ASSURED GUARANTY LTD 10-Q

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK On January 21, 2026, the Company purchased all of the outstanding share capital in Warwick, which is the 100% indirect owner of Assured Life Re, formerly known as Warwick Re Limited, an annuity reinsurer, which currently reinsures one U.K. PRT transaction and one MYGA transaction. The Company’s annuity reinsurance business is exposed to fluctuations in interest rates, inflation indices and foreign exchange rates. The Company manages interest rate, inflation and currency risk as part of its asset and liability management strategies, which includes maintaining a portfolio with a weighted average duration that approximates the estimated liability cash flows, and maintaining hedging programs including the use of cross currency, interest rate and inflation swaps. The PRT liabilities represent long-dated pound sterling-denominated, inflation-linked pension benefits with the largest tranche of benefits escalating with the U.K. Retail Price Index subject to a floor of 0% and a cap of 5%. The reinsured book of business covers periodic pensioners’ payments as well as allowable lump sum payments. The assets supporting the PRT book of business include both pound sterling and U.S. dollar denominated investments, and derivatives that hedge a portion of the interest rate, foreign exchange rate and inflation rate volatility. The table below shows the carrying value of invested assets, derivatives and future policy benefits for annuity reinsurance contracts associated with the annuity reinsurance business as well as the estimated sensitivity of the carrying value to hypothetical changes in interest rates, foreign currency exchange rates and inflation. Annuity Reinsurance As of March 31, 2026 Interest rates Pound Sterling/U.S. Dollar Exchange Rate Inflation Index Carrying Value 100 bps Decrease 100 bps Increase 1% Depreciation of U.S. Dollar 1% Appreciation of U.S. Dollar 25 bps Decrease 25 bps Increase (in millions) Investments Available-for-sale investments supporting U.K. PRT: U.S. dollar denominated $ 74 $ 10 $ (8) $ — $ — $ — $ — Pound sterling denominated 500 66 (54) 5 (5) (6) 6 Derivatives hedging U.K. PRT market risk (3) 2 (2) 1 (1) (4) 4 Funds withheld 296 6 (6) — — — — Annuity reinsurance liabilities U.K. PRT (LFPB and DPL) 475 46 (39) 5 (5) 1 (1) See Item 1. Financial Statements, Note 7. Annuity Reinsurance, Note 8. Derivatives and Note 9. Investments, for additional information.