EX-99.2 3 agl4q21supplement.htm AGL FINANCIAL SUPPLEMENT Document

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Assured Guaranty Ltd.
December 31, 2021
Financial Supplement
Table of ContentsPage
This financial supplement should be read in conjunction with documents filed by Assured Guaranty Ltd. (AGL and, together with its subsidiaries, Assured Guaranty or the Company) with the United States (U.S.) Securities and Exchange Commission (SEC), including its Annual Report on Form 10-K for the year ended December 31, 2021.





Cautionary Statement Regarding Forward Looking Statements:

Any forward looking statements made in this supplement reflect the current views of Assured Guaranty with respect to future events and financial performance and are made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such statements involve risks and uncertainties that may cause actual results to differ materially from those set forth in these statements. Assured Guaranty's forward looking statements could be affected by many events. These events include (1) the development, course and duration of the COVID-19 pandemic and the governmental and private actions taken in response, the effectiveness, acceptance and distribution of COVID-19 vaccines and therapeutics, and the global consequences of the pandemic and such actions, including their impact on the factors listed below; (2) changes in the world’s credit markets, segments thereof, interest rates, credit spreads or general economic conditions; (3) developments in the world’s financial and capital markets that adversely affect insured obligors’ repayment rates, Assured Guaranty’s insurance loss or recovery experience, investments of Assured Guaranty or assets it manages; (4) reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty’s insurance; (5) the loss of investors in Assured Guaranty’s asset management strategies or the failure to attract new investors to Assured Guaranty’s asset management business; (6) the possibility that budget or pension shortfalls or other factors will result in credit losses or impairments on obligations of state, territorial and local governments and their related authorities and public corporations that Assured Guaranty insures or reinsures; (7) insured losses in excess of those expected by Assured Guaranty or the failure of Assured Guaranty to realize loss recoveries that are assumed in its expected loss estimates for insurance exposures, including as a result of the failure to resolve Assured Guaranty’s Puerto Rico exposures in a manner substantially consistent with the support agreements signed to date; (8) increased competition, including from new entrants into the financial guaranty industry; (9) poor performance of Assured Guaranty's asset management strategies compared to the performance of the asset management strategies of Assured Guaranty’s competitors; (10) the possibility that investments made by Assured Guaranty for its investment portfolio, including alternative investments and investments it manages, do not result in the benefits anticipated or subject Assured Guaranty to reduced liquidity at a time it requires liquidity or to unanticipated consequences; (11) the impact of market volatility on the mark-to-market of Assured Guaranty’s assets and liabilities subject to mark-to-market, including certain of its investments, most of its financial guaranty contracts written in credit default swap form, and certain consolidated variable interest entities; (12) rating agency action, including a ratings downgrade, a change in outlook, the placement of ratings on watch for downgrade, or a change in rating criteria, at any time, of AGL or any of its insurance subsidiaries, and/or of any securities AGL or any of its subsidiaries have issued, and/or of transactions that AGL’s insurance subsidiaries have insured; (13) the inability of Assured Guaranty to access external sources of capital on acceptable terms; (14) changes in applicable accounting policies or practices; (15) changes in applicable laws or regulations, including insurance, bankruptcy and tax laws, or other governmental actions; (16) the failure of Assured Guaranty to successfully integrate the business of BlueMountain Capital Management, LLC (BlueMountain, now known as Assured Investment Management LLC) and its associated entities; (17) the possibility that acquisitions made by Assured Guaranty, including its acquisition of BlueMountain (BlueMountain Acquisition), do not result in the benefits anticipated or subject Assured Guaranty to unanticipated consequences; (18) difficulties with the execution of Assured Guaranty’s business strategy; (19) loss of key personnel; (20) the effects of mergers, acquisitions and divestitures; (21) natural or man-made catastrophes or pandemics, including developments in eastern Europe; (22) other risk factors identified in AGL’s filings with the U.S. SEC; (23) other risks and uncertainties that have not been identified at this time; and; (24) management’s response to these factors. Assured Guaranty undertakes no obligation to update publicly or review any forward looking statement, whether as a result of new information, future developments or otherwise, except as required by law.



Assured Guaranty Ltd.
Selected Financial Highlights (1 of 2)
(dollars in millions, except per share amounts)

Three Months Ended Year Ended
December 31,December 31,
2021202020212020
GAAP Highlights
Net income (loss) attributable to AGL$263 $148 $389 $362 
Net income (loss) attributable to AGL per diluted share3.74 1.82 5.23 4.19 
Weighted average shares outstanding
Basic shares outstanding69.4 79.9 73.5 85.5 
Diluted shares outstanding70.4 80.7 74.3 86.2 
Effective tax rate on net income14.9 %14.3 %12.2 %10.9 %
GAAP return on equity (ROE) (3)
16.8 %8.9 %6.0 %5.4 %
Non-GAAP Highlights (1)
Components of adjusted operating income (loss) (1)
Insurance segment$277 $109 $722 $429 
Asset Management segment(3)(20)(19)(50)
Corporate division(31)(28)(263)(111)
Other (5)
30 (5)30 (12)
Adjusted operating income (loss)$273 $56 $470 $256 
Adjusted operating income (loss) per diluted share (1)
$3.88 $0.69 $6.32 $2.97 
Weighted average diluted shares outstanding70.4 80.7 74.3 86.2 
Effective tax rate on adjusted operating income (2)
15.1 %12.7 %13.2 %9.1 %
Adjusted operating ROE (1)(3)
18.4 %3.7 %7.8 %4.2 %
Insurance Segment
Gross written premiums (GWP)$100 $120 $377 $454 
Present value of new business production (PVP) (1)
98 126 361 390 
Gross par written6,486 6,788 26,656 23,265 
Asset Management Segment
Assets under management (AUM):
Inflows-third party$889 $1,152 $2,971 $1,618 
Inflows-intercompany61 326 243 1,257 
Effect of refundings and terminations on GAAP measures:
Net earned premiums, pre-tax$20 $65 $59 $129 
Fair value gains (losses) of credit derivatives, pre-tax  7 1 
Net income effect15 48 51 98 
Net income per diluted share 0.21 0.60 0.68 1.14 
Effect of refundings and terminations on non-GAAP measures:
Operating net earned premiums and credit derivative revenues (4), pre-tax
$20 $65 $66 $130 
Adjusted operating income (4) effect
15 48 51 98 
Adjusted operating income per diluted share (4)
0.21 0.60 0.68 1.14 

1)    Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.
2)    Represents the ratio of adjusted operating provision for income taxes to adjusted operating income before income taxes.
3)    Quarterly ROE calculations represent annualized returns. See page 11 for additional information on calculation.
4)    Consolidated statements of operations items mentioned in this Financial Supplement that are described as operating (i.e. operating net earned premiums) are non-GAAP measures and represent components of adjusted operating income. Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.
5)    Represents the effect of consolidating financial guaranty variable interest entities and consolidated investment vehicles (FG VIE and CIV consolidation).


1


Assured Guaranty Ltd.
Selected Financial Highlights (2 of 2)
(dollars in millions, except per share amounts)

As of
December 31, 2021December 31, 2020
AmountPer ShareAmountPer Share
Shareholders' equity attributable to AGL$6,292 $93.19 $6,643 $85.66 
Adjusted operating shareholders' equity (1)
5,991 88.73 6,087 78.49 
Adjusted book value (1)
8,823 130.67 8,908 114.87 
Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders' equity32 0.47 0.03 
Adjusted book value23 0.34 (8)(0.10)
Shares outstanding at the end of period67.5 77.5 
Exposure
Financial guaranty net debt service outstanding $367,360 $366,233 
Financial guaranty net par outstanding 236,392 234,153 
Claims-paying resources (2)
$11,219 $11,077 
AUM
Collateralized loan obligations (CLOs)$14,699 $13,856 
Opportunity funds1,824 1,486 
Liquid strategies389 383 
Wind-down funds582 1,623 
Total$17,494 $17,348 

1)    Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.
2)    See page 19 for additional detail on claims-paying resources.
2


Assured Guaranty Ltd.
Consolidated Balance Sheets (unaudited)
(dollars in millions)
As of
December 31,December 31,
20212020
Assets
Investments:
Fixed-maturity securities, available-for-sale, at fair value$8,202 $8,773 
Short-term investments, at fair value1,225 851 
Other invested assets181 214 
Total investments9,608 9,838 
Cash120 162 
Premiums receivable, net of commissions payable1,372 1,372 
Deferred acquisition costs (DAC)131 119 
Salvage and subrogation recoverable801 991 
Financial guaranty variable interest entities' (FG VIEs') assets, at fair value260 296 
Assets of consolidated investment vehicles (CIVs)5,271 1,913 
Goodwill and other intangible assets175 203 
Other assets470 440 
Total assets$18,208 $15,334 
Liabilities
Unearned premium reserve$3,716 $3,735 
Loss and loss adjustment expense (LAE) reserve869 1,088 
Long-term debt1,673 1,224 
Credit derivative liabilities, at fair value156 103 
FG VIEs' liabilities, at fair value289 333 
Liabilities of CIVs4,436 1,590 
Other liabilities569 556 
Total liabilities11,708 8,629 
Redeemable noncontrolling interests22 21 
Shareholders' equity
Common shares
Retained earnings5,990 6,143 
Accumulated other comprehensive income300 498 
Deferred equity compensation
Total shareholders' equity attributable to AGL6,292 6,643 
Nonredeemable noncontrolling interests186 41 
Total shareholders' equity 6,478 6,684 
Total liabilities, redeemable noncontrolling interests and shareholders’ equity$18,208 $15,334 



3


Assured Guaranty Ltd.
Consolidated Statements of Operations (unaudited)
(dollars in millions, except per share amounts)

Three Months Ended Year Ended
December 31,December 31,
2021202020212020
Revenues
Net earned premiums$107 $154 $414 $485 
Net investment income65 68 269 297 
Asset management fees23 29 88 89 
Net realized investment gains (losses)11 15 18 
Fair value gains (losses) on credit derivatives(27)61 (58)81 
Fair value gains (losses) on committed capital securities (CCS)— (14)(28)(1)
Fair value gains (losses) on FG VIEs(2)23 (10)
Fair value gains (losses) on CIVs74 127 41 
Foreign exchange gains (losses) on remeasurement(1)59 (23)39 
Commutation gains (losses)— — — 38 
Other income (loss)14 21 38 
Total revenues263 379 848 1,115 
Expenses
Loss and LAE (benefit)(166)73 (220)203 
Interest expense20 21 87 85 
Loss on extinguishment of debt— — 175 — 
Amortization of DAC14 16 
Employee compensation and benefit expenses57 61 230 228 
Other operating expenses44 69 179 197 
Total expenses(41)229 465 729 
Income (loss) before income taxes and equity in earnings of investees304 150 383 386 
Equity in earnings of investees28 24 94 27 
Income (loss) before income taxes332 174 477 413 
Less: Provision (benefit) for income taxes50 25 58 45 
Net income (loss)282 149 419 368 
Less: Noncontrolling interests19 30 
Net income (loss) attributable to AGL$263 $148 $389 $362 
Earnings per share:
Basic$3.80 $1.84 $5.29 $4.22 
Diluted$3.74 $1.82 $5.23 $4.19 

4


Assured Guaranty Ltd.
Income Components (1 of 5)
(in millions)

Components of Adjusted Operating Income and Reconciliation to Net Income (Loss) Attributable to Assured Guaranty Ltd.

Three Months Ended Year Ended
  December 31,December 31,
2021202020212020
Components of Adjusted Operating Income:
Segments:
Insurance$277 $109 $722 $429 
Asset Management(3)(20)(19)(50)
Total segments274 89 703 379 
Corporate division(31)(28)(263)(111)
Other30 (5)30 (12)
Subtotal273 56 470 256 
Reconciliation to Net Income Attributable to Assured Guaranty Ltd.:
Realized gains (losses) on investments11 15 18 
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives(23)59 (64)65 
Fair value gains (losses) on CCS— (14)(28)(1)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves— 57 (21)42 
Tax effect(16)17 (18)
Net Income (Loss) Attributable to Assured Guaranty Ltd.
$263 $148 $389 $362 
5


Assured Guaranty Ltd.
Income Components (2 of 5)
(in millions)

Components of Income for the Three Months Ended December 31, 2021


SegmentsCorporate and Other
InsuranceAsset ManagementCorporateOther (1)Reconciling ItemsConsolidated
Revenues
Net earned premiums$108 $— $— $(1)$— $107 
Net investment income67 — (3)— 65 
Asset management fees— 21 — — 23 
Net realized investment gains (losses)— — — — 11 11 
Fair value gains (losses) on credit derivatives (2)
— — — (30)(27)
Fair value gains (losses) on CCS— — — — — — 
Fair value gains (losses) on FG VIEs— — — — 
Fair value gains (losses) on CIVs— — — 74 — 74 
Foreign exchange gains (losses) on remeasurement(1)— — — — (1)
Other income (loss)— (1)— 
Total revenues182 23 76 (19)263 
Expenses
Loss and LAE (benefit) (3)
(161)— — (7)(166)
Interest expense— 22 (3)— 20 
Amortization of DAC— — — — 
Employee compensation and benefit expenses37 14 — — 57 
Other operating expenses22 11 — 44 
Total expenses(98)26 33 (7)(41)
Equity in earnings of investees44 — (1)(15)— 28 
Less: Provision (benefit) for income taxes47 — (2)(2)50 
Less: Noncontrolling interests— — — 19 — 19 
Total$277 $(3)$(31)$30 $(10)$263 


1)    Includes the consolidation of the FG VIEs and CIVs and intersegment eliminations.
2)    Insurance segment balances for this line include only the credit derivative revenues component of realized gains (losses) on credit derivatives.
3)    Insurance segment balances for this line item includes credit derivative impairment (recoveries).


6


Assured Guaranty Ltd.
Income Components (3 of 5)
(in millions)

Components of Income for the Three Months Ended December 31, 2020

SegmentsCorporate and Other
InsuranceAsset ManagementCorporateOther (1)Reconciling ItemsConsolidated
Revenues
Net earned premiums$155 $— $— $(1)$— $154 
Net investment income70 — (3)— 68 
Asset management fees— 20 — — 29 
Net realized investment gains (losses)— — — — 
Fair value gains (losses) on credit derivatives (2)
— — — 57 61 
Fair value gains (losses) on CCS— — — — (14)(14)
Fair value gains (losses) on FG VIEs— — — (2)— (2)
Fair value gains (losses) on CIVs— — — — 
Foreign exchange gains (losses) on remeasurement— — 57 59 
Other income (loss)12 — — — 14 
Total revenues243 22 106 379 
Expenses
Loss and LAE (benefit) (3)
71 — — (2)73 
Interest expense— — 23 (2)— 21 
Amortization of DAC— — — — 
Employee compensation and benefit expenses38 16 — — 61 
Other operating expenses24 31 11 — 69 
Total expenses138 47 33 13 (2)229 
Equity in earnings of investees24 — (1)— 24 
Less: Provision (benefit) for income taxes20 (5)(5)(1)16 25 
Less: Noncontrolling interests— — — — 
Total$109 $(20)$(28)$(5)$92 $148 
1)    Includes the consolidation of the FG VIEs and CIVs and intersegment eliminations.
2)    Insurance segment balances for this line include only the credit derivative revenues component of realized gains (losses) on credit derivatives.
3)    Insurance segment balances for this line item includes credit derivative impairment (recoveries).
7


Assured Guaranty Ltd.
Income Components (4 of 5)
(in millions)

Components of Income for the Year Ended December 31, 2021

SegmentsCorporate and Other
InsuranceAsset ManagementCorporateOther (1)Reconciling ItemsConsolidated
Revenues
Net earned premiums$418 $— $— $(4)$— $414 
Net investment income280 — (13)— 269 
Asset management fees— 77 — 11 — 88 
Net realized investment gains (losses)— — — — 15 15 
Fair value gains (losses) on credit derivatives (2)
20 — — — (78)(58)
Fair value gains (losses) on CCS— — — — (28)(28)
Fair value gains (losses) on FG VIEs— — — 23 — 23 
Fair value gains (losses) on CIVs— — — 127 — 127 
Foreign exchange gains (losses) on remeasurement(2)— — (21)(23)
Other income (loss)17 — (2)— 21 
Total revenues733 83 142 (112)848 
Expenses
Loss and LAE (benefit) (3)
(221)— — 15 (14)(220)
Interest expense— 96 (10)— 87 
Loss on extinguishment of debt— — 175 — — 175 
Amortization of DAC14 — — — — 14 
Employee compensation and benefit expenses142 67 21 — — 230 
Other operating expenses98 40 20 21 — 179 
Total expenses33 108 312 26 (14)465 
Equity in earnings of investees144 — — (50)— 94 
Less: Provision (benefit) for income taxes122 (6)(47)(17)58 
Less: Noncontrolling interests— — — 30 — 30 
Total$722 $(19)$(263)$30 $(81)$389 

1)    Includes the consolidation of the FG VIEs and CIVs and intersegment eliminations.
2)    Insurance segment balances for this line include only the credit derivative revenues component of realized gains (losses) on credit derivatives.
3)    Insurance segment balances for this line item includes credit derivative impairment (recoveries).

8


Assured Guaranty Ltd.
Income Components (5 of 5)
(in millions)

Components of Income for the Year Ended December 31, 2020

SegmentsCorporate and Other
InsuranceAsset ManagementCorporateOther (1)Reconciling ItemsConsolidated
Revenues
Net earned premiums$490 $— $— $(5)$— $485 
Net investment income310 — (15)— 297 
Asset management fees— 60 — 29 — 89 
Net realized investment gains (losses)— — — — 18 18 
Fair value gains (losses) on credit derivatives (2)
14 — — — 67 81 
Fair value gains (losses) on CCS— — — — (1)(1)
Fair value gains (losses) on FG VIEs— — — (10)— (10)
Fair value gains (losses) on CIVs— — — 41 — 41 
Foreign exchange gains (losses) on remeasurement(3)— — — 42 39 
Commutation gains (losses)38 — — — — 38 
Other income (loss)25 — — 38 
Total revenues874 66 40 126 1,115 
Expenses
Loss and LAE (benefit) (3)
204 — — (3)203 
Interest expense— — 95 (10)— 85 
Amortization of DAC16 — — — — 16 
Employee compensation and benefit expenses143 67 18 — — 228 
Other operating expenses83 61 19 34 — 197 
Total expenses446 128 132 21 729 
Equity in earnings of investees61 — (6)(28)— 27 
Less: Provision (benefit) for income taxes60 (12)(18)(3)18 45 
Less: Noncontrolling interests— — — — 
Total$429 $(50)$(111)$(12)$106 $362 

1)    Includes the consolidation of the FG VIEs and CIVs and intersegment eliminations.
2)    Insurance segment balances for this line include only the credit derivative revenues component of realized gains (losses) on credit derivatives.
3)    Insurance segment balances for this line item includes credit derivative impairment (recoveries).
9


Assured Guaranty Ltd.
Selected Financial Highlights
GAAP to Non-GAAP Reconciliations (1 of 3)
(dollars in millions, except per share amounts)

Adjusted Operating Income ReconciliationThree Months Ended Year Ended
December 31,December 31,
2021202020212020
Net income (loss) attributable to AGL$263 $148 $389 $362 
Less pre-tax adjustments:
Realized gains (losses) on investments11 15 18 
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives(23)59 (64)65 
Fair value gains (losses) on CCS— (14)(28)(1)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves— 57 (21)42 
Total pre-tax adjustments(12)108 (98)124 
Less tax effect on pre-tax adjustments(16)17 (18)
Adjusted operating income (loss)$273 $56 $470 $256 
Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating income$30 $(5)$30 $(12)
Per diluted share:
Net income (loss) attributable to AGL$3.74 $1.82 $5.23 $4.19 
Less pre-tax adjustments:
Realized gains (losses) on investments0.16 0.08 0.20 0.21 
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives(0.32)0.72 (0.85)0.75 
Fair value gains (losses) on CCS
(0.01)(0.17)(0.38)(0.01)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves— 0.71 (0.29)0.49 
Total pre-tax adjustments(0.17)1.34 (1.32)1.44 
Less tax effect on pre-tax adjustments0.03 (0.21)0.23 (0.22)
Adjusted operating income (loss)$3.88 $0.69 $6.32 $2.97 
Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating income$0.43 $(0.06)$0.41 $(0.14)


Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.












10


Assured Guaranty Ltd.
Selected Financial Highlights
GAAP to Non-GAAP Reconciliations (2 of 3)
(dollars in millions)

ROE Reconciliation and Calculation
December 31,September 30,December 31,September 30,December 31,
20212021202020202019
Shareholders' equity attributable to AGL$6,292 $6,300 $6,643 $6,549 $6,639 
Adjusted operating shareholders' equity5,991 5,906 6,087 6,070 6,246 
Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating shareholders' equity 32  2 1 7 
Three Months Ended Year Ended
December 31,December 31,
2021202020212020
Net income (loss) attributable to AGL$263 $148 $389 $362 
Adjusted operating income (loss)273 56 470 256 
Average shareholders' equity attributable to AGL$6,296 $6,596 $6,468 $6,641 
Average adjusted operating shareholders' equity5,949 6,079 6,039 6,167 
Gain (loss) related to FG VIE and CIV consolidation included in average adjusted operating shareholders' equity 16 2 17 5 
GAAP ROE (1)
16.8 %8.9 %6.0 %5.4 %
Adjusted operating ROE (1)
18.4 %3.7 %7.8 %4.2 %

1)    Quarterly ROE calculations represent annualized returns.

Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.


11


Assured Guaranty Ltd.
Selected Financial Highlights
GAAP to Non-GAAP Reconciliations (3 of 3)
(dollars in millions)

As of
December 31,September 30,December 31,September 30,December 31,
20212021202020202019
Reconciliation of shareholders' equity attributable to AGL to adjusted book value:
Shareholders' equity attributable to AGL$6,292 $6,300 $6,643 $6,549 $6,639 
Less pre-tax reconciling items:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (54)(32)(50)(56)
Fair value gains (losses) on CCS23 24 52 65 52 
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect 404 492 611 563 486 
Less taxes(72)(90)(116)(99)(89)
Adjusted operating shareholders' equity5,991 5,906 6,087 6,070 6,246 
Pre-tax reconciling items:
Less: Deferred acquisition costs 131 129 119 118 111 
Plus: Net present value of estimated net future revenue160 164 182 183 206 
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed3,402 3,383 3,355 3,346 3,296 
Plus taxes(599)(597)(597)(596)(590)
Adjusted book value$8,823 $8,727 $8,908 $8,885 $9,047 
Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders' equity (net of tax (provision) benefit of $(5), $(1), $-, $(1) and $(2))$32 $— $$$
Adjusted book value (net of tax (provision) benefit of $(3), $3, $2, $2 and $1)$23 $(9)$(8)$(8)$(4)



Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.





12


Assured Guaranty Ltd.
Fixed-Maturity Securities, Short-Term Investments and Cash
As of December 31, 2021
(dollars in millions)
Amortized CostAllowance for Credit LossesPre-Tax Book YieldAfter-Tax Book YieldFair Value
Annualized Investment Income (1)
Fixed maturity securities, available-for-sale:
Obligations of states and political subdivisions(2)(4)
$3,386 $(12)3.53 %3.25 %$3,660 $120 
U.S. government and agencies123 — 2.03 1.74 128 
Corporate securities2,516 (1)2.59 2.26 2,605 65 
Mortgage-backed securities:
Residential mortgage-backed securities (RMBS)(3)(4)
454 (17)4.55 3.81 437 21 
Commercial mortgage-backed securities332 — 3.47 3.01 346 12 
Asset-backed securities (ABS)
CLOs457 — 2.14 1.69 458 10 
Other ABS (4)
420 (12)5.08 4.10 432 21 
Non-U.S. government securities134 — 1.00 0.98 136 
Total fixed maturity securities7,822 (42)3.22 2.85 8,202 252 
Short-term investments 1,225 — 0.01 0.01 1,225 — 
Cash (5)
120 — — — 120 — 
Total$9,167 $(42)2.78 %2.46 %$9,547 $252 
Ratings (6):
Fair Value% of Portfolio
U.S. government and agencies$128 1.6 %
AAA/Aaa1,201 14.6 %
AA/Aa3,008 36.6 %
A/A2,055 25.1 %
BBB1,124 13.7 %
Below investment grade (BIG) (7)
612 7.5 %
Not rated74 0.9 %
Total fixed maturity securities, available-for-sale$8,202 100.0 %
Duration of fixed-maturity securities and short-term investments (in years):4.1
Average ratings of fixed-maturity securities and short-term investmentsA+

1)    Represents annualized investment income based on amortized cost and pre-tax book yields.
2)    Includes obligations of state and local political subdivisions that have been insured by other financial guarantors. The underlying ratings of these bonds, after giving effect to the lower of the rating assigned by S&P Global Ratings, a division of Standard & Poor's Financial Services LLC (S&P) or Moody's Investors Service, Inc. (Moody's), average A. Includes fair value of $7 million insured by Assured Guaranty Municipal Corp. (AGM).
3)    Includes fair value of $180 million in subprime RMBS, which has an average rating of BIG.
4)    Includes securities purchased or obtained as part of loss mitigation or other risk management strategies.
5)    Cash is not included in the yield calculation.
6)    Ratings are represented by the lower of the Moody's or S&P classifications except for bonds purchased for loss mitigation (loss mitigation securities) or other risk management strategies which use internal ratings classifications.
7)    Includes BIG securities that were purchased or obtained as part of loss mitigation or other risk management strategies of $800 million in par with carrying value of $608 million.


13


Assured Guaranty Ltd.
Investment Portfolio, Cash and CIVs
GAAP
(dollars in millions)

Investment Portfolio, Cash and CIVs as of December 31, 2021
Insurance Subsidiaries (1)
Holding Companies (2)
OtherAGL Consolidated
Fixed-maturity securities$8,106 $96 $ $8,202 
Short-term investments859 355 11 1,225 
Cash71 — 49 120 
Total short-term investments and cash930 355 60 1,345 
Other invested assets
AssuredIM Funds (3)
CLOs228 — (228)— 
Municipal bonds107 — (107)— 
Healthcare funds115 — (115)— 
Asset-based funds93 — (93)— 
Equity method investments AssuredIM Funds543 — (543)— 
Other167 181 
Other invested assets710 8 (537)181 
Total investment portfolio and cash$9,746 $459 $(477)$9,728 
CIVs
Assets of CIVs$— $— $5,271 $5,271 
Liabilities of CIVs— — (4,436)(4,436)
Redeemable noncontrolling interests— — (22)(22)
Nonredeemable noncontrolling interests— — (186)(186)
Total CIVs$ $ $627 $627 

Investment Portfolio, Cash and CIVs as of December 31, 2020
Insurance SubsidiariesHolding CompaniesOtherAGL Consolidated
Fixed-maturity securities$8,703 $70 $ $8,773 
Short-term investments607 224 20 851 
Cash120 11 31 162 
Total short-term investments and cash727 235 51 1,013 
Other invested assets
AssuredIM Funds
CLOs100 — (100)— 
Municipal bonds105 — (105)— 
Healthcare funds97 — (6)91 
Asset-based funds43 — (43)— 
Equity method investments AssuredIM Funds345 — (254)91 
Other105 10 123 
Other invested assets450 8 (244)214 
Total investment portfolio and cash$9,880 $313 $(193)$10,000 
CIVs
Assets of CIVs$— $— $1,913 $1,913 
Liabilities of CIVs— — (1,590)(1,590)
Redeemable noncontrolling interests— — (21)(21)
Nonredeemable noncontrolling interests— — (41)(41)
Total CIVs$ $ $261 $261 
1)    Includes the Company's U.S., Bermuda and European insurance subsidiaries.
2)    Includes the Company's' holding companies: AGL, Assured Guaranty US Holdings Inc. and Assured Guaranty Municipal Holdings Inc. (AGMH).
3)    Funds managed by Assured Investment Management LLC (AssuredIM LLC) and its investment management affiliates (together with AssuredIM LLC, AssuredIM) (AssuredIM Funds).
14



Assured Guaranty Ltd.
Income from Investment Portfolio and CIVs
Segment (1 of 2)
(dollars in millions)

Net Investment Income, Equity in Earning of Investees and Fair Value Gains (Losses) on CIVs on a Segment basis for the Three Months Ended December 31, 2021 and December 31, 2020

Three Months Ended December 31, 2021
InsuranceAsset ManagementCorporateOtherTotal
Net investment income$67 $ $1 $(3)$65 
Equity in earnings of investees
AssuredIM Funds$10 $— $— $(15)$(5)
Other34 — (1)— 33 
Equity in earnings of investees$44 $ $(1)$(15)$28 
CIVs
Fair value gains (losses) on CIVs$— $— $— $74 $74 
Noncontrolling interests— — — (19)(19)
Total CIVs$ $ $ $55 $55 


Three Months Ended December 31, 2020
InsuranceAsset ManagementCorporateOtherTotal
Net investment income$70 $ $1 $(3)$68 
Equity in earnings of investees
AssuredIM Funds$13 $— $— $$14 
Other11 — (1)— 10 
Equity in earnings of investees$24 $ $(1)$1 $24 
CIVs
Fair value gains (losses) on CIVs$— $— $— $$
Noncontrolling interests— — — (1)(1)
Total CIVs$ $ $ $3 $3 













15



Assured Guaranty Ltd.
Income from Investment Portfolio and CIVs
Segment (2 of 2)
(dollars in millions)

Net Investment Income, Equity in Earning of Investees and Fair Value Gains (Losses) on CIVs on a Segment basis for the Year Ended December 31, 2021 and December 31, 2020

Year Ended December 31, 2021
InsuranceAsset ManagementCorporateOtherTotal
Net investment income$280 $ $2 $(13)$269 
Equity in earnings of investees
AssuredIM Funds$80 $— $— $(50)$30 
Other64 — — — 64 
Equity in earnings of investees$144 $ $ $(50)$94 
CIVs
Fair value gains (losses) on CIVs$— $— $— $127 $127 
Noncontrolling interests— — — (30)(30)
Total CIVs$ $ $ $97 $97 


Year Ended December 31, 2020
InsuranceAsset ManagementCorporateOtherTotal
Net investment income$310 $ $2 $(15)$297 
Equity in earnings of investees
AssuredIM Funds$42 $— $— $(28)$14 
Other19 — (6)— 13 
Equity in earnings of investees$61 $ $(6)$(28)$27 
CIVs
Fair value gains (losses) on CIVs$— $— $— $41 $41 
Noncontrolling interests— — — (6)(6)
Total CIVs$ $ $ $35 $35 
16












Insurance Segment
17


Assured Guaranty Ltd.
Insurance Segment Results
(dollars in millions)

Three Months Ended Year Ended
December 31,December 31,
2021202020212020
Segment revenues
Net earned premiums and credit derivative revenues$111 $159 $438 $504 
Net investment income67 70 280 310 
Commutation gains (losses)— — — 38 
Other income (loss)14 15 22 
Total segment revenues182 243 733 874 
Segment expenses
Loss expense (benefit)(161)71 (221)204 
Amortization of DAC14 16 
Employee compensation and benefit expenses37 38 142 143 
Write-off of Municipal Assurance Corp. (MAC) insurance licenses— — 16 — 
Other operating expenses22 24 82 83 
Total segment expenses(98)138 33 446 
Equity in earnings of investees44 24 144 61 
Segment adjusted operating income (loss) before income taxes324 129 844 489 
Less: Provision (benefit) for income taxes47 20 122 60 
Segment adjusted operating income (loss)$277 $109 $722 $429 



18


Assured Guaranty Ltd.
Claims-Paying Resources
(dollars in millions)
As of December 31, 2021
Assured Guaranty Municipal Corp.Assured Guaranty Corp.
Assured Guaranty Re Ltd. (7)
Eliminations(2)
Consolidated
Claims-paying resources
Policyholders' surplus$3,053 $2,070 $660 $(211)$5,572 
Contingency reserve(1)
877 348 — — 1,225 
Qualified statutory capital3,930 2,418 660 (211)6,797 
Unearned premium reserve and net deferred ceding commission income(1)
2,127 353 568 (76)2,972 
Loss and LAE reserves (1)
12 148 — 167 
Total policyholders' surplus and reserves6,069 2,778 1,376 (287)9,936 
Present value of installment premium460 194 229 — 883 
CCS200 200 — — 400 
Total claims-paying resources6,729 3,172 1,605 (287)11,219 
Statutory net exposure (1)(3)
$152,812 $21,604 $59,056 $(659)$232,813 
Net debt service outstanding (1)(3)
$241,985 $33,024 $89,447 $(1,372)$363,084 
Ratios:
Net exposure to qualified statutory capital39:19:189:134:1
Capital ratio (4)
62:114:1136:153:1
Financial resources ratio (5)
36:110:156:132:1
Statutory net exposure to claims-paying resources 23:17:137:121:1

1)    The numbers shown for AGM have been adjusted to include 100% share of its United Kingdom (U.K.) and French insurance subsidiaries. On April 1, 2021, MAC was merged with and into AGM, with AGM as the surviving company.
2)    Eliminations are primarily for (i) intercompany surplus notes between AGM and AGC, and (ii) eliminations of intercompany deferred ceding commissions. Net exposure and net debt service outstanding eliminations relate to second-to-pay policies under which an Assured Guaranty insurance subsidiary guarantees an obligation already insured by another Assured Guaranty insurance subsidiary.
3)    Net exposure and net debt service outstanding are presented on a statutory basis. Includes $1,071 million of specialty insurance and reinsurance exposure.
4)    The capital ratio is calculated by dividing net debt service outstanding by qualified statutory capital.
5)    The financial resources ratio is calculated by dividing net debt service outstanding by total claims-paying resources.
6)    Assured Guaranty Re Ltd. (AG Re) numbers represent the Company's estimate of AGRe on a U.S. statutory basis, except for contingency reserves.


Please refer to the Glossary for an explanation of changes in the presentation of net debt service and net par outstanding.


19


Assured Guaranty Ltd.
New Business Production
(dollars in millions)

Reconciliation of GWP to PVP for the Three Months Ended December 31, 2021 and December 31, 2020

Three Months Ended Three Months Ended
December 31, 2021December 31, 2020
Public FinanceStructured FinancePublic FinanceStructured Finance
U.S.Non - U.S.
U.S.
Non - U.S.TotalU.S.Non - U.S.U.S.Non - U.S.Total
Total GWP$71 $19 $8 $2 $100 $112 $(1)$8 $1 $120 
Less: Installment GWP and other GAAP adjustments (1)
10 16 33 33 (2)39 
Upfront GWP61 — 67 79 — 81 
Plus: Installment premium PVP13 31 31 45 
Total PVP$70 $16 $10 $$98 $110 $$$$126 
Gross par written $5,947 $ $375 $164 $6,486 $6,343 $ $192 $253 $6,788 


Reconciliation of GWP to PVP for the Year Ended December 31, 2021 and December 31, 2020

Year EndedYear Ended
December 31, 2021December 31, 2020
Public FinanceStructured FinancePublic FinanceStructured Finance
U.S.Non - U.S.
U.S. (2)
Non - U.S.TotalU.S.Non - U.S.U.S.Non - U.S.Total
Total GWP$231 $89 $51 $6 $377 $294 $142 $18 $ $454 
Less: Installment GWP and other GAAP adjustments (1)
43 65 44 158 33 141 17 — 191 
Upfront GWP188 24 — 219 261 — 263 
Plus: Installment premium PVP47 55 35 <