ASSURED GUARANTY LTD - FORM 8-K - EX-99.2 - AGL FINANCIAL SUPPLEMENT

Attached files

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8-K - 8-K - ASSURED GUARANTY LTD	a8-k4q2015agl.htm
EX-99.1 - PRESS RELEASE - ASSURED GUARANTY LTD	agl4q15pressrelease.htm

Assured Guaranty Ltd.

December 31, 2015

Financial Supplement



Table of Contents		Page
	Selected Financial Highlights	1
	Consolidated Balance Sheets (unaudited)	2
	Consolidated Statements of Operations (unaudited)	3
	Net Income (Loss) Reconciliation to Operating Income	4
	Adjusted Book Value	6
	Claims-Paying Resources	7
	New Business Production	8
	Gross Par Written	9
	New Business Production by Quarter	10
	Available-for-Sale Investment Portfolio and Cash	11
	Estimated Net Exposure Amortization and Estimated Future Net Premium and Credit Derivative Revenues	12
	Expected Amortization of Net Par Outstanding	13
	Present Value of Financial Guaranty Insurance Net Expected Loss to be Expensed	14
	Financial Guaranty Profile	15
	Exposure to Puerto Rico	19
	Direct Pooled Corporate Obligations Profile	23
	Consolidated U.S. RMBS Profile	24
	Direct U.S. Commercial Real Estate Profile	25
	Below Investment Grade Exposures	26
	Largest Exposures by Sector	31
	Rollforward of Net Expected Loss and Loss Adjustment Expenses to be Paid After Benefit for R&W	35
	Loss Expense - Non-GAAP Basis	36
	Summary of Financial and Statistical Data	37
	Glossary	38
	Non-GAAP Financial Measures	41

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 Securities and Exchange Commission ("SEC"), including its Annual Report on Form 10-K for the year ended December 31, 2015.

Some amounts in this financial supplement may not add due to rounding.

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) 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 subsidiaries, and/or of any securities AGL or any of its subsidiaries have issued, and/or of transactions that AGL’s subsidiaries have insured; (2) reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty's insurance; (3) developments in the world’s financial and capital markets that adversely affect obligors’ payment rates, Assured Guaranty’s loss experience, or its exposure to refinancing risk in transactions (which could result in substantial liquidity claims on its guarantees); (4) 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; (5) the failure of Assured Guaranty to realize loss recoveries that are assumed in its expected loss estimates; (6) deterioration in the financial condition of Assured Guaranty’s reinsurers, the amount and timing of reinsurance recoverables actually received and the risk that reinsurers may dispute amounts owed to Assured Guaranty under its reinsurance agreements; (7) increased competition, including from new entrants into the financial guaranty industry; (8) rating agency action on obligors, including sovereign debtors, resulting in a reduction in the value of securities in Assured Guaranty’s investment portfolio and in collateral posted by and to Assured Guaranty; (9) the inability of Assured Guaranty to access external sources of capital on acceptable terms; (10) changes in the world’s credit markets, segments thereof, interest rates or general economic conditions; (11) the impact of market volatility on the mark-to-market of Assured Guaranty’s contracts written in credit default swap form; (12) changes in applicable accounting policies or practices; (13) changes in applicable laws or regulations, including insurance, bankruptcy and tax laws, or other governmental actions; (14) difficulties with the execution of Assured Guaranty’s business strategy; (15) loss of key personnel; (16) the effects of mergers, acquisitions and divestitures; (17) natural or man-made catastrophes; (18) other risks and uncertainties that have not been identified at this time; (19) management’s response to these factors; and (20) other risk factors identified in AGL’s filings with the SEC. Readers are cautioned not to place undue reliance on these forward looking statements, which speak only as of the dates on which they are made. 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

(dollars in millions, except per share amounts)



	Three Months Ended						Year Ended
	December 31,						December 31,
	2015			2014			2015			2014
Operating income reconciliation:
Operating income	$	117		$	81		$	699		$	491
Plus after-tax adjustments:
Realized gains (losses) on investments	(4		)	(21		)	(25		)	(34		)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	295			463			358			500
Fair value gains (losses) on committed capital securities (CCS)	10			0			17			(7		)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and loss adjustment expense (LAE) reserves	(3		)	(7		)	(10		)	(15		)
Effect of consolidating financial guaranty variable interest entities (FG VIEs)	14			16			17			153
Net income (loss)	$	429		$	532		$	1,056		$	1,088

Earnings per diluted share:
Operating income	$	0.83		$	0.50		$	4.69		$	2.83
Plus after-tax adjustments:
Realized gains (losses) on investments	(0.03		)	(0.13		)	(0.17		)	(0.20		)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	2.09			2.85			2.40			2.88
Fair value gains (losses) on CCS	0.07			0.00			0.12			(0.04		)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	(0.03		)	(0.04		)	(0.07		)	(0.09		)
Effect of consolidating FG VIEs	0.10			0.10			0.11			0.88
Net income (loss)	$	3.03		$	3.28		$	7.08		$	6.26

Weighted average shares outstanding
Basic shares outstanding	140.5			161.3			148.1			172.6
Diluted shares outstanding⁽¹⁾	141.5			162.3			149.0			173.6
Shares outstanding at the end of period	137.9			158.3

Effect of refundings and terminations, net ⁽⁵⁾
Financial guaranty insurance premiums	$	91		$	57		$	333		$	146
Credit derivative revenues	89			0			102			1
Operating income effect	60			36			235			96
Operating income per diluted share effect	0.42			0.22			1.58			0.55

Effective tax rate on operating income	25.6		%	39.0		%	24.5		%	29.0		%
Effective tax rate on net income	26.5		%	29.6		%	26.2		%	28.9		%

Return on equity (ROE) calculations ⁽²⁾:
ROE, excluding unrealized gain (loss) on investment portfolio	30.3		%	40.9		%	18.9		%	21.0		%
Operating ROE	7.8		%	5.4		%	11.8		%	8.1		%

New business:
Gross par written	$	4,344		$	4,467		$	17,336		$	13,171
Present value of new business production (PVP) ⁽³⁾	$	76		$	54		$	179		$	168
							As of
							December 31,			December 31,
Other information:							2015			2014
Net debt service outstanding							$	536,341		$	609,622
Net par outstanding							358,571			403,729
Claims-paying resources ⁽⁴⁾							12,306			12,189


1)	Non-GAAP diluted shares outstanding were the same as GAAP diluted shares.

2) Quarterly ROE calculations represent annualized returns.

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

4) See page 7 for additional detail on claims-paying resources.

5) On an operating income basis.

Assured Guaranty Ltd.

Consolidated Balance Sheets (unaudited)

(dollars in millions)



	As of:
	December 31,		December 31,
	2015		2014
Assets:
Investment portfolio:
Fixed maturity securities, available-for-sale, at fair value	$	10,627	$	10,491
Short-term investments, at fair value	396		767
Other invested assets	169		126
Total investment portfolio	11,192		11,384

Cash	166		75
Premiums receivable, net of commissions payable	693		729
Ceded unearned premium reserve	232		381
Deferred acquisition costs	114		121
Reinsurance recoverable on unpaid losses	69		78
Salvage and subrogation recoverable	126		151
Credit derivative assets	81		68
Deferred tax asset, net	276		260
Current income tax receivable	40		—
FG VIE assets, at fair value	1,261		1,402
Other assets	294		270
Total assets	$	14,544	$	14,919

Liabilities and shareholders' equity:
Liabilities:
Unearned premium reserve	$	3,996	$	4,261
Loss and loss adjustment expense reserve	1,067		799
Reinsurance balances payable, net	51		107
Long-term debt	1,300		1,297
Credit derivative liabilities	446		963
Current income tax payable	—		5
FG VIE liabilities with recourse, at fair value	1,225		1,277
FG VIE liabilities without recourse, at fair value	124		142
Other liabilities	272		310
Total liabilities	8,481		9,161

Shareholders' equity:
Common stock	1		2
Additional paid-in capital	1,342		1,887
Retained earnings	4,478		3,494
Accumulated other comprehensive income	237		370
Deferred equity compensation	5		5
Total shareholders' equity	6,063		5,758
Total liabilities and shareholders' equity	$	14,544	$	14,919

Assured Guaranty Ltd.

Consolidated Statements of Operations (unaudited)

(dollars in millions, except per share amounts)



				Three Months Ended						Year Ended
				December 31,						December 31,
				2015			2014			2015			2014
Revenues:
	Net earned premiums			$	192		$	158		$	766		$	570
	Net investment income			112			102			423			403
	Net realized investment gains (losses)			(6		)	(35		)	(26		)	(60		)
	Net change in fair value of credit derivatives:
		Realized gains (losses) and other settlements		(53		)	3			(18		)	23
		Net unrealized gains (losses)		481			673			746			800
			Net change in fair value of credit derivatives	428			676			728			823
	Fair value gains (losses) on CCS			17			0			27			(11		)
	Fair value gains (losses) on FG VIEs			38			23			38			255
	Bargain purchase gain and settlement of pre-existing relationship			—			—			214			—
	Other income (loss)			(6		)	(3		)	37			14
		Total revenues		775			921			2,207			1,994

Expenses:
	Loss and loss adjustment expenses			106			72			424			126
	Amortization of deferred acquisition costs			5			13			20			25
	Interest expense			25			25			101			92
	Other operating expenses			55			55			231			220
		Total expenses		191			165			776			463

Income (loss) before income taxes				584			756			1,431			1,531
	Provision (benefit) for income taxes			155			224			375			443
Net income (loss)				$	429		$	532		$	1,056		$	1,088

Earnings per share:
	Basic			$	3.05		$	3.30		$	7.12		$	6.30
	Diluted			$	3.03		$	3.28		$	7.08		$	6.26

Assured Guaranty Ltd.

Net Income (Loss) Reconciliation to Operating Income (1 of 2)

(dollars in millions)



	Three Months Ended										Three Months Ended
	December 31, 2015										December 31, 2014
	GAAP Income Statement Line Items As Reported			Less: Operating Income Adjustments				Non-GAAP Operating Income Components			GAAP Income Statement Line Items As Reported			Less: Operating Income Adjustments				Non-GAAP Operating Income Components
Revenues:
Net earned premiums	$	192		$	(5	)	(1)	$	197		$	158		$	(5	)	(1)	$	163
Net investment income	112			(21		)	(1)	133			102			4			(1)	98
Net realized investment gains (losses)	(6		)	(6		)	(2)	0			(35		)	(35		)	(2)	0
Net change in fair value of credit derivatives:
Realized gains (losses) and other settlements	(53		)	(53		)		—			3			3				—
Net unrealized gains (losses)	481			469				12			673			673				—
Credit derivative revenues	—			(115		)		115			—			(15		)		15
Net change in fair value of credit derivatives	428			301			(3)	127			676			661			(3)	15
Fair value gains (losses) on CCS	17			17			(4)	—			0			0			(4)	—
Fair value gains (losses) on FG VIEs	38			38			(1)	—			23			23			(1)	—
Bargain purchase gain and settlement of pre-existing relationship	—			—				—			—			—				—
Other income (loss)	(6		)	(4		)	(1)(5)	(2		)	(3		)	(5		)	(1)(5)	2
Total revenues	775			320				455			921			643				278

Expenses:
Loss and loss adjustment expenses:
Financial guaranty insurance	106			(11		)	(1)	117			72			(9		)	(1)	81
Credit derivatives	—			(97		)	(3)	97			—			29			(3)	(29		)
Amortization of deferred acquisition costs	5			—				5			13			—				13
Interest expense	25			—				25			25			—				25
Other operating expenses	55			1				54			55			—				55
Total expenses	191			(107		)		298			165			20				145

Income (loss) before income taxes	584			427				157			756			623				133
Provision (benefit) for income taxes	155			115			(6)	40			224			172			(6)	52
Net income (loss)	$	429		$	312			$	117		$	532		$	451			$	81


1)	Include adjustments related to elimination of the effects of consolidating FG VIEs.


2)	Adjustments to eliminate realized gains (losses) on the Company's investments, except for gains and losses on securities classified as trading.


3)	Adjustments to eliminate non-economic fair value gains (losses) on credit derivatives and reclassification to revenues and loss expense.


4)	Adjustments to eliminate fair value gain (loss) on CCS.


5)	Include adjustments related to elimination of foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves.


6)	Tax effect of the above adjustments.

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

Assured Guaranty Ltd.

Net Income (Loss) Reconciliation to Operating Income (2 of 2)

(dollars in millions)



	Year Ended									Year Ended
	December 31, 2015									December 31, 2014
	GAAP Income Statement Line Items As Reported			Less: Operating Income Adjustments				Non-GAAP Operating Income Components		GAAP Income Statement Line Items As Reported			Less: Operating Income Adjustments				Non-GAAP Operating Income Components
Revenues:
Net earned premiums	$	766		$	(21	)	(1)	$	787	$	570		$	(32	)	(1)	$	602
Net investment income	423			(25		)	(1)	448		403			7			(1)	396
Net realized investment gains (losses)	(26		)	(26		)	(2)	—		(60		)	(63		)	(2)	3
Net change in fair value of credit derivatives:
Realized gains (losses) and other settlements	(18		)	(18		)		—		23			23				—
Net unrealized gains (losses)	746			737				9		800			800				—
Credit derivative revenues	—			(207		)		207		—			(73		)		73
Net change in fair value of credit derivatives	728			512			(3)	216		823			750			(3)	73
Fair value gains (losses) on CCS	27			27			(4)	—		(11		)	(11		)	(4)	—
Fair value gains (losses) on FG VIEs	38			38			(1)	—		255			255			(1)	—
Bargain purchase gain and settlement of pre-existing relationship	214			(35		)		249		—			—				—
Other income (loss)	37			(13		)	(1)(5)	50		14			(21		)	(1)(5)	35
Total revenues	2,207			457				1,750		1,994			885				1,109

Expenses:
Loss and loss adjustment expenses:
Financial guaranty insurance	424			(28		)	(1)	452		126			(30		)	(1)	156
Credit derivatives	—			(22		)	(3)	22		—			77			(3)	(77		)
Amortization of deferred acquisition costs	20			—				20		25			—				25
Interest expense	101			—				101		92			—				92
Other operating expenses	231			2				229		220			—				220
Total expenses	776			(48		)		824		463			47				416

Income (loss) before income taxes	1,431			505				926		1,531			838				693
Provision (benefit) for income taxes	375			148			(6)	227		443			241			(6)	202
Net income (loss)	$	1,056		$	357			$	699	$	1,088		$	597			$	491


1)	Include adjustments related to elimination of the effects of consolidating FG VIEs.


2)	Adjustments to eliminate realized gains (losses) on the Company's investments, except for gains and losses on securities classified as trading.


3)	Adjustments to eliminate non-economic fair value gains (losses) on credit derivatives and reclassification to revenues and loss expense.


4)	Adjustments to eliminate fair value gain (loss) on CCS.


5)	Include adjustments related to elimination of foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves.


6)	Tax effect of the above adjustments.

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

Assured Guaranty Ltd.

Adjusted Book Value

(dollars in millions, except per share amounts)



	As of:
	December 31, 2015						December 31, 2014
	Total			Per Share			Total			Per Share
Reconciliation of shareholders' equity to adjusted book value:
Shareholders' equity	$	6,063		$	43.96		$	5,758		$	36.37
Less after-tax adjustments:
Effect of consolidating FG VIEs	(23		)	(0.16		)	(44		)	(0.28		)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(160		)	(1.16		)	(527		)	(3.33		)
Fair value gains (losses) on CCS	40			0.29			23			0.14
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	260			1.88			373			2.36
Operating shareholders' equity	5,946			43.11			5,933			37.48
After-tax adjustments:
Less: Deferred acquisition costs	147			1.06			156			0.99
Plus: Net present value of estimated net future credit derivative revenue	116			0.84			109			0.69
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	2,524			18.29			2,609			16.48
Adjusted book value	$	8,439		$	61.18		$	8,495		$	53.66

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

Assured Guaranty Ltd.

Claims-Paying Resources

(dollars in millions)



	As of December 31, 2015
	Assured Guaranty Municipal Corp.		Assured Guaranty Corp.		Municipal Assurance Corp.		Assured Guaranty Re Ltd. ⁽¹⁰⁾		Eliminations⁽⁴⁾			Consolidated
Claims-paying resources
Policyholders' surplus	$	2,441	$	1,365	$	730	$	989	$	(975	)	$	4,550
Contingency reserve⁽¹⁾	1,357		906		282		—		(282		)	2,263
Qualified statutory capital	3,798		2,271		1,012		989		(1,257		)	6,813
Unearned premium reserve⁽¹⁾	1,597		654		469		794		(469		)	3,045
Loss and LAE reserves ^{(1) (2)}	438		224		—		381		—			1,043
Total policyholders' surplus and reserves	5,833		3,149		1,481		2,164		(1,726		)	10,901
Present value of installment premium⁽¹⁾	275		215		3		155		(3		)	645
CCS	200		200		—		—		—			400
Excess of loss reinsurance facility ⁽³⁾	360		360		360		—		(720		)	360
Total claims-paying resources (including proportionate MAC ownership for AGM and AGC)	6,668		3,924		1,844		2,319		(2,449		)	12,306
Adjustment for MAC ⁽⁵⁾	940		544		—		—		(1,484		)	—
Total claims-paying resources (excluding proportionate MAC ownership for AGM and AGC)	$	5,728	$	3,380	$	1,844	$	2,319	$	(965	)	$	12,306

Statutory net par outstanding ⁽⁶⁾	$	133,409	$	45,477	$	61,805	$	88,163	$	(1,548	)	$	327,306
Equity method adjustment ⁽⁷⁾	37,516		24,289		—		—		(61,805		)	—
Adjusted statutory net par outstanding ⁽¹⁾	$	170,925	$	69,766	$	61,805	$	88,163	$	(63,353	)	$	327,306

Net debt service outstanding ⁽⁶⁾	$	206,779	$	67,687	$	92,048	$	139,160	$	(3,343	)	$	502,331
Equity method adjustment ⁽⁷⁾	55,873		36,175		—		—		(92,048		)	—
Adjusted net debt service outstanding ⁽¹⁾	$	262,652	$	103,862	$	92,048	$	139,160	$	(95,391	)	$	502,331
Ratios:
Adjusted net par outstanding to qualified statutory capital	45:1		31:1		61:1		89:1					48:1
Capital ratio ⁽⁸⁾	69:1		46:1		91:1		141:1					74:1
Financial resources ratio ⁽⁹⁾	39:1		26:1		50:1		60:1					41:1

The numbers shown for Assured Guaranty Municipal Corp. (AGM) and Assured Guaranty Corp. (AGC) have been adjusted to include (i) their 100% share of their respective U.K. insurance subsidiaries and (ii) their indirect share of Municipal Assurance Corp. (MAC). AGM and AGC own 60.7% and 39.3%, respectively, of the outstanding stock of Municipal Assurance Holdings Inc., which owns 100% of the outstanding common stock of MAC. Amounts include financial guaranty insurance and credit derivatives.


2)	Reserves are reduced by approximately $82 million for benefit related to representation and warranty (R&W) recoverables.


3)	Represents an aggregate $360 million excess-of-loss reinsurance facility for the benefit of AGC, AGM and MAC, which became effective January 1, 2016. The facility terminates on January 1, 2018, unless AGC, AGM and MAC choose to extend it.

Eliminations are primarily for (i) intercompany surplus notes between AGM and AGC, and between AGM and MAC, and (ii) MAC amounts, whose proportionate share are included in AGM and AGC based on ownership percentages. Net par 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, and net par related to intercompany cessions from AGM and AGC to MAC.


5)	Represents adjustment for AGM's and AGC's interest and indirect ownership of MAC's total policyholders' surplus, unearned premium reserve, and loss reserves and present value of installment premium.


6)	Net par outstanding and net debt service outstanding are presented on a statutory basis.


7)	Equity method adjustment is an adjustment made to reflect AGM's and AGC's net exposure to MAC, as determined by their indirect equity ownership.


8)	The capital ratio is calculated by dividing adjusted net debt service outstanding by qualified statutory capital.


9)	The financial resources ratio is calculated by dividing adjusted net debt service outstanding by total claims-paying resources (including MAC adjustment for AGM and AGC).


10)	Assured Guaranty Re Ltd. (AG Re) numbers represent the Company's estimate of U.S. statutory accounting practices prescribed or permitted by insurance regulatory authorities, except for contingency reserves.

Assured Guaranty Ltd.

New Business Production

(dollars in millions)



	Three Months Ended					Year Ended
	December 31,					December 31,
	2015		2014			2015		2014
New business production analysis:
PVP:
Public finance - U.S.	$	45	$	38		$	124	$	128
Public finance - non-U.S.	27		—			27		7
Structured finance - U.S.	3		16			22		24
Structured finance - non-U.S.	1		—			6		9
Total PVP	$	76	$	54		$	179	$	168

Reconciliation of PVP to gross written premiums (GWP):

Total PVP	$	76	$	54		$	179	$	168
Less: PVP of non-financial guaranty insurance	0		—			7		—
PVP of financial guaranty insurance	76		54			172		168
Less: Financial guaranty installment premium PVP	29		17			46		42
Total: Financial guaranty upfront GWP	47		37			126		126
Plus: Installment GWP and other GAAP adjustments⁽¹⁾	40		(27		)	55		(22		)
Total GWP	$	87	$	10		$	181	$	104


Gross par written:
Public finance - U.S.	$	3,652	$	4,067		$	16,377	$	12,275
Public finance - non-U.S.	567		—			567		128
Structured finance - U.S.	66		400			327		418
Structured finance - non-U.S.	59		—			65		350
Total	$	4,344	$	4,467		$	17,336	$	13,171


1)	Includes present value of new business on installment policies plus GWP adjustment on existing installment policies due to changes in assumptions, and any cancellations of assumed reinsurance contracts and other GAAP adjustments.

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

Assured Guaranty Ltd.

Gross Par Written

(dollars in millions)

Gross Par Written by Asset Type



	Three Months Ended			Year Ended
	December 31, 2015			December 31, 2015
	Gross Par Written		Avg. Internal Rating	Gross Par Written		Avg. Internal Rating
Sector:
U.S. public finance
General obligation	$	1,324	A-	$	8,228	A-
Tax backed	1,453		A	4,370		A-
Municipal utilities	672		A-	2,466		A-
Transportation	116		A-	643		BBB+
Higher education	65		A-	542		A
Housing	22		BBB-	22		BBB-
Other public finance	—		—	106		A-
Total U.S. public finance	3,652		A-	16,377		A-
Non-U.S. public finance:
Infrastructure Finance	567		BBB-	567		BBB-
Total non-U.S. public finance	567		BBB-	567		BBB-
Total public finance	$	4,219	A-	$	16,944	A-

U.S. structured finance:
Insurance securitization	$	—	—	$	250	AA
Other structured finance	66		A+	77		A+
Total U.S. structured finance	66		A+	327		AA
Non-U.S. structured finance:
Other structured finance	59		AAA	65		AAA
Total non-U.S. structured finance	59		AAA	65		AAA
Total structured finance	$	125	AA	$	392	AA

Total gross par written	$	4,344	A-	$	17,336	A-

Please refer to the Glossary for a description of internal ratings and sectors.

Assured Guaranty Ltd.

New Business Production by Quarter

(dollars in millions)



																					Year Ended
	1Q-14		2Q-14		3Q-14			4Q-14			1Q-15		2Q-15			3Q-15			4Q-15		2014			2015
PVP:
Public finance - U.S.	$	23	$	16	$	51		$	38		$	13	$	25		$	41		$	45	$	128		$	124
Public finance - non-U.S.	7		—		—			—			—		—			—			27		7			27
Structured finance - U.S.	1		6		1			16			18		1			0			3		24			22
Structured finance - non-U.S.	—		5		4			—			5		—			—			1		9			6
Total PVP	$	31	$	27	$	56		$	54		$	36	$	26		$	41		$	76	$	168		$	179

Reconciliation of PVP to GWP:

Total PVP	$	31	$	27	$	56		$	54		$	36	$	26		$	41		$	76	$	168		$	179
Less: PVP of non-financial guaranty insurance	—		—		—			—			6		—			1			0		—			7
PVP of financial guaranty insurance	31		27		56			54			30		26			40			76		168			172
Less: Financial guaranty installment premium PVP	10		11		4			17			17		1			(1		)	29		42			46
Total: Financial guaranty upfront GWP	21		16		52			37			13		25			41			47		126			126
Plus: Installment GWP and other GAAP adjustments	9		1		(5		)	(27		)	19		(3		)	(1		)	40		(22		)	55
Total GWP	$	30	$	17	$	47		$	10		$	32	$	22		$	40		$	87	$	104		$	181

Gross par written:
Public finance - U.S.	$	1,737	$	2,453	$	4,018		$	4,067		$	2,441	$	5,581		$	4,703		$	3,652	$	12,275		$	16,377
Public finance - non-U.S.	128		—		—			—			—		—			—			567		128			567
Structured finance - U.S.	4		5		9			400			261		—			—			66		418			327
Structured finance - non-U.S.	—		200		150			—			6		—			—			59		350			65
Total	$	1,869	$	2,658	$	4,177		$	4,467		$	2,708	$	5,581		$	4,703		$	4,344	$	13,171		$	17,336

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

Assured Guaranty Ltd.

Available-for-Sale Investment Portfolio and Cash

As of December 31, 2015

(dollars in millions)



			Amortized Cost		Pre-Tax Book Yield		After-Tax Book Yield		Fair Value		Annualized Investment Income ⁽¹⁾
Investment portfolio, available-for-sale:
Fixed maturity securities:
	Obligations of states and political subdivisions⁽⁴⁾		$	5,057	3.89	%	3.62	%	$	5,327	$	196
	Insured obligations of state and political subdivisions⁽²⁾⁽⁴⁾		471		4.88	%	4.53	%	514		23
	U.S. Treasury securities and obligations of U.S. government agencies		237		1.99	%	1.42	%	246		5
	Agency obligations		140		4.81	%	4.04	%	154		7
	Corporate securities^{( 4)}		1,505		3.92	%	3.06	%	1,520		59
	Mortgage-backed securities (MBS):
		Residential MBS (RMBS) ⁽³⁾⁽⁴⁾	1,321		4.83	%	3.58	%	1,331		64
		Commercial MBS (CMBS)	506		3.60	%	2.94	%	513		18
	Asset-backed securities ⁽⁴⁾		831		6.22	%	4.12	%	825		52
	Foreign government securities		290		2.40	%	1.56	%	283		7
		Total fixed maturity securities	10,358						10,713		431
Short-term investments ⁽⁴⁾			393		16.52	%	10.74	%	393		65
Cash ⁽⁵⁾			166		—	%	—	%	166		—
		Total	$	10,917	4.61	%	3.74	%	$	11,272	$	496

Less: FG VIEs			80		10.88	%	7.07	%	83		9

		Total	$	10,837	4.56	%	3.72	%	$	11,189	$	487



Ratings⁽⁶⁾:			Fair Value		% of Portfolio
	U.S. Treasury securities and obligations of U.S. government agencies		$	246	2.3	%
	Agency obligations		154		1.4	%
	AAA/Aaa		1,146		10.7	%
	AA/Aa		5,875		54.8	%
	A/A		1,876		17.5	%
	BBB		94		0.9	%
	Below investment grade (BIG)⁽⁷⁾		1,291		12.1	%
	Not rated		31		0.3	%
		Total fixed maturity securities, available-for-sale	10,713		100.0	%

	Less: FG VIEs		86

		Total fixed maturity securities, available-for-sale	$	10,627


Duration of fixed maturity securities and short-term investments (in years):					5.4

Average ratings of fixed maturity securities and short-term investments					A+


1)	Represents annualized investment income based on amortized cost and pre-tax book yields.


2)	Reflects 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 Standard & Poor's Ratings Services (S&P) or Moody's Investors Service, Inc. (Moody's), average A+. Includes fair value of $158 million insured by AGC and AGM.


3)	Includes fair value of $251 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)	Represents operating cash and is not included in yield calculations.


6)	Ratings are represented by the lower of the Moody's and S&P classifications except for bonds purchased for loss mitigation (loss mitigation bonds) or other risk management strategies which use internal ratings classifications.


7)	Includes below investment grade securities that were purchased or obtained as part of loss mitigation or other risk management strategies of $2,294 million in par with carrying value of $1,290 million.

Assured Guaranty Ltd.

Estimated Net Exposure Amortization⁽¹⁾ and Estimated Future Net Premium

and Credit Derivative Revenues

(dollars in millions)



						Financial Guaranty Insurance ⁽²⁾
		Estimated Net Debt Service Amortization		Estimated Ending Net Debt Service Outstanding		Expected PV Net Earned Premiums		Accretion of Discount		Future Net Premiums Earned ⁽³⁾		Future Credit Derivative Revenues ⁽⁴⁾		Total

2015 (as of December 31)				$	536,341
2016 Q1		$	10,596	525,745		$	105	$	5	$	110	$	10	$	120
2016 Q2		13,317		512,428		101		5		106		10		116
2016 Q3		14,500		497,928		97		5		102		9		111
2016 Q4		12,102		485,826		94		5		99		9		108
2017		49,532		436,294		346		17		363		25		388
2018		33,132		403,162		310		16		326		14		340
2019		28,360		374,802		281		14		295		12		307
2020		26,041		348,761		257		13		270		12		282

2016-2020		187,580		348,761		1,591		80		1,671		101		1,772
2021-2025		120,169		228,592		999		51		1,050		50		1,100
2026-2030		92,604		135,988		629		31		660		34		694
2031-2035		66,919		69,069		375		17		392		29		421
After 2035		69,069		—		286		12		298		16		314
	Total	$	536,341			$	3,880	$	191	$	4,071	$	230	$	4,301


1)	Represents the future expected amortization of current debt service outstanding (principal and interest), assuming no advance refundings, as of December 31, 2015. Actual amortization differs from expected maturities because borrowers may have the right to call or prepay guaranteed obligations and because of management's assumptions on structured finance amortization.


2)	See page 14 for ‘‘Present Value of Financial Guaranty Insurance Net Expected Loss to be Expensed.’’


3)	Includes $115 million in future net premiums earned related to FG VIEs.


4)	Excludes contracts with credit impairment.

Assured Guaranty Ltd.

Expected Amortization of Net Par Outstanding

(dollars in millions)

Structured Finance



		Estimated Net Par Amortization
		U.S. and Non-U.S. Pooled Corporate		U.S. RMBS		Financial Products			Other Structured Finance		Total		Estimated Ending Net Par Outstanding

2015 (as of December 31)													$	37,128
2016 Q1		$	735	$	285	$	82		$	180	$	1,282	35,846
2016 Q2		1,966		321		15			158		2,460		33,386
2016 Q3		1,004		248		56			265		1,573		31,813
2016 Q4		986		246		(13		)	497		1,716		30,097
2017		10,009		940		56			590		11,595		18,502
2018		1,060		824		(22		)	635		2,497		16,005
2019		517		974		9			617		2,117		13,888
2020		120		708		(3		)	367		1,192		12,696

2016-2020		16,397		4,546		180			3,309		24,432		12,696
2021-2025		656		1,607		175			2,347		4,785		7,911
2026-2030		420		452		900			996		2,768		5,143
2031-2035		1,066		125		497			1,077		2,765		2,378
After 2035		1,114		337		154			773		2,378		—
	Total structured finance	$	19,653	$	7,067	$	1,906		$	8,502	$	37,128

Public Finance



		Estimated Net Par Amortization		Estimated Ending Net Par Outstanding

2015 (as of December 31)				$	321,443
2016 Q1		$	5,381	316,062
2016 Q2		6,970		309,092
2016 Q3		9,155		299,937
2016 Q4		6,695		293,242
2017		23,985		269,257
2018		17,762		251,495
2019		14,151		237,344
2020		13,419		223,925

2016-2020		97,518		223,925
2021-2025		68,144		155,781
2026-2030		58,348		97,433
2031-2035		45,623		51,810
After 2035		51,810		—
	Total public finance	$	321,443

Net par outstanding (end of period)



		1Q-14		2Q-14		3Q-14		4Q-14		1Q-15		2Q-15		3Q-15		4Q-15
Public finance - U.S.		$	346,428	$	338,956	$	329,225	$	322,123	$	313,444	$	312,182	$	300,732	$	291,866
Public finance - non-U.S.		34,826		35,408		33,487		31,359		29,619		32,319		30,103		29,577
Structured finance - U.S.		55,393		51,442		44,874		41,171		38,430		38,906		35,435		31,770
Structured finance - non-U.S.		12,978		11,770		10,429		9,076		7,606		6,977		6,091		5,358
	Net par outstanding	449,625		437,576		418,015		403,729		389,099		390,384		372,361		358,571

Please refer to the Glossary for an explanation of the presentation of net par outstanding and of the various sectors.

Assured Guaranty Ltd.

Present Value (PV) of Financial Guaranty Insurance Net Expected Loss to be Expensed

As of December 31, 2015

(dollars in millions)



		Net Expected Loss to be Expensed ⁽¹⁾
		GAAP⁽²⁾		Operating⁽²⁾

2016 Q1		$	12	$	15
2016 Q2		10		12
2016 Q3		8		11
2016 Q4		8		10
2017		31		40
2018		30		38
2019		29		36
2020		27		32

2016-2020		155		194
2021-2025		102		117
2026-2030		70		79
2031-2035		41		50
After 2035		19		24
	Total expected PV of net expected loss to be expensed	387		464
Discount		286		327
	Total expected future loss and LAE	$	673	$	791


1)	The present value of net expected loss to be paid is discounted using weighted-average risk free rates ranging from 0.0% to 3.25% for U.S. dollar denominated obligations.


2)	Net expected loss to be expensed for GAAP reported income is different than operating income, a non-GAAP financial measure, by the amount related to consolidated FG VIEs and credit derivatives.

Assured Guaranty Ltd.

Financial Guaranty Profile (1 of 4)

(dollars in millions)

Net Par Outstanding and Average Rating by Asset Type



			December 31, 2015			December 31, 2014
			Net Par Outstanding		Avg. Internal Rating	Net Par Outstanding		Avg. Internal Rating
U.S. public finance:
	General obligation		$	126,255	A	$	140,276	A
	Tax backed		58,062		A	62,525		A
	Municipal utilities		45,936		A	52,090		A
	Transportation		23,454		A	27,823		A
	Healthcare		15,006		A	14,848		A
	Higher education		11,936		A	13,099		A
	Infrastructure finance		4,993		BBB	4,181		BBB
	Housing		2,037		A	2,779		A+
	Investor-owned utilities		916		A-	944		A-
	Other public finance		3,271		A	3,558		A
		Total U.S. public finance	291,866		A	322,123		A
Non-U.S. public finance:
	Infrastructure finance		12,728		BBB	12,808		BBB
	Regulated utilities		10,048		BBB+	10,914		BBB+
	Pooled infrastructure		1,879		AA	2,420		AA
	Other public finance		4,922		A	5,217		A
		Total non-U.S. public finance	29,577		BBB+	31,359		BBB+
Total public finance			$	321,443	A	$	353,482	A

U.S. structured finance:
	Pooled corporate obligations		$	16,008	AAA	$	20,646	AAA
	RMBS		7,067		BBB-	9,417		BBB-
	Insurance securitizations		3,000		A+	3,433		A-
	Consumer receivables		2,099		A-	2,099		BBB+
	Financial products		1,906		AA-	2,276		AA-
	CMBS and other commercial real estate related exposures		533		AAA	1,957		AAA
	Commercial receivables		427		BBB+	560		BBB+
	Other structured finance		730		AA-	783		AA-
		Total U.S. structured finance	31,770		AA-	41,171		AA-

Non-U.S. structured finance:
	Pooled corporate obligations		3,645		AA	6,604		AA+
	Commercial receivables		600		BBB+	944		BBB
	RMBS		492		BBB	794		A
	Other structured finance		621		AA-	734		AA
		Total non-U.S. structured finance	5,358		AA-	9,076		AA
Total structured finance			$	37,128	AA-	$	50,247	AA-

Total			$	358,571	A	$	403,729	A

Please refer to the Glossary for an explanation of the presentation of net par outstanding and in the Company's internal rating approach, and of the various sectors.

Assured Guaranty Ltd.

Financial Guaranty Profile (2 of 4)

As of December 31, 2015

(dollars in millions)

Distribution by Ratings of Financial Guaranty Portfolio



		Public Finance - U.S.				Public Finance - Non-U.S.				Structured Finance - U.S.				Structured Finance - Non-U.S.				Total
Ratings:		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%
AAA		$	3,053	1.1	%	$	709	2.4	%	14,366		45.2	%	2,709		50.6	%	$	20,837	5.8	%
AA		69,274		23.7		2,017		6.8		7,934		25.0		177		3.3		79,402		22.1
A		157,440		53.9		6,765		22.9		2,486		7.8		555		10.3		167,246		46.7
BBB		54,315		18.6		18,708		63.2		1,515		4.8		1,365		25.5		75,903		21.2
BIG		7,784		2.7		1,378		4.7		5,469		17.2		552		10.3		15,183		4.2
	Net Par Outstanding (1)(2)	$	291,866	100.0	%	$	29,577	100.0	%	$	31,770	100.0	%	$	5,358	100.0	%	$	358,571	100.0	%


1)	Excludes $1.5 billion of loss mitigation securities insured and held by the Company as of December 31, 2015, which are primarily BIG.


2)	The December 31, 2015 amounts include $10.9 billion of net par acquired from Radian Asset Assurance Inc. (Radian Asset).

Please refer to the Glossary for an explanation of the presentation of net par outstanding and in the Company's internal rating approach, and of the various sectors.

Assured Guaranty Ltd.

Financial Guaranty Profile (3 of 4)

As of December 31, 2015

(dollars in millions)

Geographic Distribution of Financial Guaranty Portfolio



			Net Par Outstanding		% of Total

U.S.:
U.S. public finance:
	California		$	47,731	13.3	%
	Texas		23,891		6.7
	Pennsylvania		23,655		6.6
	New York		22,513		6.3
	Illinois		22,220		6.2
	Florida		16,595		4.6
	New Jersey		13,605		3.8
	Michigan		10,898		3.0
	Georgia		6,991		1.9
	Ohio		6,753		1.9
	Other states		97,014		27.0
		Total public finance	291,866		81.3
U.S. structured finance:			31,770		8.9
		Total U.S.	323,636		90.2

Non-U.S.:
	United Kingdom		17,565		4.9
	Australia		3,349		0.9
	Canada		3,099		0.9
	France		2,609		0.7
	Italy		1,296		0.4
	Other		7,017		2.0
		Total non-U.S.	34,935		9.8

Total net par outstanding			$	358,571	100.0	%

Please refer to the Glossary for an explanation of the presentation of net par outstanding and of the various sectors.

Assured Guaranty Ltd.

Financial Guaranty Profile (4 of 4)

As of December 31, 2015

(dollars in millions)

Net Direct Economic Exposure to Selected European Countries



			Hungary		Italy		Portugal		Spain		Total
Sub-sovereign exposure:
	Non-infrastructure public finance		$	—	$	780	$	85	$	240	$	1,105
	Infrastructure finance		271		10		—		120		401
		Total sub-sovereign exposure	271		790		85		360		1,506
Non-sovereign exposure:
	Regulated utilities		—		212		—		—		212
	RMBS and other structured finance		170		244		—		13		427
		Total non-sovereign exposure	170		456		—		13		639
		Total	$	441	$	1,246	$	85	$	373	$	2,145

		Total BIG	$	374	$	—	$	85	$	373	$	832

Note: While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros. One of the residential mortgage-backed securities included in the table above includes residential mortgages in both Italy and Germany, and only the portion of the transaction equal to the portion of the original mortgage pool in Italian mortgages is shown in the table.

Please refer to the Glossary for an explanation of the Company's net par outstanding, internal rating approach and of the various sectors.

Assured Guaranty Ltd.

Exposure to Puerto Rico (1 of 4)

As of December 31, 2015

(dollars in millions)

Exposure to Puerto Rico



	Gross Par Outstanding		Net Par Outstanding		Gross Debt Service Outstanding		Net Debt Service Outstanding
Previously Subject to the Voided Puerto Rico Public Corporation Debt Enforcement and Recovery Act (the "Recovery Act")⁽¹⁾	$	2,965	$	2,575	$	5,162	$	4,540
Not Previously Subject to the Voided Recovery Act	2,790		2,478		4,470		4,057
Total	$	5,755	$	5,053	$	9,632	$	8,597


1)	On February 6, 2015, the U.S. District Court for the District of Puerto Rico ruled that the Recovery Act is preempted by the U.S. Bankruptcy Code and is therefore void. On July 6, 2015, the U.S. Court of Appeals for the First Circuit upheld that ruling, and on December 4, 2015, the U.S. Supreme Court granted petitions for writs of certiorari relating to that ruling.

Assured Guaranty Ltd.

Exposure to Puerto Rico (2 of 4)

As of December 31, 2015

(dollars in millions)

Net Exposure to Puerto Rico by Risk



	Net Par Outstanding
	AGM Consolidated		AGC Consolidated		AG Re Consolidated		Eliminations(1)			Total Net Par Outstanding (2) (3)		Gross Par Outstanding		Internal Rating
Exposures Previously Subject to the Voided Recovery Act:
Puerto Rico Highways and Transportation Authority (PRHTA) (Transportation revenue) (4)	$	289	$	475	$	225	$	(80	)	$	909	$	936	CCC-
Puerto Rico Electric Power Authority (PREPA)	431		74		239		—			744		902		CC
Puerto Rico Aqueduct and Sewer Authority	—		296		92		—			388		388		CCC
PRHTA (Highway revenue)(4)	219		101		50		—			370		575		CCC
Puerto Rico Convention Center District Authority (PRCCDA)(4)	—		82		82		—			164		164		CCC-
Total	939		1,028		688		(80		)	2,575		2,965

Exposures Not Previously Subject to the Voided Recovery Act:
Commonwealth of Puerto Rico - General Obligation Bonds	720		415		480		—			1,615		1,737		CCC
Puerto Rico Municipal Finance Agency (MFA)	206		65		116		—			387		571		CCC-
Puerto Rico Sales Tax Financing Corporation	261		—		8		—			269		269		CCC+
Puerto Rico Public Buildings Authority	14		137		37		—			188		194		CCC
Puerto Rico Infrastructure Financing Authority (PRIFA)(4) (5)	—		10		8		—			18		18		CCC-
University of Puerto Rico	—		1		—		—			1		1		CCC-
Total	1,201		628		649		—			2,478		2,790
Total net exposure to Puerto Rico	$	2,140	$	1,656	$	1,337	$	(80	)	$	5,053	$	5,755


1)	Net par 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.


2)	Reported figures reflect the impact of the Radian Asset acquisition, which increased net par by $385 million as of December 31, 2015 and a commutation of previously ceded Puerto Rico exposures.

Includes exposure to Capital Appreciation Bonds with a current aggregate net par outstanding of $32 million and a fully accreted net par at maturity of $66 million. Of these amounts, current net par of $17 million and fully accreted net par at maturity of $50 million relate to the Puerto Rico Sales Tax Financing Corporation, current net par of $10 million and fully accreted net par at maturity of $11 million relate to the PRHTA, and current net par of $4 million and fully accreted net par at maturity of $5 million relate to the Commonwealth General Obligation Bonds.

The Governor issued executive orders on November 30, 2015, and December 8, 2015, directing the Puerto Rico Department of Treasury and the Puerto Rico Tourism Company to retain or transfer certain taxes and revenues pledged to secure the payment of bonds issued by PRHTA, PRIFA and PRCCDA. On January 7, 2016 the Company sued various Puerto Rico governmental officials in the United State District Court, District of Puerto Rico asserting that this attempt to “claw back” pledged taxes and revenues is unconstitutional, and demanding declaratory and injunctive relief.


5)	On January 1, 2016 PRIFA defaulted on the full payment of a portion of the interest due on its bonds on that date. For those PRIFA bonds it had insured, and pursuant to its insurance policies, the Company paid approximately $451 thousand of claims for the interest payments on which PRIFA had defaulted.

Assured Guaranty Ltd.

Exposure to Puerto Rico (3 of 4)

As of December 31, 2015

(dollars in millions)

Amortization Schedule of Net Par Outstanding of Puerto Rico



	Scheduled Net Par Amortization (1)(2)
	2016			2017			2018			2019			2020			2021			2022			2023		2024		2025			2026 -2030			2031 -2035		2036 -2040		2041 -2045		2046 -2047		Total
Exposures Previously Subject to the Voided Recovery Act:
PRHTA (Transportation revenue)	$	32		$	36		$	42		$	28		$	23		$	18		$	19		$	21	$	1	$	26		$	151		$	227	$	240	$	45	$	—	$	909
PREPA	20			5			4			25			42			22			22			81		78		52			309			84		0		—		—		744
Puerto Rico Aqueduct and Sewer Authority	15			—			—			—			—			—			—			—		2		25			84			—		2		92		168		388
PRHTA (Highway revenue)	20			10			10			21			22			26			6			8		8		8			27			167		37		—		—		370
PRCCDA	11			—			—			—			—			—			—			—		—		—			19			105		29		—		—		164
Total	98			51			56			74			87			66			47			110		89		111			590			583		308		137		168		2,575

Exposures Not Previously Subject to the Voided Recovery Act:
Commonwealth of Puerto Rico - General Obligation Bonds	142			95			75			82			137			16			37			15		73		68			254			475		146		—		—		1,615
MFA	55			47			47			44			37			33			33			16		12		11			52			—		—		—		—		387
Puerto Rico Sales Tax Financing Corporation	(1		)	(1		)	(1		)	(1		)	(1		)	(2		)	(2		)	1		0		(2		)	(6		)	32		98		155		—		269
Puerto Rico Public Buildings Authority	8			30			—			5			10			12			0			7		0		8			52			40		16		—		—		188
PRIFA	—			—			2			—			—			—			—			2		—		—			—			—		3		11		—		18
University of Puerto Rico	0			0			0			0			0			0			0			0		0		0			0			1		—		—		—		1
Total	204			171			123			130			183			59			68			41		85		85			352			548		263		166		—		2,478
Total net par for Puerto Rico	$	302		$	222		$	179		$	204		$	270		$	125		$	115		$	151	$	174	$	196		$	942		$	1,131	$	571	$	303	$	168	$	5,053


1)	Reported figures reflect the impact of the Radian Asset acquisition, which increased net par by $385 million as of December 31, 2015 and a commutation of previously ceded Puerto Rico exposures.

Assured Guaranty Ltd.

Exposure to Puerto Rico (4 of 4)

As of December 31, 2015

(dollars in millions)

Amortization Schedule of Net Debt Service Outstanding of Puerto Rico



	Scheduled Net Debt Service Amortization (1)(2)
	2016		2017		2018		2019		2020		2021		2022		2023		2024		2025		2026 -2030		2031 -2035		2036 -2040		2041 -2045		2046 -2047		Total
Exposures Previously Subject to the Voided Recovery Act:
PRHTA (Transportation revenue)	$	80	$	82	$	86	$	69	$	63	$	57	$	57	$	58	$	37	$	61	$	309	$	348	$	288	$	47	$	—	$	1,642
PREPA	55		38		37		58		74		52		50		109		102		72		366		92		0		—		—		1,105
Puerto Rico Aqueduct and Sewer Authority	35		19		19		19		19		19		19		19		21		45		160		68		70		160		181		873
PRHTA (Highway revenue)	40		29		29		39		39		42		20		21		21		21		87		203		39		—		—		630
PRCCDA	19		7		7		7		7		7		7		7		7		7		51		127		30		—		—		290
Total	229		175		178		192		202		177		153		214		188		206		973		838		427		207		181		4,540

Exposures Not Previously Subject to the Voided Recovery Act:
Commonwealth of Puerto Rico - General Obligation Bonds	226		172		146		150		201		72		93		69		127		116		458		606		161		—		—		2,597
MFA	74		64		62		56		47		40		39		21		16		15		57		—		—		—		—		491
Puerto Rico Sales Tax Financing Corporation	12		13		13		13		13		13		13		16		15		12		68		103		164		170		—		638
Puerto Rico Public Buildings Authority	18		39		8		12		18		20		6		14		6		14		72		49		17		—		—		293
PRIFA	0		1		3		1		1		1		1		3		0		0		4		4		6		12		—		37
University of Puerto Rico	0		0		0		0		0		0		0		0		0		0		0		1		—		—		—		1
Total	330		289		232		232		280		146		152		123		164		157		659		763		348		182		—		4,057
Total net debt service for Puerto Rico	$	559	$	464	$	410	$	424	$	482	$	323	$	305	$	337	$	352	$	363	$	1,632	$	1,601	$	775	$	389	$	181	$	8,597


1)	Reported figures reflect the impact of the Radian Asset acquisition, which increased net debt service outstanding by $633 million as of December 31, 2015 and a commutation of previously ceded Puerto Rico exposures.

Assured Guaranty Ltd.

Direct Pooled Corporate Obligations Profile

As of December 31, 2015

(dollars in millions)

Distribution of Direct Pooled Corporate Obligations by Ratings



			Net Par Outstanding		% of Total		Avg. Initial Credit Enhancement		Avg. Current Credit Enhancement
Ratings:
	AAA		$	13,713	70.4	%	24.6	%	29.8	%
	AA		2,603		13.4		44.6		49.5
	A		1,156		5.9		45.2		47.9
	BBB		912		4.7		42.0		36.5
	BIG		1,099		5.6		41.7		24.9
		Total exposures	$	19,483	100.0	%	29.9	%	33.6	%

Distribution of Direct Pooled Corporate Obligations by Asset Class



			Net Par Outstanding		% of Total		Avg. Initial Credit Enhancement		Avg. Current Credit Enhancement		Avg. Rating
Asset class:
	CBOs/CLOs		$	6,228	32.0	%	30.6	%	42.3	%	AAA
	Synthetic investment grade pooled corporates		7,108		36.5		21.7		19.4		AAA
	Market value CDOs of corporates		1,113		5.7		17.0		30.1		AAA
	Trust preferred
		Banks and insurance	2,821		14.5		45.4		45.8		A+
		U.S. mortgage and real estate investment trusts	1,050		5.4		49.5		46.1		BBB-
		European mortgage and real estate investment trusts	507		2.6		36.6		36.8		BBB
	Other pooled corporates		656		3.3		—		—		BBB
		Total exposures	$	19,483	100.0	%	29.9	%	33.6	%	AAA

Please refer to the Glossary for an explanation of internal ratings, performance indicators and sectors.

Assured Guaranty Ltd.

Consolidated U.S. RMBS Profile

As of December 31, 2015

(dollars in millions)

Distribution of U.S. RMBS by Rating and Type of Exposure



Ratings:	Prime First Lien		Alt-A First Lien		Option ARMs		Subprime First Lien		Second Lien		Total Net Par Outstanding
AAA	$	9	$	220	$	16	$	1,536	$	0	$	1,781
AA	95		325		91		482		108		1,102
A	1		—		4		41		1		47
BBB	56		15		—		94		0		165
BIG	284		793		141		1,304		1,452		3,973
Total exposures	$	445	$	1,353	$	252	$	3,457	$	1,560	$	7,067

Distribution of U.S. RMBS by Year Insured and Type of Exposure



Year insured:	Prime First Lien		Alt-A First Lien		Option ARMs		Subprime First Lien		Second Lien		Total Net Par Outstanding
2004 and prior	$	55	$	56	$	18	$	1,069	$	108	$	1,305
2005	127		450		36		182		345		1,140
2006	85		196		35		724		438		1,478
2007	177		651		163		1,414		669		3,075
2008	—		—		—		68		—		68
Total exposures	$	445	$	1,353	$	252	$	3,457	$	1,560	$	7,067

Please refer to the Glossary for an explanation of the Company's presentation of net par outstanding and a description of performance indicators and sectors.

Assured Guaranty Ltd.

Direct U.S. Commercial Real Estate Profile

As of December 31, 2015

(dollars in millions)

Distribution of Direct U.S. CMBS Insured January 1, 2005 or Later by Exposure Type, Internal Rating, Average Pool Factor, Subordination, Cumulative Losses and 60+ Day Delinquencies

U.S. CMBS



Rating:			Net Par Outstanding		Pool Factor		Subordination		Cumulative Losses		60+ Day Delinquencies		Number of Transactions
	AAA		$	393	61.5	%	41.5	%	7.2	%	0.1	%	25
	AA		—		—		—		—		—		—
	A		—		—		—		—		—		—
	BBB		—		—		—		—		—		—
	BIG		—		—		—		—		—		—
		Total exposures	$	393	61.5	%	41.5	%	7.2	%	0.1	%	25

CDOs of U.S. Commercial Real Estate⁽¹⁾



	Net Par Outstanding		Avg. Initial Credit Enhancement		Avg. Current Credit Enhancement
CDOs of commercial real estate	$	138	53.4	%	66.1	%
Total Exposure	$	138	53.4	%	66.1	%


1)	Represents other U.S. Commercial Real Estate not included in the table above.

Please refer to the Glossary for a description of net par outstanding, performance indicators and sectors.

Assured Guaranty Ltd.

Below Investment Grade Exposures (1 of 5)

(dollars in millions)

BIG Exposures by Asset Exposure Type



			BIG Net Par Outstanding
			December 31, 2015		December 31, 2014
U.S. public finance:
	General obligation		$	2,964	$	2,537
	Tax backed		2,389		2,033
	Municipal utilities		1,247		1,236
	Infrastructure finance		403		1,795
	Healthcare		350		57
	Higher education		244		14
	Transportation		86		75
	Housing		19		2
	Other public finance		82		101
		Total U.S. public finance	7,784		7,850
Non-U.S. public finance:
	Infrastructure finance		1,053		1,074
	Other public finance		325		330
		Total non-U.S. public finance	1,378		1,404
Total public finance			$	9,162	$	9,254

U.S. structured finance:
	RMBS		$	3,973	$	5,643
	Pooled corporate obligations		806		1,333
	Consumer receivables		305		356
	Insurance securitizations		216		598
	Commercial receivables		75		94
	Other structured finance		94		162
		Total U.S. structured finance	5,469		8,186
Non-U.S. structured finance:
	Pooled corporate obligations		386		623
	RMBS		103		112
	Commercial receivables		63		72
		Total non-U.S. structured finance	552		807
Total structured finance			$	6,021	$	8,993
Total BIG net par outstanding			$	15,183	$	18,247

Please refer to the Glossary for an explanation of the Company's presentation of net par outstanding and a description of various sectors.

Assured Guaranty Ltd.

Below Investment Grade Exposures (2 of 5)

(dollars in millions)

Net Par Outstanding by BIG Category⁽¹⁾



				Financial Guaranty Insurance and Credit Derivatives Surveillance Categories
				December 31, 2015		December 31, 2014
Category 1
	U.S. public finance			$	4,765	$	6,577
	Non-U.S. public finance			875		1,402
	U.S. structured finance			1,874		3,124
	Non-U.S. structured finance			509		762
		Total Category 1		8,023		11,865
Category 2
	U.S. public finance			2,883		1,156
	Non-U.S. public finance			503		2
	U.S. structured finance			700		1,486
	Non-U.S. structured finance			43		45
		Total Category 2		4,129		2,689
Category 3
	U.S. public finance			136		117
	Non-U.S. public finance			—		—
	U.S. structured finance			2,895		3,576
	Non-U.S. structured finance			—		—
		Total Category 3		3,031		3,693
			BIG Total	$	15,183	$	18,247

Assured Guaranty's surveillance department is responsible for monitoring the Company's portfolio of credits and maintains a list of BIG credits. BIG Category 1: Below-investment-grade transactions showing sufficient deterioration to make future losses possible, but for which none are currently expected. BIG Category 2: Below-investment-grade transactions for which future losses are expected but for which no claims (other than liquidity claims which is a claim that the Company expects to be reimbursed within one year) have yet been paid. BIG Category 3: Below-investment-grade transactions for which future losses are expected and on which claims (other than liquidity claims) have been paid.

Please refer to the Glossary for an explanation of the Company's internal rating approach, presentation of net par outstanding and a description of various sectors.

Assured Guaranty Ltd.

Below Investment Grade Exposures (3 of 5)

As of December 31, 2015

(dollars in millions)

Public Finance BIG Exposures with Revenue Sources Greater Than $50 Million



			Net Par Outstanding		Internal Rating
Name or description
U.S. public finance:
		Puerto Rico General Obligation, Appropriations and Guarantees of the Commonwealth	$	1,821	CCC
		Puerto Rico Highway and Transportation Authority	1,279		CCC-
		Puerto Rico Electric Power Authority	744		CC
		Puerto Rico Aqueduct & Sewer Authority	388		CCC
		Puerto Rico Municipal Finance Agency	387		CCC-
		Louisville Arena Authority Inc.	335		BB
		Puerto Rico Sales Tax Financing Corporation	269		CCC+
		Puerto Rico Hotel Occupancy Tax Puerto Rico Convention Center District Authority	164		CCC-
		Woonsocket (City of), Rhode Island	140		BB
		Stockton City, California	115		D
		Scranton City School District, Lackawanna County, PA	109		BB
		Wayne County, Michigan	95		BB-
		Ebert Metropolitan District, CO Limited Tax General Obligation Bonds	87		B+
		Orlando Tourist Development Tax - Florida	86		BB
		Xenia Rural Water District, Iowa	75		BB
		Atlantic City, New Jersey	73		BB
		Knox Hills, LLC (Certificates of Participation; Fort Knox Military Housing Privatization Project, Class 1-A and Class 1-B)	65		B
		Pennsylvania Economic Development Financing Authority (Capitol Region Parking System)	61		BB
		Jennie Stuart Medical Center	60		BB+
		Robert Wood Johnson Health Care Corporation at Hamilton, New Jersey	54		B+
		University of the Arts, Pennsylvania	53		BB
		Southlands Metropolitan District No. 1, Colorado	53		BB
		Pacific Lutheran University, Washington	52		BB+
	Total		$	6,565

Non-U.S. public finance:
		Reliance Rail Finance Pty. Limited	$	501	BB
		M6 Duna Autopalya Koncesszios Zartkoruen Mukodo Reszvenytarsasag	271		BB-
		Valencia Fair	240		BB-
		Autovia de la Mancha, S.A.	114		BB-
		CountyRoute (A130) plc	109		BB-
		Metropolitano de Porto Lease and Sublease of Railroad Equipment	55		B+
	Total		$	1,290
Total			$	7,855

Please refer to the Glossary for an explanation of the Company's internal rating approach, presentation of net par outstanding and a description of various sectors.

Assured Guaranty Ltd.

Below Investment Grade Exposures (4 of 5)

As of December 31, 2015

(dollars in millions)

Structured Finance BIG Exposures Greater Than $50 Million



	BIG Net Par Outstanding		Internal Rating	Current Credit Enhancement	60+ Day Delinquencies
Name or description
U.S. structured finance:
RMBS:
Option One 2007-FXD2	$	273	CCC	0.0%	20.8%
MABS 2007-NCW	235		CCC	0.0%	39.7%
Countrywide HELOC 2006-I	228		BB	0.0%	2.2%
Nomura Asset Accept. Corp. 2007-1	188		CCC	0.0%	28.9%
MortgageIT Securities Corp. Mortgage Loan 2007-2	177		BB	0.0%	13.3%
Soundview 2007-WMC1	169		CCC	—%	44.4%
Countrywide Home Equity Loan Trust 2007-D	141		CCC	0.0%	2.2%
Countrywide Home Equity Loan Trust 2005-J	130		BB	0.1%	2.9%
New Century 2005-A	130		CCC	7.7%	20.9%
Countrywide HELOC 2005-D	125		CCC	0.0%	8.1%
Countrywide HELOC 2006-F	125		B	0.0%	5.1%
Countrywide HELOC 2007-B	109		BB	0.0%	2.4%
Countrywide HELOC 2007-A	109		B	0.0%	3.5%
IndyMac 2007-H1 HELOC	91		B	0.0%	2.4%
GMACM 2004-HE3	81		CCC	0.0%	7.5%
Soundview Home Loan Trust 2008-1	68		CCC	4.3%	26.3%
CSAB 2006-3	56		CCC	0.0%	39.3%
Countrywide HELOC 2005-C	56		CCC	0.0%	6.8%
IMPAC CMB Trust Series 2007-A Class M-1	55		BB	9.9%	17.9%
MASTR Asset-Backed Securities Trust 2005-NC2	51		CCC	—%	21.9%
Total RMBS	$	2,597

Please refer to the Glossary for the Company's internal rating approach, presentation of net par outstanding and a description of performance indicators and sectors.

Assured Guaranty Ltd.

Below Investment Grade Exposures (5 of 5)

As of December 31, 2015

(dollars in millions)

Structured Finance BIG Exposures Greater Than $50 Million (continued)



			BIG Net Par Outstanding		Internal Rating	Current Credit Enhancement
Name or description
U.S. structured finance:
	Non-RMBS:
		Alesco Preferred Funding XVI, Ltd.	$	215	BB	18.6%
		Taberna Preferred Funding III, Ltd.	197		BB	32.5%
		Ballantyne Re Plc	175		CC	N/A
		Taberna Preferred Funding II, Ltd.	153		B	32.8%
		US Capital Funding IV, LTD	127		CCC	11.4%
		Taberna Preferred Funding VI, Ltd.	114		BB-	28.0%
		NRG Peaker⁽¹⁾	77		BB	N/A
		National Collegiate Trust Series 2006-2	68		CCC	N/A
		National Collegiate Trust Series 2007-4	56		CCC	N/A
		Conseco Finance Manufactured Housing Series 2001-2	50		CCC	16.3%
		Subtotal non-RMBS	$	1,232
		Subtotal U.S. structured finance	$	3,829

Non-U.S. structured finance:
		Gleneagles Funding Ltd.	$	231	BB	N/A
		Private Pooled Corporate Transaction	87		BB	N/A
		Babcock & Brown Air Funding I Ltd. Series 2007-1	58		BB	N/A
		FHB	56		BB-	N/A
		Subtotal Non-U.S. structured finance	$	432
	Total		$	4,261


1)	In accordance with the terms of certain credit derivative contracts, the referenced obligations in such contracts have been delivered to the Company and therefore are included in the investment portfolio. Net par shown is net of $28 million of ceded par. The Company holds 100% of the bonds referenced in this transaction and reports them in the investment portfolio.

Please refer to the Glossary for the Company's internal rating approach, presentation of net par outstanding and a description of performance indicators and sectors.

Assured Guaranty Ltd.

Largest Exposures by Sector (1 of 4)

As of December 31, 2015

(dollars in millions)

50 Largest U.S. Public Finance Exposures by Revenue Source



Credit names:	Net Par Outstanding		Internal Rating
Credit names:	Net Par Outstanding		Internal Rating
New Jersey (State of)	$	4,692	BBB+
California (State of)	2,400		A
Illinois (State of)	2,136		BBB+
New York (City of) New York	2,082		AA-
Chicago (City of) Illinois	1,960		BBB+
New York (State of)	1,916		A+
Skyway Concession Company LLC⁽¹⁾	1,842		BBB-
Puerto Rico General Obligation, Appropriations and Guarantees of the Commonwealth	1,821		CCC
Massachusetts (Commonwealth of)	1,780		AA
Los Angeles, California Unified School District	1,615		AA-
Philadelphia (City of) Pennsylvania	1,591		BBB+
New York Metropolitan Transportation Authority	1,587		A
Houston, Texas Water and Sewer Authority	1,544		AA-
Wisconsin (State of)	1,494		A+
Pennsylvania (Commonwealth of)	1,403		A
Miami-Dade County Florida Aviation Authority - Miami International Airport	1,401		A
Chicago-O'Hare International Airport	1,396		A-
Port Authority of New York and New Jersey	1,308		A+
Puerto Rico Highway and Transportation Authority	1,279		CCC-
Chicago, Illinois Public Schools	1,272		BBB-
Massachusetts (Commonwealth of) Water Resources	1,249		AA
Georgia Board of Regents	1,226		A
Michigan (State of)	1,216		A+
North Texas Tollway Authority	1,177		A
Long Island Power Authority	1,168		A-
Pennsylvania Turnpike Commission	1,146		A-
Miami-Dade County Florida School Board	1,109		A-
Philadelphia School District, Pennsylvania	1,052		A
Great Lakes Water Authority (Sewerage), Michigan	1,047		BBB
Arizona (State of)	1,019		A+
New York City Municipal Water Finance Authority	938		AA
Illinois Toll Highway Authority	888		AA
Great Lakes Water Authority (Water), Michigan	879		BBB
Washington (State of)	876		AA
Central Florida Expressway Authority, Florida	845		A+
District of Columbia	829		AA-
Atlanta Georgia Water & Sewer System	827		A-
San Diego Unified School District, California	801		AA
Louisiana (State of) Gas and Fuel Tax	790		AA
Miami-Dade County, Florida Water & Sewer	771		A+
Kentucky (Commonwealth of)	747		A+
Puerto Rico Electric Power Authority	744		CC
Metro Washington Airport Authority	729		A+
Regional Transportation Authority, Illinois Sales Tax	719		AA-
Oglethorpe Power Corporation, Georgia	718		BBB+
Miami-Dade County, Florida	705		A+
San Jose, California Airport	690		BBB+
San Francisco Airports Commission	689		A+
Nassau County, New York	687		A-
California State University System Trustee	666		A+
Total top 50 U.S. public finance exposures	$	63,466


1)	On February 25, 2016, the various Skyway Concession Company LLC obligations insured by the Company were retired.

Please refer to the Glossary for an explanation of net par outstanding, internal ratings and sectors.

Assured Guaranty Ltd.

Largest Exposures by Sector (2 of 4)

As of December 31, 2015

(dollars in millions)

50 Largest U.S. Structured Finance Exposures



Credit Name		Net Par Outstanding		Internal Rating	Credit Enhancement
	Stone Tower Credit Funding	$	835	AAA	30.1%
	Private US Insurance Securitization	800		AA	N/A
	Synthetic Investment Grade Pooled Corporate CDO	767		AAA	14.8%
	Synthetic Investment Grade Pooled Corporate CDO	744		AAA	26.7%
	Fortress Credit Opportunities I, LP.	715		AA	39.6%
	Synthetic Investment Grade Pooled Corporate CDO	655		AAA	14.9%
	Wachovia Super Senior CDO 2007-1	563		AAA	23.4%
	Synthetic Investment Grade Pooled Corporate CDO	516		AAA	14.3%
	Private US Insurance Securitization	500		AA	N/A
	Shenandoah Trust Capital I Term Securities	484		A+	N/A
	MS SS UK 2007-1	450		AAA	17.7%
	SLM Private Credit Student Trust 2007-A	450		A-	18.1%
	BNP 2007-1 10 Year Super Senior CDO	440		AAA	21.2%
	LIICA Holdings, LLC	428		AA	N/A
	SLM Private Credit Student Loan Trust 2007-6	392		AAA	4.2%
	Synthetic Investment Grade Pooled Corporate CDO	380		AAA	29.2%
	SLM Private Credit Student Loan Trust 2006-C	356		A-	19.8%
	Synthetic Investment Grade Pooled Corporate CDO	345		AAA	16.3%
	Synthetic Investment Grade Pooled Corporate CDO	304		AAA	14.2%
	Cent CDO 15 Limited	297		AAA	18.7%
	Synthetic Investment Grade Pooled Corporate CDO	283		AAA	30.3%
	Eastland CLO, LTD	281		AAA	53.8%
	Option One 2007-FXD2	273		CCC	0.0%
	Synthetic Investment Grade Pooled Corporate CDO	270		AAA	29.1%
	Cent CDO 12 Limited	269		AAA	25.1%
	Denali CLO VII, LTD.	256		AAA	28.2%
	Bergen, LLC	250		AA	N/A
	MABS 2007-NCW	235		CCC	0.0%
	Alesco Preferred Funding XIV	231		A+	42.7%
	Countrywide HELOC 2006-I	228		BB	0.0%
	Timberlake Financial, LLC Floating Insured Notes	216		BBB-	N/A
	Alesco Preferred Funding XVI, Ltd.	215		BB	18.6%
	Grayson CLO	213		AAA	42.9%
	Taberna Preferred Funding IV, Ltd.	207		BBB-	37.0%
	UBS 2007-2 CDO	204		AAA	9.2%
	UBS 2007-1 CDO	204		AAA	10.4%
	Taberna Preferred Funding III, Ltd.	197		BB	32.5%
	Alesco Preferred Funding X LTD	191		AA	54.7%
	Nomura Asset Accept. Corp. 2007-1	188		CCC	0.0%
	CWALT Alternative Loan Trust 2007-HY9	180		A+	0.0%
	MortgageIT Securities Corp. Mortgage Loan 2007-2	177		BB	0.0%
	Ballantyne Re Plc	175		CC	N/A
	CWABS 2007-4	175		A	0.0%
	Private Other Structured Finance Transaction	171		AAA	N/A
	Synthetic Investment Grade Pooled Corporate CDO	170		AAA	27.6%
	Soundview 2007-WMC1	169		CCC	0.0%
	Alesco Preferred Funding XVII, Ltd.	164		BBB-	32.8%
	Private Other Structured Finance Transaction	156		AAA	N/A
	Taberna Preferred Funding II, Ltd.	153		B	32.8%
	Mountain View CLO II	151		AAA	27.5%
	Total top 50 U.S. structured finance exposures	$	16,673

Please refer to the Glossary for the Company's internal rating approach, presentation of net par outstanding and a description of various sectors.

Assured Guaranty Ltd.

Largest Exposures by Sector (3 of 4)

As of December 31, 2015

(dollars in millions)

25 Largest Non-U.S. Exposures by Revenue Source



Credit Name		Country	Net Par Outstanding		Internal Rating
	Quebec Province	Canada	$	2,089	A+
	Thames Water Utility Finance PLC	United Kingdom	1,167		A-
	Societe des Autoroutes du Nord et de l'Est de France S.A.	France	960		BBB+
	Channel Link Enterprises Finance PLC (Eurotunnel)	France, United Kingdom	907		BBB
	Capital Hospitals (Issuer) PLC	United Kingdom	803		BBB-
	Southern Water Services Limited	United Kingdom	729		A-
	International Infrastructure Pool	United Kingdom	671		AA
	Southern Gas Networks PLC	United Kingdom	661		BBB
	Verbund - Lease and Sublease of Hydro-Electric equipment	Austria	644		AAA
	South Lanarkshire Schools	Scotland	631		BBB-
	International Infrastructure Pool	United Kingdom	604		AA
	International Infrastructure Pool	United Kingdom	604		AA
	Campania Region - Healthcare receivable	Italy	567		BBB-
	A28 Motorway	France	524		BBB-
	Central Nottinghamshire Hospitals PLC	United Kingdom	512		BBB
	Scotland Gas Networks Plc (A2)	United Kingdom	508		BBB
	Reliance Rail Finance Pty. Limited	Australia	501		BB
	Sydney Airport Finance Company	Australia	489		BBB
	NewHospitals (St Helens & Knowsley) Finance PLC	United Kingdom	475		BBB
	Envestra Limited	Australia	474		BBB
	The Hospital Company (QAH Portsmouth) Limited	United Kingdom	454		BBB
	Integrated Accommodation Services PLC	United Kingdom	420		BBB+
	Yorkshire Water Services Finance Plc	United Kingdom	419		A-
	Dali Capital PLC-Northumbrian Water	United Kingdom	411		BBB+
	Octagon Healthcare Funding PLC	United Kingdom	390		BBB
	Total top 25 non-U.S. exposures		$	16,614

Please refer to the Glossary for an explanation of net par outstanding, internal ratings and sectors.

Assured Guaranty Ltd.

Largest Exposures by Sector (4 of 4)

As of December 31, 2015

(dollars in millions)

10 Largest U.S. Residential Mortgage Servicer Exposures



Servicer:		Net Par Outstanding
	Ocwen Loan Servicing, LLC⁽¹⁾	$	2,094
	Specialized Loan Servicing, LLC	1,782
	Bank Of America, N.A.⁽²⁾	1,491
	Wells Fargo Bank N.A.	824
	JPMorgan Chase Bank	238
	Select Portfolio Servicing, Inc.	212
	Banco Popular de Puerto Rico	85
	Ditech Financial LLC	57
	Citicorp Mortgage Securities, Inc.	39
	Carrington Mortgage Services, LLC	39
	Total top 10 U.S. residential mortgage servicer exposures	$	6,861

1) Includes Homeward Residential Inc.


2)	Includes Countrywide Home Loans Servicing LP.

10 Largest U.S. Healthcare Exposures



Credit Name:		Net Par Outstanding		Internal Rating	State
	Methodist Healthcare	$	455	A+	TN
	MultiCare Health System	397		AA-	WA
	CHRISTUS Health	364		A	TX
	Children's National Medical Center	357		A-	DC
	Catholic Health Initiatives	328		A-	CO
	Bon Secours Health System Obligated Group	323		A-	MD
	Carolina HealthCare System	319		AA-	NC
	Catholic Health Partners	287		A+	OH
	Dignity Health, California	280		A	CA
	Palmetto Health Alliance	274		A-	SC
	Total top 10 U.S. healthcare exposures	$	3,384

Please refer to the Glossary for the Company's internal rating approach and presentation of net par outstanding.

Assured Guaranty Ltd.

Rollforward of Net Expected Loss and LAE to be Paid After Benefit for R&W

(dollars in millions)

Rollforward of Net Expected Loss and LAE to be Paid After Benefit for R&W for the Three Months Ended December 31, 2015



Financial Guaranty Insurance Contracts and Credit Derivatives	Net Expected Loss to be Paid (Recovered) at September 30, 2015			Economic Loss Development During 4Q-15			(Paid) Recovered Losses During 4Q-15			Net Expected Loss to be Paid (Recovered) as of December 31, 2015
Public Finance:
U.S. public finance	$	687		$	89		$	(5	)	$	771
Non-U.S public finance	43			(5		)	—			38
Public Finance	730			84			(5		)	809

U.S. RMBS
First lien:
Prime first lien	0			0			(2		)	(2		)
Alt-A first lien	46			6			75			127
Option ARMs	(16		)	(13		)	1			(28		)
Subprime first lien	279			0			(28		)	251
Total first lien	309			(7		)	46			348
Second lien	26			29			6			61
Total U.S. RMBS (1)	335			22			52			409
Triple-X life insurance transactions	98			3			(2		)	99
Trust preferred securities (TruPS)	5			0			—			5
Student loans	56			(2		)	0			54
Other structured finance	83			26			(94		)	15
Structured Finance	577			49			(44		)	582
Total	$	1,307		$	133		$	(49	)	$	1,391

Rollforward of Net Expected Loss and LAE to be Paid After Benefit for R&W for the Year Ended December 31, 2015



Financial Guaranty Insurance Contracts and Credit Derivatives	Net Expected Loss to be Paid (Recovered) as of December 31, 2014			Net Expected Loss to be Paid (Recovered) on Radian Asset portfolio as of April 1, 2015			Economic Loss Development During 2015			(Paid) Recovered Losses During 2015			Net Expected Loss to be Paid (Recovered) as of December 31, 2015
Public Finance:
U.S. public finance	$	303		$	81		$	416		$	(29	)	$	771
Non-U.S public finance	45			4			(11		)	—			38
Public Finance	348			85			405			(29		)	809

U.S. RMBS
First lien:
Prime first lien	4			—			(1		)	(5		)	(2		)
Alt-A first lien	304			7			(126		)	(58		)	127
Option ARMs	(16		)	0			(16		)	4			(28		)
Subprime first lien	303			(4		)	19			(67		)	251
Total first lien	595			3			(124		)	(126		)	348
Second lien	(11		)	1			42			29			61
Total U.S. RMBS (1)	584			4			(82		)	(97		)	409
Triple-X life insurance transactions	161			—			11			(73		)	99
TruPS	23			—			(18		)	—			5
Student loans	68			—			(9		)	(5		)	54
Other structured finance	(15		)	101			12			(83		)	15
Structured Finance	821			105			(86		)	(258		)	582
Total	$	1,169		$	190		$	319		$	(287	)	$	1,391


1)	Includes future net R&W benefit of $317 million as of December 31, 2014, $198 million as of September 30, 2015 and $79 million as of December 31, 2015.

Assured Guaranty Ltd.

Loss Expense - Non-GAAP Operating Basis

As of December 31, 2015

(dollars in millions)



Financial Guaranty Insurance Contracts and Credit Derivatives	Total Net Par Outstanding for BIG Transactions		4Q-15 Losses Incurred			2015 Losses Incurred			Net Expected Loss to be Expensed (1)
Public Finance:
U.S. public finance	$	7,784	$	94		$	392		$	186
Non-U.S public finance	1,378		(3		)	(1		)	14
Public Finance	9,162		91			391			200
Structured Finance:
U.S. RMBS:
First lien:
Prime first lien	284		0			0			1
Alt-A first lien	793		3			(93		)	31
Option ARMs	141		(11		)	(14		)	18
Subprime	1,304		4			34			68
Total first lien	2,522		(4		)	(73		)	118
Second lien	1,451		31			61			133
Total U.S. RMBS	3,973		27			(12		)	251
Triple-X life insurance transactions	216		3			18			6
TruPS	806		0			(12		)	0
Student loans	163		(2		)	(9		)	3
Other structured finance	863		95			98			4
Structured Finance	6,021		123			83			264
Loss expense - non-GAAP basis	$	15,183	$	214		$	474		$	464


1)	Represents present value and excludes future accretion of $327 million. See page 14 for ‘‘Present Value of Financial Guaranty Insurance Net Expected Loss to be Expensed.’’

Please refer to the Glossary for an explanation of the presentation of net par outstanding and of the various sectors.

Assured Guaranty Ltd.

Summary of Financial and Statistical Data

(dollars in millions, except per share amounts)



			Year Ended December 31,
			2015			2014			2013			2012			2011
GAAP Summary Income Statement Data
	Net earned premiums		$	766		$	570		$	752		$	853		$	920
	Net investment income		423			403			393			404			396
	Realized gains and other settlements on credit derivatives		(18		)	23			(42		)	(108		)	6
	Total expenses		776			463			466			822			776
	Income (loss) before income taxes		1,431			1,531			1,142			132			1,029
	Net income (loss)		1,056			1,088			808			110			773
	Net income (loss) per diluted share		7.08			6.26			4.30			0.57			4.16

GAAP Summary Balance Sheet Data
	Total investments and cash		$	11,358		$	11,459		$	10,969		$	11,223		$	11,314
	Total assets		14,544			14,919			16,285			17,240			17,705
	Unearned premium reserve		3,996			4,261			4,595			5,207			5,963
	Loss and LAE reserve		1,067			799			592			601			679
	Long-term debt		1,300			1,297			814			834			1,034
	Shareholders’ equity		6,063			5,758			5,115			4,994			4,652
	Shareholders’ equity per share		43.96			36.37			28.07			25.74			25.52

Non-GAAP Financial Measures
	Operating income		$	699		$	491		$	609		$	535		$	601
	Operating income per diluted share		4.69			2.83			3.25			2.81			3.24
	Operating shareholder's equity		5,946			5,933			6,164			5,830			5,201
	Operating shareholder's equity per share		43.11			37.48			33.83			30.05			28.54
	Adjusted book value		8,439			8,495			9,033			9,151			8,987
	PVP		179			168			141			210			243

Other Financial Information (GAAP Basis)
	Net debt service outstanding (end of period)		$	536,341		$	609,622		$	690,535		$	780,356		$	844,447
	Gross debt service outstanding (end of period)		559,470			646,722			737,380			833,098			934,914
	Net par outstanding (end of period)		358,571			403,729			459,107			518,772			556,830
	Gross par outstanding (end of period)		373,192			426,705			487,895			550,908			613,124

Other Financial Information (Statutory Basis)⁽¹⁾
	Net debt service outstanding (end of period)		$	502,331		$	583,598		$	663,797		$	756,044		$	828,327
	Gross debt service outstanding (end of period)		524,104			619,475			709,000			807,420			916,501
	Net par outstanding (end of period)		327,306			379,714			434,597			496,237			541,882
	Gross par outstanding (end of period)		340,662			401,552			461,845			527,126			593,072

	Consolidated qualified statutory capital		6,813			6,472			6,136			5,943			5,688
	Consolidated policyholders' surplus and reserves		10,901			10,623			10,454			10,288			10,626

	Ratios:
		Net par outstanding to qualified statutory capital	48		:1	59		:1	71		:1	83:1			95:1
		Capital ratio⁽²⁾	74		:1	90		:1	108		:1	127:1			145:1
		Financial resources ratio⁽²⁾	41		:1	48		:1	55		:1	61:1			65:1

	Gross debt service written:
		Public finance - U.S.	$	25,832		$	20,804		$	15,559		$	25,252		$	26,630
		Public finance - non-U.S.	2,054			233			674			40			208
		Structured finance - U.S.	355			423			297			623			1,731
		Structured finance - non-U.S.	69			387			—			—			—
	Total gross debt service written		$	28,310		$	21,847		$	16,530		$	25,915		$	28,569

	Net debt service written		$	28,310		$	21,847		$	16,497		$	25,915		$	28,569
	Net par written		17,336			13,171			9,331			16,816			16,892
	Gross par written		17,336			13,171			9,350			16,816			16,892

1) Statutory amounts prepared on a consolidated basis. The NAIC Annual Statements for U.S. Domiciled Insurance Subsidiaries are prepared on a stand-alone basis.


2)	See page 7 for additional detail on claims-paying resources.

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

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

Glossary

Net Par Outstanding and Internal Ratings

Net par outstanding is insured par exposure, net of reinsurance cessions. Unless otherwise indicated, GAAP net par outstanding amounts exclude amounts related to securities the Company has purchased for loss mitigation purposes.

Internal Rating utilizes the Company’s ratings scale, which is similar to that used by the nationally recognized statistical rating organizations; however, the ratings in the tables may not be the same as ratings assigned by any such rating agency.

Statutory Net Par and Net Debt Service Outstanding. Under statutory accounting, net par and net debt service outstanding would be reduced both when an outstanding issue is legally defeased (i.e., an issuer has legally discharged its obligations with respect to a municipal security by satisfying conditions set forth in defeasance provisions contained in transaction documents and is no longer responsible for the payment of debt service with respect to such obligations) and when such issue is economically defeased (i.e., transaction documents for a municipal security do not contain defeasance provisions but the issuer establishes an escrow account with United States (U.S.) government securities in amounts sufficient to pay the refunded bonds when due; the refunded bonds are not considered paid and continue to be outstanding under the transaction documents and the issuer remains responsible to pay debt service when due to the extent monies on deposit in the escrow account are insufficient for such purpose).

Performance Indicators

The performance information described below is obtained from third parties and/or provided by the trustee and may be subject to revision as updated or additional information are obtained:

60+ Day Delinquencies are defined as loans that are greater than 60 days delinquent and all loans that are in foreclosure, bankruptcy or real estate owned divided by current collateral balance.

Average Credit Enhancement is intended to provide a measure of the amount of equity and/or subordinated tranches that are junior in the capital structure to Assured Guaranty’s exposure, expressed as a percentage of the total transaction size, and reflects any reduction of that credit support resulting from defaults or other factors. For transactions where excess spread may be available to absorb certain losses, the amounts shown do not include any benefit from excess spread. The calculation methodologies differ for the various asset classes to reflect differences in transaction structures in order to provide a measure that management believes is comparable across asset classes. Some asset classes may not have subordinated tranches so they are excluded from the weighted averages.

Cumulative Losses are defined as net charge-offs on the underlying loan collateral divided by the original collateral balance.

Pool Factor is the percentage of the current collateral balance divided by the original collateral balance of the transactions at inception.

Subordination represents the sum of subordinate tranches and overcollateralization, expressed as a percentage of total transaction size, and does not include any benefit from excess spread collections that may be used to absorb losses. Many of the closed-end second lien RMBS transactions insured by the Company have unique structures whereby the collateral may be written down for losses without a corresponding write-down of the obligations insured by the Company. Many of these transactions are currently undercollateralized, with the principal amount of collateral being less than the principal amount of the obligation insured by the Company. The Company is not required to pay principal shortfalls until legal maturity (rather than making timely principal payments), and takes the undercollateralization into account when estimating expected losses for these transactions.

Sectors

Below are brief descriptions of selected types of public and structured finance obligations that the Company insures and reinsures. For a more complete description, please refer to Assured Guaranty Ltd.’s Annual Report on Form 10-K for the year ended December 31, 2015.

Public Finance:

General Obligation Bonds are full faith and credit bonds that are issued by states, their political subdivisions and other municipal issuers, and are supported by the general obligation of the issuer to pay from available funds and by a pledge of the issuer to levy ad valorem taxes in an amount sufficient to provide for the full payment of the bonds.

Tax-Backed Bonds are obligations that are supported by the issuer from specific and discrete sources of taxation. They include tax-backed revenue bonds, general fund obligations and lease revenue bonds. Tax-backed obligations may be secured by a lien on specific pledged tax revenues, such as a gasoline or excise tax, or incrementally from growth in property tax revenue associated with growth in property values. These obligations also include obligations secured by special assessments levied against property owners and often benefit from issuer covenants to enforce collections of such assessments and to foreclose on delinquent properties. Lease revenue bonds typically are general fund obligations of a municipality or other governmental authority that are subject to annual appropriation or abatement; projects financed and subject to such lease payments ordinarily include real estate or equipment serving an essential public purpose. Bonds in this category also include moral obligations of municipalities or governmental authorities.

Municipal Utility Bonds are obligations of all forms of municipal utilities, including electric, water and sewer utilities and resource recovery revenue bonds. These utilities may be organized in various forms, including municipal enterprise systems, authorities or joint action agencies.

Glossary (continued)

Sectors (continued)

Transportation Bonds include a wide variety of revenue-supported bonds, such as bonds for airports, ports, tunnels, municipal parking facilities, toll roads and toll bridges.

Healthcare Bonds are obligations of healthcare facilities, including community-based hospitals and systems, as well as of health maintenance organizations and long-term care facilities.

Higher Education Bonds are obligations secured by revenue collected by either public or private secondary schools, colleges and universities. Such revenue can encompass all of an institution’s revenue, including tuition and fees, or in other cases, can be specifically restricted to certain auxiliary sources of revenue.

Infrastructure Bonds include obligations issued by a variety of entities engaged in the financing of infrastructure projects, such as roads, airports, ports, social infrastructure and other physical assets delivering essential services supported by long-term concession arrangements with a public sector entity.

Investor-Owned Utility Bonds are obligations primarily backed by investor-owned utilities, first mortgage bond obligations of for-profit electric or water utilities providing retail, industrial and commercial service, and also include sale-leaseback obligation bonds supported by such entities.

Housing Revenue Bonds are obligations relating to both single and multi-family housing, issued by states and localities, supported by cash flow and, in some cases, insurance from entities such as the Federal Housing Administration.

Regulated Utilities Obligations are issued by government-regulated providers of essential services and commodities, including electric, water and gas utilities. The majority of the Company's international regulated utility business is conducted in the United Kingdom.

Pooled Infrastructure Obligations are synthetic asset-backed obligations that take the form of credit default swap obligations or credit-linked notes that reference either infrastructure finance obligations or a pool of such obligations, with a defined deductible to cover credit risks associated with the referenced obligations.

Other Public Finance primarily includes government insured student loans, government-sponsored project finance and structured municipal transactions, which includes excess of loss reinsurance on portfolios of municipal credits.

Structured Finance:

Pooled Corporate Obligations are securities primarily backed by various types of corporate debt obligations, such as secured or unsecured bonds, bank loans or loan participations and trust preferred securities. These securities are often issued in ‘‘tranches,’’ with subordinated tranches providing credit support to the more senior tranches. The Company’s financial guaranty exposures generally are to the more senior tranches of these issues.

Residential Mortgage-Backed Securities (RMBS) are obligations backed by closed-end and open-end first and second lien mortgage loans on one-to-four family residential properties, including condominiums and cooperative apartments. First lien mortgage loan products in these transactions include fixed rate, adjustable rate (ARM) and option adjustable-rate (Option ARM) mortgages. The credit quality of borrowers covers a broad range, including ‘‘prime’’, ‘‘subprime’’ and ‘‘Alt-A’’. A prime borrower is generally defined as one with strong risk characteristics as measured by factors such as payment history, credit score, and debt-to-income ratio. A subprime borrower is a borrower with higher risk characteristics, usually as determined by credit score and/or credit history. An Alt-A borrower is generally defined as a prime quality borrower that lacks certain ancillary characteristics, such as fully documented income.

Additional insured obligations within RMBS include Home Equity Lines of Credit (HELOCs), which refers to a type of residential mortgage-backed transaction backed by second-lien loan collateral consisting of home equity lines of credit. U.S. Prime First Lien is a type of residential mortgage-backed securities transaction backed primarily by prime first-lien loan collateral plus an insignificant amount of other miscellaneous RMBS transactions.

CBOs/CLOs (collateralized bond obligations and collateralized loan obligations) are asset-backed securities largely backed by non-investment grade/high yield collateral.

Commercial Mortgage-Backed Securities (CMBS) are obligations backed by pools of commercial mortgages. The collateral supporting CMBS include office, multifamily, retail, hotel, industrial and other specialized or mixed-use properties.

Financial Products Business is how the Company refers to the guaranteed investment contracts ("GICs") portion of a line of business previously conducted by AGMH that the Company did not acquire when it purchased AGMH in 2009 from Dexia SA and that is being run off. That line of business was comprised of AGMH's GICs business, its medium term notes business and the equity payment agreements associated with AGMH's leveraged lease business. Assured Guaranty is indemnified by Dexia SA and certain of its affiliates against loss from the former Financial Products Business.

Glossary (continued)

Sectors (continued)

Consumer Receivables Securities are obligations backed by non-mortgage consumer receivables, such as student loans, automobile loans and leases, manufactured home loans and other consumer receivables.

Commercial Receivables Securities are obligations backed by equipment loans or leases, aircraft and aircraft engine financings, business loans and trade receivables. Credit support is derived from the cash flows generated by the underlying obligations, as well as property or equipment values as applicable.

Insurance Securitization Obligations are obligations secured by the future earnings from pools of various types of insurance/reinsurance policies and income produced by invested assets.

Other Structured Finance Obligations are obligations backed by assets not generally described in any of the other described categories. One such type of asset is a tax benefit to be realized by an investor in one of the Federal or state programs that permit such investor to receive a credit against taxes (such as Federal corporate income tax or state insurance premium tax) for making qualified investments in specified enterprises, typically located in designated low-income areas.

Non-GAAP Financial Measures

The Company references financial measures that are not in accordance with accounting principles generally accepted in the United States of America (GAAP).

Management and the board of directors utilize non-GAAP financial measures in evaluating the Company’s financial performance. By providing these non-GAAP financial measures, the Company gives investors, analysts and financial news reporters access to the same information that management reviews internally. In addition, Assured Guaranty’s presentation of non-GAAP financial measures is consistent with how analysts calculate their estimates of Assured Guaranty’s financial results in their research reports on Assured Guaranty and with how investors, analysts and the financial news media evaluate Assured Guaranty’s financial results.

The following paragraphs define each non-GAAP financial measure and describe why it is useful. A reconciliation of the non-GAAP financial measure and the most directly comparable GAAP financial measure, is presented within this financial supplement. Non-GAAP financial measures should not be viewed as substitutes for their most directly comparable GAAP measures.

Operating Income: Management believes that operating income is a useful measure because it clarifies the understanding of the underwriting results of the Company’s financial guaranty business, and also includes financing costs and net investment income, and enables investors and analysts to evaluate the Company’s financial results as compared with the consensus analyst estimates distributed publicly by financial databases. Operating income is defined as net income (loss) attributable to Assured Guaranty Ltd., as reported under GAAP, adjusted for the following:

1) Elimination of the after-tax realized gains (losses) on the Company’s investments, except for gains and losses on securities classified as trading. The timing of realized gains and losses, which depends largely on market credit cycles, can vary considerably across periods. The timing of sales is largely subject to the Company’s discretion and influenced by market opportunities, as well as the Company’s tax and capital profile. Trends in the underlying profitability of the Company’s business can be more clearly identified without the fluctuating effects of these transactions.

2) Elimination of the after-tax non-credit-impairment unrealized fair value gains (losses) on credit derivatives, which is the amount in excess of the present value of the expected estimated economic credit losses and non-economic payments. Such fair value adjustments are heavily affected by, and in part fluctuate with, changes in market interest rates, credit spreads and other market factors and are not expected to result in an economic gain or loss. Additionally, such adjustments present all financial guaranty contracts on a more consistent basis of accounting, whether or not they are subject to derivative accounting rules.

3) Elimination of the after-tax fair value gains (losses) on the Company’s CCS. Such amounts are heavily affected by, and in part fluctuate with, changes in market interest rates, credit spreads and other market factors and are not expected to result in an economic gain or loss.

4) Elimination of the after-tax foreign exchange gains (losses) on remeasurement of net premium receivables and loss and LAE reserves. Long-dated receivables constitute a significant portion of the net premium receivable balance and represent the present value of future contractual or expected collections. Therefore, the current period’s foreign exchange remeasurement gains (losses) are not necessarily indicative of the total foreign exchange gains (losses) that the Company will ultimately recognize.

5) Elimination of the effects of consolidating FG VIEs in order to present all financial guaranty contracts on a more consistent basis of accounting, whether or not GAAP requires consolidation. GAAP requires the Company to consolidate certain VIEs that have issued debt obligations insured by the Company even though the Company does not own such VIEs.

Operating Shareholders’ Equity: Management believes that operating shareholders’ equity is a useful measure because it presents the equity of Assured Guaranty Ltd. with all financial guaranty contracts accounted for on a more consistent basis and excludes fair value adjustments that are not expected to result in economic gain or loss. Many investors, analysts and financial news reporters use operating shareholders’ equity as the principal financial measure for valuing Assured Guaranty Ltd.’s current share price or projected share price and also as the basis of their decision to recommend, buy or sell Assured Guaranty Ltd.’s common shares. Many of the Company’s fixed income investors also use operating shareholders’ equity to evaluate the Company’s capital adequacy. Operating shareholders’ equity is the basis of the calculation of adjusted book value (see below). Operating shareholders’ equity is defined as shareholders’ equity attributable to Assured Guaranty Ltd., as reported under GAAP, adjusted for the following:

1) Elimination of the effects of consolidating FG VIEs in order to present all financial guaranty contracts on a more consistent basis of accounting, whether or not GAAP requires consolidation. GAAP requires the Company to consolidate certain VIEs that have issued debt obligations insured by the Company even though the Company does not own such VIEs.

Non-GAAP Financial Measures (continued)

Operating Shareholders’ Equity (continued):

4) Elimination of the after-tax unrealized gains (losses) on the Company’s investments, that are recorded as a component of accumulated other comprehensive income (AOCI) (excluding foreign exchange remeasurement). The AOCI component of the fair value adjustment on the investment portfolio is not deemed economic because the Company generally holds these investments to maturity and therefore should not recognize an economic gain or loss.

Operating return on equity (Operating ROE): Operating ROE represents operating income for a specified period divided by the average of operating shareholders’ equity at the beginning and the end of that period. Management believes that operating ROE is a useful measure to evaluate the Company’s return on invested capital. Many investors, analysts and members of the financial news media use operating ROE to evaluate Assured Guaranty Ltd.’s share price and as the basis of their decision to recommend, buy or sell the Assured Guaranty Ltd. common shares. Quarterly and year-to-date operating ROE are calculated on an annualized basis.

Adjusted Book Value: Management believes that adjusted book value is a useful measure because it enables an evaluation of the net present value of the Company’s in-force premiums and revenues in addition to operating shareholders’ equity. The premiums and revenues included in adjusted book value will be earned in future periods, but actual earnings may differ materially from the estimated amounts used in determining current adjusted book value due to changes in foreign exchange rates, prepayment speeds, terminations, credit defaults and other factors. Many investors, analysts and financial news reporters use adjusted book value to evaluate Assured Guaranty Ltd.’s share price and as the basis of their decision to recommend, buy or sell the Assured Guaranty Ltd. common shares. Adjusted book value is operating shareholders’ equity, as defined above, further adjusted for the following:

1) Elimination of after-tax deferred acquisition costs, net. These amounts represent net deferred expenses that have already been paid or accrued and will be expensed in future accounting periods.

2) Addition of the after-tax net present value of estimated net future credit derivative revenue. See below.

3) Addition of the after-tax value of the unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed, net of reinsurance. This amount represents the expected future net earned premiums, net of expected losses to be expensed, which are not reflected in GAAP equity.

Net present value of estimated net future credit derivative revenue: Management believes that this amount is a useful measure because it enables an evaluation of the value of future estimated credit derivative revenue. There is no corresponding GAAP financial measure. This amount represents the present value of estimated future revenue from the Company’s credit derivative in-force book of business, net of reinsurance, ceding commissions and premium taxes for contracts without expected economic losses, and is discounted at 6%. Estimated net future credit derivative revenue may change from period to period due to changes in foreign exchange rates, prepayment speeds, terminations, credit defaults or other factors that affect par outstanding or the ultimate maturity of an obligation.

PVP or present value of new business production: Management believes that PVP is a useful measure because it enables the evaluation of the value of new business production for Assured Guaranty by taking into account the value of estimated future installment premiums on all new contracts underwritten in a reporting period as well as premium supplements and additional installment premium on existing contracts as to which the issuer has the right to call the insured obligation but has not exercised such right, whether in insurance or credit derivative contract form, which GAAP gross premiums written and the net credit derivative premiums received and receivable portion of net realized gains and other settlements on credit derivatives (Credit Derivative Revenues) do not adequately measure. PVP in respect of financial guaranty contracts written in a specified period is defined as gross upfront and installment premiums received and the present value of gross estimated future installment premiums, in each case, discounted at 6%. For purposes of the PVP calculation, management discounts estimated future installment premiums on insurance contracts at 6%, while under GAAP, these amounts are discounted at a risk free rate. Additionally, under GAAP, management records future installment premiums on financial guaranty insurance contracts covering non-homogeneous pools of assets based on the contractual term of the transaction, whereas for PVP purposes, management records an estimate of the future installment premiums the Company expects to receive, which may be based upon a shorter period of time than the contractual term of the transaction. Actual future net earned or written premiums and Credit Derivative Revenues may differ from PVP due to factors including, but not limited to, changes in foreign exchange rates, prepayment speeds, terminations, credit defaults, or other factors that affect par outstanding or the ultimate maturity of an obligation.

Assured Guaranty Ltd.

30 Woodbourne Avenue

Hamilton HM 08

Bermuda

(441) 279-5705

www.assuredguaranty.com

Contacts:

Equity and Fixed Income Investors:

Robert Tucker

Managing Director, Investor Relations and Corporate Communications

(212) 339-0861

rtucker@assuredguaranty.com

Michael Walker

Managing Director, Fixed Income Investor Relations

(212) 261-5575

mwalker@assuredguaranty.com

Andre Thomas

Managing Director, Equity Investor Relations

(212) 339-3551

athomas@assuredguaranty.com

Katie-May Gordon

Associate, Investor Relations

(212) 339-0898

kgordon@assuredguaranty.com

Media:

Ashweeta Durani

Vice President, Corporate Communications

(212) 408-6042

adurani@assuredguaranty.com

ASSURED GUARANTY LTD - FORM 8-K - EX-99.2 - AGL FINANCIAL SUPPLEMENT - February 25, 2016

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