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	agl1q18pressrelease.htm
8-K - 8-K - ASSURED GUARANTY LTD	a8-k1q2018agl.htm

Assured Guaranty Ltd.

March 31, 2018

Financial Supplement



Table of Contents		Page
	Selected Financial Highlights	1
	Condensed Consolidated Balance Sheets (unaudited)	3
	Condensed Consolidated Statements of Operations (unaudited)	4
	Non-GAAP 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	20
	Direct Pooled Corporate Obligations Profile	23
	Consolidated U.S. RMBS Profile	24
	Below Investment Grade Exposures	25
	Largest Exposures by Sector	29
	Rollforward of Net Expected Loss and Loss Adjustment Expenses to be Paid	33
	Loss Measures	34
	Summary of Financial and Statistical Data	35
	Summary of GAAP to Non-GAAP Reconciliations	36
	Glossary	38
	Non-GAAP Financial Measures	40

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, 2017 and its Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2018.

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 or Assured Guaranty’s loss experience; (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
	March 31,
	2018			2017
Net income (loss)	$	197		$	317
Non-GAAP operating income⁽¹⁾	155			273
Gain (loss) related to the effect of consolidating financial guaranty variable interest entities (FG VIE consolidation) (net of tax provision (benefit) of $1 and $2) included in non-GAAP operating income	5			5

Net income (loss) per diluted share	$	1.68		$	2.49
Non-GAAP operating income per diluted share ⁽¹⁾	1.33			2.14
Gain (loss) related to FG VIE consolidation included in non-GAAP operating income per diluted share	0.04			0.03

Weighted average shares outstanding
Basic shares outstanding	115.2			125.3
Diluted shares outstanding⁽¹⁾	116.6			127.1

Effective tax rate on net income	9.3		%	14.7		%
Effective tax rate on non-GAAP operating income⁽³⁾	9.6		%	11.0		%
Effect of FG VIE consolidation included in effective tax rate on non-GAAP operating income	0.4		%	0.5		%

Return on equity (ROE) calculations ⁽⁴⁾:
GAAP ROE	11.5		%	19.3		%
Non-GAAP operating ROE ⁽¹⁾	9.4		%	17.0		%
Effect of FG VIE consolidation on non-GAAP operating ROE	0.2		%	0.3		%

New business:
Gross written premiums (GWP)	$	73		$	111
Present value of new business production (PVP) ⁽¹⁾	61			99
Gross par written	2,202			4,691

	As of
	March 31, 2018			December 31, 2017
Shareholders' equity	$	6,784		$	6,839
Non-GAAP operating shareholders' equity ⁽¹⁾	6,592			6,521
Non-GAAP adjusted book value ⁽¹⁾	9,034			9,020
Gain (loss) related to FG VIE consolidation included in non-GAAP operating shareholders' equity	8			5
Gain (loss) related to FG VIE consolidation included in non-GAAP adjusted book value	(12		)	(14		)

Shares outstanding at the end of period	113.7			116.0

Shareholders' equity per share	$	59.67		$	58.95
Non-GAAP operating shareholders' equity per share ⁽¹⁾	57.97			56.20
Non-GAAP adjusted book value per share ⁽¹⁾	79.45			77.74
Gain (loss) related to FG VIE consolidation included in non-GAAP operating shareholders' equity	0.06			0.03
Gain (loss) related to FG VIE consolidation included in non-GAAP adjusted book value	(0.10		)	(0.12		)

Net debt service outstanding	$	390,017		$	401,118
Net par outstanding	257,089			264,952
Claims-paying resources ⁽⁵⁾	11,537			11,752


1)	Please refer to the explanation of Non-GAAP Financial Measures set forth 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 non-GAAP operating income were positive for all periods.


3)	Represents the ratio of non-GAAP operating provision for income taxes to non-GAAP 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
	March 31,
	2018		2017
Effect of refundings and terminations on GAAP measures:
Net earned premiums, pre-tax	$	52	$	58
Net change in fair value of credit derivatives, pre-tax	5		15

Net income effect	45		51
Net income per diluted share	0.38		0.40

Effect of refundings and terminations on non-GAAP measures:
Operating net earned premiums and credit derivative revenues⁽¹⁾, pre-tax	55		66
Non-GAAP operating income⁽¹⁾effect	43		46
Non-GAAP operating income per diluted share ⁽¹⁾	0.37		0.36


1)	Condensed consolidated statement of operations items mentioned in this Financial Supplement that are described as operating (i.e. operating net earned premiums) are non-GAAP measures and represent components of non-GAAP operating income. Please refer to the explanation of Non-GAAP Financial Measures set forth at the end of this Financial Supplement.

Assured Guaranty Ltd.

Condensed Consolidated Balance Sheets (unaudited)

(dollars in millions)



	As of:
	March 31,		December 31,
	2018		2017
Assets:
Investment portfolio:
Fixed maturity securities, available-for-sale, at fair value	$	10,297	$	10,674
Short-term investments, at fair value	751		627
Other invested assets	103		94
Total investment portfolio	11,151		11,395

Cash	114		144
Premiums receivable, net of commissions payable	944		915
Ceded unearned premium reserve	122		119
Deferred acquisition costs	100		101
Salvage and subrogation recoverable	430		572
Financial guaranty variable interest entities (FG VIE) assets, at fair value	651		700
Other assets	507		487
Total assets	$	14,019	$	14,433

Liabilities and shareholders' equity:
Liabilities:
Unearned premium reserve	$	3,395	$	3,475
Loss and loss adjustment expense reserve	1,299		1,444
Long-term debt	1,281		1,292
Credit derivative liabilities	237		271
FG VIE liabilities with recourse, at fair value	598		627
FG VIE liabilities without recourse, at fair value	110		130
Other liabilities	315		355
Total liabilities	7,235		7,594

Shareholders' equity:
Common stock	1		1
Additional paid-in capital	466		573
Retained earnings	6,102		5,892
Accumulated other comprehensive income	214		372
Deferred equity compensation	1		1
Total shareholders' equity	6,784		6,839
Total liabilities and shareholders' equity	$	14,019	$	14,433

Assured Guaranty Ltd.

Condensed Consolidated Statements of Operations (unaudited)

(dollars in millions, except per share amounts)



				Three Months Ended
				March 31,
				2018			2017
Revenues:
	Net earned premiums			$	145		$	164
	Net investment income			101			122
	Net realized investment gains (losses)			(5		)	32
	Net change in fair value of credit derivatives:
		Realized gains (losses) and other settlements		2			15
		Net unrealized gains (losses)		32			39
			Net change in fair value of credit derivatives	34			54
	Fair value gains (losses) on FG VIEs			4			10
	Bargain purchase gain and settlement of pre-existing relationships			—			58
	Commutation gains			1			73
	Other income (loss)			13			14
		Total revenues		293			527
Expenses:
	Loss and loss adjustment expenses (LAE)			(18		)	59
	Amortization of deferred acquisition costs			5			4
	Interest expense			24			24
	Other operating expenses			65			68
		Total expenses		76			155
Income (loss) before income taxes				217			372
	Provision (benefit) for income taxes			20			55
Net income (loss)				$	197		$	317

Earnings per share:
	Basic			$	1.71		$	2.53
	Diluted			$	1.68		$	2.49

Assured Guaranty Ltd.

Non-GAAP Operating Income Adjustments and Effect of FG VIE Consolidation

(dollars in millions)

Non-GAAP Operating Income Adjustments and Effect of FG VIE Consolidation for the Three Months Ended March 31, 2018 and March 31, 2017



	Three Months Ended						Three Months Ended
	March 31, 2018						March 31, 2017
	Non-GAAP Operating Income Adjustments (1)			Effect of FG VIE Consolidation (2)			Non-GAAP Operating Income Adjustments (1)		Effect of FG VIE Consolidation (2)
Adjustments to revenues:
Net earned premiums	$	—		$	(3	)	$	—	$	(4	)
Net investment income	—			(1		)	—		(1		)
Net realized investment gains (losses)	(5		)	—			32		—
Net change in fair value of credit derivatives	29			—			43		—
Fair value gains (losses) on FG VIEs	—			4			—		10
Other income (loss)	21			0			8		0
Total revenue adjustments	45			0			83		5
Adjustments to expenses:
Loss expense	(1		)	(6		)	18		(2		)
Total expense adjustments	(1		)	(6		)	18		(2		)
Pre-tax adjustments	46			6			65		7
Tax effect of adjustments	4			1			21		2
After-tax adjustments	$	42		$	5		$	44	$	5


1)	The "Non-GAAP Operating Income Adjustments" column represents the amounts recorded in the condensed consolidated statements of operations that the Company removes to arrive at non-GAAP 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 condensed 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)



Non-GAAP operating income Reconciliation	Three Months Ended
	March 31,
	2018			2017

Net income (loss)	$	197		$	317
Less pre-tax adjustments:
Realized gains (losses) on investments	(5		)	32
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	30			25
Fair value gains (losses) on committed capital securities (CCS)	(1		)	(2		)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	22			10
Total pre-tax adjustments	46			65
Less tax effect on pre-tax adjustments	(4		)	(21		)
Non-GAAP operating income	$	155		$	273

Gain (loss) related to FG VIE consolidation (net of tax provision of $1 and $2) included in non-GAAP operating income	$	5		$	5

Per diluted share:
Net income (loss)	$	1.68		$	2.49
Less pre-tax adjustments:
Realized gains (losses) on investments	(0.04		)	0.25
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	0.26			0.20
Fair value gains (losses) on CCS	(0.01		)	(0.01		)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.18			0.08
Total pre-tax adjustments	0.39			0.52
Less tax effect on pre-tax adjustments	(0.04		)	(0.17		)
Non-GAAP operating income	$	1.33		$	2.14

Gain (loss) related to FG VIE consolidation included in non-GAAP operating income per diluted share	$	0.04		$	0.03

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 (2 of 3)

(dollars in millions)



ROE Reconciliation and Calculation
	March 31,		December 31,		March 31,			December 31,
	2018		2017		2017			2016
Shareholders' equity	$	6,784	$	6,839	$	6,637		$	6,504
Non-GAAP operating shareholders' equity	6,592		6,521		6,460			6,386
Gain (loss) related to FG VIE consolidation included in non-GAAP operating shareholders' equity	8		5		(3		)	(7		)

					Three Months Ended
					March 31,
					2018			2017
Net income (loss)					$	197		$	317
Non-GAAP operating income					155			273
Gain (loss) related to FG VIE consolidation included in non-GAAP operating income					5			5

Average shareholders' equity					$	6,812		$	6,571
Average non-GAAP operating shareholders' equity					6,557			6,423
Gain (loss) related to FG VIE consolidation included in average non-GAAP operating shareholders' equity					7			(5		)

GAAP ROE ⁽¹⁾					11.5		%	19.3		%
Non-GAAP operating ROE ⁽¹⁾					9.4		%	17.0		%
Effect of FG VIE consolidation included in non-GAAP operating ROE					0.2		%	0.3		%


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.

Assured Guaranty Ltd.

Selected Financial Highlights

GAAP to Non-GAAP Reconciliations (3 of 3)

(dollars in millions)



	As of
	March 31,			December 31,			March 31,			December 31,
	2018			2017			2017			2016
Reconciliation of shareholders' equity to non-GAAP adjusted book value:
Shareholders' equity	$	6,784		$	6,839		$	6,637		$	6,504
Less pre-tax reconciling items:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(116		)	(146		)	(164		)	(189		)
Fair value gains (losses) on CCS	58			60			60			62
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	307			487			380			316
Less taxes	(57		)	(83		)	(99		)	(71		)
Non-GAAP operating shareholders' equity	6,592			6,521			6,460			6,386
Pre-tax reconciling items:
Less: Deferred acquisition costs	100			101			106			106
Plus: Net present value of estimated net future revenue	140			146			153			136
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	2,899			2,966			3,236			2,922
Plus taxes	(497		)	(512		)	(945		)	(832		)
Non-GAAP adjusted book value	$	9,034		$	9,020		$	8,798		$	8,506

Gain (loss) related to FG VIE consolidation included in non-GAAP operating shareholders' equity (net of tax (provision) benefit of $(2), $(2), $2, and $4)	$	8		$	5		$	(3	)	$	(7	)

Gain (loss) related to FG VIE consolidation included in non-GAAP adjusted book value (net of tax benefit of $3, $3, $12, and$12)	$	(12	)	$	(14	)	$	(20	)	$	(24	)

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

Assured Guaranty Ltd.

Claims-Paying Resources

(dollars in millions)



	As of March 31, 2018
	Assured Guaranty Municipal Corp.		Assured Guaranty Corp.		Municipal Assurance Corp.		Assured Guaranty Re Ltd. ⁽⁸⁾		Eliminations⁽³⁾			Consolidated
Claims-paying resources
Policyholders' surplus	$	2,247	$	1,847	$	277	$	1,017	$	(427	)	$	4,961
Contingency reserve	1,133		644		229		—		(229		)	1,777
Qualified statutory capital	3,380		2,491		506		1,017		(656		)	6,738
Unearned premium reserve⁽¹⁾	1,646		336		235		659		(235		)	2,641
Loss and LAE reserves ⁽¹⁾	617		214		0		312		0			1,143
Total policyholders' surplus and reserves	5,643		3,041		741		1,988		(891		)	10,522
Present value of installment premium	182		117		0		136		0			435
CCS	200		200		—		—		—			400
Excess of loss reinsurance facility ⁽²⁾	180		180		180		—		(360		)	180
Total claims-paying resources (including proportionate MAC ownership for AGM and AGC)	6,205		3,538		921		2,124		(1,251		)	11,537
Adjustment for MAC ⁽⁴⁾	450		291		—		—		(741		)	—
Total claims-paying resources (excluding proportionate MAC ownership for AGM and AGC)	$	5,755	$	3,247	$	921	$	2,124	$	(510	)	$	11,537

Statutory net par outstanding ⁽⁵⁾	$	119,306	$	22,642	$	28,471	$	63,680	$	(721	)	$	233,378
Equity method adjustment ⁽⁴⁾	17,282		11,189		—		—		(28,471		)	—
Adjusted statutory net par outstanding ⁽¹⁾	$	136,588	$	33,831	$	28,471	$	63,680	$	(29,192	)	$	233,378

Net debt service outstanding ⁽⁵⁾	$	189,808	$	34,163	$	41,910	$	99,931	$	(1,125	)	$	364,687
Equity method adjustment ⁽⁴⁾	25,440		16,470		—		—		(41,910		)	—
Adjusted net debt service outstanding ⁽¹⁾	$	215,248	$	50,633	$	41,910	$	99,931	$	(43,035	)	$	364,687
Ratios:
Adjusted net par outstanding to qualified statutory capital	40:1		14:1		56:1		63:1					35:1
Capital ratio ⁽⁶⁾	64:1		20:1		83:1		98:1					54:1
Financial resources ratio ⁽⁷⁾	35:1		14:1		46:1		47:1					32:1

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


2)	Represents the $180 million portion placed with an unaffiliated reinsurer of a $400 million aggregate excess-of-loss reinsurance facility for the benefit of AGC, AGM and MAC, which became effective January 1, 2018. The facility terminates on January 1, 2020, unless AGC, AGM and MAC choose to extend it.

Eliminations are primarily for (i) intercompany surplus notes between AGM and AGC, and (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 March 31, 2018 and March 31, 2017



	Three Months Ended											Three Months Ended
	March 31, 2018											March 31, 2017
	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	$	33		$	39	$	1	$	0	$	73	$	51		$	58	$	1	$	1		$	111
Less: Installment GWP and other GAAP adjustments⁽¹⁾	(2		)	23		1		0		22		(1		)	56		1		(1		)	55
Upfront GWP	35			16		—		—		51		52			2		—		2			56
Plus: Installment premium PVP	—			10		0		—		10		—			38		5		—			43
Total PVP	$	35		$	26	$	0	$	—	$	61	$	52		$	40	$	5	$	2		$	99

Gross par written	$	2,004		$	187	$	11	$	—	$	2,202	$	3,430		$	990	$	243	$	28		$	4,691


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
	March 31, 2018
	Gross Par Written		Avg. Internal Rating
Sector:
U.S. public finance
Tax backed	$	951	A
General obligation	700		A-
Transportation	104		BBB+
Municipal utilities	75		A
Housing revenue	72		BBB-
Higher education	58		A-
Infrastructure finance	39		BBB-
Healthcare	5		A-
Total U.S. public finance	2,004		A-
Non-U.S. public finance:
Infrastructure finance	187		BBB-
Total non-U.S. public finance	187		BBB-
Total public finance	$	2,191	A-

U.S. structured finance:
Structured credit	$	11	BBB
Total U.S. structured finance	11		BBB
Non-U.S. structured finance	—		--
Total structured finance	$	11	BBB

Total gross par written	$	2,202	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)




	1Q-17		2Q-17		3Q-17		4Q-17		1Q-18
PVP:
Public finance - U.S.	$	52	$	46	$	39	$	59	$	35
Public finance - non-U.S.	40		14		4		8		26
Structured finance - U.S.	5		0		0		7		0
Structured finance - non-U.S.	2		10		—		3		—
Total PVP	$	99	$	70	$	43	$	77	$	61

Reconciliation of GWP to PVP:

Total GWP	$	111	$	79	$	45	$	72	$	73
Less: Installment GWP and other GAAP adjustments	55		25		10		9		22
Upfront GWP	56		54		35		63		51
Plus: Installment premium PVP	43		16		8		14		10
Total PVP	$	99	$	70	$	43	$	77	$	61

Gross par written:
Public finance - U.S.	$	3,430	$	4,832	$	3,328	$	4,367	$	2,004
Public finance - non-U.S.	990		181		89		116		187
Structured finance - U.S.	243		—		—		246		11
Structured finance - non-U.S.	28		127		—		47		—
Total	$	4,691	$	5,140	$	3,417	$	4,776	$	2,202

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 March 31, 2018

(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:
	U.S. obligations of states and political subdivisions⁽⁴⁾		$	5,094	3.56	%	3.33	%	$	5,231	$	182
	Insured obligations of state and political subdivisions⁽²⁾⁽⁴⁾		229		4.88		4.55		243		11
	U.S. Treasury securities and obligations of U.S. government agencies		209		2.35		1.89		213		5
	Agency obligations		56		5.34		4.87		62		3
	Corporate securities ⁽⁴⁾		1,911		3.14		2.74		1,924		60
	Mortgage-backed securities (MBS):
		Residential MBS (RMBS) ⁽³⁾⁽⁴⁾	857		4.80		4.09		849		41
		Commercial MBS (CMBS)	561		3.27		2.84		559		18
	Asset-backed securities ⁽⁴⁾		721		9.16		7.28		889		66
	Non-U.S. government securities		331		1.50		1.19		327		5
		Total fixed maturity securities	9,969		3.92		3.48		10,297		391
Short-term investments			751		1.42		1.13		751		11
Cash ⁽⁵⁾			114		—		—		114		—
		Total	$	10,834	3.75	%	3.31	%	$	11,162	$	402



Ratings⁽⁶⁾:			Fair Value		% of Portfolio
	U.S. Treasury securities and obligations of U.S. government agencies		$	213	2.1	%
	Agency obligations		62		0.6
	AAA/Aaa		1,443		14.0
	AA/Aa		5,164		50.2
	A/A		1,898		18.4
	BBB		351		3.4
	Below investment grade (BIG)⁽⁷⁾		1,111		10.8
	Not rated		55		0.5
		Total fixed maturity securities, available-for-sale	$	10,297	100.0	%


Duration of fixed maturity securities and short-term investments (in years):					4.8

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 $82 million insured by AGC and AGM.


3)	Includes fair value of $213 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 $1,620 million in par with carrying value of $1,089 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
2018 (as of March 31)				$	390,017
2018 Q2		$	10,742	379,275		$	87	$	5	$	(3	)	$	2
2018 Q3		11,517		367,758		84		5		(3		)	2
2018 Q4		8,390		359,368		81		4		(3		)	2
2019		28,802		330,566		292		17		(9		)	8
2020		22,076		308,490		268		16		(7		)	8
2021		22,679		285,811		244		14		(6		)	7
2022		20,836		264,975		222		13		(5		)	6

2018-2022		125,042		264,975		1,278		74		(36		)	35
2023-2027		88,351		176,624		864		50		(16		)	28
2028-2032		70,548		106,076		569		29		(12		)	24
2033-2037		50,867		55,209		330		15		(11		)	21
After 2037		55,209		—		286		13		(1		)	24
	Total	$	390,017			$	3,327	$	181	$	(76	)	$	132


1)	Represents the future expected amortization of current debt service outstanding (principal and interest), assuming no advance refundings, as of March 31, 2018. 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

2018 (as of March 31)													$	12,005
2018 Q2		$	17	$	215	$	2		$	144	$	378	11,627
2018 Q3		14		217		(2		)	111		340		11,287
2018 Q4		9		208		(51		)	147		313		10,974
2019		60		796		7			566		1,429		9,545
2020		73		615		(2		)	413		1,099		8,446
2021		58		581		2			483		1,124		7,322
2022		31		388		95			479		993		6,329

2018-2022		262		3,020		51			2,343		5,676		6,329
2023-2027		257		1,038		159			1,098		2,552		3,777
2028-2032		201		248		865			363		1,677		2,100
2033-2037		541		311		222			741		1,815		285
After 2037		82		61		64			78		285		—
	Total structured finance	$	1,343	$	4,678	$	1,361		$	4,623	$	12,005

Public Finance



		Estimated Net Par Amortization		Estimated Ending Net Par Outstanding

2018 (as of March 31)				$	245,084
2018 Q2		$	7,408	237,676
2018 Q3		8,430		229,246
2018 Q4		5,266		223,980
2019		17,005		206,975
2020		11,252		195,723
2021		12,408		183,315
2022		11,243		172,072

2018-2022		73,012		172,072
2023-2027		50,141		121,931
2028-2032		44,929		77,002
2033-2037		35,128		41,874
After 2037		41,874		—
	Total public finance	$	245,084

Net par outstanding (end of period)



		1Q-17		2Q-17		3Q-17		4Q-17		1Q-18
Public finance - U.S.		$	238,050	$	232,418	$	218,216	$	209,392	$	201,337
Public finance - non-U.S.		39,343		40,533		42,727		42,922		43,747
Structured finance - U.S.		18,446		15,655		13,142		11,224		10,681
Structured finance - non-U.S.		2,404		2,014		1,682		1,414		1,324
	Net par outstanding	$	298,243	$	290,620	$	275,767	$	264,952	$	257,089

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 March 31, 2018

(dollars in millions)



		Net Expected Loss to be Expensed ⁽¹⁾
		GAAP

2018 Q2		$	9
2018 Q3		10
2018 Q4		10
2019		42
2020		39
2021		35
2022		32

2018-2022		177
2023-2027		126
2028-2032		77
2033-2037		35
After 2037		12
	Total expected present value of net expected loss to be expensed⁽²⁾	427
Future accretion		86
	Total expected future loss and LAE	$	513


1)	The present value of net expected loss to be paid is discounted using risk free rates ranging from 0.0% to 3.11% for U.S. dollar denominated obligations.


2)	Excludes $48 million related to FG VIEs, which are eliminated in consolidation.

Assured Guaranty Ltd.

Financial Guaranty Profile (1 of 3)

(dollars in millions)

Net Par Outstanding and Average Rating by Asset Type



			March 31, 2018			December 31, 2017
			Net Par Outstanding		Avg. Internal Rating	Net Par Outstanding		Avg. Internal Rating
U.S. public finance:
	General obligation		$	86,633	A-	$	90,705	A-
	Tax backed		43,261		A-	44,350		A-
	Municipal utilities		31,609		A-	32,357		A-
	Transportation		16,309		A-	17,030		A-
	Healthcare		7,977		A	8,763		A
	Higher education		7,607		A-	8,195		A
	Infrastructure finance		4,234		BBB+	4,216		BBB+
	Housing revenue		1,324		BBB+	1,319		BBB+
	Investor-owned utilities		502		A-	523		A-
	Other public finance		1,881		A	1,934		A
		Total U.S. public finance	201,337		A-	209,392		A-
Non-U.S. public finance:
	Infrastructure finance		18,553		BBB	18,234		BBB
	Regulated utilities		17,112		BBB+	16,689		BBB+
	Pooled infrastructure		1,577		AAA	1,561		AAA
	Other public finance		6,505		A	6,438		A
		Total non-U.S. public finance	43,747		BBB+	42,922		BBB+
Total public finance			$	245,084	A-	$	252,314	A-

U.S. structured finance:
	RMBS		$	4,678	BBB-	$	4,818	BBB-
	Insurance securitizations		1,445		A+	1,449		A+
	Consumer receivables		1,408		A-	1,590		A-
	Financial products		1,361		AA-	1,418		AA-
	Pooled corporate obligations		1,217		A+	1,347		A
	Other structured finance		572		A	602		A
		Total U.S. structured finance	10,681		A-	11,224		BBB+

Non-U.S. structured finance:
	RMBS		637		A-	637		A-
	Pooled corporate obligations		126		A	157		A+
	Other structured finance		561		A	620		A
		Total non-U.S. structured finance	1,324		A	1,414		A
Total structured finance			$	12,005	A-	$	12,638	A-

Total			$	257,089	A-	$	264,952	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 3)

As of March 31, 2018

(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		$	866	0.4	%	$	2,568	5.9	%	$	1,654	15.5	%	$	289	21.8	%	$	5,377	2.1	%
AA		27,283		13.6		206		0.5		3,763		35.2		68		5.1		31,320		12.2
A		115,123		57.2		14,309		32.7		1,405		13.2		213		16.1		131,050		51.0
BBB		51,419		25.5		24,909		56.9		768		7.2		647		48.9		77,743		30.2
BIG		6,646		3.3		1,755		4.0		3,091		28.9		107		8.1		11,599		4.5
	Net Par Outstanding⁽¹⁾	$	201,337	100.0	%	$	43,747	100.0	%	$	10,681	100.0	%	$	1,324	100.0	%	$	257,089	100.0	%


1)	As of March 31, 2018, excludes $2.0 billion of net par attributable to 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 3)

As of March 31, 2018

(dollars in millions)

Geographic Distribution of Financial Guaranty Portfolio



			Net Par Outstanding		% of Total
U.S.:
U.S. public finance:
	California		$	35,832	13.9	%
	Texas		18,042		7.0
	Pennsylvania		17,802		6.9
	Illinois		15,910		6.2
	New York		15,167		5.9
	New Jersey		11,857		4.6
	Florida		9,980		3.9
	Michigan		6,244		2.4
	Puerto Rico		4,967		1.9
	Alabama		4,590		1.8
	Other		60,946		23.7
		Total U.S. public finance	201,337		78.2
U.S. structured finance			10,681		4.2
		Total U.S.	212,018		82.4

Non-U.S.:
	United Kingdom		31,027		12.1
	France		3,235		1.3
	Canada		2,649		1.0
	Australia		2,269		0.9
	Italy		1,534		0.6
	Other		4,357		1.7
		Total non-U.S.	45,071		17.6

Total net par outstanding			$	257,089	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.

Exposure to Puerto Rico (1 of 3)

As of March 31, 2018

(dollars in millions)

Exposure to Puerto Rico



	Gross Par Outstanding		Net Par Outstanding		Gross Debt Service Outstanding		Net Debt Service Outstanding
Total	$	5,187	$	4,967	$	8,385	$	8,072

Exposure to Puerto Rico by Risk



	Net Par Outstanding
	AGM		AGC		AG Re		Eliminations (1)			Total Net Par Outstanding (2)		Gross Par Outstanding
Commonwealth Constitutionally Guaranteed
Commonwealth of Puerto Rico - General Obligation Bonds ⁽³⁾	$	670	$	343	$	407	$	(1	)	$	1,419	$	1,469
Puerto Rico Public Buildings Authority (PBA)	9		141		0		(9		)	141		146
Public Corporations - Certain Revenues Potentially Subject to Clawback
Puerto Rico Highways and Transportation Authority (PRHTA) (Transportation revenue) ⁽³⁾	252		511		204		(85		)	882		913
PRHTA (Highways revenue) ⁽³⁾	358		93		44		—			495		556
Puerto Rico Convention Center District Authority (PRCCDA)	—		152		—		—			152		152
Puerto Rico Infrastructure Financing Authority (PRIFA)	—		17		1		—			18		18
Other Public Corporations
Puerto Rico Electric Power Authority (PREPA) ⁽³⁾	547		73		233		—			853		870
Puerto Rico Aqueduct and Sewer Authority (PRASA) ⁽⁴⁾	—		284		89		—			373		373
Puerto Rico Municipal Finance Agency (MFA) ⁽⁴⁾	221		54		85		—			360		416
Puerto Rico Sales Tax Financing Corporation (COFINA) ⁽³⁾	264		—		9		—			273		273
University of Puerto Rico ⁽⁴⁾	—		1		—		—			1		1
Total exposure to Puerto Rico	$	2,321	$	1,669	$	1,072	$	(95	)	$	4,967	$	5,187


1)	Net par outstanding eliminations relate to second-to-pay policies under which an Assured Guaranty insurance subsidiary guarantees an obligation already insured by another Assured Guaranty insurance subsidiary.

Includes exposure to capital appreciation bonds with a current aggregate net par outstanding of $26 million and a fully accreted net par at maturity of $56 million. Of these amounts, current net par of $20 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.


3)	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 exposures.


4)	As of the date of this filing, the Company has not paid claims on these credits.

Assured Guaranty Ltd.

Exposure to Puerto Rico (2 of 3)

As of March 31, 2018

(dollars in millions)

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



	2018 (2Q)		2018 (3Q)		2018 (4Q)		2019			2020			2021			2022			2023		2024		2025			2026			2027			2028 - 2032			2033 - 2037		2038 - 2042		2043 - 2047		Total
Commonwealth Constitutionally Guaranteed
Commonwealth of Puerto Rico - General Obligation Bonds	$	0	$	78	$	0	$	87		$	141		$	15		$	37		$	14	$	73	$	68		$	34		$	90		$	215		$	567	$	—	$	—	$	1,419
PBA	—		—		—		3			5			13			0			6		0		7			11			40			16			40		—		—		141
Public Corporations - Certain Revenues Potentially Subject to Clawback
PRHTA (Transportation revenue)	0		38		—		32			25			18			28			34		4		29			24			29			157			279		185		—		882
PRHTA (Highway revenue)	—		20		—		21			22			35			6			32		33		34			1			—			112			179		—		—		495
PRCCDA	—		—		—		—			—			—			—			—		—		—			—			19			24			109		—		—		152
PRIFA	—		2		—		—			—			—			—			2		—		—			—			—			—			—		14		—		18
Other Public Corporations
PREPA	—		5		—		26			48			28			28			95		93		68			106			105			238			13		—		—		853
PRASA	—		—		—		—			—			—			—			—		2		25			26			28			29			—		2		261		373
MFA	—		57		—		55			45			40			40			22		17		17			34			12			21			—		—		—		360
COFINA	0		0		0		(1		)	(1		)	(1		)	(2		)	1		0		(2		)	(2		)	(2		)	(1		)	30		252		2		273
University of Puerto Rico	—		0		—		0			0			0			0			0		0		0			0			0			1			0		—		—		1
Total	$	0	$	200	$	0	$	223		$	285		$	148		$	137		$	206	$	222	$	246		$	234		$	321		$	812		$	1,217	$	453	$	263	$	4,967

Assured Guaranty Ltd.

Exposure to Puerto Rico (3 of 3)

As of March 31, 2018

(dollars in millions)

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



	2018 (2Q)		2018 (3Q)		2018 (4Q)		2019		2020		2021		2022		2023		2024		2025		2026		2027		2028 - 2032		2033 - 2037		2038 - 2042		2043 - 2047		Total
Commonwealth Constitutionally Guaranteed
Commonwealth of Puerto Rico - General Obligation Bonds	$	0	$	114	$	0	$	156	$	206	$	74	$	94	$	71	$	128	$	119	$	82	$	136	$	396	$	649	$	—	$	—	$	2,225
PBA	—		4		—		10		12		20		6		13		6		12		17		44		31		45		—		—		220
Public Corporations - Certain Revenues Potentially Subject to Clawback
PRHTA (Transportation revenue)	0		61		—		76		67		59		68		72		41		66		59		63		300		372		210		—		1,514
PRHTA (Highways revenue)	—		33		—		47		46		58		27		52		51		51		17		15		182		203		—		—		782
PRCCDA	—		3		—		7		7		7		7		7		7		7		7		26		55		121		—		—		261
PRIFA	—		2		—		1		1		1		1		2		1		1		1		1		4		3		16		—		35
Other Public Corporations
PREPA	3		22		3		65		87		63		62		128		121		91		126		122		273		15		—		—		1,181
PRASA	—		10		—		19		19		19		19		19		21		44		44		44		99		68		69		314		808
MFA	—		67		—		70		58		50		48		28		23		21		37		14		22		—		—		—		438
COFINA	0		6		0		13		13		13		13		16		15		13		13		13		74		96		307		2		607
University of Puerto Rico	—		0		—		0		0		0		0		0		0		0		0		0		1		0		—		—		1
Total	$	3	$	322	$	3	$	464	$	516	$	364	$	345	$	408	$	414	$	425	$	403	$	478	$	1,437	$	1,572	$	602	$	316	$	8,072

Assured Guaranty Ltd.

Direct Pooled Corporate Obligations Profile

As of March 31, 2018

(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		$	133	10.2	%	45.9%	72.6%
	AA		665		51.1		46.4	55.5
	A		210		16.1		44.5	53.5
	BBB		154		11.8		39.4	35.7
	BIG		141		10.8		48.4	49.4
		Total exposures	$	1,303	100.0	%	45.4%	53.3%

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:
	Trust preferred
		Banks and insurance	$	945	72.5	%	44.9%	53.0%	AA-
		U.S. mortgage and real estate investment trusts	243		18.6		47.3	54.6	BBB+
	Other pooled corporates		115		8.9		N/A	N/A	A+
		Total exposures	$	1,303	100.0	%	45.4%	53.3%	A+

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 March 31, 2018

(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	$	4	$	153	$	24	$	1,225	$	0	$	1,406
AA	24		159		30		245		—		458
A	0		—		0		75		0		75
BBB	2		—		—		68		4		74
BIG	112		478		56		1,025		995		2,666
Total exposures	$	143	$	790	$	109	$	2,638	$	998	$	4,678

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	$	18	$	36	$	12	$	797	$	47	$	910
2005	70		259		26		153		205		713
2006	55		56		19		558		291		978
2007	—		439		53		1,061		455		2,007
2008	—		—		—		69		—		69
Total exposures	$	143	$	790	$	109	$	2,638	$	998	$	4,678

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



			March 31, 2018		December 31, 2017
U.S. public finance:
	General obligation		$	2,526	$	3,097
	Tax backed		2,422		2,408
	Municipal utilities		1,324		1,324
	Transportation		87		94
	Healthcare		77		77
	Higher education		65		102
	Housing revenue		18		18
	Infrastructure finance		2		2
	Other public finance		125		18
		Total U.S. public finance	6,646		7,140
Non-U.S. public finance:
	Infrastructure finance		1,339		1,320
	Other public finance		416		411
		Total non-U.S. public finance	1,755		1,731
Total public finance			$	8,401	$	8,871

U.S. structured finance:
	RMBS		$	2,666	$	2,761
	Consumer receivables		183		186
	Pooled corporate obligations		99		161
	Insurance securitizations		85		85
	Other structured finance		58		68
		Total U.S. structured finance	3,091		3,261
Non-U.S. structured finance:
	RMBS		50		48
	Pooled corporate obligations		42		42
	Other structured finance		15		16
		Total non-U.S. structured finance	107		106
Total structured finance			$	3,198	$	3,367
Total BIG net par outstanding			$	11,599	$	12,238

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⁾



				March 31, 2018		December 31, 2017
Category 1
	U.S. public finance			$	1,875	$	2,368
	Non-U.S. public finance			1,476		1,455
	U.S. structured finance			525		603
	Non-U.S. structured finance			104		102
		Total Category 1		3,980		4,528
Category 2
	U.S. public finance			391		663
	Non-U.S. public finance			279		276
	U.S. structured finance			368		418
	Non-U.S. structured finance			3		4
		Total Category 2		1,041		1,361
Category 3
	U.S. public finance			4,380		4,109
	Non-U.S. public finance			—		—
	U.S. structured finance			2,198		2,240
	Non-U.S. structured finance			—		—
		Total Category 3		6,578		6,349
			BIG Total	$	11,599	$	12,238

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 March 31, 2018

(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	332		BB+
		Puerto Rico Sales Tax Financing Corporation	273		CC
		Virgin Islands Public Finance Authority	169		BB
		Puerto Rico Convention Center District Authority	152		C
		Stockton Pension Obligation Bonds, California	113		B
		Penn Hills School District, Pennsylvania	107		BB
		Detroit-Wayne County Stadium Authority, Michigan	82		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
	Total U.S. public finance		$	5,954

Non-U.S. public finance:
		Coventry & Rugby Hospital Company	$	598	BB+
		Valencia Fair	343		BB-
		Road Management Services PLC (A13 Highway)	223		B+
		M6 Duna Autopalya Koncesszios Zartkoruen Mukodo Reszvenytarsasag	207		BB+
		Autovia de la Mancha, S.A.	124		BB
		CountyRoute (A130) plc	92		BB-
		Breeze Finance S.A.	55		B-
		Metropolitano de Porto Lease and Sublease of Railroad Equipment	53		B+
	Total non-U.S. public finance		$	1,695
Total			$	7,649

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 March 31, 2018

(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	$	213	CCC	18.2%
Soundview 2007-WMC1	163		CCC	40.0%
Countrywide HELOC 2006-I	156		BB	1.9%
Nomura Asset Accept. Corp. 2007-1	137		CCC	23.8%
MABS 2007-NCW	125		CCC	24.0%
New Century 2005-A	102		CCC	18.1%
Countrywide Home Equity Loan Trust 2007-D	90		B	3.2%
Countrywide HELOC 2007-A	84		B	3.2%
Countrywide HELOC 2006-F	83		B	3.0%
Countrywide HELOC 2007-B	81		B	2.4%
Countrywide HELOC 2005-D	77		B	3.2%
Countrywide Home Equity Loan Trust 2005-J	76		CCC	3.1%
Soundview (Delta) 2008-1	69		CCC	25.4%
Ace 2007-D1	64		CCC	27.5%
IndyMac 2007-H1 HELOC	63		CCC	2.6%
Doral 2006-1	55		CCC	39.6%
Ace Home Equity Loan Trust 2007-SL1	54		CCC	5.9%
Subtotal RMBS	$	1,692

Non-RMBS:
Taberna Preferred Funding II, Ltd.	$	99	BB	N/A
Ballantyne Re Plc	85		CC	N/A
National Collegiate Trust Series 2006-2	68		CCC	N/A
Subtotal non-RMBS	$	252
Total U.S. structured finance	$	1,944

Total non-U.S. structured finance	$	—
Total	$	1,944

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 March 31, 2018

(dollars in millions)

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



Credit Name:	Net Par Outstanding		Internal Rating
New Jersey (State of)	$	4,551	BBB
Illinois (State of)	2,013		BBB
Pennsylvania (Commonwealth of)	1,900		A-
Puerto Rico, General Obligation, Appropriations and Guarantees of the Commonwealth	1,578		CCC-
Puerto Rico Highways & Transportation Authority	1,377		CC-
Chicago (City of) Illinois	1,332		BBB
California (State of)	1,251		A
North Texas Tollway Authority	1,205		A
Massachusetts (Commonwealth of)	1,200		AA-
Philadelphia (City of) Pennsylvania	1,190		BBB+
Wisconsin (State of)	1,176		A+
New York (City of) New York	1,133		AA-
Chicago Public Schools, Illinois	1,087		BBB-
Great Lakes Water Authority (Sewerage), Michigan	1,011		BBB+
Massachusetts (Commonwealth of) Water Resources	938		AA
Port Authority of New York & New Jersey	905		BBB
Arizona (State of)	875		A+
Puerto Rico Electric Power Authority	853		CC
Long Island Power Authority	851		BBB+
Connecticut (State of)	840		A
Philadelphia School District, Pennsylvania	825		A-
New York Metropolitan Transportation Authority	822		A
Georgia Board of Regents	819		A
Metropolitan Pier & Exposition Authority, Illinois	786		BBB
Suffolk County, New York	774		BBB
Pennsylvania Turnpike Commission	773		A-
Regional Transportation Authority, Illinois	737		AA-
Miami-Dade County Aviation, Florida	711		A
Jefferson County Alabama Sewer	666		BBB-
Kentucky (Commonwealth of)	616		A
Miami-Dade County, Florida	607		A+
Sacramento County, California	604		A-
Metro Washington Airports Authority (Dulles Toll Road)	598		BBB+
Garden State Preservation Trust (Open Space & Farmland), New Jersey	597		BBB+
Nassau County, New York	590		A-
Oglethorpe Power Corporation, Georgia	575		BBB
Pittsburgh Water & Sewer, Pennsylvania	541		BBB+
New Jersey Turnpike Authority, New Jersey	526		A-
San Francisco (City & County) Airports Commission	521		A
Atlanta, Georgia Water & Sewer System	512		A-
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	488		A
New York (State of)	480		A+
Anaheim (City of), California	461		BBB+
Yankee Stadium LLC New York City Industrial Development Authority	461		BBB-
Dade County Sales Tax, Florida	455		AA-
Central Florida Expressway Authority, Florida (fka Orlando-Orange County Expressway Authority)	447		A+
Great Lakes Water Authority (Water), Michigan	432		BBB+
Kansas (State of)	430		A+
Total top 50 U.S. public finance exposures	$	45,108

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 March 31, 2018

(dollars in millions)

50 Largest U.S. Structured Finance Exposures



Credit Name:	Net Par Outstanding		Internal Rating	Credit Enhancement
Private US Insurance Securitization	$	500	AA	N/A
SLM Private Credit Student Trust 2007-A	500		A+	19.0%
Private US Insurance Securitization	424		AA	N/A
SLM Private Credit Student Loan Trust 2006-C	310		A+	31.3%
Private US Insurance Securitization	250		AA	N/A
Option One 2007-FXD2	213		CCC	0.0%
Timberlake Financial, LLC Floating Insured Notes	185		BBB-	N/A
Soundview 2007-WMC1	163		CCC	—%
Countrywide HELOC 2006-I	156		BB	0.0%
Nomura Asset Accept. Corp. 2007-1	137		CCC	0.0%
CWABS 2007-4	132		A+	0.0%
CWALT Alternative Loan Trust 2007-HY9	130		A	0.0%
ALESCO Preferred Funding XIII, Ltd.	127		AA	53.7%
MABS 2007-NCW	125		CCC	0.0%
OwnIt Mortgage Loan ABS Certificates 2006-3	111		AAA	23.8%
Structured Asset Investment Loan Trust 2006-1	111		AAA	10.5%
Soundview Home Equity Loan Trust 2006-OPT1	111		AAA	51.9%
New Century Home Equity Loan Trust 2006-1	111		AAA	9.8%
First Franklin Mortgage Loan ABS 2005-FF12	105		AAA	89.2%
ALESCO Preferred Funding XI	105		AA	52.7%
New Century 2005-A	102		CCC	4.1%
Taberna Preferred Funding II, Ltd.	99		BB	49.4%
Countrywide 2007-13	98		AA-	20.5%
National Collegiate Trust Series 2005-GT3 Grantor Trust Certificates	94		BBB	9.6%
Countrywide Home Equity Loan Trust 2007-D	90		B	0.0%
Private Other Structured Finance Transaction	88		AAA	N/A
ALESCO Preferred Funding XII, Ltd.	87		A-	48.6%
Trapeza CDO XI	87		A-	62.0%
Preferred Term Securities XXIV, Ltd.	87		AA-	47.4%
Ballantyne Re Plc	85		CC	N/A
Countrywide HELOC 2007-A	85		B	0.0%
Countrywide HELOC 2006-F	83		B	0.0%
Countrywide HELOC 2007-B	81		B	0.0%
IMPAC CMB Trust Series 2007-A	81		AAA	10.9%
Trapeza CDO X, Ltd.	78		AA	60.8%
Countrywide HELOC 2005-D	77		B	0.0%
Countrywide Home Equity Loan Trust 2005-J	76		CCC	0.0%
First Franklin Mortgage Loan ABS 2005-FF12	76		AAA	89.2%
Attentus CDO I Limited	71		AA	60.2%
Alesco Preferred Funding XVI, Ltd.	70		BBB-	25.2%
Soundview (Delta) 2008-1	69		CCC	0.0%
National Collegiate Trust Series 2006-2	68		CCC	—%
Private Other Structured Finance Transaction	66		A-	N/A
MASTR Asset Backed Securities Trust 2005-NC2	65		AAA	—%
Ace 2007-D1	64		CCC	0.1%
IndyMac 2007-H1 HELOC	63		CCC	—%
CAPCO - Excess SIPC Excess of Loss Reinsurance	63		BBB	N/A
Mid-State Trust X	62		AAA	41.3%
ALESCO Preferred Funding X Ltd.	61		AA	60.7%
Preferred Term Securities XXIII	60		AA	50.7%
Total top 50 U.S. structured finance exposures	$	6,342

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 March 31, 2018

(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	$	2,667	A-
Hydro-Quebec, Province of Quebec	Canada	2,030		A+
Societe des Autoroutes du Nord et de l'Est de France S.A.	France	1,856		BBB+
Thames Water Utility Finance PLC	United Kingdom	1,585		A-
Anglian Water Services Financing	United Kingdom	1,529		A-
Dwr Cymru Financing Limited	United Kingdom	1,508		A-
Southern Gas Networks PLC	United Kingdom	1,128		BBB
Channel Link Enterprises Finance PLC	France, United Kingdom	1,052		BBB
National Grid Gas PLC	United Kingdom	1,023		BBB+
British Broadcasting Corporation	United Kingdom	988		A+
Verbund - Lease and Sublease of Hydro-Electric equipment	Austria	965		AAA
Aspire Defence Finance plc	United Kingdom	951		BBB+
Capital Hospitals (Barts)	United Kingdom	778		BBB-
Verdun Participations 2 S.A.S.	France	697		BBB-
Sydney Airport Finance Company	Australia	681		BBB
InspirED Education (South Lanarkshire) plc	United Kingdom	676		BBB-
Campania Region - Healthcare receivable	Italy	656		BBB-
Envestra Limited	Australia	635		BBB+
Coventry & Rugby Hospital Company	United Kingdom	598		BB+
Derby Healthcare PLC	United Kingdom	564		BBB
National Grid Company PLC	United Kingdom	539		BBB+
NATS (En Route) PLC	United Kingdom	535		A
International Infrastructure Pool	United Kingdom	526		AAA
International Infrastructure Pool	United Kingdom	526		AAA
International Infrastructure Pool	United Kingdom	526		AAA
Total top 25 non-U.S. exposures		$	25,219

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 March 31, 2018

(dollars in millions)

10 Largest U.S. Residential Mortgage Servicer Exposures



Servicer:	Net Par Outstanding
Specialized Loan Servicing, LLC	$	1,514
Ocwen Loan Servicing, LLC⁽¹⁾	1,206
Bank of America, N.A.⁽²⁾	897
Wells Fargo Bank NA	365
JPMorgan Chase Bank	190
Select Portfolio Servicing, Inc.	183
Ditech Financial LLC	62
Carrington Mortgage Services, LLC	56
Banco Popular de Puerto Rico	54
Citicorp Mortgage Securities, Inc.	30
Total top 10 U.S. residential mortgage servicer exposures	$	4,557

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
Children's National Medical Center, District of Columbia	$	400	A-	DC
CHRISTUS Health	338		A-	TX
Methodist Healthcare	304		A+	TN
Atrium Health (fka Carolinas HealthCare System)	289		AA-	NC
Dignity Health, California	285		A-	CA
Palmetto Health Alliance, South Carolina	267		BBB+	SC
Mercy Health (f/k/a Catholic Health Partners)	264		A	OH
Asante Health System	259		A+	OR
Palomar Pomerado Health	251		BBB-	CA
Bon Secours Health System Obligated Group	233		A-	MD
Total top 10 U.S. healthcare exposures	$	2,890

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 March 31, 2018



	Net Expected Loss to be Paid (Recovered) as of December 31, 2017		Economic Loss Development During 1Q-18			(Paid) Recovered Losses During 1Q-18			Net Expected Loss to be Paid (Recovered) as of March 31, 2018
Public Finance:
U.S. public finance	$	1,157	$	(39	)	$	(111	)	$	1,007
Non-U.S public finance	46		(3		)	—			43
Public Finance	1,203		(42		)	(111		)	1,050

Structured Finance:
U.S. RMBS⁽²⁾	73		16			130			219
Other structured finance	27		2			0			29
Structured Finance	100		18			130			248
Total	$	1,303	$	(24	)	$	19		$	1,298


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) receivable of $19 million as of March 31, 2018 and $117 million as of December 31, 2017.

Assured Guaranty Ltd.

Loss Measures

As of March 31, 2018

(dollars in millions)



	Total Net Par Outstanding for BIG Transactions		1Q-18 Loss and LAE			1Q-18 Loss and LAE included in Operating Income (1)			1Q-18 Effect of FG VIE Consolidation (2)
Public finance:
U.S. public finance	$	6,646	$	(28	)	$	(28	)	$	—
Non-U.S public finance	1,755		(1		)	(1		)	—
Public finance	8,401		(29		)	(29		)	—
Structured finance:
U.S. RMBS	2,666		16			17			(6		)
Other structured finance	532		(5		)	(5		)	—
Structured finance	3,198		11			12			(6		)
Total	$	11,599	$	(18	)	$	(17	)	$	(6	)


1)	Non-GAAP operating income includes financial guaranty insurance and credit derivatives.

The "Effect of FG VIE Consolidation" column represents amounts included in the condensed 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.

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 Three Months Ended March 31, 2018			Year Ended December 31,
						2017			2016			2015			2014
GAAP Summary Income Statement Data
	Net earned premiums		$	145		$	690		$	864		$	766		$	570
	Net investment income		101			418			408			423			403
	Realized gains and other settlements on credit derivatives		2			(10		)	29			(18		)	23
	Total expenses		76			748			660			776			463
	Income (loss) before income taxes		217			991			1,017			1,431			1,531
	Net income (loss)		197			730			881			1,056			1,088
	Net income (loss) per diluted share		1.68			5.96			6.56			7.08			6.26

GAAP Summary Balance Sheet Data
	Total investments and cash		$	11,265		$	11,539		$	11,103		$	11,358		$	11,459
	Total assets		14,019			14,433			14,151			14,544			14,919
	Unearned premium reserve		3,395			3,475			3,511			3,996			4,261
	Loss and LAE reserve		1,299			1,444			1,127			1,067			799
	Long-term debt		1,281			1,292			1,306			1,300			1,297
	Shareholders’ equity		6,784			6,839			6,504			6,063			5,758
	Shareholders’ equity per share		59.67			58.95			50.82			43.96			36.37

Other Financial Information (GAAP Basis)
	Net debt service outstanding (end of period)		$	390,017		$	401,118		$	437,535		$	536,341		$	609,622
	Gross debt service outstanding (end of period)		397,233			408,492			455,000			559,470			646,722
	Net par outstanding (end of period)		257,089			264,952			296,318			358,571			403,729
	Gross par outstanding (end of period)		261,388			269,386			307,474			373,192			426,705

Other Financial Information (Statutory Basis)⁽¹⁾
	Net debt service outstanding (end of period)		$	364,687		$	373,340		$	401,004		$	502,331		$	583,598
	Gross debt service outstanding (end of period)		371,682			380,478			417,072			524,104			619,475
	Net par outstanding (end of period)		233,378			239,003			262,468			327,306			379,714
	Gross par outstanding (end of period)		237,475			243,217			272,286			340,662			401,552

Claims-paying resources
	Policyholders' surplus		$	4,961		$	5,211		$	5,036		$	4,550		$	4,142
	Contingency reserve		1,777			1,750			2,008			2,263			2,330
	Qualified statutory capital		6,738			6,961			7,044			6,813			6,472
	Unearned premium reserve		2,641			2,674			2,509			3,045			3,299
	Loss and LAE reserves		1,143			1,092			888			1,043			852
	Total policyholders' surplus and reserves		10,522			10,727			10,441			10,901			10,623
	Present value of installment premium		435			445			500			645			716
	CCS and standby line of credit		400			400			400			400			400
	Excess of loss reinsurance facility		180			180			360			360			450
	Total claims-paying resources		$	11,537		$	11,752		$	11,701		$	12,306		$	12,189

	Ratios:
		Net par outstanding to qualified statutory capital	35		:1	34		:1	37		:1	48		:1	59		:1
		Capital ratio⁽²⁾	54		:1	54		:1	57		:1	74		:1	90		:1
		Financial resources ratio⁽²⁾	32		:1	32		:1	34		:1	41		:1	48		:1

Par and Debt Service Written
	Gross debt service written:
		Public finance - U.S.	$	3,664		$	26,988		$	25,423		$	25,832		$	20,804
		Public finance - non-U.S.	245			2,811			848			2,054			233
		Structured finance - U.S.	14			500			1,143			355			423
		Structured finance - non-U.S.	—			202			30			69			387
	Total gross debt service written		$	3,923		$	30,501		$	27,444		$	28,310		$	21,847

	Net debt service written		$	3,923		$	30,476		$	27,444		$	28,310		$	21,847
	Net par written		2,202			17,962			17,854			17,336			13,171
	Gross par written		2,202			18,024			17,854			17,336			13,171

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)



	As of and for Three Months Ended March 31, 2018			Year Ended December 31,
	As of and for Three Months Ended March 31, 2018			2017			2016			2015			2014
Total GWP	$	73		$	307		$	154		$	181		$	104
Less: Installment GWP and other GAAP adjustments ⁽²⁾	22			99			(10		)	55			(22		)
Upfront GWP	51			208			164			126			126
Plus: Installment premium PVP	10			81			50			53			42
Total PVP	$	61		$	289		$	214		$	179		$	168

PVP:
Public finance - U.S.	$	35		$	196		$	161		$	124		$	128
Public finance - non-U.S.	26			66			25			27			7
Structured finance - U.S.	0			12			27			22			24
Structured finance - non-U.S.	—			15			1			6			9
Total PVP	$	61		$	289		$	214		$	179		$	168

Non-GAAP operating income reconciliation:
Net income (loss)	$	197		$	730		$	881		$	1,056		$	1,088
Less pre-tax adjustments:
Realized gains (losses) on investments	(5		)	40			(30		)	(27		)	(56		)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	30			43			36			505			687
Fair value gains (losses) on CCS	(1		)	(2		)	0			27			(11		)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	22			57			(33		)	(15		)	(21		)
Total pre-tax adjustments	46			138			(27		)	490			599
Less tax effect on pre-tax adjustments	(4		)	(69		)	13			(144		)	(158		)
Non-GAAP operating income	$	155		$	661		$	895		$	710		$	647

Gain (loss) related to FG VIE consolidation included in non-GAAP operating income (net of tax provision of $1, $6, $7, $4, and $84)	$	5		$	11		$	12		$	11		$	156

Non-GAAP operating income per diluted share reconciliation:
Net income (loss) per diluted share	$	1.68		$	5.96		$	6.56		$	7.08		$	6.26
Less pre-tax adjustments:
Realized gains (losses) on investments	(0.04		)	0.33			(0.23		)	(0.18		)	(0.32		)
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	0.26			0.35			0.27			3.39			3.95
Fair value gains (losses) on CCS	(0.01		)	(0.02		)	0.00			0.18			(0.06		)
Foreign exchange gains (losses) on remeasurement of premiums receivable and loss and LAE reserves	0.18			0.46			(0.25		)	(0.10		)	(0.12		)
Total pre-tax adjustments	0.39			1.12			(0.21		)	3.29			3.45
Less tax effect on pre-tax adjustments	(0.04		)	(0.57		)	0.09			(0.97		)	(0.92		)
Non-GAAP operating income per diluted share	$	1.33		$	5.41		$	6.68		$	4.76		$	3.73

Gain (loss) related to FG VIE consolidation included in non-GAAP operating income per diluted share	$	0.04		$	0.10		$	0.10		$	0.07		$	0.90


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 Three Months Ended March 31, 2018			As of December 31,
	As of and for Three Months Ended March 31, 2018			2017			2016			2015			2014
Adjusted book value reconciliation:
Shareholders' equity	$	6,784		$	6,839		$	6,504		$	6,063		$	5,758
Less pre-tax adjustments:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(116		)	(146		)	(189		)	(241		)	(741		)
Fair value gains (losses) on CCS	58			60			62			62			35
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	307			487			316			373			523
Less taxes	(57		)	(83		)	(71		)	(56		)	45
Non-GAAP operating shareholders' equity	6,592			6,521			6,386			5,925			5,896
Pre-tax adjustments:
Less: Deferred acquisition costs	100			101			106			114			121
Plus: Net present value of estimated net future revenue	140			146			136			169			159
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	2,899			2,966			2,922			3,384			3,461
Plus taxes	(497		)	(512		)	(832		)	(968		)	(960		)
Non-GAAP adjusted book value	$	9,034		$	9,020		$	8,506		$	8,396		$	8,435

Gain (loss) related to FG VIE consolidation included in non-GAAP operating shareholders' equity (net of tax (provision) benefit of $(2), $(2), $4, $11, and $20)	$	8		$	5		$	(7	)	$	(21	)	$	(37	)

Gain (loss) related to FG VIE consolidation included in non-GAAP adjusted book value (net of tax benefit of $3, $3, $12, $22, and $33)	$	(12	)	$	(14	)	$	(24	)	$	(43	)	$	(60	)

Adjusted book value per share reconciliation:
Shareholders' equity per share	$	59.67		$	58.95		$	50.82		$	43.96		$	36.37
Less pre-tax adjustments:
Non-credit impairment unrealized fair value gains (losses) on credit derivatives	(1.02		)	(1.26		)	(1.48		)	(1.75		)	(4.68		)
Fair value gains (losses) on CCS	0.52			0.52			0.48			0.45			0.22
Unrealized gain (loss) on investment portfolio excluding foreign exchange effect	2.71			4.20			2.47			2.71			3.30
Less taxes	(0.51		)	(0.71		)	(0.54		)	(0.41		)	0.29
Non-GAAP operating shareholders' equity per share	57.97			56.20			49.89			42.96			37.24
Pre-tax adjustments:
Less: Deferred acquisition costs	0.88			0.87			0.83			0.83			0.76
Plus: Net present value of estimated net future revenue	1.23			1.26			1.07			1.23			1.00
Plus: Net unearned premium reserve on financial guaranty contracts in excess of expected loss to be expensed	25.50			25.56			22.83			24.53			21.86
Plus taxes	(4.37		)	(4.41		)	(6.50		)	(7.02		)	(6.07		)
Non-GAAP adjusted book value per share	$	79.45		$	77.74		$	66.46		$	60.87		$	53.27

Gain (loss) related to FG VIE consolidation included in non-GAAP operating shareholders' equity per share	$	0.06		$	0.03		$	(0.06	)	$	(0.15	)	$	(0.24	)

Gain (loss) related to FG VIE consolidation included in non-GAAP adjusted book value per share	$	(0.10	)	$	(0.12	)	$	(0.18	)	$	(0.31	)	$	(0.39	)


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, 2017.

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.

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.

Glossary (continued)

Sectors (continued)

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 Utility 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.

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.

Other Structured Finance Obligations are obligations backed by assets not generally described in any of the other described categories.

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 the Company.

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. The Company believes its presentation of non-GAAP financial measures, along with the effect of 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 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. 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. Wherever possible, the Company has separately disclosed the effect of FG VIE consolidation.

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. Non-GAAP 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. To the extent there is a directly comparable GAAP financial measure, a reconciliation of the non-GAAP financial measure and the most directly comparable GAAP financial measure is presented within this financial supplement.

Non-GAAP Operating Income: Management believes that non-GAAP 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 non-GAAP operating income further by removing FG VIE consolidation to arrive at its core operating income measure. Non-GAAP 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 that are recognized in net income, 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 that are recognized in net income. 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 that are recognized in net income. 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 and Non-GAAP Adjusted Book Value: 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.

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 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 effects 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)

Non-GAAP Operating Return on Equity (Non-GAAP Operating ROE): Non-GAAP Operating ROE represents non-GAAP operating income for a specified period divided by the average of non-GAAP operating shareholders’ equity at the beginning and the end of that period. Management believes that non-GAAP 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 non-GAAP 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 non-GAAP operating ROE are calculated on an annualized basis. Non-GAAP 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 insurance 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 - May 3, 2018

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