBS are affected by a variety of assumptions including:

(i) the rate at which borrowers from a particular delinquency category (number of monthly payments behind) eventually default (which is referred to as the “liquidation rate”), (ii) projections of how many of the currently performing loans will default and when they will default, (iii) loss severity, which 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, and (iv) recovery assumptions to reflect observed trends in recoveries of principal balances of modified loans that had been previously written off.

In recent years, the two primary drivers of changes in expected loss have been the projected and actual recoveries on previously written off or deferred loan balances, and changes in discount rates.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

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

March 31, December 31, First Quarter

2026 2025 2026 2025

(in millions)

(dollars in millions)

First lien U.S.

2 unchanged sentences

RMBS ( 140 ) ( 144 ) ( 2 ) ( 5 )

RMBS economic loss development (benefit) $ ( 31 ) $ ( 56 ) $ ( 40 ) $ ( 69 )

RMBS $ ( 48 ) $ ( 54 ) $ ( 2 ) $ ( 3 )

Impact of changes in discount rates $ — $ 1

Range of discount rates 3.63 % - 5.06 % 3.45 % - 4.97 %

Weighted average discount rate 4.00 % 3.84 %

First lien U.S.

RMBS weighted average future recovery for deferred principal balances 50.0 % 50.0 %

Second lien U.S.

RMBS weighted average future recoveries on charged-off loans 60.0 % 60.0 %

First Lien U.S.

RMBS Loss Projections:

Alt-A, Prime, Option ARM and Subprime

The majority of projected losses in first lien U.S.

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).

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

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

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Key Assumptions in Base Scenario Expected Loss Estimates

First Lien U.S.

As of September 30, 2025 As of December 31, 2024

Range Weighted Average Range Weighted Average

Plateau CDR 0.0 % - 9.2 % 3.2 % 0.0 % - 8.8 % 3.4 %

Final CDR 0.0 % - 0.5 % 0.2 % 0.0 % - 0.4 % 0.2 %

Initial loss severity 40.0 % - 50.0 % 43.0 % 40.0 % - 50.0 % 43.1 %

Future recovery for deferred principal balances 50 % 50 %

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.

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 $ 33 million for all first lien U.S.

The majority of projected insured losses in first lien U.S.

RMBS transactions stem from future insurance claim payments related to structures that are currently undercollateralized (outstanding insured bonds that did not have their principal balance reduced by collateral losses, but will experience a shortfall at the transaction’s final maturity).

Most of any future collateral losses 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).

Collateral losses are projected to be partially offset by recoveries on deferred principal balances (where information about the amount of deferred balances is disclosed by the trustee of the transaction).

The Company establishes its scenarios by assuming various levels of recoveries on known deferred balances and increasing and decreasing the periods and levels of stress on the remaining collateral.

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 conditional default rates (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.

RMBS transactions.

1 unchanged sentence

RMBS transactions.

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

Due to the current level of SOFR, there are few transactions with substantial excess spread.

If projected future interest rates were to fall below the weighted average coupon of the underlying mortgages, excess spread projections may increase.

Second Lien U.S.

2 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).

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).

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

Key Assumptions in Base Scenario Expected Loss Estimates

As of September 30, 2025 As of December 31, 2024

Range Weighted Average Range Weighted Average

Plateau CDR 0.1 % – 10.7 % 2.2 % 0.0 % – 5.6 % 2.2 %

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

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

Loss severity on future defaults 98 % 98 %

Projected future recoveries on previously charged-off loans 60 % 50 %

____________________

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

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

RMBS claims and reimbursements are the amount and timing of future recoveries from previously charged-off loans and changes in discount rates.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

In the Company’s most stressful scenario, assuming 40 % 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 $ 49 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 $ 49 million for HELOC transactions.

In the Company’s most stressful scenario, assuming 40 % recoveries on charged-off loans would decrease the expected recovery by approximately $ 46 million for HELOC transactions.

On the other hand, in the Company’s least stressful scenario, assuming 80 % recoveries on charged-off loans would increase the expected recovery by approximately $ 47 million for HELOC transactions.

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

The Company assumes 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.

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

Recovery Litigation and Dispute Resolution

In the ordinary course of their respective businesses, certain of AGL’s subsidiaries are involved in litigation or other dispute resolution with third parties to recover insurance losses paid or return benefits received in prior periods or prevent or reduce losses in the future.

In the ordinary course of their respective businesses, certain of the Company’s subsidiaries are involved in litigation or other dispute resolution with third parties to recover insurance losses paid or return benefits received in prior periods or prevent or reduce losses in the future.

For example, the Company has asserted claims in a number of legal proceedings in connection with its exposure to Puerto Rico.

1 unchanged sentence

The impact, if any, of these and other proceedings on the amount of recoveries the Company ultimately 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 financial statements.

Contracts Accounted for as Insurance

The portfolio of outstanding exposures discussed in Note 3, Outstanding Exposure, and Note 4, Expected Loss to be Paid (Recovered), includes contracts that are accounted for as insurance contracts, derivatives and consolidated FG VIEs.

Amounts presented in this note relate only to contracts accounted for as insurance, unless otherwise specified.

See Note 6, Contracts Accounted for as Credit Derivatives, for amounts related to CDS and Note 8, Variable Interest Entities, for amounts related to consolidated FG VIEs.

Contracts Accounted for as Financial Guaranty Insurance

The portfolio of outstanding exposures discussed in Note 4.

Outstanding Exposure, and Note 5.

Expected Loss to be Paid (Recovered), includes contracts that are accounted for as FG insurance contracts, credit derivatives and consolidated FG VIEs.

Amounts presented in this note relate only to contracts accounted for as FG insurance, unless otherwise specified.

Derivatives, for amounts related to CDS, and Note 10.

Variable Interest Entities, for amounts related to consolidated FG VIEs.

Net Earned Premiums

Third Quarter Nine Months

2025 2024 2025 2024

First Quarter

(in millions)

Financial guaranty insurance:

FG insurance:

Scheduled net earned premiums $ 76 $ 76

Accelerations from refundings and terminations 5 14 14 56

Accelerations from refundings, terminations and modifications (1) ( 6 ) 5

Accretion of discount on net premiums receivable 10 9

Financial guaranty insurance net earned premiums 92 95 270 295

FG insurance net earned premiums 80 90

Specialty net earned premiums 2 1

Net earned premiums $ 82 $ 91

____________________

(1) Negative net earned premiums for first quarter 2026 resulted from significant modifications to FG insurance contracts.

Assured Guaranty Ltd.

2 unchanged sentences

Net of Commissions Payable on Assumed Business and Allowance for Credit Losses

First Quarter

(in millions)

1 unchanged sentence

Specialty insurance premium receivable 2 1

Financial guaranty insurance premiums receivable 1,550 1,467

FG insurance premiums receivable 1,570 1,550

New business and supplemental premiums, net of commissions 72 39

3 unchanged sentences

Foreign exchange gain (loss) on remeasurement ( 25 ) 33

Change in allowance for credit losses ( 1 ) —

Financial guaranty insurance premium receivable 1,582 1,512

FG insurance premium receivable 1,541 1,567

Specialty insurance premium receivable 2 1

September 30, $ 1,583 $ 1,513

Approximately 68 % and 69 % of gross premiums receivable, net of commissions payable, as of September 30, 2025 and December 31, 2024, respectively, are denominated in currencies other than the U.S.

March 31, $ 1,543 $ 1,568

Approximately 67 % and 68 % of gross premiums receivable, net of commissions payable, as of March 31, 2026 and December 31, 2025, respectively, are denominated in currencies other than the U.S.

dollar, primarily the pound sterling and euro.

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

Financial Guaranty Insurance

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Expected Future Premium Collections and Earnings

As of September 30, 2025

As of March 31, 2026

Future Net Premiums to be Earned (2)

3 unchanged sentences

(in millions)

2026 (April 1 - June 30) $ 82 $ 81 $ 10 $ 91

2026 (July 1 - September 30) 52 79 10 89

2026 (October 1 - December 31) 31 77 10 87

Subtotal 2026 165 237 30 267

2027 139 289 37 326

12 unchanged sentences

(2) Net of reinsurance.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

September 30, 2025 December 31, 2024

Selected Information for FG Insurance Policies with Premiums Paid in Installments

March 31, 2026 December 31, 2025

(dollars in millions)

3 unchanged sentences

Weighted-average period of premiums receivable (in years) 11.7 11.7

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 1.92 % to 5.70 % with a weighted average of 4.03 % as of September 30, 2025 and 1.98 % to 5.22 % with a weighted average of 4.38 % as of December 31, 2024.

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

FG Insurance Contracts’ Losses Reported in the Condensed Consolidated Financial Statements

Loss and LAE reserve and salvage and subrogation recoverable are discounted at risk-free rates for FG insurance obligations that ranged from 1.93 % to 5.68 % with a weighted average of 4.17 % as of March 31, 2026 and 1.93 % to 5.35 % with a weighted average of 3.93 % as of December 31, 2025.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

Net Reserve (Salvage) by Sector

Sector September 30, 2025 December 31, 2024

Sector March 31, 2026 December 31, 2025

(in millions)

8 unchanged sentences

Total $ ( 124 ) $ ( 139 )

The table below provides a reconciliation of net expected loss to be paid (recovered) for financial guaranty insurance contracts to net expected loss to be expensed.

Expected loss to be paid (recovered) for financial guaranty insurance contracts differs from expected loss to be expensed due to:

The table below provides a reconciliation of net expected loss to be paid (recovered) for FG insurance contracts to net expected loss to be expensed.

Expected loss to be paid (recovered) for FG insurance contracts differs from expected loss to be expensed due to:

(i) the contra-paid, which represents the claim payments made and recoveries received that have not yet been recognized in the statements of operations;

2 unchanged sentences

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

Financial Guaranty Insurance Contracts

As of September 30, 2025

FG Insurance Contracts

As of March 31, 2026

(in millions)

Net expected loss to be paid (recovered) - financial guaranty insurance $ 91

Net expected loss to be paid (recovered) - FG insurance $ 129

Contra-paid, net 22

Salvage and subrogation recoverable, net 433

Loss and LAE reserve - financial guaranty insurance contracts, net of reinsurance ( 306 )

Loss and LAE reserve - FG insurance contracts, net of reinsurance ( 309 )

Net expected loss to be expensed (present value) $ 275

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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.

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, changes in foreign exchange rates and updates to loss estimates.

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Net Expected Loss to be Expensed

Financial Guaranty Insurance Contracts

As of September 30, 2025

FG Insurance Contracts

As of March 31, 2026

(in millions)

2026 (April 1 - June 30) $ 4

2026 (July 1 - September 30) 3

2026 (October 1 - December 31) 3

Subtotal 2026 10

Net expected loss to be expensed (present value) 275

1 unchanged sentence

Total expected future loss and LAE $ 294

The following table presents the loss and LAE (benefit) reported in the condensed consolidated statements of operations by sector for insurance contracts.

The following table presents the loss and LAE (benefit) reported in the condensed consolidated statements of operations by sector for FG insurance contracts.

Loss and LAE (Benefit) by Sector

Third Quarter Nine Months

First Quarter

Sector 2026 2025

5 unchanged sentences

Structured finance:

RMBS $ ( 25 ) $ ( 39 ) $ ( 25 ) $ ( 42 )

Other structured finance ( 1 ) ( 2 )

3 unchanged sentences

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

Financial Guaranty Insurance

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

BIG Transaction Loss Summary

As of September 30, 2025

As of March 31, 2026

Gross Net Total BIG

BIG 1 BIG 2 BIG 3 Total BIG

(dollars in millions)

(dollars in billions)

Number of risks (1) 86 14 92 192 192

4 unchanged sentences

Total (2) $ 6.07 $ 8.55 $ 1.48 $ 16.10 $ 16.09

Gross Net Total BIG

BIG 1 BIG 2 BIG 3 Total BIG

(in millions)

Expected cash outflows (inflows) $ 915 $ 1,127 $ 1,219 $ 3,261 $ 3,253

7 unchanged sentences

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Financial Guaranty Insurance

BIG Transaction Loss Summary

2 unchanged sentences

BIG 1 BIG 2 BIG 3 Total BIG

(dollars in millions)

(dollars in billions)

Number of risks (1) 87 13 95 195 195

4 unchanged sentences

Total (2) $ 6.25 $ 8.65 $ 1.53 $ 16.43 $ 16.41

Gross Net Total BIG

BIG 1 BIG 2 BIG 3 Total BIG

(in millions)

Expected cash outflows (inflows) $ 172 $ 1,141 $ 1,242 $ 2,555 $ 2,547

10 unchanged sentences

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

Annuity Reinsurance

Accounting Policies

The Company’s annuity reinsurance agreements consist of two contracts, a PRT contract and a MYGA contract, acquired as part of the Assured Life Re Acquisition that are both accounted for under ASC 944, Financial Services – Insurance .

The PRT block of business is accounted for as a long-duration limited-payment insurance contract and the MYGA block of business is accounted for as an investment-type contract.

On the Acquisition Date, the Company recorded (i) the invested assets and derivatives supporting the PRT block of business at fair value and designated the invested assets as available-for-sale (See Note 8.

Derivatives, and Note 9.

Investments for additional information);

(ii) a liability for future policy benefits (LFPB) and a deferred profit liability (DPL), that are reported together in the condensed consolidated balance sheets in the line item “future policy benefits for annuity reinsurance contracts;” and (iii) a VOBA asset representing the difference between the fair value of the PRT obligation and the sum of the insurance liabilities described in (ii) above.

Gross premiums are recognized as revenue when due from policyholders.

As PRT agreements are single-premium reinsurance contracts, the premium on the PRT contract was collected prior to the Acquisition Date, and no future premiums are due.

The LFPB is calculated using the net premium ratio approach and represents the present value of estimated future benefits

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

and related expenses less the present value of estimated future net premiums for the PRT block of business.

The principal assumptions used in the measurement of these insurance liabilities include longevity, investment returns, inflation, discount rate and other factors.

Each reporting period, the LFPB is updated to reflect actual experience to date.

Changes to the LFPB to reflect actual experience, along with actual claims paid, are reported in “benefit expense for annuity reinsurance contracts” in the condensed consolidated statement of operations.

The DPL represents the excess of gross premiums over the LFPB at the Acquisition Date.

The DPL is amortized over the lifetime of the contract and accrues interest on the unamortized balance.

The amortization of the DPL is reported in “benefit expense for annuity reinsurance contracts” in the condensed consolidated statement of operations.

On an annual basis, or more often if circumstances warrant, the Company conducts a comprehensive review of its assumptions based on experience, industry benchmarking and other factors, as applicable.

Updates to assumptions are applied on a retrospective basis, and the change in reserves resulting from updates to assumptions is reported in “benefit expense for annuity reinsurance contracts” in the condensed consolidated statements of operations.

The discount rate used to measure the LFPB is based on the yield of upper-medium grade (low-credit-risk) fixed-income instruments, as prescribed by ASC 944.

This is interpreted as a single-A corporate yield, constructed from the U.K.

gilt curve plus an observed credit spread.

The discount rate used to recognize interest accretion on the LFPB is locked in at the initial measurement of the reinsurance contract (the locked in discount rate).

Each reporting period thereafter, the LFPB is remeasured using the current discount rate.

The difference between the LFPB calculated using the current discount rate and the LFPB calculated using the locked in discount rate is recorded in “other comprehensive income (loss)” (OCI).

On the Acquisition Date, in respect of the MYGA agreement, the Company recorded (i) funds withheld at fair value;

(ii) a liability representing the account value of the assumed block of business (i.e., the policyholder account balances), (iii) a VOBA liability representing the excess of fair value of the MYGA obligation over the account value;

and (iv) other payables representing pending settlement amounts due to the ceding company.

The MYGA block of business is an investment-type contract accounted for under the deposit method.

Deposits related to investment-type contracts are credited (i.e., reported as deposits) to “policyholder account balances for annuity reinsurance contracts” on the condensed consolidated balance sheets.

Expenses consist primarily of the interest credited to policyholder deposits and are reported in “benefit expense for annuity reinsurance contracts” on the condensed consolidated statements of operations.

Funds withheld represents a receivable for assets contractually withheld and legally owned by the ceding company.

Funds withheld contain an embedded derivative related to the Company’s right to receive the total return on the assets supporting the funds withheld coinsurance arrangement which is measured at the fair value of the underlying assets in the condensed consolidated balance sheets.

The change in the fair value of this embedded derivative is based on the unrealized gains and losses of the underlying assets and reported as a component of “fair value gains (losses) on derivatives” in the condensed consolidated statements of operations.

Policyholder account balances for annuity reinsurance contracts represent the assumed contract values that have accrued to the benefit of the policyholders as of the balance sheet date where account balances are equal to deposits plus interest credited less withdrawals and other charges assessed against the account balance, as applicable.

Future Policy Benefits for Annuity Reinsurance Contracts

The following table presents the components of “future policy benefits for annuity reinsurance contracts” on the condensed consolidated balance sheet.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Future Policy Benefits for Annuity Reinsurance Contracts

As of March 31, 2026

(in millions)

LFPB (1) $ 447

Future policy benefits for annuity reinsurance contracts $ 475

____________________

(1) See the roll forward of LFPB table below for further information.

Roll Forward of LFPB

First Quarter

(dollars in millions)

Present value of expected future policy benefits

Assured Life Re Acquisition, January 21, 2026 $ 470

Effect of changes in cash flow assumptions 6

Effect of actual variances from expected experience ( 1 )

Adjusted balance as January 21, 2026 475

Interest accrual 4

Benefit payments ( 4 )

Foreign exchange remeasurement ( 7 )

Ending balance at original discount rate 468

Effect of changes in discount rate assumptions ( 21 )

Balance, end of period $ 447

Weighted-average liability duration (in years) (1) 10.0

Weighted-average original discount rate 5.9 %

Weighted-average current discount rate 6.3 %

Expected future benefit payments, undiscounted $ 1,002

Expected future benefit payments, discounted $ 447

____________________

(1) The weighted average duration represents average cohort-level duration, weighted by the benefit reserves amount, derived from the discounted expected future benefit cash flows.

The interest expense included in “benefit expense for annuity reinsurance contracts” in the condensed consolidated statement of operations was $ 4 million for first quarter 2026.

Policyholder Account Balances for Annuity Reinsurance Contracts

The following table presents the balances and the rollforward of “policyholder account balances for annuity reinsurance contracts” which consists of MYGA.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Roll Forward of Policyholder Account Balances for Annuity Reinsurance Contracts

First Quarter

(dollars in millions)

Balance, beginning of year $ —

Assured Life Re Acquisition, January 21, 2026 270

Policy charges —

Surrenders and withdrawals ( 9 )

Benefit payments —

Interest credited 2

Balance, end of period $ 263

Weighted-average crediting rate 5.6 %

Net amount at risk $ —

Cash surrender value $ 245

The following table presents policyholder account balances for annuity reinsurance contracts by range of guaranteed minimum crediting rates offered at inception.

The Company is currently not accepting renewals on the MYGA book of business.

As of March 31, 2026

Range of Guaranteed Minimum Crediting Rate At Guaranteed Minimum

(in millions)

4.00 % - 5.00 %

5.00 % - 6.00 %

Contracts Accounted for as Credit Derivatives

6 unchanged sentences

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

documentation and have certain characteristics that differ from financial guaranty insurance contracts.

For example, the Company’s control rights with respect to a reference obligation under a CDS may be more limited than when the Company issues a financial guaranty insurance contract.

documentation and have certain characteristics that differ from FG insurance contracts.

For example, the Company’s control rights with respect to a reference obligation under a CDS may be more limited than when the Company issues a FG insurance contract.

In addition, there are more circumstances under which the Company may be obligated to make payments.

Similar to a financial guaranty insurance contract, the Company would be obligated to pay if the obligor failed to make a scheduled payment of principal or interest in full.

Similar to a FG insurance contract, the Company would be obligated to pay if the obligor failed to make a scheduled payment of principal or interest in full.

In certain credit derivative transactions, the Company also specifically agreed to pay if the obligor were to become bankrupt or if the reference obligation were restructured.

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

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

Absent such an event of default or termination event, the

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.

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

Company may not unilaterally terminate a credit derivative contract;

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

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 8.9 years and 8.4 years as of September 30, 2025 and December 31, 2024, respectively.

The components of the Company’s credit derivative net par outstanding and net fair value asset (liability) by sector are presented in the table below.

The estimated remaining weighted average life of credit derivatives was 9.3 years and 8.6 years as of March 31, 2026 and December 31, 2025, respectively.

Credit Derivatives (1)

As of September 30, 2025 As of December 31, 2024

Sector Net Par

Outstanding Net Fair Value Asset (Liability) Net Par

Outstanding Net Fair Value Asset (Liability)

(in millions)

Net Par Outstanding Net Fair Value Asset (Liability)

As of March 31, 2026 As of December 31, 2025 As of March 31, 2026 As of December 31, 2025

(in billions) (in millions)

public finance $ 1.0 $ 1.0 $ ( 2 ) $ ( 2 )

2 unchanged sentences

structured finance 0.9 1.0 — —

Total $ 3,759 $ ( 26 ) $ 4,212 $ ( 29 )

____________________

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

Fair Value Gains (Losses) on Credit Derivatives

Third Quarter Nine Months

Total credit derivatives $ 3.3 $ 3.8 $ ( 16 ) $ ( 15 )

____________________

(in millions)

Realized gains (losses) and other settlements $ 2 $ 2 $ 107 $ 2

Net unrealized gains (losses) 3 1 3 17

Fair value gains (losses) on credit derivatives $ 5 $ 3 $ 110 $ 19

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 the first quarter of 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.

(1) See Note 5.

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

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,

2025 As of December 31, 2024 As of September 30,

As of March 31,

2026 As of December 31, 2025 As of March 31,

2025 As of December 31, 2024

1 unchanged sentence

One-year CDS spread 26 23 30 25

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, 2025 December 31, 2024

March 31, 2026 December 31, 2025

(in millions)

2 unchanged sentences

Net fair value of credit derivatives $ ( 16 ) $ ( 15 )

The fair value of CDS contracts as of September 30, 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 fair value of CDS contracts as of March 31, 2026, 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.

Annuity Reinsurance Derivatives

Accounting Policy

The Company purchases swaps and forward contracts to manage foreign currency, interest rate and inflation exposure in its annuity reinsurance business.

These derivative instruments are subject to a master netting arrangement, which creates a right of offset for amounts due to and due from a counterparty that is enforceable in the event of a default or bankruptcy.

These derivatives are measured at fair value and reported on a gross basis in “other assets” or “other liabilities” on the condensed consolidated balance sheets, with changes in fair value reported in “fair value gains (losses) on derivatives” in the condensed consolidated statements of operations.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The Company also evaluates its reinsurance contract terms to identify embedded derivatives.

If (i) the embedded derivative is not clearly and closely related to the economic characteristics of the host reinsurance contract, (ii) the reinsurance contract is not subject to recurring fair value measurement, and (iii) a separate instrument with the same terms would qualify as a derivative, then the embedded derivative is bifurcated and measured at fair value.

The Company identified an embedded derivative whereby the Company has a right to receive the total return on the assets supporting the funds withheld coinsurance arrangement related to the MYGA block of business.

The fair value of this embedded derivative is included in “funds withheld” on the condensed consolidated balance sheets and the change in its fair value, which is based on the unrealized gains and losses of the underlying assets, is reported in “fair value gains (losses) on derivatives” in the condensed consolidated statements of operations.

Annuity Reinsurance.

The following table presents the notional amounts and the net fair value asset (liability) of the freestanding derivatives.

Freestanding Derivatives (1)

As of March 31, 2026

Notional Net Fair Value Asset (Liability)

(in billions) (in millions)

Cross-currency swaps $ 0.1 $ ( 2 )

Interest rate swaps — ( 2 )

Inflation swaps 0.2 1

Total freestanding derivatives $ 0.3 $ ( 3 )

____________________

(1) Excludes the embedded derivative in funds withheld.

Effect of Changes in Fair Value of Derivatives on Condensed Consolidated Statements of Operations

Fair Value Gains (Losses) on Derivatives

First Quarter

(in millions)

Fair value gains (losses) on credit derivatives:

Realized gains (losses) and other settlements $ 2 $ 105

Net unrealized gains (losses) ( 1 ) ( 1 )

Fair value gains (losses) on credit derivatives 1 104

Fair value gains (losses) on annuity reinsurance derivatives:

Cross-currency swaps ( 6 ) —

Interest rate swaps ( 1 ) —

Inflation swaps 5 —

Funds withheld - embedded derivative 3 —

Fair value gains (losses) on derivatives $ 2 $ 104

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 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 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.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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.

Portions of the Company’s alternative investments portfolio are managed by Sound Point.

Pursuant to a letter agreement effective July 1, 2023 (Letter Agreement), AG engaged Sound Point to be its sole alternative credit manager and transitioned to Sound Point the management of certain existing alternative investments and related commitments.

Under the Letter Agreement, AG, including through its investment subsidiary AGAS, agreed, subject to the terms and conditions of the Letter Agreement, to invest in funds, other vehicles and separately managed accounts managed by Sound Point.

When aggregated with the alternative investments and commitments transitioned from the Company and any reinvestments (collectively, Sound Point Investments), together with investments made by other Assured Guaranty affiliates, the total amount of such investments is expected to be $ 1 billion.

AG has invested with Sound Point across multiple strategies in order to seek to enhance investment returns and anticipates continuing to invest with Sound Point pursuant to the Letter Agreement.

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 until July 1, 2038, at which point the Letter Agreement may be terminated without cause.

In addition, AG has agreed to reinvest all gains and dividends from Sound Point Investments until July 1, 2025, and fifty percent of such gains and dividends thereafter until July 1, 2033.

Beginning July 1, 2028, AG may elect to reduce the amounts invested or required to be reinvested in certain Sound Point Investments under the Letter Agreement, subject to corresponding adjustments of Assured Guaranty’s ownership interest in Sound Point.

Investment Portfolio

Carrying Value

September 30, 2025 December 31, 2024

March 31, 2026 December 31, 2025

(in millions)

8 unchanged sentences

____________________

(1) In the investment portfolio, the aggregate carrying value of Sound Point managed investments was $ 581 million and $ 569 million as of September 30, 2025 and December 31, 2024, respectively, excluding the Company’s ownership interest in Sound Point and certain investments in funds that are accounted for as CIVs.

As of September 30, 2025 and December 31, 2024, 8.8 % and 12.6 %, respectively, of available-for-sale fixed-maturity securities were either rated BIG or not rated, primarily consisting of Loss Mitigation Securities, collateralized loan obligation (CLO) equity tranches and liquidity bonds issued by a U.K.

regulated utility.

As of September 30, 2025 and December 31, 2024, the carrying value of Loss Mitigation Securities was $ 140 million and $ 479 million, respectively.

In July 2025, the Company’s largest BIG exposure in the investment portfolio, which was obtained as a part of a loss mitigation strategy, with an aggregate carrying value of $ 408 million as of June 30, 2025 reached its final resolution after many years of negotiation and was paid down after liquidation of the trust assets.

The Company received $ 459 million in connection with this resolution, including principal, accrued interest and other expected recoveries.

This resolution did not have a significant effect on the condensed consolidated statements of operations.

As of September 30, 2025 and December 31, 2024, the carrying value of CLO equity tranches was $ 242 million and $ 277 million, respectively.

(1) In the investment portfolio, the aggregate carrying value of Sound Point managed investments was $ 549 million and $ 628 million as of March 31, 2026 and December 31, 2025, respectively, excluding the Company’s ownership interest in Sound Point and, as of December 31, 2025, certain investments in funds that were accounted for as CIVs.

As of March 31, 2026 and December 31, 2025, 7.0 % and 8.6 %, respectively, of available-for-sale fixed-maturity securities were either rated BIG or not rated, primarily consisting of collateralized loan obligation (CLO) equity tranches, liquidity bonds issued by a U.K.

regulated utility and Loss Mitigation Securities.

As of March 31, 2026 and December 31, 2025, the carrying value of CLO equity tranches was $ 173 million and $ 228 million, respectively.

As of March 31, 2026 and December 31, 2025, the carrying value of liquidity bonds issued by a U.K.

regulated utility was $ 162 million and $ 168 million, respectively.

As of March 31, 2026 and December 31, 2025, the carrying value of Loss Mitigation Securities was $ 135 million and $ 140 million, respectively.

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

The investment portfolio includes $ 945 million in alternative investments primarily consisting of (i) CLO equity securities classified as available-for-sale fixed-maturity securities, and (ii) $ 598 million of investments across various asset classes that are reported in other invested assets.

In addition, as of September 30, 2025 and December 31, 2024, $ 45 million and $ 33 million, respectively, of the Company’s total alternative investments was invested in a Sound Point managed fund which

The investment portfolio includes $ 965 million in alternative investments primarily consisting of (i) $ 173 million of CLO equity securities classified as available-for-sale fixed-maturity securities, and (ii) $ 730 million of investments across various asset classes that are reported in other invested assets.

The Company’s alternative investment commitments as of

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

was reported in “assets of CIVs,” “other liabilities” and “nonredeemable noncontrolling interests.” See Note 8, Variable Interest Entities.

The Company’s alternative investment commitments as of September 30, 2025 include $ 563 million in unfunded commitments which together with its $ 945 million in funded commitments total $ 1.5 billion, including a $ 1 billion commitment to invest in Sound Point managed alternative investments, subject to certain conditions precedent.

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

See Note 1, Business and Basis of Presentation, for a description of the Company’s alternative investments agreement with Sound Point.

Accrued investment income, which is reported in “other assets,” was $ 70 million as of September 30, 2025 and $ 64 million as of December 31, 2024.

March 31, 2026 include $ 554 million in unfunded commitments which together with its $ 965 million in funded commitments total $ 1.5 billion.

Alternative investment commitments of $ 1.5 billion include a $ 1 billion commitment to invest in Sound Point managed alternative investments, subject to certain conditions precedent.

Capital allocated to alternative investments was committed to several funds pursuing various strategies, including private healthcare investing, asset-based/specialty finance, commercial real estate finance and CLOs.

Since the Assured Life Re Acquisition Date, the investment portfolio includes available-for-sale fixed-maturity securities and short-term investments supporting the PRT block of business that are held in a consolidated VIE.

Variable Interest Entities.

Accrued investment income, which is reported in “other assets,” was $ 77 million as of March 31, 2026 and $ 70 million as of December 31, 2025.

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

As of September 30, 2025

As of March 31, 2026

Security Type Percent

38 unchanged sentences

(1) Percentages are based on amortized cost.

(2) Corporate securities include securities issued by taxable universities and hospitals.

government-agency obligations represented 74 % and 68 % of mortgage-backed securities as of September 30, 2025 and December 31, 2024, respectively, based on fair value.

(4) This category includes an investment in an affiliated entity with amortized cost of $ 48 million and $ 41 million, and fair value of $ 49 million and $ 42 million, as of September 30, 2025 and December 31, 2024, respectively.

(2) Corporate securities include taxable securities issued by universities and hospitals.

government-agency obligations represented 70 % and 75 % of mortgage-backed securities as of March 31, 2026 and December 31, 2025, respectively, based on fair value.

(4) This category includes an investment in an affiliated entity with amortized cost of $ 53 million and fair value of $ 54 million, as of both March 31, 2026 and December 31, 2025.

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, 2025

As of March 31, 2026

Less than 12 months 12 months or more Total

41 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, 2025 and December 31, 2024 were primarily related to higher interest rates rather than credit quality.

As of September 30, 2025, the Company did not intend to and was not required to sell investments in an unrealized loss position prior to the expected recovery in value.

As of September 30, 2025, of the securities in an unrealized loss position for which an allowance for credit loss was not recorded, 277 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 $ 151 million as of September 30, 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 September 30, 2025 are shown below.

The Company has determined that the unrealized losses recorded as of March 31, 2026 and December 31, 2025 were primarily related to higher interest rates and spread compression rather than credit quality.

As of March 31, 2026, the Company did not intend to and was not required to sell investments in an unrealized loss position prior to the expected recovery in value.

As of March 31, 2026, of the securities in an unrealized loss position for which an allowance for credit loss was not recorded, 270 securities had unrealized losses in excess of 10% of their carrying value, whereas as of December 31, 2025, 253 securities had unrealized losses in excess of 10% of their carrying value.

The total unrealized loss for these securities was $ 152 million and $ 147 million as of March 31, 2026 and December 31, 2025, respectively.

The amortized cost and estimated fair value of available-for-sale fixed-maturity securities by contractual maturity as of March 31, 2026 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, 2025

As of March 31, 2026

Cost Estimated

8 unchanged sentences

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 and $ 79 million as of September 30, 2025 and December 31, 2024, respectively.

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 $ 789 million and $ 1,135 million as of September 30, 2025 and December 31, 2024, respectively.

Based on fair value, fixed-maturity securities, short-term investments and cash that are either held in trust for the benefit of third-party ceding insurers in accordance with statutory requirements, placed on deposit to fulfill state licensing requirements or otherwise pledged or restricted totaled $ 76 million and $ 77 million as of March 31, 2026 and December 31, 2025, respectively.

The total collateral funded into a reinsurance trust or a similar account by certain AGL subsidiaries or is otherwise restricted for the benefit of other AGL subsidiaries in accordance with statutory and regulatory requirements had a fair value of $ 812 million and $ 813 million as of March 31, 2026 and December 31, 2025, respectively.

Fixed-maturity securities of $ 574 million, short-term investments of $ 4 million and cash of $ 10 million are held in a consolidated VIE supporting the PRT block of business.

Variable Interest Entities.

The use of the VIE’s assets is restricted based on the terms of the PRT reinsurance agreement.

Included in the above is $ 4 million of fixed-maturity securities that were pledged as collateral for derivatives.

Income from Investments

1 unchanged sentence

Income from Investments

Third Quarter Nine Months

2025 2024 2025 2024

First Quarter

(in millions)

12 unchanged sentences

____________________

(1) Amounts include $ 7 million of investment income on Loss Mitigation Securities for both third quarter 2025 and third quarter 2024, and $ 21 million for both nine months 2025 and nine months 2024.

The increase in investment income from available-for-sale fixed-maturity securities in third quarter 2025 and nine months 2025 is primarily due to investment income on CLO equity tranches in the available-for-sale portfolio.

Certain CLO equity tranche investments were reclassified to the available-for-sale fixed-maturity portfolio in the fourth quarter of 2024, with interest income now reported in net investment income, and changes in fair value reported in other comprehensive income (OCI).

The Company had previously held the CLO equity tranches in a Sound Point managed fund with changes in net asset value (NAV) reported in “equity in earnings (losses) of investees.”

(2) Fair value gains on trading securities pertaining to securities still held as of September 30, 2025 were $ 7 million for third quarter 2025 and $ 9 million for nine months 2025.

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.

(1) Amounts include $ 3 million and $ 7 million of investment income on Loss Mitigation Securities for first quarter 2026 and first quarter 2025, respectively.

(2) Fair value gains on trading securities pertaining to securities still held as of March 31, 2026 were $ 5 million for first quarter 2026.

A majority of the trading securities are Puerto Rico CVIs.

1 unchanged sentence

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 September 30, 2025, the remaining CVIs had a fair value of $ 125 million.

The fair value of remaining CVIs as of March 31, 2026 and December 31, 2025 was $ 119 million and $ 114 million, respectively.

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

5 unchanged sentences

Net Realized Investment Gains (Losses)

Third Quarter Nine Months

2025 2024 2025 2024

First Quarter

(in millions)

3 unchanged sentences

Change in the allowance for credit losses and intent to sell (1) ( 16 ) ( 10 )

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

Net realized investment gains (losses) $ ( 15 ) $ ( 16 )

The proceeds from sales of fixed-maturity securities classified as available-for-sale were $ 106 million in third quarter 2025, $ 87 million in third quarter 2024, $ 533 million in nine months 2025 and $ 575 million in nine months 2024.

____________________

(1) The change in the allowance for credit losses for first quarter 2026 was primarily related to CLO equity tranches and, in first quarter 2025, 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.

1 unchanged sentence

for Available-for-Sale Fixed-Maturity Securities

Third Quarter Nine Months

2025 2024 2025 2024

First Quarter

(in millions)

4 unchanged sentences

Balance, end of period $ 63 $ 45

Credit losses for third quarter 2025 and nine months 2025 were primarily associated with alternative investments.

Credit losses for third quarter 2024 and nine months 2024 were primarily related to Loss Mitigation Securities.

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

The majority of securities with credit losses relate to RMBS, CLOs and obligations of state and political subdivisions.

Variable Interest Entities

1 unchanged sentence

The transaction structure generally provides certain financial protections to the Company that can take several forms, the most common of which are overcollateralization, first loss protection (or subordination) and excess spread.

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 Company.

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

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

2 unchanged sentences

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.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The Company is not primarily liable for the debt obligations issued by the VIEs it insures and would only be required to make payments on insured debt obligations in the event that the issuer defaults on any principal or interest due and only for the amount of the shortfall.

1 unchanged sentence

Proceeds from sales, maturities, prepayments and interest from the underlying collateral in the VIEs may only be used to pay debt service on the respective VIEs’ liabilities.

As part of the terms of its financial guaranty contracts insuring the debt obligations of a VIE, the Company obtains certain protective rights that give it additional controls over the VIE.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

As per the terms of its financial guaranty contracts insuring the debt obligations of a VIE, the Company obtains certain protective rights that give it additional controls over the VIE.

These protective rights are triggered by the occurrence of certain events, such as failure to be in compliance with a covenant due to poor deal performance or a deterioration in a servicer’s or collateral manager’s financial condition.

8 unchanged sentences

The FG VIEs’ liabilities that are not insured by the Company 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 the assets and liabilities of all of the FG VIEs, which are all RMBS as of both September 30, 2025 and December 31, 2024.

The Company elected the fair value option (FVO) for all assets and liabilities of its consolidated FG VIEs, except for one FG VIE consolidated during the fourth quarter of 2025.

Upon consolidation, the assets and liabilities of this VIE were recorded pursuant to the guidance in ASC 805, Business Combinations , which specifies that the VIE’s assets and liabilities are recorded at fair value except for a contract asset which is recognized and measured pursuant to ASC 606, Revenue from Contracts with Customers .

Upon initial adoption of the accounting guidance for VIEs in 2010, the Company elected to fair value its 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, the Company elected the FVO.

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 statements of operations, except for the change in fair value attributable to the change in instrument-specific credit risk (ISCR) on the FG VIEs’ liabilities which is reported in OCI.

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

As of both September 30, 2025 and December 31, 2024, the Company consolidated 23 FG VIEs.

During the second quarter of 2025, the Company consolidated one FG VIE when its protective rights were triggered that made it the control party.

The Company subsequently irrevocably waived its control rights resulting in the deconsolidation of this FG VIE.

To allow for consistency in the accounting for the assets and liabilities of its consolidated FG VIEs, the Company has elected the FVO for FG VIEs consolidated after the initial adoption.

The change in fair value of FG VIEs’ assets and liabilities where the FVO was elected is reported in “gains (losses) on financial guaranty variable interest entities” in the condensed consolidated statements of operations, except for the change in fair value attributable to change in instrument-specific credit risk (ISCR) on FG VIEs’ liabilities for which the FVO was elected, which is reported in “other comprehensive income (loss).” Interest income and interest expense are derived from the trustee reports and also included in “gains (losses) on financial guaranty variable interest entities.”

As of both March 31, 2026 and December 31, 2025, the Company consolidated 24 FG VIEs.

Components of FG VIE Assets and Liabilities

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 Company under its 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 Company’s estimate of expected loss to be paid (recovered) for FG VIEs is included in Note 5.

Expected Loss to be Paid (Recovered).

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

March 31, 2026 December 31, 2025

(in millions)

FG VIEs’ assets:

RMBS (1) $ 137 $ 142

Other (includes $ 30 and $ 30 at fair value) (2)

Total FG VIEs’ assets $ 201 $ 212

FG VIEs’ liabilities with recourse:

RMBS (1) $ 143 $ 147

Other (includes $ – and $ 35 at fair value)

Total FG VIEs’ liabilities with recourse $ 178 $ 182

FG VIEs’ liabilities without recourse:

RMBS (1) $ 9 $ 9

Other (includes $ – and $ 6 at fair value)

Total FG VIEs’ liabilities without recourse $ 16 $ 16

____________________

RMBS assets and liabilities are measured at fair value under the FVO.

(2) Includes a contract asset related to a services agreement of approximately $ 34 million and $ 40 million as of March 31, 2026 and December 31, 2025, respectively, accounted for in accordance with ASC 606, Revenue from Contracts with Customers , as well as debt and equity investments, and cash and cash equivalents.

The inception-to-date change in fair value of the FG VIEs’ liabilities with recourse 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.

1 unchanged sentence

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Selected Information for FG VIEs’ Assets and Liabilities

Measured under the FVO

September 30, 2025 December 31, 2024

March 31, 2026 December 31, 2025

(in millions)

7 unchanged sentences

(1) FG VIEs’ liabilities with recourse will mature at various dates ranging from 2026 through 2038.

The change in the ISCR of the FG VIEs’ assets for which the Company elected the FVO held as of September 30, 2025 that was reported in the condensed consolidated statements of operations for third quarter 2025 and nine months 2025 were gains of $ 3 million and $ 6 million, respectively.

The change in the ISCR of the FG VIEs’ assets at FVO held as of September 30, 2024 were losses of $ 2 million and $ 4 million for third quarter 2024 and nine months 2024, respectively.

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

CIVs consist of certain Sound Point funds for which the Company is the primary beneficiary or has a controlling interest.

3 unchanged sentences

In addition, creditors of the CIVs have no recourse against the assets of the Company, other than the assets of such applicable CIVs.

Liquidity available at the Company’s CIVs is not available for corporate liquidity needs, except to the extent of the Company’s investment in the funds, subject to redemption provisions.

As of September 30, 2025 and December 31, 2024, the Company consolidated one active CIV with assets of $ 136 million and $ 101 million, respectively, consisting primarily of investments with Sound Point affiliated entities.

Noncontrolling Interest in CIVs

Noncontrolling interest (NCI) represents the portion of the consolidated CIVs not owned by the Company and includes ownership interests of third parties and former employees.

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

Liquidity available at the Company’s

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

CIVs is not available for corporate liquidity needs, except to the extent of the Company’s investment in the funds, subject to redemption provisions.

During first quarter 2026, the Company deconsolidated a CIV related to its investments with Sound Point affiliated entities and recognized a gain on deconsolidation of $ 2 million, which was reported in “fair value gains (losses) on consolidated investment vehicles.” As of March 31, 2026, the Company did not consolidate any CIVs.

As of December 31, 2025, the Company consolidated one CIV with assets of $ 175 million.

Noncontrolling Interest in FG VIEs and CIVs

Noncontrolling interest (NCI) represents the portion of the consolidated FG VIEs and CIVs 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.

Annuity Reinsurance VIEs

The Company performs a consolidation analysis of any entities established in its annuity reinsurance business.

The assets related to the PRT block of business are held in a sub-fund of an Irish collective asset-management vehicle which meets the definition of a VIE (the PRT VIE).

The Company has determined that it is the PRT VIE’s primary beneficiary and, therefore, consolidates the entity in its condensed consolidated financial statements.

In instances where the Company consolidates a VIE that was established as part of an assumed annuity reinsurance contract, the Company classifies the assets of that VIE in the financial statement line items that most accurately reflect their nature as opposed to a one-line-item presentation for the VIE’s assets.

As of March 31, 2026, the assets of the PRT VIE consisted of available-for-sale fixed-maturity securities of $ 574 million, short-term investments of $ 4 million, accrued interest of $ 9 million reported in “other assets,” a net derivative liability of $ 3 million and cash of $ 10 million.

Non-Consolidated VIEs

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

Of the approximately 16 thousand policies monitored as of September 30, 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.

As described in Note 4.

Outstanding Exposure, the Company monitors all policies in the insured portfolio.

Of the approximately 16 thousand policies monitored as of March 31, 2026, approximately 15 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, 2025 and December 31, 2024, the Company identified 52 and 50 policies, respectively, that contain provisions and experienced events that may trigger consolidation.

As of March 31, 2026 and December 31, 2025, the Company identified 54 and 53 policies, respectively, that contain provisions and experienced events that may trigger consolidation.

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

As of September 30, 2025, the Company’s maximum exposure to losses relating to these VIEs was $ 816 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, 2026, the Company’s maximum exposure to losses relating to these VIEs was $ 837 million, which is limited to the carrying value of the investment vehicles.

Fair Value Measurement

8 unchanged sentences

These adjustments include amounts to reflect counterparty credit quality, the Company’s creditworthiness and constraints on liquidity.

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

During nine months 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.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

During first quarter 2026, 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, 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.

13 unchanged sentences

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

There was a transfer of fixed-maturity trading securities to Level 3 during first quarter 2026 as observable inputs were no longer available to the Company.

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

3 unchanged sentences

The pricing services prepare estimates of fair value using their pricing models, which take into account:

benchmark yields, reported trades, broker/dealer quotes, issuer

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

spreads, two-sided markets, benchmark securities, bids, offers, reference data, industry and economic events and sector groupings.

benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, reference data, industry and economic events and sector groupings.

Additional valuation factors that can be taken into account are nominal spreads and liquidity adjustments.

3 unchanged sentences

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

As of September 30, 2025, the Company used models to price 154 securities.

As of March 31, 2026, the Company used models to price 143 securities.

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

7 unchanged sentences

The yield used to discount the projected cash flows is determined by reviewing various attributes of the security including collateral type, weighted average life, sensitivity to losses, vintage and convexity, in conjunction with market data on comparable securities.

Significant changes to any of these inputs could have materially changed the expected timing of cash flows within these securities which could have significantly affected the fair value of the securities.

Significant changes to any of these inputs

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

could have materially changed the expected timing of cash flows within these securities which could have significantly affected the fair value of the securities.

Short-Term Investments

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

The fair value of these assets is based on the observable published daily values of the underlying mutual

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

funds included in the plans (Level 1) or based upon the NAV of the funds if a published daily value is not available (Level 2).

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

The NAVs are based on observable information.

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

Contracts Accounted for as Credit Derivatives

Credit Derivatives

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

2 unchanged sentences

There are multiple unobservable inputs deemed significant to the valuation model, most importantly the Company’s estimate of the value of the non-standard terms and conditions of its credit derivative contracts and how the Company’s own credit spread affects the pricing of its transactions.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The fair value of the Company’s credit derivative contracts generally represents the difference between the present value of remaining premiums the Company expects to receive and the estimated present value of premiums that a financial guarantor of comparable credit-worthiness would hypothetically charge at the reporting date for the same protection.

3 unchanged sentences

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 September 30, 2025 were such that market prices of the Company’s CDS contracts were not available.

Consistent with previous years, market conditions as of March 31, 2026 were such that market prices of the Company’s CDS contracts were not available.

Assumptions and Inputs

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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 amount of premium a financial guaranty insurance market participant can demand (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 since 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 current market conditions.

1 unchanged sentence

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

The minimum premium had no effect on the fair value of CDS contracts as of both September 30, 2025 and December 31, 2024.

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The minimum premium had no effect on the fair value of CDS contracts as of both March 31, 2026 and December 31, 2025.

Annuity Reinsurance Derivatives

The Company’s freestanding derivatives include cross-currency swaps, interest rate swaps, inflation swaps and currency forwards and are classified as Level 2.

These derivative valuations are determined by third-party pricing services using pricing models with inputs that are observable in the market or can be derived principally from, or corroborated by, observable market data.

Funds withheld are carried at fair value as they include an embedded derivative representing a total return swap.

Funds withheld are measured at fair value based on the fair value of investments held by the cedant.

Funds withheld is classified as Level 3.

While most of the underlying investments of the funds withheld portfolio are Level 2, certain of the underlying investments are classified as Level 3 as they require certain significant inputs which are not observable.

FG VIEs’ Assets and Liabilities

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historical collateral performance, borrower profiles and other features relevant to the evaluation of collateral credit quality);

yields implied by market prices for similar securities;

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

implied by market prices for similar securities;

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

1 unchanged sentence

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

The prices of these 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 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.

19 unchanged sentences

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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

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

Fair Value Hierarchy of Financial Instruments Carried at Fair Value

As of September 30, 2025

As of March 31, 2026

Fair Value Hierarchy

14 unchanged sentences

Other invested assets (1) — — 3 3

Funds withheld — — 296 296

FG VIEs’ assets 10 11 146 167

Assets of CIVs, equity securities — — 132 132

Other assets 81 66 33 180

31 unchanged sentences

___________________

(1) Other invested assets includes Level 3 mortgage loans that are recorded at fair value on a non-recurring basis.

(2) FG VIEs’ liabilities include those with and without recourse.

See Note 8, Variable Interest Entities.

(1) Other invested assets include Level 3 mortgage loans that are recorded at fair value on a non-recurring basis.

(2) FG VIEs’ liabilities include those with and without recourse, some of which are measured at fair value on a nonrecurring basis as of December 31, 2025.

Variable Interest Entities.

Assured Guaranty Ltd.

1 unchanged sentence

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 2025, third quarter 2024, nine months 2025 and nine months 2024.

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

Third Quarter 2025

Fixed-Maturity Securities, Available-for-Sale

Subdivisions Corporate RMBS Asset-

Securities Fixed-Maturity Securities, Trading FG VIEs’

Assets Assets of CIVs, Equity Securities Other

(in millions)

Fair value as of June 30, 2025 $ 10 $ 84 $ 142 $ 977 $ 4 $ 153 $ 121 $ 5

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

Net income (loss) — 1 (1) 3 (1) 3 (1) 1 (10) 7 (2) 11 (4) 9 (3)

Other comprehensive income (loss) — 10 6 ( 3 ) — — — 1

Purchases — 73 — 40 — — — —

Sales — — — — — — — —

Settlements — — ( 6 ) ( 496 ) ( 1 ) ( 6 ) — —

Deconsolidations — — — — — ( 9 ) — —

Fair value as of September 30, 2025 $ 10 $ 168 $ 145 $ 521 $ 4 $ 145 $ 132 $ 15

Change in unrealized gains (losses) related to financial instruments held as of September 30, 2025 included in:

Earnings $ — $ 6 (2) $ 11 (4) $ 9 (3)

OCI $ — $ 10 $ 6 $ ( 2 ) $ 1

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

Third Quarter 2025

Credit Derivative

Liability, net (5) FG VIEs’ Liabilities (8)

(in millions)

Fair value as of June 30, 2025 $ ( 29 ) $ ( 161 )

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

Net income (loss) 5 (6) ( 4 ) (2)

Other comprehensive income (loss) — 1

Settlements ( 2 ) 5

Fair value as of September 30, 2025 $ ( 26 ) $ ( 159 )

Change in unrealized gains (losses) related to financial instruments held as of September 30, 2025 included in:

Earnings $ 3 (6) $ ( 4 ) (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

Third Quarter 2024

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

Subdivisions RMBS Asset-

Securities Fixed-Maturity Securities, Trading FG VIEs’

Assets Equity Securities Structured Products Other

(in millions)

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

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

Net income (loss) — 5 (1) 7 (1) — 2 (2) 9 (4) ( 5 ) (4) ( 4 ) (3)

Other comprehensive income (loss) — 3 ( 3 ) — — — — 1

Purchases — — 19 — — — 25 1

Sales — — — — — ( 3 ) — —

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

Reclassifications (9) — — — 8 — — ( 8 ) —

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

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

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

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

OCI $ — $ 3 $ ( 3 ) $ ( 1 )

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

Third Quarter 2024

Credit Derivative

Liability, net (5) FG VIEs’ Liabilities (8)

(in millions)

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

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

Net income (loss) 3 (6) ( 3 ) (2)

Other comprehensive income (loss) — ( 1 )

Issuances ( 2 ) —

Settlements ( 1 ) 5

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

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

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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 2026 and first quarter 2025.

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

Nine Months 2025

First Quarter 2026

Fixed-Maturity Securities, Available-for-Sale

Subdivisions Corporate RMBS Asset-

Securities Fixed-Maturity Securities, Trading FG VIEs’

Assets Assets of CIVs, Equity Securities Other

Securities Fixed-Maturity Securities, Trading Funds Withheld FG VIEs’

Assets Assets of CIVs Other

(in millions)

Fair value as of December 31, 2025 $ 10 $ 168 $ 144 $ 511 $ 4 $ — $ 150 $ 167 $ 24

Assured Life Re Acquisition — — — — — 293 — — —

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

2 unchanged sentences

Purchases — — — 14 — — — — —

Sales — — — ( 12 ) — — — —

Settlements — — ( 5 ) ( 46 ) ( 1 ) — ( 4 ) ( 165 ) —

Consolidations — — — — — 9 — —

Deconsolidations — — — — — — — ( 6 ) —

Fair value as of September 30, 2025 $ 10 $ 168 $ 145 $ 521 $ 4 $ 145 $ 132 $ 15

Change in unrealized gains (losses) related to financial instruments held as of September 30, 2025 included in:

Transfers into Level 3 — — — — 5 — — — —

Fair value as of March 31, 2026 $ 10 $ 162 $ 140 $ 429 $ 8 $ 296 $ 146 $ — $ 30

Change in unrealized gains (losses) related to financial instruments held as of March 31, 2026 included in:

Earnings $ — $ 3 (6) $ — $ — $ 6 (3)

1 unchanged sentence

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

Nine Months 2025

First Quarter 2026

Credit Derivative

6 unchanged sentences

Settlements ( 2 ) 3

Fair value as of September 30, 2025 $ ( 26 ) $ ( 159 )

Change in unrealized gains (losses) related to financial instruments held as of September 30, 2025 included in:

Fair value as of March 31, 2026 $ ( 16 ) $ ( 152 )

Change in unrealized gains (losses) related to financial instruments held as of March 31, 2026 included in:

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

2 unchanged sentences

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

Nine Months 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 Other

(in millions)

6 unchanged sentences

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

Reclassifications (9) — — — 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, 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)

OCI $ 6 $ — $ ( 53 ) $ ( 1 ) $ ( 1 )

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

First Quarter 2025

Credit Derivative

5 unchanged sentences

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)

1 unchanged sentence

(1) Included in “net realized investment gains (losses)” and “net investment income.”

(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).”

(4) Reported in “fair value gains (losses) on CIVs.”

(2) Reported in “gains (losses) on financial guaranty variable interest entities.”

(3) Reported in “fair value gains (losses) on committed capital securities,” “net investment income” and “other income (loss).”

(4) Reported in “fair value gains (losses) on consolidated investment vehicles.”

(5) Represents the net position of credit derivatives.

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.”

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

(7) Includes CCS and other invested assets.

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

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

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

3 unchanged sentences

Quantitative Information About Level 3 Fair Value Inputs

As of September 30, 2025

As of March 31, 2026

Financial Instrument Description Fair Value Assets (Liabilities)

13 unchanged sentences

Fixed-maturity securities, trading (1) 8 Yield 3.7 % - 20.0 % 15.0 %

Funds withheld 296 Discount margin 2.8 % - 6.9 % 4.5 %

FG VIEs’ assets (1) 146 CPR 0.1 % - 26.2 % 5.7 %

2 unchanged sentences

Yield 6.3 % - 10.3 % 7.4 %

Assets of CIVs - equity securities (3) 132 Discount rate 23.4 %

Market multiple-price to book 1.00 x

Market multiple-price to earnings 5.75 x

Terminal growth rate 4.0 %

Exit multiple-price to book 1.00 x

Exit multiple-price to earnings 5.50 x

Other assets (1) 28 Implied Yield 6.6 % - 7.1 % 6.9 %

2 unchanged sentences

Bank profit (in bps) 67.7 - 273.0 140.3

Internal floor (in bps) 10.0

Internal credit rating AAA - CCC A+

7 unchanged sentences

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

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

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

(3) Weighted average is calculated as a percentage of current par outstanding for all categories except for “fixed-maturity securities, trading,” and “funds withheld” for which it is calculated as a percentage of fair value.

Assured Guaranty Ltd.

7 unchanged sentences

Obligations of state and political subdivisions $ 10 Yield 5.2 % - 15.0 % 6.6 %

Corporate 168 Yield 5.0 % - 8.0 % 5.2 %

RMBS 144 CPR 0.0 % - 21.3 % 4.1 %

11 unchanged sentences

Yield 6.0 % - 9.8 % 8.7 %

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

Assets of CIVs (3) 167 Discount rate 23.3 %

Market multiple-price to book 1.00 x

8 unchanged sentences

Bank profit (in bps) 66.0 - 261.9 124.7

Internal floor (in bps) 10.0 - 85.5 29.7

Internal credit rating AAA - CCC A

8 unchanged sentences

(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.

(4) Weighted average is calculated as a percentage of current par outstanding for all categories except for assets of CIVs and “fixed-maturity securities, trading,” for which it is calculated as a percentage of fair value.

Assured Guaranty Ltd.

1 unchanged sentence

Not Carried at Fair Value

Financial Guaranty Insurance Contracts

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

FG Insurance Contracts

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

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

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

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

Policyholder Account Balances for Annuity Reinsurance Contracts

The fair value of policyholder account balances for annuity reinsurance contracts associated with investment-type contracts not accounted for at fair value is based on discounted cash flow methodologies using significant unobservable inputs.

The estimated fair value is determined using current risk-free interest rates, adding a spread to reflect the Company’s non-performance risk and subtracting a risk margin to reflect uncertainty inherent in the projected cash flows.

The Company classified the fair value of policyholder account balances for annuity reinsurance contracts as Level 3.

Long-Term Debt

4 unchanged sentences

Fair Value of Financial Instruments Not Carried at Fair Value

As of September 30, 2025 As of December 31, 2024

As of March 31, 2026 As of December 31, 2025

Amount Estimated

4 unchanged sentences

Other assets (including other invested assets) $ 126 $ 130 $ 90 $ 91

Financial guaranty insurance contracts (1) ( 1,926 ) ( 846 ) ( 2,029 ) ( 1,136 )

FG insurance contracts (1) ( 1,938 ) ( 1,664 ) ( 1,906 ) ( 1,485 )

Policyholder account balances for annuity reinsurance contracts ( 263 ) ( 276 ) — —

Long-term debt ( 1,705 ) ( 1,566 ) ( 1,704 ) ( 1,610 )

FG VIEs’ liabilities ( 41 ) ( 41 ) — —

Other liabilities ( 14 ) ( 14 ) ( 18 ) ( 18 )

____________________

(1) Carrying amount includes the assets and liabilities related to financial guaranty insurance contract premiums, losses and salvage and subrogation and other recoverables net of reinsurance.

(1) Carrying amount includes the assets and liabilities related to FG insurance contract premiums, losses and salvage and subrogation and other recoverables net of reinsurance.

AGL is a tax resident in the U.K.

1 unchanged sentence

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.

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.

In July of 2023, the U.K.

Assured Life Re, another Bermuda-domiciled company, plans to elect under Internal Revenue Code Section 953(d) to be taxed as a U.S.

domestic corporation beginning with the 2026 tax

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

As a result of this election, the Company accrues and records U.S.

federal income taxes related to Assured Life Re starting in first quarter 2026.

In July 2023, the U.K.

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

1 unchanged sentence

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 applies to the Bermuda Subsidiaries (collectively, AG Re, AGRO and Cedar Personnel Ltd.) for accounting periods starting on or after January 1, 2025.

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

On July 4, 2025, the U.S.

1 unchanged sentence

1 referred to as the One Big Beautiful Bill Act (OBBBA).

The OBBBA includes significant provisions, such as the permanent extension of certain expiring provisions of

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

the Tax Cuts and Jobs Act of 2017, modifications to the international tax framework and the restoration of favorable tax treatment for certain business provisions.

The OBBBA includes significant provisions.

The legislation has multiple effective dates, with certain provisions effective in 2025 and others implemented through 2027.

The Company is currently assessing its impact on its consolidated financial statements but does not expect it to have a material impact.

The Company does not expect it to have a material impact.

Finance Act 2026, enacted on March 18, 2026, clarified that certain pre-regime deferred taxes are not considered covered taxes for purposes of the Pillar Two global minimum tax framework, with the amendments effective for accounting periods ending on or after July 21, 2025.

As a result of this enactment, the Company revised its 2025 global minimum tax calculation to exclude certain Bermuda pre-regime deferred tax assets and liabilities arising from the introduction of Bermuda’s corporate income tax on January 1, 2025, and recorded a discrete tax benefit of $ 33 million in first quarter 2026.

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.

Assured Life Re will file its own federal income tax return.

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 in part 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.

The Company’s provision for income taxes for interim financial periods is not based on an estimated annual effective rate due in part to the variability in loss reserves, fair value of its derivatives 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 2026.

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

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• 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.

• Bermuda Subsidiaries taxed at the Bermuda marginal corporate tax rate of 15 %, unless subject to U.S.

tax by election, and

1 unchanged sentence

marginal corporate tax rate of 25 %.

The Company’s effective tax rate was 15.4 %, 19.9 %, 18.5 % and 19.2 % for third quarter 2025, third quarter 2024, nine months 2025 and nine months 2024, respectively.

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 foreign taxes.

In addition, third quarter 2024 and nine months 2024 included the global minimum tax.

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

As of September 30, 2025, AGUS had open tax years with the IRS for 2021 forward and is currently under audit for the 2021 tax year.

As of September 30, 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.

The Company’s effective tax rate was ( 31.5 )% and 18.9 % for first quarter 2026 and first quarter 2025, respectively.

The effective tax rates are different from the expected tax provision (benefit) primarily due to tax law changes to the Pillar Two global minimum tax for 2025 recognized in 2026 of $ 33 million, a tax benefit recognized upon Assured Life Re’s change in tax status effective for the 2026 tax year, and a tax benefit for U.S.

tax-exempt interest.

In addition, first quarter 2026 and first quarter 2025 included the global minimum tax.

During 2025, the IRS closed the audit of AGUS’ 2018 and 2019 tax years with no impact to previously accrued taxes and opened an audit of AGUS’ 2021 tax year.

As of March 31, 2026, AGUS had open tax years with the IRS for 2021 forward.

As of March 31, 2026, Assured Guaranty Overseas US Holdings Inc.

had open tax years with the IRS for 2022 forward and is not currently under audit.

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

In October 2025, HMRC issued an inquiry into the Company’s 2022 and 2023 U.K.

As of September 30, 2025, the Company’s U.K.

subsidiaries had open tax years with HMRC for 2021 forward.

tax returns along with issuing inquires into AGUK, Assured Guaranty (UK) Services Limited and Assured Guaranty Finance Overseas Ltd.’s 2023 U.K.

In March 2026, HMRC closed the audit of the Company’s 2021, 2022 and 2023

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

inquiries with no impact to previously accrued taxes.

As of March 31, 2026, the Company had open tax years with HMRC for 2024 forward;

AGUK, Assured Guaranty (UK) Services Limited and Assured Guaranty Finance Overseas Ltd.

had open tax years with HMRC for 2023 forward;

and the Company’s other U.K.

subsidiaries had open tax year with HMRC for 2024 forward.

The Company’s French subsidiary is not currently under examination and has open tax years of 2021 forward.

6 unchanged sentences

There are two recently active 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 a plan of adjustment and disclosure statement.

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

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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.

Expected Loss to be Paid (Recovered), Loss Estimation Process, Public Finance, Puerto Rico, for a description of such actions.

The impact, if any, of these and other proceedings on the amount of recoveries the Company receives and losses it pays in the future is uncertain, and the impact of any one or more of these proceedings during any quarter or year could be material to the Company’s results of operations in that particular quarter or year.

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

3 unchanged sentences

Changes in Accumulated Other Comprehensive Income (Loss) by Component

Third Quarter 2025

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, 2025 $ ( 98 ) $ ( 79 ) $ ( 18 ) $ ( 36 ) $ 4 $ ( 227 )

Other comprehensive income (loss) before reclassifications 38 — — 1 — 39

Amounts reclassified from AOCI to:

Net realized investment gains (losses)

1 ( 11 ) — — — ( 10 )

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

Total before tax

1 ( 11 ) ( 1 ) — — ( 11 )

Tax (provision) benefit

Total amount reclassified from AOCI, net of tax 1 ( 9 ) ( 1 ) — — ( 9 )

Other comprehensive income (loss) 37 9 1 1 — 48

Balance, September 30, 2025 $ ( 61 ) $ ( 70 ) $ ( 17 ) $ ( 35 ) $ 4 $ ( 179 )

Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

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 )

Changes in Accumulated Other Comprehensive Income (Loss) by Component

Nine Months 2025

First Quarter 2026

Net Unrealized Gains (Losses) on Investments with:

FG VIEs’ Liabilities with Recourse Cumulative

FG VIEs’ Liabilities with Recourse Change in Discount Rates on the LFPB Cumulative

Adjustment Cash Flow

7 unchanged sentences

1 ( 16 ) — — — — ( 15 )

Fair value gains (losses) on FG VIEs — — ( 2 ) — — ( 2 )

Total before tax

1 unchanged sentence

Tax (provision) benefit

— 3 — — — — 3

Total amount reclassified from AOCI, net of tax 1 ( 13 ) — — — — ( 12 )

Other comprehensive income (loss) ( 84 ) ( 44 ) — 17 ( 1 ) — ( 112 )

Balance, September 30, 2025 $ ( 61 ) $ ( 70 ) $ ( 17 ) $ ( 35 ) $ 4 $ ( 179 )

Balance, March 31, 2026 $ ( 132 ) $ ( 116 ) $ ( 17 ) $ 17 $ ( 36 ) $ 4 $ ( 280 )

Assured Guaranty Ltd.

1 unchanged sentence

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 )

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

Share Repurchases

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

On August 6, 2025 and November 5, 2025, the Board authorized the repurchase of an additional $ 300 million and $ 100 million, respectively, of the Company’s common shares.

As of November 5, 2025, the remaining amount the Company was authorized to purchase was $ 332 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 following table presents information regarding AGL’s repurchases of its common shares during the period from January 1, 2025 through May 6, 2026.

Share Repurchases

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2026 (January 1 - March 31) 881,981 75 85.58

2025 (April 1 - June 30) 1,537,505 131 85.03

2025 (July 1 - September 30) 1,423,121 118 83.06

2025 (October 1 - November 5) 621,471 51 82.14

2026 (April 1 - May 6) 349,639 29 82.67

Total 2026 1,231,620 $ 104 $ 84.76

____________________

(1) Excludes commissions and excise taxes.

(1) Excludes commissions.

As of May 6, 2026, AGL was authorized to repurchase an additional $ 147 million of its common shares.

The Board of Directors may modify, suspend or terminate the repurchase program at any time, and the program does not have a stated expiration date.

As part of its overall capital management strategy, the Company regularly evaluates the level of its share repurchase program on a quarter-to-quarter basis, including alternative uses of available capital.

The Company currently plans to reduce its share repurchases in order to use a portion of its available capital to support growth opportunities in its financial guaranty insurance and annuity reinsurance businesses, in addition to other strategic considerations.

The timing, form and amount of any future share repurchases will be determined at the Company’s discretion and will depend on various factors, including alternative uses for capital, the Company’s regulatory capital position, rating agency capital considerations, availability of cash at the parent company, market conditions and legal and regulatory requirements.

Any such share repurchases may be made from time to time through open market purchases or privately negotiated transactions, and there can be no assurance of the amount of share repurchases that will occur in the future.

Assured Guaranty Ltd.

2 unchanged sentences

Computation of Earnings Per Share

Third Quarter Nine Months

2025 2024 2025 2024

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