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

Attached files

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EX-99.1 - AGL PRESS RELEASE - ASSURED GUARANTY LTD	agl3q17pressrelease.htm
8-K - 8-K - ASSURED GUARANTY LTD	a8-k3q2017agl.htm

Assured Guaranty Ltd.

September 30, 2017

Financial Supplement



Table of Contents		Page
	Selected Financial Highlights	1
	Consolidated Balance Sheets (unaudited)	3
	Consolidated Statements of Operations (unaudited)	4
	Operating Income Adjustments and Effect of FG VIE Consolidation	5
	Selected Financial Highlights GAAP to Non-GAAP Reconciliations	6
	Claims-Paying Resources	9
	New Business Production	10
	Gross Par Written	11
	New Business Production by Quarter	12
	Available-for-Sale Investment Portfolio and Cash	13
	Estimated Net Exposure Amortization and Estimated Future Net Premium and Credit Derivative Revenues	14
	Expected Amortization of Net Par Outstanding	15
	Net Expected Loss to be Expensed	16
	Financial Guaranty Profile	17
	Exposure to Puerto Rico	21
	Direct Pooled Corporate Obligations Profile	24
	Consolidated U.S. RMBS Profile	25
	Below Investment Grade Exposures	26
	Largest Exposures by Sector	30
	Rollforward of Net Expected Loss and Loss Adjustment Expenses to be Paid	34
	Loss Measures	35
	Summary of Financial and Statistical Data	36
	Summary of GAAP to Non-GAAP Reconciliations	37
	Glossary	39
	Non-GAAP Financial Measures	42

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, 2016 and its Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2017, June 30, 2017 and September 30, 2017.

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) reduction in the amount of available insurance opportunities and/or in the demand for Assured Guaranty's insurance; (2) 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; (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) increased competition, including from new entrants into the financial guaranty industry; (7) 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; (8) the inability of Assured Guaranty to access external sources of capital on acceptable terms; (9) changes in the world’s credit markets, segments thereof, interest rates or general economic conditions; (10) the impact of market volatility on the mark-to-market of Assured Guaranty’s contracts written in credit default swap form; (11) changes in applicable accounting policies or practices; (12) changes in applicable laws or regulations, including insurance, bankruptcy and tax laws, or other governmental actions; (13) the impact of changes in the world’s economy and credit and currency markets and in applicable laws or regulations relating to the decision of the United Kingdom to exit the European Union; (14) the possibility that acquisitions or alternative investments made by Assured Guaranty do not result in the benefits anticipated or subject Assured Guaranty to unanticipated consequences;(15) 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; (16) difficulties with the execution of Assured Guaranty’s business strategy; (17) loss of key personnel; (18) the effects of mergers, acquisitions and divestitures; (19) natural or man-made catastrophes; (20) other risk factors identified in AGL's filings with the SEC; (21) other risks and uncertainties that have not been identified at this time and; (22) management’s response to these factors. 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 (1 of 2)

(dollars in millions, except per share amounts)



	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2017			2016			2017			2016
Net income (loss)	$	208		$	479		$	678		$	684
Operating income (non-GAAP)⁽¹⁾	156			497			570			756
Gain (loss) related to the effect of consolidating financial guaranty variable interest entities (FG VIE consolidation) (net of tax provision (benefit) of $(1), $(6), $5 and $(2)) included in operating income	(1		)	(11		)	9			(4		)

Net income (loss) per diluted share	$	1.72		$	3.60		$	5.48		$	5.06
Operating income per diluted share (non-GAAP) ⁽¹⁾	1.29			3.74			4.62			5.61
Gain (loss) related to FG VIE consolidation included in operating income per diluted share	(0.01		)	(0.09		)	0.08			(0.03		)

Weighted average shares outstanding
Basic shares outstanding	118.7			131.9			121.8			134.0
Diluted shares outstanding⁽¹⁾	120.7			132.8			123.5			134.9

Effective tax rate on net income	33.6		%	0.3		%	18.8		%	8.3		%
Effective tax rate on operating income (non-GAAP) ⁽³⁾	34.2		%	2.7		%	15.7		%	11.6		%
Effect of FG VIE consolidation included in effective tax rate on operating income	0.0		%	(1.1		)%	0.5		%	(0.2		)%

Return on equity (ROE) calculations ⁽⁴⁾:
GAAP ROE	12.2		%	29.7		%	13.5		%	14.4		%
Operating ROE (non-GAAP) ⁽¹⁾	9.5		%	32.0		%	11.7		%	16.3		%
Effect of FG VIE consolidation on operating ROE	(0.1		)%	(0.6		)%	0.2		%	(0.1		)%

New business:
Gross written premiums (GWP)	$	45		$	16		$	235		$	71
Present value of new business production (PVP) ⁽¹⁾	43			50			212			129
Gross par written	3,417			4,687			13,248			12,211

							As of
							September 30, 2017			December 31, 2016
Shareholders' equity							$	6,878		$	6,504
Non-GAAP operating shareholders' equity ⁽¹⁾							6,590			6,386
Non-GAAP adjusted book value ⁽¹⁾							8,820			8,506
Gain (loss) related to FG VIE consolidation included in non-GAAP operating shareholders' equity							3			(7		)
Gain (loss) related to FG VIE consolidation included in non-GAAP adjusted book value							(13		)	(24		)

Shares outstanding at the end of period							117.9			128.0

Shareholders' equity per share							$	58.32		$	50.82
Non-GAAP operating shareholders' equity per share ⁽¹⁾							55.87			49.89
Non-GAAP adjusted book value per share ⁽¹⁾							74.78			66.46
Gain (loss) related to FG VIE consolidation included in non-GAAP operating shareholders' equity							0.01			(0.06		)
Gain (loss) related to FG VIE consolidation included in non-GAAP adjusted book value							(0.11		)	(0.18		)

Net debt service outstanding							$	416,724		$	437,535
Net par outstanding							275,767			296,318
Claims-paying resources ⁽⁵⁾							12,232			11,701


1)	Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement. The prior-year's quarterly and year-to-date non-GAAP financial measures (operating income and operating ROE) have been updated to reflect the revised calculation as discussed in the explanation of Non-GAAP Financial Measures at the end of this Financial Supplement.


2)	Non-GAAP diluted shares outstanding were the same as diluted shares calculated in accordance with accounting principles generally accepted in the United States of America (GAAP) since both net income and operating income were positive for all periods.


3)	Represents the ratio of non-GAAP operating provision for income taxes to operating income before income taxes.


4)	Quarterly ROE calculations represent annualized returns. See page 7 for additional information on calculation.


5)	See page 9 for additional detail on claims-paying resources.

Assured Guaranty Ltd.

Selected Financial Highlights (2 of 2)

(dollars in millions, except per share amounts)



	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2017		2016		2017		2016
Effect of refundings and terminations on GAAP measures:
Net earned premiums, pre-tax	$	87	$	126	$	204	$	332
Net change in fair value of credit derivatives, pre-tax	8		14		24		92

Net income effect	68		97		161		335
Net income per diluted share	0.56		0.73		1.30		2.49

Effect of refundings and terminations on non-GAAP measures:
Operating net earned premiums and credit derivative revenues⁽¹⁾, pre-tax	87		130		205		356
Operating income⁽¹⁾effect (non-GAAP)	61		90		144		289
Operating income per diluted share ⁽¹⁾ (non-GAAP)	0.51		0.68		1.16		2.14

Gain (loss) related to FG VIE consolidation included in the effect of refundings and terminations above for the following measures:
Net earned premiums, pre-tax	—		—		—		1
Net income and operating income, after-tax	—		—		—		1
Net income and operating income, after-tax, per diluted share	—		—		—		0.00

Consolidated statement of operations items mentioned in this Financial Supplement that are described as operating (i.e. operating net earned premiums) are non-GAAP measures and represent components of operating income. Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement. The prior-year non-GAAP financial measures have been updated to reflect the revised calculation as discussed in the explanation of Non-GAAP Financial Measures at the end of this Financial Supplement.

Assured Guaranty Ltd.

Consolidated Balance Sheets (unaudited)

(dollars in millions)



	As of:
	September 30,		December 31,
	2017		2016
Assets:
Investment portfolio:
Fixed maturity securities, available-for-sale, at fair value	$	10,546	$	10,233
Short-term investments, at fair value	949		590
Other invested assets	96		162
Total investment portfolio	11,591		10,985

Cash	72		118
Premiums receivable, net of commissions payable	922		576
Ceded unearned premium reserve	108		206
Deferred acquisition costs	105		106
Reinsurance recoverable on unpaid losses	39		80
Salvage and subrogation recoverable	497		365
Credit derivative assets	3		13
Deferred tax asset, net	135		497
Current income tax receivable	72		12
Financial guaranty variable interest entities (FG VIE) assets, at fair value	707		876
Other assets	398		317
Total assets	$	14,649	$	14,151

Liabilities and shareholders' equity:
Liabilities:
Unearned premium reserve	$	3,597	$	3,511
Loss and loss adjustment expense reserve	1,326		1,127
Reinsurance balances payable, net	45		64
Long-term debt	1,292		1,306
Credit derivative liabilities	305		402
FG VIE liabilities with recourse, at fair value	657		807
FG VIE liabilities without recourse, at fair value	111		151
Other liabilities	438		279
Total liabilities	7,771		7,647

Shareholders' equity:
Common stock	1		1
Additional paid-in capital	637		1,060
Retained earnings	5,913		5,289
Accumulated other comprehensive income	326		149
Deferred equity compensation	1		5
Total shareholders' equity	6,878		6,504
Total liabilities and shareholders' equity	$	14,649	$	14,151

Assured Guaranty Ltd.

Consolidated Statements of Operations (unaudited)

(dollars in millions, except per share amounts)



				Three Months Ended						Nine Months Ended
				September 30,						September 30,
				2017			2016			2017			2016
Revenues:
	Net earned premiums			$	186		$	231		$	512		$	628
	Net investment income			99			94			322			291
	Net realized investment gains (losses)			7			(2		)	54			(5		)
	Net change in fair value of credit derivatives:
		Realized gains (losses) and other settlements		(1		)	15			19			47
		Net unrealized gains (losses)		59			6			87			(23		)
			Net change in fair value of credit derivatives	58			21			106			24
	Fair value gains (losses) on committed capital securities (CCS)			(4		)	(23		)	(4		)	(50		)
	Fair value gains (losses) on FG VIEs			3			(11		)	25			11
	Bargain purchase gain and settlement of pre-existing relationships			—			259			58			259
	Other income (loss)			274			(3		)	385			49
		Total revenues		623			566			1,458			1,207
Expenses:
	Loss and loss adjustment expenses (LAE)			223			(9		)	354			183
	Amortization of deferred acquisition costs			5			4			13			13
	Interest expense			24			26			73			77
	Other operating expenses			58			65			183			188
		Total expenses		310			86			623			461
Income (loss) before income taxes				313			480			835			746
	Provision (benefit) for income taxes			105			1			157			62
Net income (loss)				$	208		$	479		$	678		$	684

Earnings per share:
	Basic			$	1.75		$	3.63		$	5.56		$	5.10
	Diluted			$	1.72		$	3.60		$	5.48		$	5.06

Assured Guaranty Ltd.

Operating Income Adjustments and Effect of FG VIE Consolidation

(dollars in millions)

Operating Income Adjustments for the Three Months Ended September 30, 2017 and September 30, 2016



	Three Months Ended						Three Months Ended
	September 30, 2017						September 30, 2016
	Operating Income Adjustments (1)			Effect of FG VIE Consolidation (2)			Operating Income Adjustments (1)			Effect of FG VIE Consolidation (2)
Adjustments to revenues:
Net earned premiums	$	—		$	(4	)	$	—		$	(4	)
Net investment income	—			(2		)	1			(2		)
Net realized investment gains (losses)	7			—			(2		)	—
Net change in fair value of credit derivatives	54			—			3			—
Fair value gains (losses) on CCS	(4		)	—			(23		)	—
Fair value gains (losses) on FG VIEs	—			3			—			(11		)
Other income (loss)	18			0			(2		)	0
Total revenue adjustments	75			(3		)	(23		)	(17		)
Adjustments to expenses:
Loss expense	(1		)	(1		)	8			0
Total expense adjustments	(1		)	(1		)	8			0
Pre-tax adjustments	76			(2		)	(31		)	(17		)
Tax effect of adjustments	24			(1		)	(13		)	(6		)
After-tax adjustments	$	52		$	(1	)	$	(18	)	$	(11	)

Operating Income Adjustments for the Nine Months Ended September 30, 2017 and September 30, 2016



	Nine Months Ended						Nine Months Ended
	September 30, 2017						September 30, 2016
	Operating Income Adjustments (1)			Effect of FG VIE Consolidation (2)			Operating Income Adjustments (1)			Effect of FG VIE Consolidation (2)
Adjustments to revenues:
Net earned premiums	$	—		$	(12	)	$	—		$	(12	)
Net investment income	—			(4		)	9			(9		)
Net realized investment gains (losses)	54			—			(5		)	—
Net change in fair value of credit derivatives	85			—			(15		)	—
Fair value gains (losses) on CCS	(4		)	—			(50		)	—
Fair value gains (losses) on FG VIEs	—			25			—			11
Other income (loss)	49			0			(22		)	0
Total revenue adjustments	184			9			(83		)	(10		)
Adjustments to expenses:
Loss expense	25			(5		)	25			(4		)
Other operating expenses	—			—			1			—
Total expense adjustments	25			(5		)	26			(4		)
Pre-tax adjustments	159			14			(109		)	(6		)
Tax effect of adjustments	51			5			(37		)	(2		)
After-tax adjustments	$	108		$	9		$	(72	)	$	(4	)


1)	The "Operating Income Adjustments" column represents the amounts recorded in the consolidated statements of operations that the Company removes to arrive at operating income. Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

The "Effect of FG VIE Consolidation" column represents the amounts included in the consolidated statements of operations and non-GAAP operating income that the Company removes to arrive at the core financial measures that management uses in certain of its compensation calculations and its decision making process. Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (1 of 3)

(dollars in millions, except per share amounts)



Operating Income (non-GAAP) Reconciliation	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2017			2016			2017			2016

Net income (loss)	$	208		$	479		$	678		$	684
Less pre-tax adjustments:
Realized gains (losses) on investments	7			(2		)	54			(6		)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	55			(4		)	60			(32		)
Fair value gains (losses) on CCS	(4		)	(23		)	(4		)	(50		)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	18			(2		)	49			(21		)
Total pre-tax adjustments	76			(31		)	159			(109		)
Less tax effect on pre-tax adjustments	(24		)	13			(51		)	37
Operating income (non-GAAP)	$	156		$	497		$	570		$	756

Gain (loss) related to FG VIE consolidation (net of tax provision (benefit) of $(1), $(6), $5 and $(2)) included in operating income	$	(1	)	$	(11	)	$	9		$	(4	)

Per diluted share:
Net income (loss)	$	1.72		$	3.60		$	5.48		$	5.06
Less pre-tax adjustments:
Realized gains (losses) on investments	0.06			(0.01		)	0.43			(0.05		)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	0.46			(0.03		)	0.49			(0.24		)
Fair value gains (losses) on CCS	(0.03		)	(0.18		)	(0.03		)	(0.38		)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.14			(0.02		)	0.39			(0.16		)
Total pre-tax adjustments	0.63			(0.24		)	1.28			(0.83		)
Less tax effect on pre-tax adjustments	(0.20		)	0.10			(0.42		)	0.28
Operating income (non-GAAP)	$	1.29		$	3.74		$	4.62		$	5.61

Gain (loss) related to FG VIE consolidation included in operating income per diluted share	$	(0.01	)	$	(0.09	)	$	0.08		$	(0.03	)

Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement. The prior-year non-GAAP financial measures have been updated to reflect the revised calculation as discussed in the explanation of Non-GAAP Financial Measures at the end of this Financial Supplement.

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (2 of 3)

(dollars in millions)



ROE Reconciliation and Calculation
	September 30,		June 30,		December 31,			September 30,			June 30,			December 31,
	2017		2017		2016			2016			2016			2015
Shareholders' equity	$	6,878	$	6,750	$	6,504		$	6,640		$	6,250		$	6,063
Non-GAAP operating shareholders' equity	6,590		6,502		6,386			6,432			5,998			5,925
Gain (loss) related to FG VIE consolidation included in non-GAAP operating shareholders' equity	3		3		(7		)	(24		)	(13		)	(21		)

					Three Months Ended						Nine Months Ended
					September 30,						September 30,
					2017			2016			2017			2016
Net income (loss)					$	208		$	479		$	678		$	684
Operating income (non-GAAP)					156			497			570			756
Gain (loss) related to FG VIE consolidation included in operating income					(1		)	(11		)	9			(4		)

Average shareholders' equity					$	6,814		$	6,445		$	6,691		$	6,352
Average non-GAAP operating shareholders' equity					6,546			6,215			6,488			6,179
Gain (loss) related to FG VIE consolidation included in average non-GAAP operating shareholders' equity					3			(19		)	(2		)	(23		)

GAAP ROE ⁽¹⁾					12.2		%	29.7		%	13.5		%	14.4		%
Operating ROE (non-GAAP) ⁽¹⁾					9.5		%	32.0		%	11.7		%	16.3		%
Effect of FG VIE consolidation included in operating ROE					(0.1		)%	(0.6		)%	0.2		%	(0.1		)%


1)	Quarterly ROE calculations represent annualized returns.

Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement. Certain prior-year non-GAAP financial measures have been updated to reflect the revised calculation as discussed in the explanation of Non-GAAP Financial Measures at the end of this Financial Supplement.

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (3 of 3)

(dollars in millions)



	As of
	September 30,			June 30,			December 31,			September 30,			June 30,			December 31,
	2017			2017			2016			2016			2016			2015
Reconciliation of shareholders' equity to non-GAAP adjusted book value:
Shareholders' equity	$	6,878		$	6,750		$	6,504		$	6,640		$	6,250		$	6,063
Less pre-tax reconciling items:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(129		)	(185		)	(189		)	(284		)	(265		)	(241		)
Fair value gains (losses) on CCS	58			62			62			12			35			62
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	506			504			316			571			600			373
Less taxes	(147		)	(133		)	(71		)	(91		)	(118		)	(56		)
Non-GAAP operating shareholders' equity	6,590			6,502			6,386			6,432			5,998			5,925
Pre-tax reconciling items:
Less: Deferred acquisition costs	106			106			106			108			110			114
Plus: Net present value of estimated net future revenue	144			148			136			155			93			169
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,091			3,173			2,922			3,038			3,047			3,384
Plus taxes	(899		)	(924		)	(832		)	(868		)	(843		)	(968		)
Non-GAAP adjusted book value	$	8,820		$	8,793		$	8,506		$	8,649		$	8,185		$	8,396

Gain (loss) related to FG VIE consolidation included in non-GAAP operating shareholders' equity (net of tax (provision) benefit of $(1), $(1), $4, $13, $7 and $11)	3			3			(7		)	(24		)	(13		)	(21		)

Gain (loss) related to FG VIE consolidation included in non-GAAP adjusted book value (net of tax benefit of $7, $8, $12, $21, $16 and $22)	(13		)	(13		)	(24		)	(40		)	(30		)	(43		)

Assured Guaranty Ltd.

Claims-Paying Resources

(dollars in millions)



	As of September 30, 2017
	Assured Guaranty Municipal Corp.		Assured Guaranty Corp.		Municipal Assurance Corp.		Assured Guaranty Re Ltd. ⁽⁸⁾		Eliminations⁽³⁾			Consolidated
Claims-paying resources
Policyholders' surplus	$	2,322	$	1,866	$	238	$	1,061	$	(395	)	$	5,092
Contingency reserve	1,371		802		281		—		(281		)	2,173
Qualified statutory capital	3,693		2,668		519		1,061		(676		)	7,265
Unearned premium reserve⁽¹⁾	1,681		396		270		666		(270		)	2,743
Loss and LAE reserves ⁽¹⁾	542		185		0		271		0			998
Total policyholders' surplus and reserves	5,916		3,249		789		1,998		(946		)	11,006
Present value of installment premium	180		131		1		155		(1		)	466
CCS	200		200		—		—		—			400
Excess of loss reinsurance facility ⁽²⁾	360		360		360		—		(720		)	360
Total claims-paying resources (including proportionate MAC ownership for AGM and AGC)	6,656		3,940		1,150		2,153		(1,667		)	12,232
Adjustment for MAC ⁽⁴⁾	480		310		—		—		(790		)	—
Total claims-paying resources (excluding proportionate MAC ownership for AGM and AGC)	$	6,176	$	3,630	$	1,150	$	2,153	$	(877	)	$	12,232

Statutory net par outstanding ⁽⁵⁾	$	122,505	$	26,541	$	33,101	$	67,977	$	(656	)	$	249,468
Equity method adjustment ⁽⁴⁾	20,092		13,009		—		—		(33,101		)	—
Adjusted statutory net par outstanding ⁽¹⁾	$	142,597	$	39,550	$	33,101	$	67,977	$	(33,757	)	$	249,468

Net debt service outstanding ⁽⁵⁾	$	194,711	$	40,098	$	48,671	$	106,009	$	(1,018	)	$	388,471
Equity method adjustment ⁽⁴⁾	29,543		19,128		—		—		(48,671		)	—
Adjusted net debt service outstanding ⁽¹⁾	$	224,254	$	59,226	$	48,671	$	106,009	$	(49,689	)	$	388,471
Ratios:
Adjusted net par outstanding to qualified statutory capital	39:1		15:1		64:1		64:1					34:1
Capital ratio ⁽⁶⁾	61:1		22:1		94:1		100:1					53:1
Financial resources ratio ⁽⁷⁾	34:1		15:1		42:1		49:1					32:1

The numbers shown for Assured Guaranty Municipal Corp. (AGM) and Assured Guaranty Corp. (AGC) have been adjusted to include 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. In addition, the numbers shown for AGM have been adjusted to include 100% share of its respective European insurance subsidiaries. Amounts include financial guaranty insurance and credit derivatives.


2)	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, (ii) MAC amounts, whose proportionate share are included in AGM and AGC based on ownership percentages, and (iii) eliminations related to the sale of European Subsidiaries from AGC to AGM. 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.


4)	Represents adjustments for AGM's and AGC's interest and indirect ownership of MAC.


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


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


7)	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).


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

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

Assured Guaranty Ltd.

New Business Production

(dollars in millions)

Reconciliation of GWP to PVP for the Three Months Ended September 30, 2017 and September 30, 2016



	Three Months Ended											Three Months Ended
	September 30, 2017											September 30, 2016
	Public Finance				Structured Finance							Public Finance						Structured Finance
	U.S.		Non - U.S.		U.S.		Non - U.S.			Total		U.S.			Non - U.S.			U.S.		Non - U.S.		Total
Total GWP	$	37	$	8	$	1	$	(1	)	$	45	$	24		$	(9	)	$	1	$	0	$	16
Less: Installment GWP and other GAAP adjustments⁽¹⁾	2		8		1		(1		)	10		(1		)	(9		)	1		0		(9		)
Upfront GWP	35		—		—		—			35		25			—			—		—		25
Plus: Installment premium PVP	4		4		0		—			8		0			2			23		—		25
Total PVP	$	39	$	4	$	0	$	—		$	43	$	25		$	2		$	23	$	—	$	50

Gross par written	$	3,328	$	89	$	—	$	—		$	3,417	$	3,459		$	164		$	1,064	$	—	$	4,687

Reconciliation of GWP to PVP for the Nine Months Ended September 30, 2017 and September 30, 2016



	Nine Months Ended												Nine Months Ended
	September 30, 2017												September 30, 2016
	Public Finance					Structured Finance							Public Finance					Structured Finance
	U.S.			Non - U.S.		U.S.		Non - U.S.			Total		U.S.			Non - U.S.		U.S.			Non - U.S.			Total
Total GWP	$	132		$	92	$	3	$	8		$	235	$	72		$	6	$	(5	)	$	(2	)	$	71
Less: Installment GWP and other GAAP adjustments⁽¹⁾	(1		)	90		3		(2		)	90		(17		)	6		(5		)	(2		)	(18		)
Upfront GWP	133			2		—		10			145		89			—		0			—			89
Plus: Installment premium PVP	4			56		5		2			67		0			16		24			—			40
Total PVP	$	137		$	58	$	5	$	12		$	212	$	89		$	16	$	24		$	—		$	129

Gross par written	$	11,590		$	1,260	$	243	$	155		$	13,248	$	10,574		$	570	$	1,067		$	—		$	12,211


1)	Includes present value of new business on installment policies discounted at the prescribed GAAP discount rates, GWP adjustments on existing installment policies due to changes in assumptions, 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			Nine Months Ended
	September 30, 2017			September 30, 2017
	Gross Par Written		Avg. Internal Rating	Gross Par Written		Avg. Internal Rating
Sector:
U.S. public finance
General obligation	$	1,819	A-	$	5,373	A-
Tax backed	863		A	2,747		A
Municipal utilities	257		BBB+	1,210		BBB+
Transportation	253		A-	1,228		BBB+
Higher education	117		A-	555		A-
Healthcare	19		BBB	122		BBB
Infrastructure finance	—		—	345		A
Other public finance	—		—	10		A
Total U.S. public finance	3,328		A-	11,590		A-
Non-U.S. public finance:
Infrastructure finance	—		—	870		BBB+
Regulated utilities	89		BBB	390		BBB
Total non-U.S. public finance	89		BBB	1,260		BBB
Total public finance	$	3,417	A-	$	12,850	A-

U.S. structured finance:
Insurance securitizations	$	—	—	$	243	AA
Total U.S. structured finance	—		—	243		AA
Non-U.S. structured finance:
Commercial receivables	—		—	155		BBB+
Total non-U.S. structured finance	—		—	155		BBB+
Total structured finance	$	—	—	$	398	A+

Total gross par written	$	3,417	A-	$	13,248	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)



																	Nine Months
	1Q-16			2Q-16		3Q-16			4Q-16		1Q-17		2Q-17		3Q-17		2016			2017
PVP:
Public finance - U.S.	$	31		$	33	$	25		$	72	$	52	$	46	$	39	$	89		$	137
Public finance - non-U.S.	7			7		2			9		40		14		4		16			58
Structured finance - U.S.	0			1		23			3		5		0		0		24			5
Structured finance - non-U.S.	—			—		—			1		2		10		—		—			12
Total PVP	$	38		$	41	$	50		$	85	$	99	$	70	$	43	$	129		$	212

Reconciliation of GWP to PVP:
Total GWP	$	19		$	36	$	16		$	83	$	111	$	79	$	45	$	71		$	235
Less: Installment GWP and other GAAP adjustments	(12		)	3		(9		)	8		55		25		10		(18		)	90
Upfront GWP	31			33		25			75		56		54		35		89			145
Plus: Installment premium PVP	7			8		25			10		43		16		8		40			67
Total PVP	$	38		$	41	$	50		$	85	$	99	$	70	$	43	$	129		$	212

Gross par written:
Public finance - U.S.	$	2,749		$	4,366	$	3,459		$	5,465	$	3,430	$	4,832	$	3,328	$	10,574		$	11,590
Public finance - non-U.S.	—			406		164			107		990		181		89		570			1,260
Structured finance - U.S.	—			3		1,064			47		243		—		—		1,067			243
Structured finance - non-U.S.	—			—		—			24		28		127		—		—			155
Total	$	2,749		$	4,775	$	4,687		$	5,643	$	4,691	$	5,140	$	3,417	$	12,211		$	13,248

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 September 30, 2017

(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⁾		$	5,178	3.64	%	3.35	%	$	5,415	$	189
	Insured obligations of state and political subdivisions⁽²⁾⁽⁴⁾		267		4.94		4.56		290		13
	U.S. Treasury securities and obligations of U.S. government agencies		179		1.99		1.37		185		3
	Agency obligations		77		4.86		4.08		85		4
	Corporate securities ⁽⁴⁾		1,932		2.99		2.38		1,976		58
	Mortgage-backed securities (MBS):
		Residential MBS (RMBS) ⁽³⁾⁽⁴⁾	866		4.64		3.53		881		40
		Commercial MBS (CMBS)	551		3.23		2.53		562		18
	Asset-backed securities ⁽⁴⁾		682		8.70		5.72		852		59
	Foreign government securities		313		1.58		1.03		300		5
		Total fixed maturity securities	10,045		3.87		3.22		10,546		389
Short-term investments			948		0.64		0.45		949		6
Cash ⁽⁵⁾			72		—		—		72		—
		Total	$	11,065	3.59	%	2.98	%	$	11,567	$	395



Ratings⁽⁶⁾:			Fair Value		% of Portfolio
	U.S. Treasury securities and obligations of U.S. government agencies		$	185	1.8	%
	Agency obligations		85		0.8
	AAA/Aaa		1,514		14.4
	AA/Aa		5,210		49.4
	A/A		2,070		19.6
	BBB		317		3.0
	Below investment grade (BIG)⁽⁷⁾		1,110		10.5
	Not rated		55		0.5
		Total fixed maturity securities, available-for-sale	$	10,546	100.0	%


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.

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 S&P Global Ratings, a division of Standard & Poor's Financial Services LLC (S&P) or Moody's Investors Service, Inc. (Moody's), average A. Includes fair value of $116 million insured by AGC and AGM.


3)	Includes fair value of $230 million in subprime RMBS, which has an average rating of BIG.


4)	Includes securities purchased or obtained as part of loss mitigation or other risk management strategies.


5)	Cash is not included in the yield calculation.


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


7)	Includes below investment grade securities that were purchased or obtained as part of loss mitigation or other risk management strategies of $1,662 million in par with carrying value of $1,106 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		Effect of FG VIE Consolidation on Expected PV Net Earned Premiums and Accretion of Discount			Future Credit Derivative Revenues
2017 (as of September 30)				$	416,724
2017 Q4		$	10,227	406,497		$	92	$	5	$	(3	)	$	3
2018		39,101		367,396		348		19		(11		)	10
2019		30,000		337,396		300		18		(9		)	9
2020		22,514		314,882		271		16		(8		)	8
2021		22,514		292,368		249		15		(6		)	9

2017-2021		124,356		292,368		1,260		73		(37		)	39
2022-2026		98,007		194,361		963		57		(19		)	33
2027-2031		75,443		118,918		620		34		(12		)	26
2032-2036		56,195		62,723		373		18		(11		)	22
After 2036		62,723		—		317		15		(3		)	27
	Total	$	416,724			$	3,533	$	197	$	(82	)	$	147


1)	Represents the future expected amortization of current debt service outstanding (principal and interest), assuming no advance refundings, as of September 30, 2017. Actual amortization differs from expected maturities because borrowers may have the right to call or prepay guaranteed obligations,terminations and because of management's assumptions on structured finance amortization.


2)	See page 16, ‘‘Net Expected Loss to be Expensed.’’

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

2017 (as of September 30)													$	14,824
2017 Q4		$	613	$	215	$	(9	)	$	142	$	961	13,863
2018		174		821		(18		)	597		1,574		12,289
2019		184		780		7			593		1,564		10,725
2020		54		617		(2		)	399		1,068		9,657
2021		70		565		1			579		1,215		8,442

2017-2021		1,095		2,998		(21		)	2,310		6,382		8,442
2022-2026		273		1,328		272			1,885		3,758		4,684
2027-2031		259		345		859			831		2,294		2,390
2032-2036		586		122		229			790		1,727		663
After 2036		200		271		93			99		663		—
	Total structured finance	$	2,413	$	5,064	$	1,432		$	5,915	$	14,824

Public Finance



		Estimated Net Par Amortization		Estimated Ending Net Par Outstanding

2017 (as of September 30)				$	260,943
2017 Q4		$	5,955	254,988
2018		25,695		229,293
2019		17,784		211,509
2020		11,460		200,049
2021		11,887		188,162

2017-2021		72,781		188,162
2022-2026		55,113		133,049
2027-2031		46,714		86,335
2032-2036		38,774		47,561
After 2036		47,561		—
	Total public finance	$	260,943

Net par outstanding (end of period)



		1Q-16		2Q-16		3Q-16		4Q-16		1Q-17		2Q-17		3Q-17
Public finance - U.S.		$	282,055	$	272,114	$	258,650	$	244,798	$	238,050	$	232,418	$	218,216
Public finance - non-U.S.		29,385		28,128		28,239		26,381		39,343		40,533		42,727
Structured finance - U.S.		30,452		25,562		24,387		22,057		18,446		15,655		13,142
Structured finance - non-U.S.		5,123		4,060		4,049		3,082		2,404		2,014		1,682
	Net par outstanding	$	347,015	$	329,864	$	315,325	$	296,318	$	298,243	$	290,620	$	275,767

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

Assured Guaranty Ltd.

Net Expected Loss to be Expensed

As of September 30, 2017

(dollars in millions)



		Net Expected Loss to be Expensed ⁽¹⁾
		GAAP

2017 Q4		$	9
2018		40
2019		37
2020		38
2021		34

2017-2021		158
2022-2026		143
2027-2031		86
2032-2036		46
After 2036		16
	Total expected PV of net expected loss to be expensed⁽²⁾	449
Future accretion		205
	Total expected future loss and LAE	$	654


1)	The present value of net expected loss to be paid is discounted using risk free rates ranging from 0.0% to 2.94% for U.S. dollar denominated obligations.


2)	Excludes $55 million related to FG VIEs, which are eliminated in consolidation.

Assured Guaranty Ltd.

Financial Guaranty Profile (1 of 4)

(dollars in millions)

Net Par Outstanding and Average Rating by Asset Type



			September 30, 2017			December 31, 2016
			Net Par Outstanding		Avg. Internal Rating	Net Par Outstanding		Avg. Internal Rating
U.S. public finance:
	General obligation		$	93,904	A-	$	107,717	A
	Tax backed		45,795		A-	49,931		A-
	Municipal utilities		33,883		A-	37,603		A
	Transportation		17,876		A-	19,403		A-
	Healthcare		9,856		A	11,238		A
	Higher education		8,911		A	10,085		A
	Infrastructure finance		4,185		BBB+	3,769		BBB+
	Housing		1,221		A-	1,559		A-
	Investor-owned utilities		587		BBB+	697		BBB+
	Other public finance		1,998		A	2,796		A
		Total U.S. public finance	218,216		A-	244,798		A
Non-U.S. public finance:
	Infrastructure finance		18,803		BBB	10,731		BBB
	Regulated utilities		15,847		BBB+	9,263		BBB+
	Pooled infrastructure		1,553		AAA	1,513		AAA
	Other public finance		6,524		A	4,874		A
		Total non-U.S. public finance	42,727		BBB+	26,381		BBB+
Total public finance			$	260,943	A-	$	271,179	A-

U.S. structured finance:
	RMBS		$	5,064	BBB-	$	5,637	BBB-
	Insurance securitizations		2,308		AA-	2,308		A+
	Pooled corporate obligations		2,042		AA-	10,050		AAA
	Consumer receivables		1,630		A-	1,652		BBB+
	Financial products		1,432		AA-	1,540		AA-
	Commercial receivables		162		BBB	230		BBB-
	Other structured finance		504		A+	640		AA-
		Total U.S. structured finance	13,142		A-	22,057		A+

Non-U.S. structured finance:
	RMBS		639		A-	604		A-
	Pooled corporate obligations		371		AA-	1,535		AA
	Commercial receivables		309		A	356		BBB+
	Other structured finance		363		A	587		AA
		Total non-U.S. structured finance	1,682		A	3,082		AA-
Total structured finance			$	14,824	A-	$	25,139	AA-

Total			$	275,767	A-	$	296,318	A

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

Assured Guaranty Ltd.

Financial Guaranty Profile (2 of 4)

As of September 30, 2017

(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		$	915	0.4	%	$	2,523	5.9	%	$	2,333	17.8	%	$	419	25.0	%	$	6,190	2.2	%
AA		33,614		15.4		301		0.7		4,853		36.9		76		4.5		38,844		14.1
A		124,332		57.0		13,657		32.0		1,778		13.5		268		15.9		140,035		50.8
BBB		52,021		23.8		23,965		56.1		724		5.5		762		45.3		77,472		28.1
BIG		7,334		3.4		2,281		5.3		3,454		26.3		157		9.3		13,226		4.8
	Net Par Outstanding⁽¹⁾	$	218,216	100.0	%	$	42,727	100.0	%	$	13,142	100.0	%	$	1,682	100.0	%	$	275,767	100.0	%


1)	As of September 30, 2017, excludes $2.0 billion of net par as a result of loss mitigation strategies, including loss mitigation securities held in the investment portfolio, which are primarily BIG.

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

Assured Guaranty Ltd.

Financial Guaranty Profile (3 of 4)

As of September 30, 2017

(dollars in millions)

Geographic Distribution of Financial Guaranty Portfolio



			Net Par Outstanding		% of Total
U.S.:
U.S. public finance:
	California		$	37,249	13.5	%
	Texas		18,900		6.9
	Pennsylvania		18,381		6.7
	Illinois		17,804		6.5
	New York		16,875		6.1
	New Jersey		12,355		4.5
	Florida		11,701		4.2
	Michigan		6,685		2.4
	Georgia		4,995		1.8
	Puerto Rico		4,966		1.8
	Other		68,305		24.7
		Total public finance	218,216		79.1
U.S. structured finance:			13,142		4.8
		Total U.S.	231,358		83.9

Non-U.S.:
	United Kingdom		29,074		10.5
	France		3,148		1.1
	Australia		3,109		1.1
	Canada		2,756		1.0
	Italy		1,500		0.5
	Other		4,822		1.9
		Total non-U.S.	44,409		16.1

Total net par outstanding			$	275,767	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 September 30, 2017

(dollars in millions)

Net Direct Economic Exposure to Selected European Countries (1)



	Hungary		Italy		Portugal		Spain		Turkey (4)		Total

Sub-sovereign exposure ⁽²⁾	$	214	$	1,034	$	75	$	456	$	—	$	1,779
Non-sovereign exposure ⁽³⁾	125		449		—		—		200		774
Total	$	339	$	1,483	$	75	$	456	$	200	$	2,553
Total BIG	$	262	$	—	$	75	$	456	$	—	$	793


1)	While exposures are shown in U.S. dollars, the obligations are in various currencies, primarily euros.


2)	Sub-sovereign exposure in Selected European Countries includes transactions backed by receivables from, or supported by, sub-sovereigns, which are governmental or government-backed entities other than the ultimate governing body of the country.


3)	Non-sovereign exposure in Selected European Countries includes debt of regulated utilities, RMBS and diversified payment rights (DPR) securitizations.

The $200 million net insured par exposure in Turkey is to DPR securitizations sponsored by a major Turkish bank. These DPR securitizations were established outside of Turkey and involve payment orders in U.S. dollars, pounds sterling and euros from persons outside of Turkey to beneficiaries in Turkey who are customers of the sponsoring bank. The sponsoring bank's correspondent banks have agreed to remit all such payments to a trustee-controlled account outside Turkey, where debt service payments for the DPR securitization are given priority over payments to the sponsoring bank.

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 3)

As of September 30, 2017

(dollars in millions)

Exposure to Puerto Rico



	Gross Par Outstanding		Net Par Outstanding		Gross Debt Service Outstanding		Net Debt Service Outstanding
Total	$	5,186	$	4,966	$	8,516	$	8,197

Exposure to Puerto Rico by Risk⁽¹⁾



	Net Par Outstanding
	AGM		AGC		AG Re		Eliminations (2)			Total Net Par Outstanding (3)		Gross Par Outstanding
Commonwealth Constitutionally Guaranteed
Commonwealth of Puerto Rico - General Obligation Bonds ^{(4) (5)}	$	670	$	343	$	407	$	(1	)	$	1,419	$	1,469
Puerto Rico Public Buildings Authority (PBA) ⁽⁴⁾	9		141		0		(9		)	141		146
Public Corporations - Certain Revenues Potentially Subject to Clawback
Puerto Rico Highways and Transportation Authority (PRHTA) (Transportation revenue) ^{(4) (5)}	252		511		204		(85		)	882		913
PRHTA (Highways revenue) ^{(4) (5)}	358		93		44		—			495		556
Puerto Rico Convention Center District Authority (PRCCDA) ⁽⁴⁾	—		152		—		—			152		152
Puerto Rico Infrastructure Financing Authority (PRIFA)⁽⁴⁾	—		17		1		—			18		18
Other Public Corporations
Puerto Rico Electric Power Authority (PREPA)^{(4) (5)}	547		73		233		—			853		870
Puerto Rico Aqueduct and Sewer Authority (PRASA)	—		284		89		—			373		373
Puerto Rico Municipal Finance Agency (MFA)	221		54		85		—			360		416
Puerto Rico Sales Tax Financing Corporation (COFINA) ^{(4) (5)}	263		—		9		—			272		272
University of Puerto Rico	—		1		—		—			1		1
Total exposure to Puerto Rico	$	2,320	$	1,669	$	1,072	$	(95	)	$	4,966	$	5,186

The general obligation bonds of Puerto Rico and various obligations of its related authorities and public corporations are rated BIG. The September 30, 2017 amounts include $389 million (which comprises $36 million of General Obligation Bonds, $134 million of PREPA, $144 million of PRHTA (Highways revenue), and $75 million of MFA) related to 2017 commutations of previously ceded business. Please refer to Note 13, Reinsurance and Other Monoline Exposures, for more information.


2)	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.

Includes exposure to capital appreciation bonds with a current aggregate net par outstanding of $25 million and a fully accreted net par at maturity of $56 million. Of these amounts, current net par of $19 million and fully accreted net par at maturity of $50 million relate to the COFINA, current net par of $4 million and fully accreted net par at maturity of $4 million relate to the PRHTA, and current net par of $2 million and fully accreted net par at maturity of $2 million relate to the Commonwealth General Obligation Bonds.


4)	As of the date of this filing, the Company has paid claims on these credits.


5)	As of the date of this filing, the seven-member federal financial oversight board established by the Puerto Rico Oversight, Management, and Economic Stability Act (PROMESA) has certified a filing under Title III of PROMESA for these credits.

Assured Guaranty Ltd.

Exposure to Puerto Rico (2 of 3)

As of September 30, 2017

(dollars in millions)

Amortization Schedule of Net Par Outstanding of Puerto Rico⁽¹⁾



	2017 (4Q)		2018 (1Q)		2018 (2Q)		2018 (3Q)		2018 (4Q)		2019			2020			2021			2022			2023		2024		2025			2026			2027 - 2031			2032 - 2036		2037 - 2041		2042 - 2047		Total
Commonwealth Constitutionally Guaranteed
Commonwealth of Puerto Rico - General Obligation Bonds	$	0	$	0	$	0	$	78	$	0	$	87		$	141		$	15		$	37		$	14	$	73	$	68		$	34		$	278		$	489	$	105	$	—	$	1,419
PBA	—		—		—		—		—		3			5			13			0			6		0		7			11			42			54		—		—		141
Public Corporations - Certain Revenues Potentially Subject to Clawback
PRHTA (Transportation revenue)	0		0		0		38		—		32			25			18			28			34		4		29			24			156			295		194		5		882
PRHTA (Highway revenue)	—		—		—		20		—		21			22			35			6			32		33		34			1			73			218		—		—		495
PRCCDA	—		—		—		—		—		—			—			—			—			—		—		—			—			19			133		—		—		152
PRIFA	—		—		—		2		—		—			—			—			—			2		—		—			—			—			—		14		—		18
Other Public Corporations
PREPA	—		—		—		5		—		26			48			28			28			95		93		68			106			330			26		0		—		853
PRASA	—		—		—		—		—		—			—			—			—			—		2		25			26			57			—		2		261		373
MFA	—		—		—		57		—		55			45			40			40			22		17		17			34			33			—		—		—		360
COFINA	0		0		0		0		0		(1		)	(1		)	(2		)	(2		)	1		0		(2		)	(2		)	(7		)	34		102		152		272
University of Puerto Rico	—		—		—		0		—		0			0			0			0			0		0		0			0			0			1		—		—		1
Total	$	0	$	0	$	0	$	200	$	0	$	223		$	285		$	147		$	137		$	206	$	222	$	246		$	234		$	981		$	1,250	$	417	$	418	$	4,966

Assured Guaranty Ltd.

Exposure to Puerto Rico (3 of 3)

As of September 30, 2017

(dollars in millions)

Amortization Schedule of Net Debt Service Outstanding of Puerto Rico⁽¹⁾



	2017 (4Q)		2018 (1Q)		2018 (2Q)		2018 (3Q)		2018 (4Q)		2019		2020		2021		2022		2023		2024		2025		2026		2027 - 2031		2032 - 2036		2037 - 2041		2042 - 2047		Total
Commonwealth Constitutionally Guaranteed
Commonwealth of Puerto Rico - General Obligation Bonds	$	0	$	37	$	0	$	114	$	0	$	156	$	206	$	74	$	94	$	71	$	128	$	119	$	82	$	475	$	595	$	111	$	—	$	2,262
PBA	—		4		—		4		—		10		12		20		6		13		6		12		17		58		62		—		—		224
Public Corporations - Certain Revenues Potentially Subject to Clawback
PRHTA (Transportation revenue)	0		23		0		61		—		76		67		59		68		72		41		66		59		308		403		229		5		1,537
PRHTA (Highways revenue)	—		13		—		33		—		47		46		58		27		52		51		51		17		147		253		—		—		795
PRCCDA	—		3		—		3		—		7		7		7		7		7		7		7		7		50		152		—		—		264
PRIFA	—		0		—		2		—		1		1		1		1		2		1		1		1		4		4		16		—		35
Other Public Corporations
PREPA	3		18		3		22		3		65		87		63		62		128		121		91		126		380		29		0		—		1,201
PRASA	—		10		—		10		—		19		19		19		19		19		21		44		44		129		68		70		327		818
MFA	—		9		—		67		—		70		58		50		48		28		23		21		37		36		—		—		—		447
COFINA	0		6		0		6		0		13		13		13		13		16		15		13		13		68		102		162		160		613
University of Puerto Rico	—		0		—		0		—		0		0		0		0		0		0		0		0		0		1		—		—		1
Total	$	3	$	123	$	3	$	322	$	3	$	464	$	516	$	364	$	345	$	408	$	414	$	425	$	403	$	1,655	$	1,669	$	588	$	492	$	8,197

Assured Guaranty Ltd.

Direct Pooled Corporate Obligations Profile

As of September 30, 2017

(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		$	834	35.7	%	27.0	%	31.5	%
	AA		736		31.5		46.5		56.1
	A		359		15.4		43.5		57.0
	BBB		111		4.8		39.7		36.6
	BIG		295		12.6		33.2		26.5
		Total exposures	$	2,335	100.0	%	37.1	%	42.8	%

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:
	Synthetic investment grade pooled corporates		$	547	23.4	%	30.0	%	29.0	%	AAA
	Collateralized bond obligations/collateralized loan obligations		199		8.5		23.9		39.8		AAA
	Trust preferred
		Banks and insurance	1,194		51.1		44.4		52.2		A+
		U.S. mortgage and real estate investment trusts	261		11.2		47.3		52.4		BBB
	Other pooled corporates		134		5.8		0.0		0.0		A
		Total exposures	$	2,335	100.0	%	37.1	%	42.8	%	AA-

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 September 30, 2017

(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	$	5	$	153	$	26	$	1,325	$	0	$	1,509
AA	17		217		32		246		—		512
A	10		—		0		82		0		92
BBB	11		0		—		69		1		81
BIG	115		511		63		1,080		1,100		2,869
Total exposures	$	157	$	881	$	121	$	2,803	$	1,101	$	5,064

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	$	21	$	39	$	13	$	847	$	56	$	975
2005	78		312		27		158		229		804
2006	59		60		21		610		318		1,069
2007	—		471		59		1,116		498		2,144
2008	—		—		—		71		—		71
Total exposures	$	157	$	881	$	121	$	2,803	$	1,101	$	5,064

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

Assured Guaranty Ltd.

Below Investment Grade Exposures (1 of 4)

(dollars in millions)

BIG Exposures by Asset Exposure Type



			September 30, 2017		December 31, 2016
U.S. public finance:
	General obligation		$	3,245	$	3,186
	Tax backed		2,448		2,249
	Municipal utilities		1,326		1,152
	Transportation		93		164
	Higher Education		92		87
	Healthcare		91		134
	Housing		18		19
	Infrastructure finance		2		368
	Other public finance		19		21
		Total U.S. public finance	7,334		7,380
Non-U.S. public finance:
	Infrastructure finance		1,874		1,037
	Other public finance		407		305
		Total non-U.S. public finance	2,281		1,342
Total public finance			$	9,615	$	8,722

U.S. structured finance:
	RMBS		$	2,869	$	3,151
	Pooled corporate obligations		240		430
	Consumer receivables		190		233
	Insurance securitizations		85		126
	Commercial receivables		62		103
	Other structured finance		8		16
		Total U.S. structured finance	3,454		4,059
Non-U.S. structured finance:
	Pooled corporate obligations		93		185
	RMBS		48		61
	Commercial receivables		16		47
		Total non-U.S. structured finance	157		293
Total structured finance			$	3,611	$	4,352
Total BIG net par outstanding			$	13,226	$	13,074

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 4)

(dollars in millions)

Net Par Outstanding by BIG Category⁽¹⁾



				September 30, 2017		December 31, 2016
Category 1
	U.S. public finance			$	2,563	$	2,403
	Non-U.S. public finance			2,007		1,288
	U.S. structured finance			486		594
	Non-U.S. structured finance			116		210
		Total Category 1		5,172		4,495
Category 2
	U.S. public finance			662		3,122
	Non-U.S. public finance			274		54
	U.S. structured finance			470		800
	Non-U.S. structured finance			41		83
		Total Category 2		1,447		4,059
Category 3
	U.S. public finance			4,109		1,855
	Non-U.S. public finance			—		—
	U.S. structured finance			2,498		2,665
	Non-U.S. structured finance			—		—
		Total Category 3		6,607		4,520
			BIG Total	$	13,226	$	13,074

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 are claims 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 4)

As of September 30, 2017

(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	$	1,578	CCC-
		Puerto Rico Highways & Transportation Authority	1,377		CC-
		Puerto Rico Electric Power Authority	853		CC
		Puerto Rico Aqueduct & Sewer Authority	373		CCC
		Puerto Rico Municipal Finance Agency	360		CCC-
		Oyster Bay, New York	349		BB+
		Hartford, Connecticut	345		B
		Puerto Rico Sales Tax Financing Corporation	272		CCC+
		Virgin Islands Public Finance Authority	169		BB
		Puerto Rico Convention Center District Authority	152		CC-
		Stockton Pension Obligation Bonds, California	113		D
		Penn Hills School District, Pennsylvania	107		BB
		Butler County General Authority, Pennsylvania	99		BB
		Detroit-Wayne County Stadium Authority, Michigan	87		BB+
		Pennsylvania Economic Development Financing Authority (Capitol Region Parking System)	69		BB
		Atlantic City, New Jersey	61		BB
		Virgin Islands Water and Power Authority	55		BB
		Southlands Metropolitan District No. 1, Colorado	51		BB-
	Total U.S. public finance		$	6,470

Non-U.S. public finance:
		Reliance Rail Finance Pty. Limited	$	567	BB
		Coventry & Rugby Hospital Company	566		BB+
		Valencia Fair	331		BB-
		Road Management Services PLC (A13 Highway)	218		B+
		M6 Duna Autopalya Koncesszios Zartkoruen Mukodo Reszvenytarsasag	214		BB+
		Autovia de la Mancha, S.A.	119		BB
		CountyRoute (A130) plc	91		BB-
		Breeze Finance S.A.	56		B-
		Metropolitano de Porto Lease and Sublease of Railroad Equipment	54		B+
	Total non-U.S. public finance		$	2,216
Total			$	8,686

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 4)

As of September 30, 2017

(dollars in millions)

Structured Finance BIG Exposures Greater Than $50 Million



	Net Par Outstanding		Internal Rating	60+ Day Delinquencies
Name or description
U.S. structured finance:
RMBS:
Option One 2007-FXD2	$	223	CCC	15.4%
Countrywide HELOC 2006-I	170		B	2.1%
Soundview 2007-WMC1	164		CCC	41.9%
Nomura Asset Accept. Corp. 2007-1	146		CCC	24.1%
MABS 2007-NCW	134		CCC	28.8%
New Century 2005-A	106		CCC	17.3%
Countrywide Home Equity Loan Trust 2007-D	101		CCC	2.4%
Countrywide HELOC 2007-A	92		CCC	3.0%
Countrywide HELOC 2007-B	91		B	3.1%
Countrywide HELOC 2006-F	90		CCC	3.8%
Countrywide Home Equity Loan Trust 2005-J	87		CCC	3.5%
Countrywide HELOC 2005-D	85		CCC	3.3%
IndyMac 2007-H1 HELOC	72		CCC	3.1%
Soundview (Delta) 2008-1	71		CCC	19.9%
Ace 2007-D1	64		CCC	25.3%
Doral 2006-1	59		CCC	24.3%
Ace Home Equity Loan Trust 2007-SL1	54		CCC	—%
Subtotal RMBS	$	1,809

Non-RMBS:
Taberna Preferred Funding II, Ltd.	$	109	BB	N/A
Ballantyne Re Plc	85		CC	N/A
Alesco Preferred Funding XVI, Ltd.	70		BB	N/A
National Collegiate Trust Series 2006-2	68		CCC	N/A
US Capital Funding IV, LTD	60		B	N/A
Subtotal non-RMBS	$	392
Total U.S. structured finance	$	2,201

Non-U.S. structured finance:
Gleneagles Funding Ltd.	56		BB	N/A
Total non-U.S. structured finance	$	56
Total	$	2,257

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 September 30, 2017

(dollars in millions)

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



Credit Name:	Net Par Outstanding		Internal Rating
New Jersey (State of)	$	4,821	BBB
Illinois (State of)	2,059		BBB+
Chicago (City of) Illinois	1,667		BBB+
Puerto Rico, General Obligation, Appropriations and Guarantees of the Commonwealth	1,578		CCC-
Pennsylvania (Commonwealth of)	1,510		A-
California (State of)	1,486		A
Puerto Rico Highways & Transportation Authority	1,377		CC-
New York (City of) New York	1,304		AA-
North Texas Tollway Authority	1,280		A
Massachusetts (Commonwealth of)	1,269		AA-
Chicago Public Schools, Illinois	1,261		BBB-
Philadelphia (City of) Pennsylvania	1,196		BBB+
Wisconsin (State of)	1,186		A+
Miami-Dade County Aviation, Florida	1,028		A
Great Lakes Water Authority (Sewerage), Michigan	1,011		BBB+
Georgia Board of Regents	1,008		A
New York Metropolitan Transportation Authority	958		A
New York (State of)	957		A+
Arizona (State of)	951		A+
Massachusetts (Commonwealth of) Water Resources	938		AA
Port Authority of New York & New Jersey	917		BBB
Long Island Power Authority	883		BBB+
Puerto Rico Electric Power Authority	853		CC
Philadelphia School District, Pennsylvania	824		A-
Pennsylvania Turnpike Commission	760		A-
Suffolk County, New York	749		BBB
Miami-Dade County, Florida Water & Sewer	737		A+
Regional Transportation Authority, Illinois	725		AA-
Metropolitan Pier & Exposition Authority, Illinois	714		BBB
Kentucky (Commonwealth of)	679		A
Nassau County, New York	668		A-
Jefferson County Alabama Sewer	658		BBB-
Garden State Preservation Trust (Open Space & Farmland), New Jersey	625		A-
San Diego Unified School District, California	623		AA
Miami-Dade County, Florida	606		A+
Sacramento County, California	602		A-
Oglethorpe Power Corporation, Georgia	600		BBB
Metro Washington Airports Authority (Dulles Toll Road)	595		BBB+
Houston Water and Sewer Authority, Texas	574		AA-
New Jersey Turnpike Authority, New Jersey	566		A-
Atlanta, Georgia Water & Sewer System	564		A-
San Francisco (City & County) Airports Commission	527		A
Las Vegas-McCarran International Airport, Nevada	509		A
Connecticut (State of)	502		A
Industry Public Facilities Authority, California	495		BBB+
Utah Transit Authority (Sales Tax)	495		AA+
California (State of) Department of Water Resources - Electric Power Revenue	493		AA-
Miami-Dade County School Board, Florida	491		A
District of Columbia Water and Sewer Authority Public Utility Bonds	474		A+
Yankee Stadium LLC New York City Industrial Development Authority	459		BBB-
Total top 50 U.S. public finance exposures	$	47,812

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 September 30, 2017

(dollars in millions)

50 Largest U.S. Structured Finance Exposures



Credit Name:	Net Par Outstanding		Internal Rating	Credit Enhancement
Private US Insurance Securitization	$	800	AA	N/A
Private US Insurance Securitization	500		AA	N/A
SLM Private Credit Student Trust 2007-A	500		A+	18.2%
LIICA Holdings, LLC	475		AA	N/A
SLM Private Credit Student Loan Trust 2006-C	343		A+	26.9%
Synthetic Investment Grade Pooled Corporate CDO	289		AAA	30.3%
Private US Insurance Securitization	250		AA	N/A
Option One 2007-FXD2	223		CCC	0.0%
Timberlake Financial, LLC Floating Insured Notes	198		BBB-	N/A
Synthetic Investment Grade Pooled Corporate CDO	173		AAA	27.6%
Countrywide HELOC 2006-I	170		B	0.0%
Soundview 2007-WMC1	164		CCC	—%
Cent CDO 12 Limited	146		AAA	34.3%
Nomura Asset Accept. Corp. 2007-1	146		CCC	0.0%
Access Group Private Student Loan Series 2007-A	145		A-	26.7%
CWALT Alternative Loan Trust 2007-HY9	144		A	0.0%
CWABS 2007-4	139		A+	0.0%
MABS 2007-NCW	134		CCC	0.0%
ALESCO Preferred Funding XIII, Ltd.	128		AA	53.2%
Trapeza CDO XI	117		A-	51.5%
OwnIt Mortgage Loan ABS Certificates 2006-3	111		AAA	21.6%
First Franklin Mortgage Loan ABS 2005-FF12	111		AAA	82.6%
Structured Asset Investment Loan Trust 2006-1	111		AAA	10.4%
Soundview Home Equity Loan Trust 2006-OPT1	111		AAA	50.3%
New Century Home Equity Loan Trust 2006-1	111		AAA	10.3%
Taberna Preferred Funding II, Ltd.	109		BB	44.6%
New Century 2005-A	106		CCC	4.6%
ALESCO Preferred Funding XI	105		AA	52.7%
National Collegiate Trust Series 2005-GT3 Grantor Trust Certificates	104		BBB	7.8%
Countrywide 2007-13	103		AA-	20.1%
Countrywide Home Equity Loan Trust 2007-D	101		CCC	0.0%
ALESCO Preferred Funding XII, Ltd.	94		A-	46.1%
Countrywide HELOC 2007-A	92		CCC	0.2%
Countrywide HELOC 2007-B	91		B	0.0%
Trapeza CDO X, Ltd.	91		AA	55.2%
Countrywide HELOC 2006-F	90		CCC	0.0%
Private Other Structured Finance Transaction	88		AAA	N/A
Preferred Term Securities XXIV, Ltd.	88		AA-	46.8%
Countrywide Home Equity Loan Trust 2005-J	87		CCC	0.0%
IMPAC CMB Trust Series 2007-A	86		AAA	10.5%
Countrywide HELOC 2005-D	85		CCC	0.0%
Ballantyne Re Plc	85		CC	N/A
First Franklin Mortgage Loan ABS 2005-FF12	80		AAA	82.6%
Specialty Underwriting & Residential Fin 06-BC1	78		AAA	79.1%
Attentus CDO I Limited	75		A	58.3%
NRG Peaker	73		AA	N/A
IndyMac 2007-H1 HELOC	72		CCC	—%
Soundview (Delta) 2008-1	71		CCC	0.0%
Alesco Preferred Funding XVI, Ltd.	70		BB	24.7%
Merrill Lynch Mortgage Investors 2006-HE1	68		AAA	83.4%
Total top 50 U.S. structured finance exposures	$	7,931

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

Assured Guaranty Ltd.

Largest Exposures by Sector (3 of 4)

As of September 30, 2017

(dollars in millions)

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



Credit Name:	Country	Net Par Outstanding		Internal Rating
Southern Water Services Limited	United Kingdom	$	2,533	A-
Hydro-Quebec, Province of Quebec	Canada	2,118		A+
Societe des Autoroutes du Nord et de l'Est de France S.A.	France	1,780		BBB+
Thames Water Utility Finance PLC	United Kingdom	1,489		A-
Anglian Water Services Financing	United Kingdom	1,435		A-
Dwr Cymru Financing Limited	United Kingdom	1,419		A-
British Broadcasting Corporation	United Kingdom	958		A+
National Grid Gas PLC	United Kingdom	951		BBB+
Verbund - Lease and Sublease of Hydro-Electric equipment	Austria	941		AAA
Aspire Defence Finance plc	United Kingdom	920		BBB+
Channel Link Enterprises Finance PLC	United Kingdom, France	888		BBB
Capital Hospitals (Barts)	United Kingdom	735		BBB-
Sydney Airport Finance Company	Australia	694		BBB
Verdun Participations 2 S.A.S.	France	669		BBB-
Southern Gas Networks PLC	United Kingdom	654		BBB
Envestra Limited	Australia	646		BBB+
InspirED Education (South Lanarkshire) plc	United Kingdom	645		BBB-
Campania Region - Healthcare receivable	Italy	639		BBB-
Reliance Rail Finance Pty. Limited	Australia	567		BB
Coventry & Rugby Hospital Company	United Kingdom	566		BB+
NATS (En Route) PLC	United Kingdom	543		A
Derby Healthcare PLC	United Kingdom	542		BBB
International Infrastructure Pool	United Kingdom	518		AAA
International Infrastructure Pool	United Kingdom	518		AAA
International Infrastructure Pool	United Kingdom	518		AAA
Total top 25 non-U.S. exposures		$	23,886

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 September 30, 2017

(dollars in millions)

10 Largest U.S. Residential Mortgage Servicer Exposures



Servicer:	Net Par Outstanding
Ocwen Loan Servicing, LLC¹	$	1,525
Specialized Loan Servicing, LLC	1,394
Bank of America, N.A.²	962
Wells Fargo Bank NA	452
JPMorgan Chase Bank	207
Select Portfolio Servicing, Inc.	183
Ditech Financial LLC	62
Banco Popular de Puerto Rico	59
Carrington Mortgage Services, LLC	51
Citicorp Mortgage Securities, Inc.	33
Total top 10 U.S. residential mortgage servicer exposures	$	4,928

1) Includes GMAC Mortgage LLC, Residential Funding Company LLC and Homeward Residential Inc.


2)	Includes Countrywide Home Loans, Inc.

10 Largest U.S. Healthcare Exposures



Credit Name:	Net Par Outstanding		Internal Rating	State
MultiCare Health System	$	440	AA-	WA
Children's National Medical Center, District of Columbia	405		A-	DC
CHRISTUS Health	338		A-	TX
Methodist Healthcare	328		A+	TN
Bon Secours Health System Obligated Group	315		A-	MD
Dignity Health, California	285		A-	CA
Mercy Health (f/k/a Catholic Health Partners)	268		A	OH
Palmetto Health Alliance, South Carolina	267		BBB+	SC
Asante Health System	259		A+	OR
Carolina HealthCare System	237		AA-	NC
Total top 10 U.S. healthcare exposures	$	3,142

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

(dollars in millions)

Rollforward of Net Expected Loss and LAE to be Paid⁽¹⁾ for the Three Months Ended September 30, 2017



	Net Expected Loss to be Paid (Recovered) as of June 30, 2017			Economic Loss Development During 3Q-17			(Paid) Recovered Losses During 3Q-17			Net Expected Loss to be Paid (Recovered) as of September 30, 2017
Public Finance:
U.S. public finance	$	1,044		$	229		$	(227	)	$	1,046
Non-U.S public finance	42			0			5			47
Public Finance	1,086			229			(222		)	1,093

Structured Finance:
U.S. RMBS⁽²⁾	182			(19		)	13			176
Triple-X life insurance transactions	(4		)	(1		)	(2		)	(7		)
Other structured finance	33			(5		)	2			30
Structured Finance	211			(25		)	13			199
Total	$	1,297		$	204		$	(209	)	$	1,292

Rollforward of Net Expected Loss and LAE to be Paid⁽¹⁾ for the Nine Months Ended September 30, 2017



	Net Expected Loss to be Paid (Recovered) as of December 31, 2016		Net Expected Loss to be Paid (Recovered) on MBIA UK as of January 10, 2017		Economic Loss Development During 2017			(Paid) Recovered Losses During 2017			Net Expected Loss to be Paid (Recovered) as of September 30, 2017
Public Finance:
U.S. public finance	$	871	$	—	$	431		$	(256	)	$	1,046
Non-U.S public finance	33		13		(4		)	5			47
Public Finance	904		13		427			(251		)	1,093

Structured Finance:
U.S. RMBS⁽²⁾	206		—		(70		)	40			176
Triple-X life insurance transactions	54		—		(56		)	(5		)	(7		)
Other structured finance	34		8		(3		)	(9		)	30
Structured Finance	294		8		(129		)	26			199
Total	$	1,198	$	21	$	298		$	(225	)	$	1,292


1)	Includes expected loss to be paid, economic loss development and paid (recovered) losses for all contracts (i.e. those accounted for as insurance, credit derivatives and FG VIEs).


2)	Includes future net representations and warranties (R&W) payable of $6 million as of December 31, 2016, $6 million as of June 30, 2017 and $3 million as of September 30, 2017.

Assured Guaranty Ltd.

Loss Measures

As of September 30, 2017

(dollars in millions)



	Total Net Par Outstanding for BIG Transactions		3Q-17 Loss and LAE			3Q-17 Loss and LAE included in Operating Income (1)			3Q-17 Effect of FG VIE Consolidation (2)			2017 Loss and LAE			2017 Loss and LAE included in Operating Income (1)			2017 Effect of FG VIE Consolidation (2)
Public finance:
U.S. public finance	$	7,334	$	233		$	235		$	—		$	424		$	426		$	—
Non-U.S public finance	2,281		0			0			—			(3		)	(3		)	—
Public finance	9,615		233			235			—			421			423			—
Structured finance:
U.S. RMBS	2,869		(5		)	(7		)	(1		)	(19		)	(38		)	(5		)
Triple-X life insurance transactions	85		(2		)	(1		)	—			(48		)	(54		)	—
Other structured finance	657		(3		)	(3		)	—			0			(2		)	—
Structured finance	3,611		(10		)	(11		)	(1		)	(67		)	(94		)	(5		)
Total	$	13,226	$	223		$	224		$	(1	)	$	354		$	329		$	(5	)


1)	Operating income includes financial guaranty insurance and credit derivatives.

The "Effect of FG VIE Consolidation" column represents amounts included in the consolidated statements of operations and operating income that the Company removes to arrive at the core financial measures that management uses in certain of its compensation calculations and its decision making process. 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 par outstanding and of the various sectors.

Assured Guaranty Ltd.

Summary of Financial and Statistical Data

(dollars in millions, except per share amounts)



			As of and for Nine Months Ended September 30, 2017			Year Ended December 31,
						2016			2015			2014			2013
GAAP Summary Income Statement Data
	Net earned premiums		$	512		$	864		$	766		$	570		$	752
	Net investment income		322			408			423			403			393
	Realized gains and other settlements on credit derivatives		19			29			(18		)	23			(42		)
	Total expenses		623			660			776			463			466
	Income (loss) before income taxes		835			1,017			1,431			1,531			1,142
	Net income (loss)		678			881			1,056			1,088			808
	Net income (loss) per diluted share		5.48			6.56			7.08			6.26			4.30

GAAP Summary Balance Sheet Data
	Total investments and cash		$	11,663		$	11,103		$	11,358		$	11,459		$	10,969
	Total assets		14,649			14,151			14,544			14,919			16,285
	Unearned premium reserve		3,597			3,511			3,996			4,261			4,595
	Loss and LAE reserve		1,326			1,127			1,067			799			592
	Long-term debt		1,292			1,306			1,300			1,297			814
	Shareholders’ equity		6,878			6,504			6,063			5,758			5,115
	Shareholders’ equity per share		58.32			50.82			43.96			36.37			28.07

Other Financial Information (GAAP Basis)
	Net debt service outstanding (end of period)		$	416,724		$	437,535		$	536,341		$	609,622		$	690,535
	Gross debt service outstanding (end of period)		425,004			455,000			559,470			646,722			737,380
	Net par outstanding (end of period)		275,767			296,318			358,571			403,729			459,107
	Gross par outstanding (end of period)		280,578			307,474			373,192			426,705			487,895

Other Financial Information (Statutory Basis)⁽¹⁾
	Net debt service outstanding (end of period)		$	388,471		$	401,004		$	502,331		$	583,598		$	663,797
	Gross debt service outstanding (end of period)		396,475			417,072			524,104			619,475			709,000
	Net par outstanding (end of period)		249,468			262,468			327,306			379,714			434,597
	Gross par outstanding (end of period)		254,022			272,286			340,662			401,552			461,845

Claims-paying resources
	Policyholders' surplus		$	5,092		$	5,036		$	4,550		$	4,142		$	3,202
	Contingency reserve		2,173			2,008			2,263			2,330			2,934
	Qualified statutory capital		7,265			7,044			6,813			6,472			6,136
	Unearned premium reserve		2,743			2,509			3,045			3,299			3,545
	Loss and LAE reserves		998			888			1,043			852			773
	Total policyholders' surplus and reserves		11,006			10,441			10,901			10,623			10,454
	Present value of installment premium		466			500			645			716			858
	CCS and standby line of credit		400			400			400			400			400
	Excess of loss reinsurance facility		360			360			360			450			435
	Total claims-paying resources		$	12,232		$	11,701		$	12,306		$	12,189		$	12,147

	Ratios:
		Net par outstanding to qualified statutory capital	34		:1	37		:1	48		:1	59		:1	71		:1
		Capital ratio⁽²⁾	53		:1	57		:1	74		:1	90		:1	108		:1
		Financial resources ratio⁽²⁾	32		:1	34		:1	41		:1	48		:1	55		:1

Par and Debt Service Written
	Gross debt service written:
		Public finance - U.S.	$	19,565		$	25,423		$	25,832		$	20,804		$	15,559
		Public finance - non-U.S.	2,632			848			2,054			233			674
		Structured finance - U.S.	243			1,143			355			423			297
		Structured finance - non-U.S.	155			30			69			387			—
	Total gross debt service written		$	22,595		$	27,444		$	28,310		$	21,847		$	16,530

	Net debt service written		$	22,570		$	27,444		$	28,310		$	21,847		$	16,497
	Net par written		13,209			17,854			17,336			13,171			9,331
	Gross par written		13,248			17,854			17,336			13,171			9,350

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


2)	See page 9 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.

Assured Guaranty Ltd.

Summary of GAAP to Non-GAAP Reconciliations⁽¹⁾ (1 of 2)

(dollars in millions, except per share amounts)



	Nine Months Ended September 30, 2017			Year Ended December 31,
	Nine Months Ended September 30, 2017			2016			2015			2014			2013
Total GWP	$	235		$	154		$	181		$	104		$	123
Less: Installment GWP and other GAAP adjustments ⁽²⁾	90			(10		)	55			(22		)	8
Upfront GWP	145			164			126			126			115
Plus: Installment premium PVP	67			50			53			42			26
Total PVP	$	212		$	214		$	179		$	168		$	141

PVP:
Public finance - U.S.	$	137		$	161		$	124		$	128		$	116
Public finance - non-U.S.	58			25			27			7			18
Structured finance - U.S.	5			27			22			24			7
Structured finance - non-U.S.	12			1			6			9			—
Total PVP	$	212		$	214		$	179		$	168		$	141

Operating income (non-GAAP) reconciliation:
Net income (loss)	$	678		$	881		$	1,056		$	1,088		$	808
Less pre-tax adjustments:
Realized gains (losses) on investments	54			(30		)	(27		)	(56		)	56
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	60			36			505			687			(49		)
Fair value gains (losses) on CCS	(4		)	0			27			(11		)	10
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	49			(33		)	(15		)	(21		)	(1		)
Total pre-tax adjustments	159			(27		)	490			599			16
Less tax effect on pre-tax adjustments	(51		)	13			(144		)	(158		)	(9		)
Operating income (non-GAAP)	$	570		$	895		$	710		$	647		$	801

Gain (loss) related to FG VIE consolidation included in operating income (net of tax provision of $5, $7, $4, $84, and $102)	$	9		$	12		$	11		$	156		$	192

Operating income per diluted share (non-GAAP) reconciliation:
Net income (loss) per diluted share	$	5.48		$	6.56		$	7.08		$	6.26		$	4.30
Less pre-tax adjustments:
Realized gains (losses) on investments	0.43			(0.23		)	(0.18		)	(0.32		)	0.30
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	0.49			0.27			3.39			3.95			(0.26		)
Fair value gains (losses) on CCS	(0.03		)	0.00			0.18			(0.06		)	0.05
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.39			(0.25		)	(0.10		)	(0.12		)	(0.01		)
Total pre-tax adjustments	1.28			(0.21		)	3.29			3.45			0.08
Less tax effect on pre-tax adjustments	(0.42		)	0.09			(0.97		)	(0.92		)	(0.06		)
Operating income per diluted share (non-GAAP)	$	4.62		$	6.68		$	4.76		$	3.73		$	4.28

Gain (loss) related to FG VIE consolidation included in operating income per diluted share	$	0.08		$	0.10		$	0.07		$	0.90		$	1.03


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


2)	Includes present value of new business on installment policies discounted at the prescribed GAAP discount rates, GWP adjustments on existing installment policies due to changes in assumptions, any cancellations of assumed reinsurance contracts, and other GAAP adjustments.

Assured Guaranty Ltd.

Summary of GAAP to Non-GAAP Reconciliations⁽¹⁾ (2 of 2)

(dollars in millions, except per share amounts)



	As of and for Nine Months Ended September 30, 2017			As of December 31,
	As of and for Nine Months Ended September 30, 2017			2016			2015			2014			2013
Adjusted book value reconciliation:
Shareholders' equity	$	6,878		$	6,504		$	6,063		$	5,758		$	5,115
Less pre-tax adjustments:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(129		)	(189		)	(241		)	(741		)	(1,447		)
Fair value gains (losses) on CCS	58			62			62			35			46
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	506			316			373			523			236
Less taxes	(147		)	(71		)	(56		)	45			306
Non-GAAP operating shareholders' equity	6,590			6,386			5,925			5,896			5,974
Pre-tax adjustments:
Less: Deferred acquisition costs	106			106			114			121			124
Plus: Net present value of estimated net future revenue	144			136			169			159			214
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	3,091			2,922			3,384			3,461			3,791
Plus taxes	(899		)	(832		)	(968		)	(960		)	(1,070		)
Non-GAAP adjusted book value	$	8,820		$	8,506		$	8,396		$	8,435		$	8,785

Gain (loss) related to FG VIE consolidation included in non-GAAP operating shareholders' equity (net of tax (provision) benefit of $(1), $4, $11, $20, and $103)	$	3		$	(7	)	$	(21	)	$	(37	)	$	(190	)

Gain (loss) related to FG VIE consolidation included in non-GAAP adjusted book value (net of tax benefit of $7, $12, $22, $33, and $134)	$	(13	)	$	(24	)	$	(43	)	$	(60	)	$	(248	)

Adjusted book value per share reconciliation:
Shareholders' equity per share	$	58.32		$	50.82		$	43.96		$	36.37		$	28.07
Less pre-tax adjustments:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(1.09		)	(1.48		)	(1.75		)	(4.68		)	(7.94		)
Fair value gains (losses) on CCS	0.49			0.48			0.45			0.22			0.25
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	4.29			2.47			2.71			3.30			1.29
Less taxes	(1.24		)	(0.54		)	(0.41		)	0.29			1.68
Non-GAAP operating shareholders' equity per share	55.87			49.89			42.96			37.24			32.79
Pre-tax adjustments:
Less: Deferred acquisition costs	0.89			0.83			0.83			0.76			0.68
Plus: Net present value of estimated net future revenue	1.22			1.07			1.23			1.00			1.17
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	26.21			22.83			24.53			21.86			20.81
Plus taxes	(7.63		)	(6.50		)	(7.02		)	(6.07		)	(5.87		)
Non-GAAP adjusted book value per share	$	74.78		$	66.46		$	60.87		$	53.27		$	48.22

Gain (loss) related to FG VIE consolidation included in non-GAAP operating shareholders' equity per share	$	0.01		$	(0.06	)	$	(0.15	)	$	(0.24	)	$	(1.04	)

Gain (loss) related to FG VIE consolidation included in non-GAAP adjusted book value per share	$	(0.11	)	$	(0.18	)	$	(0.31	)	$	(0.39	)	$	(1.36	)


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

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 as a result of loss mitigation strategies, including securities the Company has purchased for loss mitigation purposes that are held in the investment portfolio.

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 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 is 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.

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, 2016.

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.

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.

Glossary (continued)

Sectors (continued)

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.

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.

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.

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 include 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 (TruPS). 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.

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.

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

Financial Products Business is how the Company refers to the guaranteed investment contracts (GICs) portion of a line of business previously conducted by Assured Guaranty Municipal Holdings Inc. (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.

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

To reflect the key financial measures that management analyzes in evaluating the Company’s operations and progress towards long-term goals, the Company discloses both financial measures determined in accordance with GAAP and financial measures not determined in accordance with GAAP (non-GAAP financial measures).

Financial measures identified as non-GAAP should not be considered substitutes for GAAP financial measures. The primary limitation of non-GAAP financial measures is the potential lack of comparability to financial measures of other companies, whose definitions of non-GAAP financial measures may differ from those of Assured Guaranty.

By disclosing non-GAAP financial measures, the Company gives investors, analysts and financial news reporters access to information that management and the Board of Directors review internally. Assured Guaranty believes its presentation of non-GAAP financial measures, along with the effect on those measures of consolidating FG VIEs (FG VIE consolidation), provides information that is necessary for analysts to calculate their estimates of Assured Guaranty’s financial results in their research reports on Assured Guaranty and for investors, analysts and the financial news media to evaluate Assured Guaranty’s financial results.

GAAP requires the Company to consolidate certain variable interest entities (VIEs) that have issued debt obligations insured by the Company. However, the Company does not own such VIEs and its exposure is limited to its obligation under its financial guaranty insurance contract. Therefore, the Company had previously removed the effect of FG VIE consolidation in its calculation of its non-GAAP financial measures. However, since fourth quarter 2016, based on the SEC's May 2016 compliance and disclosure interpretations, the Company no longer removes the effect of FG VIE consolidation from its publicly disclosed non-GAAP financial measures. This change affects the Company's calculation of operating income (non-GAAP), operating ROE, non-GAAP operating shareholders’ equity and non-GAAP adjusted book value. Wherever possible, the Company has separately disclosed the effect of FG VIE consolidation. The prior-year quarterly non-GAAP financial measures have been updated to reflect the revised calculation.

Management and the Board of Directors use non-GAAP financial measures adjusted to remove FG VIE consolidation (which the Company refers to as its core financial measures), as well as GAAP financial measures and other factors, to evaluate the Company’s results of operations, financial condition and progress towards long-term goals. The Company uses these core financial measures in its decision making process and in its calculation of certain components of management compensation.

Many investors, analysts and financial news reporters use non-GAAP operating shareholders’ equity, adjusted to remove the effect of FG VIE consolidation, as the principal financial measure for valuing AGL’s current share price or projected share price and also as the basis of their decision to recommend, buy or sell AGL’s common shares. Many of the Company’s fixed income investors also use this measure to evaluate the Company’s capital adequacy.

Many investors, analysts and financial news reporters also use non-GAAP adjusted book value, adjusted to remove the effect of FG VIE consolidation, to evaluate AGL’s share price and as the basis of their decision to recommend, buy or sell the AGL common shares. Operating income adjusted for the effect of FG VIE consolidation enables investors and analysts to evaluate the Company’s financial results in comparison with the consensus analyst estimates distributed publicly by financial databases.

The core financial measures that the Company uses to help determine compensation are: (1) non-GAAP operating income, adjusted to remove the effect of FG VIE consolidation, (2) non-GAAP operating shareholders' equity, adjusted to remove the effect of FG VIE consolidation, (3) growth in non-GAAP adjusted book value per share, adjusted to remove the effect of FG VIE consolidation, and (4) PVP.

The following paragraphs define each non-GAAP financial measure disclosed by the Company 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.

Operating Income (non-GAAP): Management believes that operating income is a useful measure because it clarifies the understanding of the underwriting results and financial condition of the Company and presents the results of operations of the Company excluding the fair value adjustments on credit derivatives and CCS that are not expected to result in economic gain or loss, as well as other adjustments described below. Management adjusts operating income further by removing FG VIE consolidation to arrive at its core operating income measure. Operating income is defined as net income (loss) attributable to AGL, as reported under GAAP, adjusted for the following:

1) Elimination of 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.

2) Elimination of non-credit-impairment unrealized fair value gains (losses) on credit derivatives, which is the amount of unrealized fair value gains (losses) 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, the Company's credit spreads, and other market factors and are not expected to result in an economic gain or loss.

3) Elimination of fair value gains (losses) on the Company’s CCS. Such amounts are affected by changes in market interest rates, the Company's credit spreads, price indications on the Company's publicly traded debt, and other market factors and are not expected to result in an economic gain or loss.

Non-GAAP Financial Measures (continued)

4) Elimination of foreign exchange gains (losses) on remeasurement of net premium receivables and loss and LAE reserves. Long-dated receivables and loss and LAE reserves represent the present value of future contractual or expected cash flows. 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 tax effects related to the above adjustments, which are determined by applying the statutory tax rate in each of the jurisdictions that generate these adjustments.

Non-GAAP Operating Shareholders’ Equity: Management believes that non-GAAP operating shareholders’ equity is a useful measure because it presents the equity of the Company excluding the fair value adjustments on investments, credit derivatives and CCS, that are not expected to result in economic gain or loss, along with other adjustments described below. Management adjusts non-GAAP operating shareholders’ equity further by removing FG VIE consolidation to arrive at its core operating shareholders' equity and core adjusted book value.

Non-GAAP operating shareholders’ equity is the basis of the calculation of non-GAAP adjusted book value (see below). Non-GAAP operating shareholders’ equity is defined as shareholders’ equity attributable to AGL, as reported under GAAP, adjusted for the following:

1) Elimination of non-credit-impairment unrealized fair value gains (losses) on credit derivatives, which is the amount of unrealized fair value gains (losses) 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.

2) Elimination of fair value gains (losses) on the Company’s CCS. Such amounts are affected by changes in market interest rates, the Company's credit spreads, price indications on the Company's publicly traded debt, and other market factors and are not expected to result in an economic gain or loss.

3) Elimination of 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.

4) Elimination of the tax effects related to the above adjustments, which are determined by applying the statutory tax rate in each of the jurisdictions that generate these adjustments.

Non-GAAP Adjusted Book Value: Management uses non-GAAP adjusted book value, adjusted for FG VIE consolidation, to measure the intrinsic value of the Company, excluding franchise value. Growth in non-GAAP adjusted book value per share, adjusted for FG VIE consolidation (core adjusted book value), is one of the key financial measures used in determining the amount of certain long-term compensation elements to management and employees and used by rating agencies and investors. Management believes that non-GAAP 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 net of expected losses. Non-GAAP adjusted book value is non-GAAP operating shareholders’ equity, as defined above, further adjusted for the following:

1) Elimination of 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 net present value of estimated net future revenue on non-financial guaranty contracts. See below.

3) Addition of the deferred premium revenue 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.

4) Elimination of the tax asset or liability related to the above adjustments, which are determined by applying the statutory tax rate in each of the jurisdictions that generate these adjustments.

The unearned premiums and revenues included in non-GAAP adjusted book value will be earned in future periods, but actual earnings may differ materially from the estimated amounts used in determining current non-GAAP adjusted book value due to changes in foreign exchange rates, prepayment speeds, terminations, credit defaults and other factors.

Non-GAAP Financial Measures (continued)

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, adjusted for FG VIE consolidation, to evaluate AGL’s share price and as the basis of their decision to recommend, buy or sell the AGL common shares. Quarterly and year-to-date operating ROE are calculated on an annualized basis. Operating ROE, adjusted for FG VIE consolidation, is one of the key management financial measures used in determining the amount of certain long-term compensation to management and employees and used by rating agencies and investors.

Net Present Value of Estimated Net Future Revenue: Management believes that this amount is a useful measure because it enables an evaluation of the value of future estimated revenue for non-financial guaranty insurance contracts. There is no corresponding GAAP financial measure. This amount represents the present value of estimated future revenue from the Company’s non-financial guaranty contracts, net of reinsurance, ceding commissions and premium taxes, for contracts without expected economic losses, and is discounted at 6%. Estimated net future 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 the Company 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 management believes GAAP gross written premiums and the net credit derivative premiums received and receivable portion of net realized gains and other settlements on credit derivatives (Credit Derivative Realized Gains (Losses)) do not adequately measure. PVP in respect of 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, discounted, in each case, at 6%. Under GAAP, financial guaranty installment premiums 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 earned or written premiums and Credit Derivative Realized Gains (Losses) 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

Senior Managing Director, Investor Relations and Corporate Communications

(212) 339-0861

rtucker@agltd.com

Michael Walker

Managing Director, Fixed Income Investor Relations

(212) 261-5575

mwalker@agltd.com

Andre Thomas

Managing Director, Equity Investor Relations

(212) 339-3551

athomas@agltd.com

Media:

Ashweeta Durani

Vice President, Corporate Communications

(212) 408-6042

adurani@agltd.com

ASSURED GUARANTY LTD - FORM 8-K - EX-99.2 - AGL FINANCIAL SUPPLEMENT - November 2, 2017

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