EX-99.2 3 agl2q22supplement.htm AGL FINANCIAL SUPPLEMENT Document

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Assured Guaranty Ltd.
June 30, 2022
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 and its Quarterly Reports on Form 10-Q for the quarterly period ended March 31, 2022 and June 30, 2022.




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) changes in inflation, interest rates, the world’s credit markets or segments thereof, credit spreads or general economic conditions; (2) consequences of the conflict in Ukraine, including economic sanctions, volatility in energy prices, and the potential for increased cyberattacks; (3) 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 in this section; (4) 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; (5) reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty’s insurance; (6) 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; (7) 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; (8) 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 exposures to Puerto Rico (Puerto Rico or the Commonwealth) in a manner substantially consistent with the support agreements signed to date; (9) increased competition, including from new entrants into the financial guaranty industry; (10) poor performance of Assured Guaranty's asset management strategies compared to the performance of the asset management strategies of Assured Guaranty’s competitors; (11) 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; (12) 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; (13) 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; (14) the inability of Assured Guaranty to access external sources of capital on acceptable terms; (15) changes in applicable accounting policies or practices; (16) changes in applicable laws or regulations, including insurance, bankruptcy and tax laws, or other governmental actions; (17) the possibility that acquisitions made by Assured Guaranty, including its acquisition of BlueMountain Capital Management, LLC (now known as Assured Investment Management LLC) and its associated entities (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; (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 Six Months Ended
June 30,June 30,
2022202120222021
GAAP Highlights
Net income (loss) attributable to AGL$(47)$98 $19 $109 
Net income (loss) attributable to AGL per diluted share $(0.74)$1.29 $0.29 $1.42 
Weighted average shares outstanding
Basic shares outstanding63.8 75.2 65.0 75.9 
Diluted shares outstanding (6)
63.8 76.0 66.2 76.7 
Effective tax rate on net income(12.9)%18.5 %30.3 %16.5 %
GAAP return on equity (ROE) (3)
(3.4)%6.1 %0.7 %3.3 %
Non-GAAP Highlights (1)
Components of adjusted operating income (loss) (1)
Insurance segment$55 $152 $188 $231 
Asset Management segment— (2)— (9)
Corporate division(35)(34)(68)(63)
Other (5)
10 4 — 4 
Adjusted operating income (loss)$30 $120 $120 $163 
Adjusted operating income (loss) per diluted share (1)
$0.46 $1.59 $1.81 $2.13 
Weighted average diluted shares outstanding65.0 76.0 66.2 76.7 
Effective tax rate on adjusted operating income (2)
17.3 %18.7 %18.0 %17.7 %
Adjusted operating ROE (1)(3)
2.1 %8.0 %4.1 %5.4 %
Insurance Segment
Gross written premiums (GWP)$65 $84 $135 $171 
Present value of new business production (PVP) (1)
76 81 145 167 
Gross par written6,695 6,137 11,166 11,609 
Asset Management Segment
Assets under management (AUM):
Inflows-third party$1,270 $426 $1,361 $1,239 
Inflows-intercompany154 — 154 109 
Effect of refundings and terminations on GAAP measures:
Net earned premiums, pre-tax$5 $15 $133 $31 
Fair value gains (losses) of credit derivatives, pre-tax— — 2 — 
Net income effect3 11 106 24 
Net income per diluted share 0.06 0.15 1.60 0.31 
Effect of refundings and terminations on non-GAAP measures:
Operating net earned premiums and credit derivative revenues(4), pre-tax
$5 $15 $135 $31 
Adjusted operating income(4) effect
3 11 106 24 
Adjusted operating income per diluted share (4)
0.06 0.15 1.60 0.31 
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 9 for additional information on calculation.
4)    Condensed consolidated statement 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).
6)    In periods where the Company recognized a net loss, the impact of potentially dilutive outstanding stock-based awards was excluded from the calculation of diluted loss per share as their inclusion would have an antidilutive effect.
1

Assured Guaranty Ltd.
Selected Financial Highlights (2 of 2)
(dollars in millions, except per share amounts)
As of
June 30, 2022December 31, 2021
AmountPer ShareAmountPer Share
Shareholders' equity attributable to AGL$5,304 $84.89 $6,292 $93.19 
Adjusted operating shareholders' equity (1)
5,634 90.18 5,991 88.73 
Adjusted book value (1)
8,428 134.91 8,823 130.67 
Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders' equity26 0.42 32 0.47 
Adjusted book value18 0.29 23 0.34 
Shares outstanding at the end of period62.5 67.5 
Exposure
Financial guaranty net debt service outstanding $362,832 $367,360 
Financial guaranty net par outstanding:
Investment grade$227,426 $229,036 
Below investment grade (BIG)5,386 7,356 
Total$232,812 $236,392 
Claims-paying resources (2)
$10,857 $11,219 
AUM
Collateralized loan obligations (CLOs)$15,176 $14,699 
Opportunity funds 2,050 1,824 
Liquid strategies 372 389 
Wind-down funds 339 582 
Total $17,937 $17,494 

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.
Condensed Consolidated Balance Sheets (unaudited)
(dollars in millions)
As of
June 30,December 31,
20222021
Assets
Investments:
Fixed-maturity securities available-for-sale, at fair value$7,396 $8,202 
Fixed-maturity securities, trading, at fair value87 — 
Short-term investments, at fair value863 1,225 
Other invested assets150 181 
Total investments8,496 9,608 
Cash138 120 
Premiums receivable, net of commissions payable1,235 1,372 
Deferred acquisition costs (DAC)139 131 
Salvage and subrogation recoverable502 801 
Financial guaranty variable interest entities’ (FG VIEs’) assets, at fair value264 260 
Assets of consolidated investment vehicles (CIVs)5,456 5,271 
Goodwill and other intangible assets169 175 
Other assets561 470 
Total assets$16,960 $18,208 
Liabilities
Unearned premium reserve$3,585 $3,716 
Loss and loss adjustment expense (LAE) reserve716 869 
Long-term debt1,674 1,673 
Credit derivative liabilities, at fair value148 156 
FG VIEs’ liabilities, at fair value282 289 
Liabilities of CIVs4,568 4,436 
Other liabilities419 569 
Total liabilities11,392 11,708 
Redeemable noncontrolling interests21 22 
Shareholders’ equity
Common shares1 1 
Retained earnings5,672 5,990 
Accumulated other comprehensive income (loss)(370)300 
Deferred equity compensation1 1 
Total shareholders’ equity attributable to AGL5,304 6,292 
Nonredeemable noncontrolling interests243 186 
Total shareholders’ equity5,547 6,478 
Total liabilities, redeemable noncontrolling interests and shareholders’ equity$16,960 $18,208 



3

Assured Guaranty Ltd.
Condensed Consolidated Statements of Operations (unaudited)
(dollars in millions, except per share amounts)
Three Months Ended Six Months Ended
June 30,June 30,
2022202120222021
Revenues
Net earned premiums$82 $102 $296 $205 
Net investment income62 68 124 138 
Asset management fees21 21 55 45 
Net realized investment gains (losses)(28)4 (25)1 
Fair value gains (losses) on credit derivatives9 (33)6 (52)
Fair value gains (losses) on committed capital securities (CCS)10 (6)11 (25)
Fair value gains (losses) on FG VIEs10 8 16 13 
Fair value gains (losses) on CIVs3 21 17 37 
Foreign exchange gains (losses) on remeasurement(71)5 (101)5 
Fair value gains (losses) on trading securities (18)— (22)— 
Other income (loss)10 6 13 6 
Total revenues90 196 390 373 
Expenses
Loss and LAE (benefit)(11)(16)46 14 
Interest expense20 23 40 44 
Amortization of DAC3 4 7 7 
Employee compensation and benefit expenses59 54 132 114 
Other operating expenses41 40 83 97 
Total expenses112 105 308 276 
Income (loss) before income taxes and equity in earnings (losses) of investees(22)91 82 97 
Equity in earnings (losses) of investees— 34 (11)43 
Income (loss) before income taxes (22)125 71 140 
Less: Provision (benefit) for income taxes3 23 21 23 
Net income (loss)(25)102 50 117 
Less: Noncontrolling interests22 4 31 8 
Net income (loss) attributable to AGL$(47)$98 $19 $109 
Earnings per share:
Basic$(0.74)$1.31 $0.29 $1.44 
Diluted$(0.74)$1.29 $0.29 $1.42 

4

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

Components of Adjusted Operating Income and Reconciliation to Net Income (Loss) Attributable to AGL

Three Months Ended Six Months Ended
  June 30,June 30,
2022202120222021
Components of adjusted operating income:
Segments:
Insurance$55 $152 $188 $231 
Asset Management— (2)— (9)
Total segments55 150 188 222 
Corporate division(35)(34)(68)(63)
Other10 4 — 4 
Subtotal30 120 120 163 
Reconciliation to net income (loss) attributable to AGL:
Realized gains (losses) on investments(28)4 (25)1 
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives6 (31)3 (50)
Fair value gains (losses) on CCS10 (6)11 (25)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves(73)5 (102)6 
Tax effect8 6 12 14 
Net income (loss) attributable to AGL
$(47)$98 $19 $109 
5

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

Components of Income for the Three Months Ended June 30, 2022

SegmentsCorporate and Other
InsuranceAsset ManagementCorporateOther (1)Reconciling ItemsConsolidated
Revenues
Net earned premiums$83 $— $— $(1)$— $82 
Net investment income66 — 1 (5)— 62 
Asset management fees— 29 — (8)— 21 
Net realized investment gains (losses)— — — — (28)(28)
Fair value gains (losses) on credit derivatives (2)
3 — — — 6 9 
Fair value gains (losses) on CCS— — — — 10 10 
Fair value gains (losses) on FG VIEs— — — 10 — 10 
Fair value gains (losses) on CIVs— — — 3 — 3 
Foreign exchange gains (losses) on remeasurement(3)— — 5 (73)(71)
Fair value gains (losses) on trading securities(18)— — — — (18)
Other income (loss)8 (1)— 3 — 10 
Total revenues139 28 1 7 (85)90 
Expenses
Loss and LAE (benefit) (3)
(17)— — 6 — (11)
Interest expense— — 23 (3)— 20 
Amortization of DAC3 — — — — 3 
Employee compensation and benefit expenses35 17 7 — — 59 
Other operating expenses20 11 6 4 — 41 
Total expenses41 28 36 7 — 112 
Equity in earnings (losses) of investees(34)— — 34 — — 
Less: Provision (benefit) for income taxes9 — — 2 (8)3 
Less: Noncontrolling interests— — — 22 — 22 
Total$55 $— $(35)$10 $(77)$(47)

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 June 30, 2021

SegmentsCorporate and Other
InsuranceAsset ManagementCorporateOther (1)Reconciling ItemsConsolidated
Revenues
Net earned premiums$103 $— $— $(1)$— $102 
Net investment income71 — — (3)— 68 
Asset management fees— 19 — 2 — 21 
Net realized investment gains (losses)— — — — 4 4 
Fair value gains (losses) on credit derivatives (2)
4 — — — (37)(33)
Fair value gains (losses) on CCS— — — — (6)(6)
Fair value gains (losses) on FG VIEs— — — 8 — 8 
Fair value gains (losses) on CIVs— — — 21 — 21 
Foreign exchange gains (losses) on remeasurement— — — — 5 5 
Other income (loss)4 2 — — — 6 
Total revenues182 21 — 27 (34)196 
Expenses
Loss and LAE (benefit) (3)
(12)— — 2 (6)(16)
Interest expense— — 26 (3)— 23 
Amortization of DAC4 — — — — 4 
Employee compensation and benefit expenses34 15 5 — — 54 
Other operating expenses21 9 5 5 — 40 
Total expenses47 24 36 4 (6)105 
Equity in earnings (losses) of investees48 — — (14)— 34 
Less: Provision (benefit) for income taxes31 (1)(2)1 (6)23 
Less: Noncontrolling interests— — — 4 — 4 
Total$152 $(2)$(34)$4 $(22)$98 

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 Six Months Ended June 30, 2022

SegmentsCorporate and Other
InsuranceAsset ManagementCorporateOther (1)Reconciling ItemsConsolidated
Revenues
Net earned premiums$298 $— $— $(2)$— $296 
Net investment income129 — 2 (7)— 124 
Asset management fees— 66 — (11)— 55 
Net realized investment gains (losses)— — — — (25)(25)
Fair value gains (losses) on credit derivatives (2)
7 — — — (1)6 
Fair value gains (losses) on CCS— — — — 11 11 
Fair value gains (losses) on FG VIEs— — — 16 — 16 
Fair value gains (losses) on CIVs— — — 17 — 17 
Foreign exchange gains (losses) on remeasurement(4)— — 5 (102)(101)
Fair value gains (losses) on trading securities(22)— — — — (22)
Other income (loss)9 1 — 3 — 13 
Total revenues417 67 2 21 (117)390 
Expenses
Loss and LAE (benefit)(3)
43 — — 7 (4)46 
Interest expense1 — 44 (5)— 40 
Amortization of DAC7 — — — — 7 
Employee compensation and benefit expenses73 46 13 — — 132 
Other operating expenses39 21 13 10 — 83 
Total expenses163 67 70 12 (4)308 
Equity in earnings (losses) of investees(35)— — 24 — (11)
Less: Provision (benefit) for income taxes31 — — 2 (12)21 
Less: Noncontrolling interests— — — 31 — 31 
Total$188 $— $(68)$— $(101)$19 

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 Six Months Ended June 30, 2021

SegmentsCorporate and Other
InsuranceAsset ManagementCorporateOther (1)Reconciling ItemsConsolidated
Revenues
Net earned premiums$207 $— $— $(2)$— $205 
Net investment income144 — — (6)— 138 
Asset management fees— 39 — 6 — 45 
Net realized investment gains (losses)— — — — 1 1 
Fair value gains (losses) on credit derivatives (2)
7 — — — (59)(52)
Fair value gains (losses) on CCS— — — — (25)(25)
Fair value gains (losses) on FG VIEs— — — 13 — 13 
Fair value gains (losses) on CIVs— — — 37 — 37 
Foreign exchange gains (losses) on remeasurement(1)— — — 6 5 
Other income (loss)4 2 — — — 6 
Total revenues361 41 — 48 (77)373 
Expenses
Loss and LAE (benefit)(3)
18 — — 5 (9)14 
Interest expense— — 49 (5)— 44 
Amortization of DAC7 — — — — 7 
Employee compensation and benefit expenses70 34 10 — — 114 
Other operating expenses58 19 9 11 — 97 
Total expenses153 53 68 11 (9)276 
Equity in earnings (losses) of investees67 — — (24)— 43 
Less: Provision (benefit) for income taxes44 (3)(5)1 (14)23 
Less: Noncontrolling interests— — — 8 — 8 
Total$231 $(9)$(63)$4 $(54)$109 

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 Six Months Ended
June 30,June 30,
2022202120222021
Net income (loss) attributable to AGL$(47)$98 $19 $109 
Less pre-tax adjustments:
Realized gains (losses) on investments(28)4 (25)1 
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives6 (31)3 (50)
Fair value gains (losses) on CCS
10 (6)11 (25)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves (73)5 (102)6 
Total pre-tax adjustments(85)(28)(113)(68)
Less tax effect on pre-tax adjustments8 6 12 14 
Adjusted operating income (loss)$30 $120 $120 $163 
Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating income$10 $4 $— $4 
Per diluted share:
Net income (loss) attributable to AGL$(0.74)$1.29 $0.29 $1.42 
Less pre-tax adjustments:
Realized gains (losses) on investments(0.43)0.05 (0.37)0.01 
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives0.09 (0.40)0.04 (0.65)
Fair value gains (losses) on CCS0.15 (0.08)0.17 (0.32)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves
(1.14)0.06 (1.54)0.07 
Total pre-tax adjustments(1.33)(0.37)(1.70)(0.89)
Less tax effect on pre-tax adjustments0.13 0.07 0.18 0.18 
Adjusted operating income (loss) $0.46 $1.59 $1.81 $2.13 
Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating income$0.15 $0.05 $— $0.05 



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
June 30,March 31,December 31,June 30,March 31December 31,
202220222021202120212020
Shareholders’ equity attributable to AGL$5,304 $5,802 $6,292 $6,503 $6,430 $6,643 
Adjusted operating shareholders’ equity5,634 5,860 5,991 6,063 6,032 6,087 
Gain (loss) related to FG VIE and CIV consolidation included in adjusted operating shareholders' equity 26 22 32 3 1 2 
Three Months Ended Six Months Ended
June 30,June 30,
2022202120222021
Net income (loss) attributable to AGL $(47)$98 $19 $109 
Adjusted operating income (loss)30 120 120 163 
Average shareholders’ equity attributable to AGL$5,553 $6,467 $5,798 $6,573 
Average adjusted operating shareholders’ equity5,747 6,048 5,813 6,075 
Gain (loss) related to FG VIE and CIV consolidation included in average adjusted operating shareholders' equity 24 2 29 3 
GAAP ROE (1)
(3.4)%6.1 %0.7 %3.3 %
Adjusted operating ROE (1)
2.1 %8.0 %4.1 %5.4 %

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
June 30,March 31,December 31,June 30,March 31,December 31,
202220222021202120212020
Reconciliation of shareholders’ equity attributable to AGL to adjusted book value:
Shareholders’ equity attributable to AGL$5,304 $5,802 $6,292 $6,503 $6,430 $6,643 
Less pre-tax reconciling items:
Non-credit impairment-related unrealized fair value gains (losses) on credit derivatives (51)(57)(54)(41)(10)9 
Fair value gains (losses) on CCS34 24 23 27 33 52 
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect (359)(26)404 552 463 611 
Less taxes46 1 (72)(98)(88)(116)
Adjusted operating shareholders' equity5,634 5,860 5,991 6,063 6,032 6,087 
Pre-tax reconciling items:
Less: Deferred acquisition costs 139 135 131 126 124 119 
Plus: Net present value of estimated net future revenue161 164 160 178 181 182 
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed3,366 3,369 3,402 3,354 3,359 3,355 
Plus taxes(594)(593)(599)(596)(597)(597)
Adjusted book value$8,428 $8,665 $8,823 $8,873 $8,851 $8,908 
Gain (loss) related to FG VIE and CIV consolidation included in:
Adjusted operating shareholders’ equity (net of tax (provision) benefit of $(6), $(5), $(5), $(1), $- and $-)$26 $22 $32 $3 $1 $2 
Adjusted book value (net of tax (provision) benefit of $(3), $(3), $(3), $2, $4 and $2)$18 $13 $23 $(6)$(9)$(8)

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 June 30, 2022
(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)
$3,542 $(14)3.43 %3.15 %$3,484 $121 
U.S. government and agencies122 — 2.03 1.74 119 2 
Corporate securities2,434 (4)2.61 2.28 2,194 64 
Mortgage-backed securities:
Residential mortgage-backed securities (RMBS) (3)(4)
419 (15)4.88 4.08 369 20 
Commercial mortgage-backed securities303 — 3.48 3.03 298 11 
Asset-backed securities (ABS)
CLOs442 — 3.04 2.40 421 14 
Other ABS (4)
419 (18)3.23 2.60 408 14 
Non-U.S. government securities122 — 1.00 0.99 103 1 
Total fixed maturity securities, available-for-sale7,803 (51)3.16 2.80 7,396 247 
Short-term investments 863 — 0.40 0.33 863 3 
Cash (5)
138 — — — 138 — 
Total$8,804 $(51)2.88 %2.55 %$8,397 $250 
Fixed maturity securities, trading (8)
$87 
Ratings (6):
Fair Value% of Portfolio
U.S. government and agencies$119 1.6 %
AAA/Aaa1,077 14.6 
AA/Aa2,699 36.5 
A/A1,774 24.0 
BBB873 11.8 
BIG
549 7.4 
Not rated (7)
305 4.1 
Total fixed maturity securities, available-for-sale$7,396 100.0 %
Duration of available-for-sale fixed maturity securities and short-term investments (in years):3.8
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.
3)    Includes fair value of $156 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 purchased securities that it has insured, and for which it had expected losses to be paid (loss mitigation securities) and certain other securities, which use internal ratings classifications. Loss mitigation and other securities for which internal ratings are used total $764 million in par with carrying value of $549 million and are included in the BIG category.
7)    Includes $241 million of new recovery bonds received in connection with the consummation of the March Puerto Rico Resolutions (see pg.33).
8)    Represent contingent value instruments received in connection with the consummation of the March Puerto Rico Resolutions (see pg.33). These securities are not rated.
13

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

Investment Portfolio, Cash and CIVs as of June 30, 2022
Insurance Subsidiaries (1)
Holding Companies (2)
OtherAGL Consolidated
Fixed-maturity securities, available-for-sale$7,314 $82 $— $7,396 
Fixed-maturity securities, trading87 — — 87 
Short-term investments733 120 10 863 
Cash93 1 44 138 
Total short-term investments and cash826 121 54 1,001 
Other invested assets
AssuredIM Funds (3)
CLOs262 — (262)— 
Municipal bonds103 — (103)— 
Healthcare74 — (74)— 
Asset-based110 — (110)— 
Equity method investments-AssuredIM Funds549 — (549)— 
Other137 11 2 150 
Other invested assets686 11 (547)150 
Total investment portfolio and cash$8,913 $214 $(493)$8,634 
CIVs
Assets of CIVs$— $— $5,456 $5,456 
Liabilities of CIVs— — (4,568)(4,568)
Redeemable noncontrolling interests— — (21)(21)
Nonredeemable noncontrolling interests— — (243)(243)
Total CIVs$— $— $624 $624 

Investment Portfolio, Cash and CIVs as of December 31, 2021
Insurance SubsidiariesHolding CompaniesOtherAGL Consolidated
Fixed-maturity securities, available-for-sale$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
CLOs228 — (228)— 
Municipal bonds107 — (107)— 
Healthcare115 — (115)— 
Asset-based93 — (93)— 
Equity method investments-AssuredIM Funds543 — (543)— 
Other167 8 6 181 
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 

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..
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)

Income from Investment Portfolio and Fair Value Gains (Losses) on CIVs on a Segment basis for the Three Months Ended June 30, 2022 and June 30, 2021

Three Months Ended June 30, 2022
InsuranceAsset ManagementCorporateOtherTotal
Net investment income$66 $— $1 $(5)$62 
Fair value gains (losses) on trading securities$(18)$— $— $— $(18)
Equity in earnings (losses) of investees
AssuredIM Funds$(33)$— $— $34 $1 
Other(1)— — — (1)
Equity in earnings (losses) of investees$(34)$— $— $34 $— 
CIVs
Fair value gains (losses) on CIVs$— $— $— $3 $3 
Noncontrolling interests— — — (22)(22)
Total CIVs$— $— $— $(19)$(19)


Three Months Ended June 30, 2021
InsuranceAsset ManagementCorporateOtherTotal
Net investment income$71 $— $— $(3)$68 
Equity in earnings (losses) of investees
AssuredIM Funds$37 $— $— $(14)$23 
Other11 — — — 11 
Equity in earnings (losses) of investees$48 $— $— $(14)$34 
CIVs
Fair value gains (losses) on CIVs$— $— $— $21 $21 
Noncontrolling interests— — — (4)(4)
Total CIVs$— $— $— $17 $17 









15

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

Income from Investment Portfolio and Fair Value Gains (Losses) on CIVs on a Segment basis for the Six Months Ended June 30, 2022 and June 30, 2021

Six Months Ended June 30, 2022
InsuranceAsset ManagementCorporateOtherTotal
Net investment income$129 $— $2 $(7)$124 
Fair value gains (losses) on trading securities$(22)$— $— $— $(22)
Equity in earnings (losses) of investees
AssuredIM Funds$(22)$— $— $24 $2 
Other(13)— — — (13)
Equity in earnings (losses) of investees$(35)$— $— $24 $(11)
CIVs
Fair value gains (losses) on CIVs$— $— $— $17 $17 
Noncontrolling interests— — — (31)(31)
Total CIVs$— $— $— $(14)$(14)


Six Months Ended June 30, 2021
InsuranceAsset ManagementCorporateOtherTotal
Net investment income$144 $— $— $(6)$138 
Equity in earnings (losses) of investees
AssuredIM Funds$47 $— $— $(24)$23 
Other20 — — — 20 
Equity in earnings (losses) of investees$67 $— $— $(24)$43 
CIVs
Fair value gains (losses) on CIVs$— $— $— $37 $37 
Noncontrolling interests— — — (8)(8)
Total CIVs$— $— $— $29 $29 
16























Insurance Segment
17

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

Three Months Ended Six Months Ended
June 30,June 30,
2022202120222021
Segment revenues
Net earned premiums and credit derivative revenues$86 $106 $305 $213 
Net investment income66 71 129 144 
Fair value gains (losses) on trading securities(18)— (22)— 
Other income (loss)5 5 5 4 
Total segment revenues139 182 417 361 
Segment expenses
Loss expense (benefit)(17)(12)43 18 
Interest expense— — 1 — 
Amortization of DAC3 4 7 7 
Employee compensation and benefit expenses35 34 73 70 
Write-off of Municipal Assurance Corp. (MAC) insurance licenses— — — 16 
Other operating expenses20 21 39 42 
Total segment expenses41 47 163 153 
Equity in earnings (losses) of investees(34)48 (35)67 
Segment adjusted operating income (loss) before income taxes64 183 219 275 
Less: Provision (benefit) for income taxes9 31 31 44 
Segment adjusted operating income (loss)$55 $152 $188 $231 

18

Assured Guaranty Ltd.
Claims-Paying Resources
(dollars in millions)
As of June 30, 2022
Assured Guaranty Municipal Corp.Assured Guaranty Corp.
Assured Guaranty Re Ltd. (6)
Eliminations(2)
Consolidated
Claims-paying resources
Policyholders' surplus$2,779 $1,962 $686 $(214)$5,213 
Contingency reserve905 348 — — 1,253 
Qualified statutory capital3,684 2,310 686 (214)6,466 
Unearned premium reserve and net deferred ceding commission income(1)
2,114 327 555 (73)2,923 
Loss and LAE reserves (1)
22 26 147 — 195 
Total policyholders' surplus and reserves5,820 2,663 1,388 (287)9,584 
Present value of installment premium
466 185 222 — 873 
CCS200 200 — — 400 
Total claims-paying resources $6,486 $3,048 $1,610 $(287)$10,857 
Statutory net exposure (1)(3)(7)
$153,233 $20,429 $56,863 $(643)$229,882 
Net debt service outstanding (1)(3)(7)
$243,056 $31,434 $86,286 $(1,320)$359,456 
Ratios:
Net exposure to qualified statutory capital42:19:183:136:1
Capital ratio (4)
66:114:1126:156:1
Financial resources ratio (5)
37:110:154:133:1
Statutory net exposure to claims-paying resources24:17:135:121:1

1)    The numbers shown for Assured Guaranty Municipal Corp. (AGM) have been adjusted to include 100% share of its United Kingdom (U.K.) and French insurance subsidiaries.
2)    Eliminations are primarily for (i) intercompany surplus notes between AGM and Assured Guaranty Corp. (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 $1,119 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 AG Re on a U.S. statutory-basis, except for contingency reserves.
7)    Includes a guarantee of rental income cash flows, written by Assured Guaranty Overseas Ltd. with maximum potential exposure of $250 million.

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 June 30, 2022 and June 30, 2021

Three Months Ended Three Months Ended
June 30, 2022June 30, 2021
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$57 $6 $1 $1 $65 $29 $44 $11 $— $84 
Less: Installment GWP and other GAAP adjustments (1)
— 6 1 1 8 — 24 11 — 35 
Upfront GWP57 — — — 57 29 20 — — 49 
Plus: Installment premiums and other(2)
— 18 — 1 19 — 23 9 — 32 
Total PVP$57 $18 $— $1 $76 $29 $43 $9 $— $81 
Gross par written $6,429 207 16 43 $6,695 $4,716 961 460 — $6,137 

Reconciliation of GWP to PVP for the Six Months Ended June 30, 2022 and June 30, 2021

Six Months Ended Six Months Ended
June 30, 2022June 30, 2021
Public FinanceStructured FinancePublic FinanceStructured Finance