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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

____________________________________________________________________________

FORM 10-Q


☒						QUARTERLY REPORT UNDER SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the Quarterly Period Ended March 31, 2026


						TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition Period from to

Commission File No. 001-32141

ASSURED GUARANTY LTD.

(Exact name of registrant as specified in its charter)


Bermuda						98-0429991
(State or other jurisdiction of incorporation)						(I.R.S. employer identification no.)

30 Woodbourne Avenue

Hamilton HM 08, Bermuda

(Address of principal executive offices)

(441) 279-5700

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:


Title of each class:		Trading Symbol(s)	Name of exchange on which registered
Common Shares	$0.01 par value per share	AGO	New York Stock Exchange
Assured Guaranty US Holdings Inc. 6.125% Senior Notes due 2028 (and the related guarantee of Registrant)		AGO/28	New York Stock Exchange
Assured Guaranty US Holdings Inc. 3.150% Senior Notes due 2031 (and the related guarantee of Registrant)		AGO/31	New York Stock Exchange
Assured Guaranty US Holdings Inc. 3.600% Senior Notes due 2051 (and the related guarantee of Registrant)		AGO/51	New York Stock Exchange

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See definition of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer

☒

Accelerated filer

☐

Non-accelerated filer

☐

Smaller reporting company

☐

Emerging growth company

☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

The number of registrant’s Common Shares ($0.01 par value) outstanding as of May 6, 2026 was 44,282,464 (includes 23,312 unvested restricted shares).

Table of Contents


	ASSURED GUARANTY LTD.
	INDEX TO FORM 10-Q
		Page
PART I	Financial Information	1
Item 1.	Financial Statements:	1
	Condensed Consolidated Balance Sheets (Unaudited) as of March 31, 2026 and December 31, 2025	1
	Condensed Consolidated Statements of Operations (Unaudited) for the Three Months Ended March 31, 2026 and 2025	2
	Condensed Consolidated Statements of Comprehensive Income (Loss) (Unaudited) for the Three Months Ended March 31, 2026 and 2025	3
	Condensed Consolidated Statements of Shareholders’ Equity (Unaudited) for the Three Months Ended March 31, 2026 and 2025	4
	Condensed Consolidated Statements of Cash Flows (Unaudited) for the Three Months Ended March 31, 2026 and 2025	5
	Notes to Condensed Consolidated Financial Statements (Unaudited)	7
	1. Business and Basis of Presentation	7
	2. Assured Life Re Acquisition	8
	3. Segment Information	10
	4. Outstanding Exposure	14
	5. Expected Loss to be Paid (Recovered)	19
	6. Contracts Accounted for as Financial Guaranty Insurance	28
	7. Annuity Reinsurance	34
	8. Derivatives	37
	9. Investments	40
	10. Variable Interest Entities	45
	11. Fair Value Measurement	48
	12. Income Taxes	59
	13. Contingencies	61
	14. Shareholders’ Equity	61
	15. Earnings Per Share	63
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	64
	Forward Looking Statements	64
	Available Information	65
	Overview	65
	Business	65
	Financial Strength Ratings	66
	Economic Environment	66
	Key Business Strategies	68
	Executive Summary	71
	Financial Performance of Assured Guaranty	72
	Other Matters	75
	Results of Operations	75
	Critical Accounting Estimates	75
	Results of Operations by Segment	76
	Financial Guaranty Segment Results	76
	Annuity Reinsurance Segment Results	83
	Asset Management Segment Results	84
	Corporate Division Results	84
	Other	85
	Reconciliation to GAAP	87
	Non-GAAP Financial Measures	88
	Insured Portfolio	93
	Liquidity and Capital Resources	95
	AGL and its U.S. Holding Companies	95
	Insurance Subsidiaries	98
	Investment Portfolio	101
	Lease Obligations	104
	Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles	104
	Condensed Consolidated Cash Flow Summary	105
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	106
Item 4.	Controls and Procedures	106
PART II	Other Information	108
Item 1.	Legal Proceedings	108
Item 1A.	Risk Factors	108
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	108
Item 5.	Other Matters	108
Item 6.	Exhibits	109
Signatures		110

Table of Contents

PART I. FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

Assured Guaranty Ltd.

Condensed Consolidated Balance Sheets (Unaudited)

(dollars in millions except share data)


	As of
	March 31, 2026		December 31, 2025
Assets
Investments:
Fixed-maturity securities, available-for-sale, at fair value, net of allowance for credit loss of $63 and $54 (amortized cost of $7,241 and $6,572)	$	6,875	$	6,369
Fixed-maturity securities, trading, at fair value	127		124
Short-term investments, at fair value	768		903
Other invested assets (includes $3 and $3, at fair value)	1,136		1,091
Total investments	8,906		8,487
Cash	312		388
Premiums receivable, net of commissions payable, net of allowance for credit losses of $3 and $3	1,543		1,572
Funds withheld, at fair value	296		—
Deferred acquisition costs	197		192
Salvage and subrogation recoverable	437		449
Financial guaranty variable interest entities’ assets (includes $167 and $172, at fair value)	201		212
Assets of consolidated investment vehicles (includes $— and $167, at fair value)	—		175
Other assets (includes $180 and $174, at fair value)	743		701
Total assets	$	12,635	$	12,176
Liabilities
Unearned premium reserve	$	3,613	$	3,625
Loss and loss adjustment expense reserve	310		309
Future policy benefits for annuity reinsurance contracts	475		—
Policyholder account balances for annuity reinsurance contracts	263		—
Long-term debt	1,705		1,704
Financial guaranty variable interest entities’ liabilities (includes $152 and $197, at fair value, $178 and $182 with recourse, $16 and $16 without recourse)	194		198
Other liabilities (includes $26 and $21, at fair value)	511		551
Total liabilities	7,071		6,387
Commitments and contingencies (Notes 4, 5, 9 and 13)
Shareholders’ equity
Common shares ($0.01 par value, 500,000,000 shares authorized; 44,591,054 and 45,184,791 shares issued and outstanding)	—		—
Retained earnings	5,821		5,830
Accumulated other comprehensive income (loss), net of tax of $(62) and $(39)	(280)		(168)
Deferred equity compensation	1		1
Total shareholders’ equity attributable to Assured Guaranty Ltd.	5,542		5,663
Non-redeemable noncontrolling interest (Note 10)	22		126
Total shareholders’ equity	5,564		5,789
Total liabilities and shareholders’ equity	$	12,635	$	12,176

The accompanying notes are an integral part of these condensed consolidated financial statements.

Table of Contents

Assured Guaranty Ltd.

Condensed Consolidated Statements of Operations (Unaudited)

(dollars in millions except share data)


	Three Months Ended March 31,
		2026		2025
Revenues
Net earned premiums		$	82	$	91
Net investment income		92		87
Net realized investment gains (losses)		(15)		(16)
Fair value gains (losses) on derivatives		2		104
Fair value gains (losses) on committed capital securities		6		2
Gains (losses) on financial guaranty variable interest entities		(5)		1
Fair value gains (losses) on consolidated investment vehicles		9		19
Foreign exchange gains (losses) on remeasurement		(19)		37
Fair value gains (losses) on trading securities		6		1
Asset management revenues		94		5
Other income (loss)		9		14
Total revenues		261		345
Expenses
Loss and loss adjustment expenses (benefit)		17		40
Benefit expense for annuity reinsurance contracts		7		—
Interest expense		22		22
Amortization of deferred acquisition costs		5		5
Employee compensation and benefit expenses		63		60
Asset management expenses		68		4
Other operating expenses		45		38
Total expenses		227		169
Income (loss) before income taxes and equity in earnings (losses) of investees		34		176
Equity in earnings (losses) of investees		31		53
Income (loss) before income taxes		65		229
Less: Provision (benefit) for income taxes		(20)		44
Net income (loss)		85		185
Less: Noncontrolling interest		(3)		9
Net income (loss) attributable to Assured Guaranty Ltd.		$	88	$	176

Earnings per share:
Basic		$	1.94	$	3.49
Diluted		$	1.91	$	3.44

The accompanying notes are an integral part of these condensed consolidated financial statements.

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Assured Guaranty Ltd.

Condensed Consolidated Statements of Comprehensive Income (Loss) (Unaudited)

(in millions)


	Three Months Ended March 31,
		2026		2025
Net income (loss)		$	85	$	185
Change in net unrealized gains (losses) on:
Investments with no credit impairment, net of tax provision (benefit) of $(16) and $6		(84)		52
Investments with credit impairment, net of tax provision (benefit) of $(11) and $5		(44)		21
Change in net unrealized gains (losses) on investments		(128)		73
Change in instrument-specific credit risk on financial guaranty variable interest entities’ liabilities with recourse, net of tax provision (benefit)		—		(1)
Change in discount rates on future policy benefits for annuity reinsurance contracts, net of tax provision (benefit) of $4 and $—		17		—
Other, net of tax provision (benefit)		(1)		(1)
Other comprehensive income (loss)		(112)		71
Comprehensive income (loss)		(27)		256
Less: Comprehensive income (loss) attributable to noncontrolling interest		(3)		9
Comprehensive income (loss) attributable to Assured Guaranty Ltd.		$	(24)	$	247

The accompanying notes are an integral part of these condensed consolidated financial statements.

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Assured Guaranty Ltd.

Condensed Consolidated Statements of Shareholders’ Equity (Unaudited)

(dollars in millions, except share data)

For the Three Months Ended March 31, 2026


		Total Shareholders’ Equity Attributable to Assured Guaranty Ltd.
	Common Shares Outstanding	Common Shares Par Value		Retained Earnings		Accumulated Other Comprehensive Income (Loss)		Deferred Equity Compensation		Total		Non-redeemable Noncontrolling Interest		Shareholders’ Equity
As of December 31, 2025	45,184,791	$	—	$	5,830	$	(168)	$	1	$	5,663	$	126	$	5,789
Net income	—	—		88		—		—		88		(3)		85
Dividends ($0.38 per share)	—	—		(18)		—		—		(18)		—		(18)
Common shares repurchases	(881,981)	—		(75)		—		—		(75)		—		(75)
Share-based compensation	288,244	—		(4)		—		—		(4)		—		(4)
Distributions	—	—		—		—		—		—		(97)		(97)
Deconsolidation	—	—		—		—		—		—		(4)		(4)
Other comprehensive loss	—	—		—		(112)		—		(112)		—		(112)
As of March 31, 2026	44,591,054	$	—	$	5,821	$	(280)	$	1	$	5,542	$	22	$	5,564

For the Three Months Ended March 31, 2025


		Total Shareholders’ Equity Attributable to Assured Guaranty Ltd.
	Common Shares Outstanding	Common Shares Par Value		Retained Earnings		Accumulated Other Comprehensive Income (Loss)		Deferred Equity Compensation		Total		Non-redeemable Noncontrolling Interest		Shareholders’ Equity
As of December 31, 2024	50,505,320	$	1	$	5,878	$	(385)	$	1	$	5,495	$	58	$	5,553
Net income	—	—		176		—		—		176		9		185
Dividends ($0.34 per share)	—	—		(18)		—		—		(18)		—		(18)
Common shares repurchases	(1,335,228)	(1)		(119)		—		—		(120)		—		(120)
Share-based compensation	383,346	—		(14)		—		—		(14)		—		(14)
Other comprehensive income	—	—		—		71		—		71		—		71
As of March 31, 2025	49,553,438	$	—	$	5,903	$	(314)	$	1	$	5,590	$	67	$	5,657

The accompanying notes are an integral part of these condensed consolidated financial statements.

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Assured Guaranty Ltd.

Condensed Consolidated Statements of Cash Flows (Unaudited)

(in millions)


	Three Months Ended March 31,
	2026		2025
Net cash flows provided by (used in) operating activities	$	190	$	87
Cash flows from investing activities:
Fixed-maturity securities, available-for-sale:
Purchases	(286)		(344)
Sales	93		216
Maturities and paydowns	153		188
Short-term investments with original maturities of over three months:
Purchases	—		(2)
Maturities and paydowns	2		—
Net sales (purchases) of short-term investments with original maturities of less than three months	141		67
Sales of fixed-maturity securities, trading	—		8
Maturities and paydowns of fixed-maturity securities, trading	2		3
Paydowns of financial guaranty variable interest entities’ assets	4		5
Purchases of and contributions to other invested assets	(27)		(13)
Sales of and return of capital from other invested assets	43		10
Assured Life Reinsurance, Ltd. acquisition, net of cash acquired (see Note 2)	(145)		—
Issuance of a loan	(40)		—
Other	—		(4)
Net cash flows provided by (used in) investing activities	(60)		134
Cash flows from financing activities:
Dividends paid	(19)		(19)
Repurchases of common shares	(75)		(120)
Net paydowns of financial guaranty variable interest entities’ liabilities	(3)		(4)
Payments related to tax withholding for share-based compensation	(20)		(28)


Other	—		1
Distributions to noncontrolling interest from consolidated investment vehicles	(97)		—
Net cash flows provided by (used in) financing activities	(214)		(170)
Effect of foreign exchange rate changes	(2)		3
Increase (decrease) in cash and cash equivalents and restricted cash	(86)		54
Cash and cash equivalents and restricted cash at beginning of period	419		128
Cash and cash equivalents and restricted cash at end of period	$	333	$	182

(continued on next page)

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Assured Guaranty Ltd.

Condensed Consolidated Statements of Cash Flows (Unaudited) - (Continued)

(in millions)


	Three Months Ended March 31,
	2026		2025
Supplemental disclosure of non-cash activities:
Receipt of fixed-maturity securities, available-for-sale	$	—	$	5

	As of
	March 31, 2026		March 31, 2025
Reconciliation of cash and cash equivalents and restricted cash to the condensed consolidated balance sheets:
Cash	$	312	$	177
Cash and cash equivalents of financial guaranty variable interest entities	21		—
Cash and cash equivalents of consolidated investment vehicles	—		1
Restricted cash (included in other assets)	—		4
Cash and cash equivalents and restricted cash at the end of period	$	333	$	182

The accompanying notes are an integral part of these condensed consolidated financial statements.

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited)

1. Business and Basis of Presentation

Business

Assured Guaranty Ltd. (AGL and, together with its subsidiaries, Assured Guaranty or the Company) is a Bermuda-based holding company that provides, through its wholly-owned operating subsidiaries, credit protection products to the United States (U.S.) and non-U.S. public finance (including infrastructure) and structured finance markets. Assured Guaranty also participates in the annuity reinsurance and asset management businesses.

Financial Guaranty Insurance

Through its financial guaranty (FG) insurance subsidiaries, the Company applies its credit underwriting judgment, risk management skills and capital markets experience primarily to offer FG insurance that protects holders of debt instruments and other monetary obligations from defaults in scheduled payments. If an obligor defaults on a scheduled payment, including a scheduled principal or interest payment (collectively, debt service), the Company is required under its unconditional and irrevocable financial guaranty to pay the shortfall of the scheduled amount to the holder of the obligation, but generally cannot be required by the holder to pay on an accelerated basis. The Company markets its FG insurance directly to issuers and underwriters of public finance and structured finance securities as well as to investors in such obligations. The Company guarantees obligations issued principally in the U.S. and the United Kingdom (U.K.), and also guarantees obligations issued in other countries and regions, including Western Europe and Australia. The Company also provides specialty insurance and reinsurance on transactions with risk profiles similar to those of its structured finance exposures written in financial guaranty form. The Company’s principal FG insurance subsidiaries are:

•Assured Guaranty Inc. (AG), domiciled in Maryland, and its insurance subsidiaries:

•Assured Guaranty UK Limited (AGUK), domiciled in the U.K.;

•Assured Guaranty (Europe) SA (AGE), domiciled in France;

•Assured Guaranty Re Ltd. (AG Re), domiciled in Bermuda, and its insurance subsidiary:

•Assured Guaranty Re Overseas Ltd. (AGRO), domiciled in Bermuda.

Annuity Reinsurance

On January 21, 2026 (the Acquisition Date), the Company purchased all of the outstanding share capital in Warwick Company (UK) Limited (Warwick), which is the 100% indirect owner of Assured Life Reinsurance Ltd. (Assured Life Re), formerly known as Warwick Re Limited. Assured Life Re is a Class E long-term (life) reinsurance company incorporated and registered in Bermuda. See Note 2. Assured Life Re Acquisition. Assured Life Re specializes in annuity reinsurance. As of the date of acquisition, Assured Life Re had reinsured two blocks of business: U.K. bulk purchase annuities (pension risk transfers, PRT) denominated in pound sterling and U.S. multi-year guaranteed annuities (MYGA) denominated in U.S. dollars. PRT annuity obligations are generally long‑term, benefit‑driven cash flows that are long-dated, inflation-linked liabilities. MYGA typically provide for guaranteed crediting rates over a specified term and include contractual features such as surrender charges, market value adjustments and limited withdrawal provisions.

Asset Management

The Company participates in the asset management business through its approximately 30% ownership interest in Sound Point Capital Management, LP (Sound Point, LP) and certain of its investment management affiliates (together with Sound Point, LP, Sound Point).

U.S. Holding Companies

AGL directly or indirectly owns several holding companies. Two of these holding companies, Assured Guaranty US Holdings Inc. (AGUS) and Assured Guaranty Municipal Holdings Inc. (AGMH) (collectively, the U.S. Holding Companies), have public debt outstanding.

Basis of Presentation

The unaudited interim condensed consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP). In management’s opinion, all material adjustments

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

necessary for a fair statement of the financial condition, results of operations and cash flows of the Company, including its consolidated variable interest entities (VIEs), are reflected in the periods presented and are of a normal, recurring nature. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

These unaudited interim condensed consolidated financial statements are as of March 31, 2026 and cover the three-month period ended March 31, 2026 (first quarter 2026) and the three-month period ended March 31, 2025 (first quarter 2025). Certain financial information that is normally included in annual financial statements prepared in accordance with GAAP, but is not required for interim reporting purposes, has been condensed or omitted. The year-end condensed consolidated balance sheet data was derived from audited financial statements but does not include all disclosures required by GAAP. Certain prior year balances have been reclassified to conform to the current period’s presentation.

The unaudited interim condensed consolidated financial statements include the accounts of AGL, its direct and indirect subsidiaries, and its consolidated VIEs. See Note 10. Variable Interest Entities. Intercompany accounts and transactions between and among all consolidated entities have been eliminated. All amounts are reported in U.S. dollars, unless otherwise specified.

These unaudited interim condensed consolidated financial statements should be read in conjunction with the consolidated financial statements included in the Annual Report on Form 10-K for the year ended December 31, 2025 filed with the U.S. Securities and Exchange Commission.

Recent Accounting Standards Not Yet Adopted

In November 2024, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2024-03, Income Statement—Reporting Comprehensive Income—Expense Disaggregation Disclosures (Subtopic 220-40). The amendments in this ASU require disclosure about specific expense categories, including employee compensation, depreciation and intangible asset amortization, in the notes to the financial statements at interim and annual reporting periods. This ASU is effective in fiscal years beginning after December 15, 2026, and interim periods within fiscal years beginning after December 15, 2027. Early adoption is permitted. Prospective application is required, and retrospective application is permitted. The Company is evaluating when and how it will adopt this ASU and the effect that the amendments in this ASU may have on its expense disclosures.

In September 2025, the FASB issued ASU 2025-06, Intangibles—Goodwill and Other—Internal-Use Software (Subtopic 350-40): Targeted Improvements to the Accounting for Internal-Use Software. This ASU updates the capitalization guidance for internal-use software development costs by removing all references to software development project stages and providing new guidance requiring an entity to start capitalizing when both of the following occur: (i) management has authorized and committed to funding a software project; and (ii) it is probable that the project will be completed and the software will be used to perform the function intended. This ASU is effective for fiscal years beginning after December 15, 2027, and interim periods within those fiscal years, with early adoption permitted. This ASU allows entities to adopt the new guidance prospectively, retrospectively or with a modified transition. The Company is evaluating when and how it will adopt this ASU and the effect it may have on its consolidated financial statements.

In December 2025, the FASB issued ASU 2025-11, Interim Reporting (Topic 270): Narrow-Scope Improvements. This ASU is intended to improve the navigability of guidance in ASC 270, Interim Reporting, and clarify when it applies. The ASU also provides additional guidance on what disclosures should be provided in interim reporting periods. This ASU is effective for fiscal years beginning after December 15, 2027, including interim periods within those fiscal years, and permits prospective or full retrospective adoption. Early adoption is permitted. The Company is evaluating when and how it will adopt this ASU and the effect it may have on its consolidated financial statements and related disclosures.

2. Assured Life Re Acquisition

On the Acquisition Date, the Company purchased all of the outstanding share capital in Warwick, which is the 100% indirect owner of Assured Life Re, for a purchase price of $158 million, subject to certain post-closing adjustments (Assured Life Re Acquisition).

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The Assured Life Re Acquisition was accounted for under the acquisition method of accounting, which requires that the assets and liabilities acquired be recorded at fair value. The most significant of these determinations related to the valuation of its insurance liabilities. See Note 7. Annuity Reinsurance.

The fair value of each block of business was measured using a discounted cash flow methodology based on assumptions that market participants would use in pricing the asset. The discount rate reflects the risk-free rate, an explicit risk margin, an adjustment for the Company’s non‑performance risk, and with respect to the PRT block of business an illiquidity premium.

The comparison of the fair value of each of the PRT and MYGA blocks of business to their respective insurance liabilities and policyholder account balances resulted in a positive value of business acquired (VOBA) for the PRT block of business of $14 million, which is reported in “other assets” in the condensed consolidated balance sheets, and a negative VOBA for the MYGA block of business of $14 million, which is reported in “other liabilities” in the condensed consolidated balance sheets. The estimated weighed-average useful life is 10.3 years for the PRT block of business and 2.3 years for the MYGA block of business.

The excess of the fair value of net assets acquired over the consideration transferred was recorded as a provisional bargain purchase gain in “other income” in the condensed consolidated statements of operations. The accounting for the acquisition is not final and is pending the finalization of the valuation of the net assets acquired and the calculation of the final purchase price. The Company believes the provisional bargain purchase gain was attributable to unique circumstances in connection with the sellers’ desire to exit Warwick.

The following table shows the net effect of the Assured Life Re Acquisition on the Acquisition Date.


	Net Effect of Assured Life Re Acquisition
	(in millions)
Cash purchase price	$	158

Assets purchased:
Investments	631
Cash	13
Funds withheld	293
Other assets	35
Total assets	972
Liabilities assumed:
Future policy benefits for annuity reinsurance contracts (including deferred profit liability)	504
Policyholder account balances for annuity reinsurance contracts	270
Other liabilities	34
Total liabilities	808
Net assets	164

Bargain purchase gain	$	6

Revenue and net income related to Assured Life Re from the Acquisition Date through March 31, 2026 included in the condensed consolidated statement of operations were approximately $14 million and $2 million, respectively. The Company incurred $7 million of transaction costs primarily consisting of legal and advisory fees related to the Assured Life Re Acquisition. Of this amount, $4 million was recognized as expenses in first quarter 2026 and reported in “other operating expenses” in the condensed consolidated statements of operations.

Had the Assured Life Re Acquisition occurred on January 1, 2025, the unaudited pro forma revenue and net income would be $257 million and $81 million, respectively, for the three months ended March 31, 2026, and $349 million and $178 million, respectively, for the three months ended March 31, 2025. The pro forma accounts include the estimated historical results of the Company and Assured Life Re and pro forma adjustments related to the differences in the accounting standards

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

and policies between the Company and Assured Life Re, as well as the bargain purchase gain and acquisition-related expenses, together with the consequential tax effects. The unaudited pro forma combined financial information is presented for illustrative purposes only and does not indicate the financial results of the combined company had the companies actually been combined as of January 1, 2025, nor is it indicative of the results of operations in future periods.

Statutory Information and Restrictions

Assured Life Re prepares its statutory financial statements in conformity with the accounting principles set forth in Bermuda’s Insurance Act 1978, amendments thereto and related regulations. As of December 31, 2016, the Bermuda Monetary Authority (the Authority) requires insurers to prepare statutory financial statements in accordance with the particular accounting principles adopted by the insurer (which, in the case of Assured Life Re, are GAAP), subject to certain adjustments. The adjustments relate to certain assets designated as “non-admitted assets” which are charged directly to statutory surplus rather than reflected as assets as they are under GAAP.

Under applicable law and regulations, Assured Life Re may declare and pay dividends during 2026, without prior approval of the Authority, in an aggregate amount equal to up to 25% of its total statutory capital and surplus as of the prior year end (or $41 million). Any such dividends would also be subject to the limitations that they may not exceed Assured Life Re’s statutory surplus or its unencumbered assets. As of March 31, 2026, Assured Life Re’s statutory surplus was zero and, accordingly, it had no dividend capacity at that date; its unencumbered assets were $25 million.

In addition, Assured Life Re may make capital distributions during 2026 of up to $31 million in the aggregate without prior approval of the Authority. Given Assured Life Re’s focus on capital intensive growth initiatives, it does not expect to declare or pay any dividends or to make any capital distributions during 2026.

3. Segment Information

Prior to first quarter 2026, the Company disclosed two reportable segments: Insurance and Asset Management. As a result of the expansion of the Company’s business into annuity reinsurance, the chief operating decision maker (CODM) began assessing the results of operations of the Company’s annuity reinsurance business separately and therefore a new operating segment, Annuity Reinsurance, was added in first quarter 2026. In addition, the Insurance segment was renamed the Financial Guaranty segment starting in first quarter 2026. The Company separately reports the results of its Corporate division and the effects of consolidating financial guaranty VIEs (FG VIEs) and consolidated investment vehicles (CIVs). This presentation is consistent with the manner in which the Chief Executive Officer and President, who serves as the CODM, reviews the business to assess performance and allocate resources. The CODM predominantly uses adjusted operating income to allocate resources for each segment in the annual budget and forecasting process and to assess the performance of each segment.

The Company analyzes the operating performance of each segment using “segment adjusted operating income (loss).” Results for each segment and division include specifically identifiable expenses as well as intersegment expense allocations, as applicable, based on time studies and other cost allocation methodologies based on headcount or other metrics. Segment adjusted operating income (loss) is defined as “net income (loss) attributable to AGL,” adjusted for the following items:

•Elimination of realized gains (losses) on investments, except for gains and losses on securities classified as trading.

•Elimination of non-credit impairment-related fair value gains (losses) on credit derivatives, which is the amount of fair value gains (losses) in excess of the present value of the expected estimated economic credit losses.

•Elimination of changes in fair value of freestanding derivatives in the Annuity Reinsurance segment that economically hedge market movements in financial instruments and insurance liabilities (but are not in designated hedging relationships in accordance with GAAP).

•Elimination of the changes in fair value of the embedded derivative in funds withheld related to realized and unrealized gains (losses) of the underlying investment portfolio.

•Elimination of fair value gains (losses) on committed capital securities (CCS).

•Elimination of foreign exchange gains (losses) on the remeasurement of assets and liabilities such as premiums receivables and insurance liabilities that are long term in nature.

•Income tax allocated to the adjustments above.

In addition to the adjustments listed above, segment adjusted operating income (loss) differs from GAAP in other respects. The Financial Guaranty segment includes: (i) premiums and losses from the FG insurance policies issued by AG that guarantee FG VIE debt; (ii) the insurance subsidiaries’ share of earnings from all its investments in funds managed by Sound

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Point in “equity in earnings (losses) of investees; and (iii) investment income on the FG VIE debt owned.” Under GAAP, (i) FG VIEs are consolidated by AG and the premiums and losses/recoveries associated with the financial guaranty policies in respect of the FG VIEs’ debt are eliminated (the reconciliation tables below present the FG VIEs and related eliminations in “other”); (ii) certain investments in funds managed by Sound Point are, or were in prior periods, accounted for as CIVs (in the reconciliation tables below, the CIVs and related eliminations of the Financial Guaranty segment’s “equity in earnings (losses) of investees” associated with the Company’s ownership interest in CIVs are presented in “other”); and (iii) FG VIEs are consolidated by AG and the investment income on the FG VIE debt owned is eliminated (the reconciliation tables below present the FG VIEs and related eliminations in “other”) .

The Company does not report assets by reportable segment as the CODM does not assess performance or allocate resources based on assets.

The Financial Guaranty segment primarily consists of the adjusted operating income (loss) of the Company’s FG insurance subsidiaries and AG Asset Strategies LLC (AGAS). See Note 9. Investments.

The Annuity Reinsurance segment comprises the results of Assured Life Re and other subsidiaries acquired in the Assured Life Re Acquisition.

The Asset Management segment includes the results of the Company’s equity method ownership interest in Sound Point and other asset management-related incentive fees. The incentive fees are performance fees earned by the consolidated general partner of a fund managed by Sound Point. The Asset Management segment recognized revenues and expenses of this general partnership of $118 million and $68 million, respectively, in first quarter 2026, and $6 million and $4 million, respectively, in first quarter 2025. For segment reporting, the Company includes intersegment revenues, which are eliminated in consolidation, but are included in the measure of Asset Management segment’s results. At the end of first quarter 2026, the Company deconsolidated this general partner and the corresponding CIV after the payout of carried interest from the sale of the underlying asset in a single-asset fund. See Note 10. Variable Interest Entities.

The Corporate division primarily consists of: (i) interest expense and any losses on the extinguishment of the U.S. Holding Companies’ debt; (ii) other corporate operating expenses of AGL and the U.S. Holding Companies, (iii) equity in earnings from certain alternative investments; (iv) beginning in the fourth quarter of 2025, a portion of the equity in earnings of Assured Healthcare Partners LLC managed funds that were transferred from AG to AGMH as a part of a stock redemption; and (v) gains and losses associated with certain corporate development or other strategic initiatives. In addition, the Corporate division includes a bargain purchase gain recognized in connection with the Assured Life Re Acquisition in first quarter 2026.

The Other category in the tables below primarily includes the effect of consolidating FG VIEs, CIVs and intersegment eliminations. See Note 10. Variable Interest Entities.

The following table presents information for the Company’s operating segments. Intersegment revenues include transactions between and among the segments, the Corporate division and the Other category.

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Segment Information


	First Quarter
	2026						2025
	Financial Guaranty		Annuity Reinsurance		Asset Management		Financial Guaranty (1)		Asset Management
	(in millions)
Third-party revenues	$	180	$	10	$	94	$	237	$	5
Intersegment revenues	2		—		24		2		1
Segment revenues	182		10		118		239		6
Segment loss and loss adjustment expense (LAE) (benefit)	17		—		—		(23)		—
Segment benefit expense for annuity reinsurance contracts	—		7		—		—		—
Segment employee compensation and benefit expenses	54		2		—		52		—
Segment amortization of deferred acquisition costs	5		—		—		5		—
Other segment items (2)	31		2		68		30		4
Segment expenses	107		11		68		64		4
Segment equity in earnings (losses) of investees	8		—		6		30		13
Less: Segment provision (benefit) for income taxes	(19)		(1)		12		37		3
Segment adjusted operating income (loss)	$	102	$	—	$	44	$	168	$	12

Selected components of segment adjusted operating income:
Net investment income	$	88	$	5	$	—	$	86	$	—
Non-cash compensation and operating expenses (3)	21		1		—		18		—

_____________________

(1) First quarter 2025 results include the gain recognized in connection with the Lehman Brothers International (Europe) (in administration) (LBIE) litigation, which represents the full satisfaction of the judgment the Company was awarded and its claims for attorneys’ fees, expenses and interest. See Note 8. Derivatives, for additional information.

(2) Other segment items for the Financial Guaranty segment include professional services expenses, maintenance, depreciation expense, lease expense and certain overhead expenses; for the Asset Management segment include expenses associated with incentive fees; and for the Annuity Reinsurance segment include professional service fees and certain overhead expenses.

(3) Amounts consist of depreciation, amortization and share-based compensation expenses.

The tables below present a reconciliation of significant components of segment information to the comparable consolidated amounts.

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Reconciliation of Segment Information to Consolidated Information

Three Months Ended March 31, 2026


					Equity in Earnings (Losses) of Investees		Less:				Net Income (Loss) Attributable to AGL
	Revenues		Expenses				Provision (Benefit) for Income Taxes		Noncontrolling Interest
	(in millions)
Segments:
Financial Guaranty	$	182	$	107	$	8	$	(19)	$	—	$	102
Annuity Reinsurance	10		11		—		(1)		—		—
Asset Management	118		68		6		12		—		44
Total segments	310		186		14		(8)		—		146
Corporate division	8		43		19		(1)		—		(15)
Other	(24)		(2)		(2)		(5)		(3)		(16)
Subtotal	294		227		31		(14)		(3)		115
Reconciling items:
Realized gains (losses) on investments	(15)		—		—		—		—		(15)
Non-credit impairment-related fair value gains (losses) on credit derivatives	(2)		—		—		—		—		(2)
Fair value gains (losses) of freestanding derivatives in the Annuity Reinsurance segment	(2)		—		—		—		—		(2)
Realized and unrealized fair value gains (losses) of the embedded derivative in funds withheld	(2)		—		—		—		—		(2)
Fair value gains (losses) on CCS	6		—		—		—		—		6
Foreign exchange gains (losses) on remeasurement of certain assets and liabilities	(18)		—		—		—		—		(18)
Tax effect	—		—		—		(6)		—		6
Consolidated	$	261	$	227	$	31	$	(20)	$	(3)	$	88

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Reconciliation of Segment Information to Consolidated Information

Three Months Ended March 31, 2025


					Equity in Earnings (Losses) of Investees		Less:				Net Income (Loss) Attributable to AGL
	Revenues		Expenses				Provision (Benefit) for Income Taxes		Noncontrolling Interest
	(in millions)
Segments:
Financial Guaranty	$	239	$	64	$	30	$	37	$	—	$	168
Asset Management	6		4		13		3		—		12
Total segments	245		68		43		40		—		180
Corporate division	4		40		16		—		—		(20)
Other	16		(2)		(6)		1		9		2
Subtotal	265		106		53		41		9		162
Reconciling items:
Realized gains (losses) on investments	(16)		—		—		—		—		(16)
Non-credit impairment-related fair value gains (losses) on credit derivatives	61		63		—		—		—		(2)
Fair value gains (losses) on CCS	2		—		—		—		—		2
Foreign exchange gains (losses) on remeasurement of certain assets and liabilities	33		—		—		—		—		33
Tax effect	—		—		—		3		—		(3)
Consolidated	$	345	$	169	$	53	$	44	$	9	$	176

4. Outstanding Exposure

The Company’s outstanding exposure presented in this note includes all FG contracts outstanding as of the dates presented, regardless of contractual form written (i.e., credit derivative form or traditional FG insurance) or applicable accounting model (i.e., FG insurance, credit derivatives, or FG VIE). The presentation also includes specialty business with risk characteristics similar to those of the Company’s structured finance exposures written in FG form.

The Company sells credit protection primarily in FG insurance form. The Company may also sell credit protection in other forms of insurance or by issuing policies that guarantee payment obligations under credit default swaps (CDS). The Company’s guaranties of CDS are generally structured such that the circumstances giving rise to the Company’s obligation to make loss payments are similar to those for its FG insurance contracts.

The Company seeks to limit its exposure to losses by underwriting obligations that it views to be investment grade at inception, although on occasion it may underwrite new issuances that it views to be below-investment-grade (BIG), typically as part of its loss mitigation strategy for existing troubled exposures. The Company also seeks to acquire portfolios of insurance from financial guarantors that are no longer writing new business by acquiring such companies, providing reinsurance or novating a portfolio of insurance; in such instances, the Company evaluates the risk characteristics of the target portfolio, which may include some BIG exposures, as a whole in the context of the proposed transaction. The Company diversifies its insured portfolio across sector and geography and, in the structured finance portfolio, generally requires subordination or collateral to protect it from loss. Reinsurance may be used in order to reduce net exposure to certain insured transactions.

Public finance obligations insured by the Company primarily consist of general obligation bonds supported by the taxing powers of U.S. state or municipal governmental authorities, as well as tax-supported bonds, revenue bonds and other obligations supported by covenants from state or municipal governmental authorities or other municipal obligors to impose and collect fees and charges for public services or specific infrastructure projects. The Company includes within public finance obligations those obligations backed by the cash flow from leases or other revenues from projects serving substantial public purposes, including utilities, toll roads, healthcare facilities and government office buildings as well as obligations issued by U.S. and non-U.S. sovereign and sub-sovereign issuers and governmental authorities.

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Structured finance obligations insured by the Company are generally issued by special purpose entities, including VIEs, and backed by pools of assets having an ascertainable cash flow or market value or other specialized financial obligations. Some of these VIEs are consolidated as described in Note 10. Variable Interest Entities. Unless otherwise specified, the outstanding par and debt service amounts presented in this note include outstanding exposures on these VIEs whether or not they are consolidated.

The Company also provides specialty insurance and reinsurance, and other types of financial guaranties, that are consistent with its risk profile and benefit from its underwriting experience.

Surveillance Categories

The Company segregates its FG insured portfolio into investment grade and BIG surveillance categories to facilitate the appropriate allocation of resources to monitoring and loss mitigation efforts and to aid in establishing the appropriate cycle for periodic review of each exposure. BIG exposures include all exposures with internal credit ratings below BBB-.

The Company’s internal credit ratings are based on internal assessments of the likelihood of default and loss severity in the event of default. Internal credit ratings are expressed on a ratings scale similar to that used by the rating agencies and generally reflect an approach similar to that employed by the rating agencies, except that the Company’s internal credit ratings focus on future performance rather than lifetime performance.

The Company monitors its insured portfolio and refreshes its internal credit ratings on individual exposures in quarterly, semi-annual or annual cycles based on the Company’s view of the exposure’s credit quality, future loss potential, volatility and sector. More extensive monitoring and intervention are employed for all BIG surveillance categories, with internal credit ratings reviewed quarterly. Exposures identified as BIG are subjected to further review to determine (i) the probability of a future loss, (ii) the calculation of the expected future loss to be paid, and (iii) whether the Company has paid a claim for which it expects to be reimbursed within one year (liquidity claim) or a claim for which it does not expect to be reimbursed within one year.

Ratings on exposures in sectors identified as under the most stress or with the most potential volatility are also reviewed every quarter, although the Company may also review a rating in response to developments impacting a credit when a ratings review is not scheduled. For assumed exposures, the Company may use the ceding company’s credit ratings of transactions where it is impractical for it to assign its own rating.

The Company assigns each BIG exposure to one of the three BIG surveillance categories below, which generally represent the following:

•BIG 1: Below-investment-grade exposures for which there are possible future losses, on a present value basis, and the aggregate probability weighting of scenarios with future losses is less than 50%, regardless of whether the Company has or has not paid a liquidity claim.

•BIG 2: Below-investment-grade exposures for which there are possible future losses, on a present value basis, and the aggregate probability weighting of scenarios with future losses is 50% or more, but for which no claims (other than liquidity claims) have yet been paid.

•BIG 3: Below-investment-grade exposures for which future losses are expected, on a present value basis, and the aggregate probability weighting of scenarios with future losses is 50% or more, and for which claims, other than liquidity claims, have been paid.

For purposes of classifying BIG exposures into one of the three BIG categories, the Company calculates the present value of projected claim payments and recoveries using the pre-tax book yield of the investment portfolio as the applicable discount rate.

As discussed in Note 5. Expected Loss to be Paid (Recovered), for financial statement measurement purposes, the Company uses risk-free rates (as determined each quarter) for discounting, rather than the pre-tax book yield of the investment portfolio, to calculate the expected losses to be paid. Expected losses to be paid (recovered) are based on probability weighted scenarios and serve as the basis for the loss reserves reported in accordance with GAAP.

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Financial Guaranty Exposure

The Company measures its FG exposure in terms of (i) gross and net par outstanding and (ii) gross and net debt service.

The Company typically guarantees the payment of debt service when due. Since most of these payments are due in the future, the Company generally uses gross and net par outstanding as a proxy for its FG exposure. Gross par outstanding generally represents the principal amount of the insured obligation at a point in time. Net par outstanding equals gross par outstanding net of any reinsurance. The Company includes in its par outstanding calculation the impact of any consumer price index inflator to the reporting date as well as, in the case of accreting (zero-coupon) obligations, accretion to the reporting date. Non-U.S. dollar denominated par outstanding is translated at the spot rate at the end of the reporting period.

The Company has, from time to time, purchased securities that it has insured, and for which it had expected losses to be paid, in order to mitigate the economic effect of insured losses (Loss Mitigation Securities). Amounts attributable to Loss Mitigation Securities are excluded from par and debt service outstanding and are instead reported as Loss Mitigation Securities in the investment portfolio. The Company manages such securities as investments and not insurance exposure. As of both March 31, 2026 and December 31, 2025, the Company excluded net par outstanding of $0.8 billion, attributable to Loss Mitigation Securities.

Gross debt service outstanding represents the sum of all estimated future debt service payments on the insured obligations, on an undiscounted basis. Net debt service outstanding equals gross debt service outstanding net of any reinsurance. Future debt service payments include the estimated impact of any consumer price index inflator after the reporting date, as well as, in the case of accreting (zero-coupon) obligations, accretion after the reporting date.

The Company calculates its debt service outstanding as follows:

•for insured obligations that are not supported by homogeneous pools of assets (which category includes most of the Company’s public finance transactions), as the total estimated contractual future debt service due through maturity, regardless of whether the obligations may be called and regardless of whether, in the case of obligations where principal payments are due when an underlying asset makes a principal payment, the Company believes the obligations will be repaid prior to contractual maturity; and

•for insured obligations that are supported by homogeneous pools of assets that are contractually permitted to prepay principal (which category includes, for example, residential mortgage-backed securities (RMBS)), as the total estimated expected future debt service due on insured obligations through their respective expected terms, which reflects the Company’s expectations as to whether the obligations may be called and, in the case of obligations where principal payments are due when an underlying asset makes a principal payment, when the Company expects principal payments to be made prior to contractual maturity.

The calculation of debt service requires the use of estimates, which the Company updates periodically, including estimates and assumptions for the expected remaining term of insured obligations supported by homogeneous pools of assets, updated interest rates for floating and variable rate insured obligations, behavior of consumer price indices for obligations with consumer price index inflators, foreign exchange rates and other assumptions based on the characteristics of each insured obligation. Debt service is a measure of the estimated maximum potential exposure to insured obligations before considering the Company’s various legal rights to the underlying collateral and other remedies available to it under its financial guaranty contract.

Actual debt service may differ from estimated debt service due to refundings, terminations, negotiated restructurings, prepayments, changes in interest rates on floating and variable rate insured obligations, consumer price indices differing from projections, changes in foreign exchange rates on non-U.S. dollar denominated insured obligations and other factors.

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Financial Guaranty Portfolio

Debt Service and Par Outstanding


	As of March 31, 2026				As of December 31, 2025
	Gross		Net		Gross		Net
	(in billions)
Debt Service
Public finance	$	428.0	$	427.9	$	428.5	$	428.4
Structured finance	14.1		13.6		12.9		12.4
Total financial guaranty	$	442.1	$	441.5	$	441.4	$	440.8

Par Outstanding
Public finance	$	265.9	$	265.9	$	265.6	$	265.6
Structured finance	13.3		12.7		12.0		11.5
Total financial guaranty	$	279.2	$	278.6	$	277.6	$	277.1

Financial Guaranty Portfolio by Internal Rating

As of March 31, 2026


	Public Finance U.S.				Public Finance Non-U.S.				Structured Finance U.S.				Structured Finance Non-U.S.				Total
Rating Category	Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%
	(dollars in billions)
AAA	$	—	—	%	$	1.8	3.6	%	$	0.5	5.3	%	$	0.4	10.1	%	$	2.7	1.0	%
AA	18.6		8.6		1.4		2.9		5.4		64.7		0.6		13.1		26.0		9.3
A	126.3		58.3		11.4		23.0		1.0		13.1		3.4		76.6		142.1		51.0
BBB	68.1		31.5		30.5		61.7		0.6		7.0		—		0.2		99.2		35.6
BIG	3.4		1.6		4.4		8.8		0.8		9.9		—		—		8.6		3.1
Total net par outstanding	$	216.4	100.0	%	$	49.5	100.0	%	$	8.3	100.0	%	$	4.4	100.0	%	$	278.6	100.0	%

Financial Guaranty Portfolio by Internal Rating

As of December 31, 2025


	Public Finance U.S.				Public Finance Non-U.S.				Structured Finance U.S.				Structured Finance Non-U.S.				Total
Rating Category	Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%
	(dollars in billions)
AAA	$	—	—	%	$	1.8	3.5	%	$	0.5	5.8	%	$	0.5	12.6	%	$	2.8	1.0	%
AA	18.2		8.5		1.5		2.9		5.2		66.4		0.1		3.5		25.0		9.0
A	122.8		57.1		13.5		26.7		0.7		8.9		3.0		83.7		140.0		50.5
BBB	70.5		32.8		29.4		58.1		0.6		8.2		—		0.2		100.5		36.3
BIG	3.5		1.6		4.4		8.8		0.9		10.7		—		—		8.8		3.2
Total net par outstanding	$	215.0	100.0	%	$	50.6	100.0	%	$	7.9	100.0	%	$	3.6	100.0	%	$	277.1	100.0	%

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Financial Guaranty Portfolio

Components of BIG Net Par Outstanding

As of March 31, 2026


	BIG Net Par Outstanding
	BIG 1		BIG 2		BIG 3		Total BIG
	(in billions)
Public finance:
U.S. public finance	$	2.41	$	0.47	$	0.58	$	3.46
Non-U.S. public finance	1.04		3.32		—		4.36
Public finance	3.45		3.79		0.58		7.82
Structured finance:
U.S. RMBS	0.18		0.02		0.55		0.75
Other structured finance	—		0.02		0.05		0.07
Structured finance	0.18		0.04		0.60		0.82
Total	$	3.63	$	3.83	$	1.18	$	8.64

Financial Guaranty Portfolio

Components of BIG Net Par Outstanding

As of December 31, 2025


	BIG Net Par Outstanding
	BIG 1		BIG 2		BIG 3		Total BIG
	(in billions)
Public finance:
U.S. public finance	$	2.48	$	0.42	$	0.58	$	3.48
Non-U.S. public finance	1.09		3.35		—		4.44
Public finance	3.57		3.77		0.58		7.92
Structured finance:
U.S. RMBS	0.17		0.03		0.57		0.77
Other structured finance	—		0.01		0.06		0.07
Structured finance	0.17		0.04		0.63		0.84
Total	$	3.74	$	3.81	$	1.21	$	8.76

Financial Guaranty Portfolio

BIG Net Par Outstanding and Number of Risks

As of March 31, 2026


	Net Par Outstanding						Number of Risks (2)
Description	Financial Guaranty Insurance (1)		Credit Derivatives		Total		Financial Guaranty Insurance (1)	Credit Derivatives	Total
	(dollars in billions)
BIG 1	$	3.60	$	0.03	$	3.63	86	3	89
BIG 2	3.83		—		3.83		14	1	15
BIG 3	1.18		—		1.18		92	3	95
Total BIG	$	8.61	$	0.03	$	8.64	192	7	199

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Financial Guaranty Portfolio

BIG Net Par Outstanding and Number of Risks

As of December 31, 2025


	Net Par Outstanding						Number of Risks (2)
Description	Financial Guaranty Insurance (1)		Credit Derivatives		Total		Financial Guaranty Insurance (1)	Credit Derivatives	Total
	(dollars in billions)
BIG 1	$	3.71	$	0.03	$	3.74	87	3	90
BIG 2	3.81		—		3.81		13	1	14
BIG 3	1.21		—		1.21		95	3	98
Total BIG	$	8.73	$	0.03	$	8.76	195	7	202

_____________________

(1) Includes FG VIEs.

(2) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments.

Specialty Business

The Company also guarantees specialty business with risk characteristics similar to those of the Company’s structured finance exposures written in financial guaranty form.

Specialty Business


	As of March 31, 2026				As of December 31, 2025
	Gross Exposure		Net Exposure		Gross Exposure		Net Exposure
	(in billions)
Diversified real estate (1)	$	2.0	$	2.0	$	2.0	$	2.0
Insurance reserve financings and securitizations (2)	1.5		1.2		1.5		1.2
Pooled corporate obligations	0.7		0.7		0.9		0.9
Aircraft residual value insurance (RVI)	0.2		0.1		0.2		0.1

____________________

(1) An excess-of-loss guaranty of a minimum amount of billed rent on a diversified portfolio of real estate properties with an internal rating of AAA that matures in 2044. This guaranty is accounted for in accordance with ASC 460, Guarantees.

(2) Insurance reserve financings and securitizations exposure is projected to reach $1.6 billion gross and $1.3 billion net in 2027.

All of the exposure in the table above was rated investment grade except for $5 million of gross and net exposure of RVI that was rated BIG as of December 31, 2025.

Commitments

In addition to the exposure disclosed above, the Company had outstanding commitments to provide financial guaranties of $1.4 billion of public finance gross par and $3.5 billion of structured finance gross par as of March 31, 2026. These commitments are contingent on the satisfaction of specified conditions and may expire unused or be cancelled at the request of the respective counterparty. Therefore, the total commitment amount does not necessarily reflect actual future guaranteed amounts.

5. Expected Loss to be Paid (Recovered)

In order to effectively evaluate and manage the economics and liquidity of the entire insured portfolio regardless of contractual form written (i.e., credit derivative form or traditional FG insurance) or the applicable accounting model, management assigns ratings and calculates expected loss to be paid (recovered), on a contract-by-contract basis, in the same manner for all its insured exposures regardless of form or differing accounting models. The exposure reported in Note 4. Outstanding Exposure, includes policies accounted for under various accounting models depending on the characteristics of the contract and the Company’s control rights. The three primary models are: (i) FG insurance, as described in Note 6. Contracts

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Accounted for as Financial Guaranty Insurance; (ii) credit derivatives, as described in Note 8. Derivatives, and Note 11. Fair Value Measurement; and (iii) FG VIE consolidation, as described in Note 10. Variable Interest Entities. The Company has paid claims and may pay future claims and/or recover past claims on policies which fall under each of these accounting models. This note provides information regarding expected loss to be paid (recovered), regardless of the accounting method.

Net expected loss to be paid (recovered) is equal to the present value of expected future cash outflows for loss and LAE payments, net of: (i) inflows for expected salvage, subrogation and other recoveries; (ii) excess spread on underlying collateral, as applicable; and (iii) amounts ceded to reinsurers. Cash flows are discounted at current risk-free rates. The Company updates the discount rates each quarter and reflects the effect of such changes in economic loss development.

Expected cash outflows and inflows are probability weighted cash flows that reflect management’s assumptions about the likelihood of all possible outcomes based on all information available to the Company. Those assumptions consider the relevant facts and circumstances and are consistent with the information tracked and monitored through the Company’s surveillance and risk-management functions. Expected loss to be paid (recovered) is important in that it represents the present value of amounts that the Company expects to pay or recover in future periods.

The Company removes any expected loss to be paid (recovered) associated with Loss Mitigation Securities. For Loss Mitigation Securities, the difference between the purchase price of the insured obligation and the fair value excluding the value of the Company’s insurance (on the date of acquisition) is treated as a paid loss. See Note 9. Investments, and Note 11. Fair Value Measurement.

Similarly, in cases where issuers of insured obligations elected (or where an issuer and the Company negotiated) to deliver the underlying collateral, insured obligation or a new security to the Company, expected loss to be paid (recovered) is adjusted accordingly and the asset received is prospectively recorded based on the applicable GAAP guidance for that instrument.

Economic loss development (benefit) represents the change in net expected loss to be paid (recovered) attributable to the effects of changes in the economic performance of insured transactions, changes in assumptions based on observed market trends, changes in discount rates, accretion of discount and the economic effects of loss mitigation efforts.

Loss Estimation Process

The financial guaranties issued by the Company insure the credit performance of the guaranteed obligations over an extended period of time, in some cases over 30 years, and in most circumstances the Company has no right to cancel such financial guaranties. As a result, the Company’s estimate of ultimate loss on a policy is subject to significant uncertainty over the life of the insured transaction. Credit performance can be affected by, among other things, economic, fiscal and financial conditions and political developments over the life of most contracts. The Company guarantees payment of interest and principal when those amounts are scheduled to be paid and generally cannot be required to pay on an accelerated basis, although in certain circumstances it may elect to do so. When obligors default on their obligations, the Company is only required to pay the shortfall between the debt service due in any given period and the amount paid by the obligors.

The Company does not use traditional actuarial approaches to determine its estimates of expected losses. The determination of expected loss to be paid (recovered) is an inherently subjective process involving numerous estimates, assumptions and judgments by management, using both internal and external data sources with regard to frequency and severity of loss, economic projections, governmental actions, legal developments, negotiations, recovery rates, delinquency and prepayment rates, timing of cash flows and other factors that affect credit performance. These estimates, assumptions and judgments, and the factors on which they are based, may change materially over a reporting period, and have a material effect on the Company’s financial statements. Each quarter, the Company may revise its scenarios and update its assumptions, including the probability weightings of its scenarios, based on public as well as nonpublic information obtained through its surveillance and loss mitigation activities.

Changes over a reporting period in the Company’s loss estimates for public finance obligations supported by specified revenue streams, such as revenue bonds issued by toll road authorities, municipal and regulated utilities, airport authorities or healthcare systems, generally will be influenced by factors impacting their revenue levels, such as changes in demand, changing demographics and other economic and regulatory factors, especially if the obligations do not benefit from financial support from other tax revenues or governmental authorities. Changes over a reporting period in the Company’s loss estimates for its tax-supported and general obligation public finance transactions generally will be influenced by factors impacting the public

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

issuer’s ability and willingness to pay, such as changes in the economy and population of the relevant area; changes in the issuer’s ability or willingness to raise taxes, decrease spending or receive federal assistance; new legislation; rating agency actions that affect the issuer’s ability to refinance maturing obligations or issue new debt at a reasonable cost; changes in the priority and amount of pensions and other obligations owed to workers; developments in restructuring or settlement negotiations; and other political and economic factors. Changes in loss estimates may also be affected by the Company’s loss mitigation efforts and other variables.

Changes in the Company’s loss estimates for structured finance transactions can be influenced by the performance of the assets supporting those transactions, by macroeconomic factors and by specific actions taken to mitigate losses. For example, changes over a reporting period in the Company’s loss estimates for its RMBS transactions may be influenced by factors such as the level, timing and severity of loan defaults experienced, changes in housing prices, discount rates, prepayments and the results of the Company’s loss mitigation activities. In recent years, expected losses to be paid (recovered) for U.S. RMBS have also been affected by changes in the amount of recoveries on first lien deferred principal balances and second lien charged-off loans.

Actual losses will ultimately depend on future events, transaction performance or other factors that are difficult to predict. As a result, the Company’s current projections of certain losses may be subject to considerable uncertainty and may not reflect the Company’s ultimate claims paid.

In some instances, the terms of the Company’s policy or the terms of certain workout orders and resolutions give the Company the option to pay principal losses that have been recognized in the transaction but which it is not yet required to pay, thereby reducing the amount of guaranteed interest due in the future. The Company has sometimes exercised this option, which results in an acceleration of cash outflows but reduces overall losses paid.

The Company’s reserve committees estimate expected loss to be paid (recovered) by reviewing analyses that consider various scenarios with corresponding probabilities assigned to them. Depending upon the characteristics of the risk, the Company’s view of the potential size of any loss and the information available to the Company, that analysis may be based upon individually developed cash flow models, internal credit rating assessments, sector-driven loss severity assumptions and/or judgmental assessments. In the case of its assumed business, the Company may conduct its own analysis or use loss estimates provided by ceding insurers. Each quarter, the Company’s reserve committees review and refresh their loss projection assumptions, scenarios and the probabilities they assign to those scenarios based on developments during the period and their view of future performance.

Net Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit)

by Accounting Model


	Net Expected Loss to be Paid (Recovered)					Net Economic Loss Development (Benefit)
	As of				First Quarter
Accounting Model	March 31, 2026		December 31, 2025				2026		2025
	(in millions)
FG insurance (see Note 6)	$	129	$	88			$	44	$	48
FG VIEs (see Note 10)	12		13				—		—
Credit derivatives (see Note 8)	—		—				—		(63)
Total	$	141	$	101			$	44	$	(15)

The following tables present a roll forward of net expected loss to be paid (recovered) for all contracts, which are accounted for under one of the following accounting models: FG insurance, credit derivative or FG VIE. The Company used risk-free rates for U.S. and non-U.S. currencies that ranged from 1.93% to 5.68% with a weighted average of 4.16% as of March 31, 2026 and 1.93% to 5.35% with a weighted average of 3.92% as of December 31, 2025.

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Net Expected Loss to be Paid (Recovered)

Roll Forward


		First Quarter
			2026		2025
	(in millions)
Net expected loss to be paid (recovered), beginning of period			$	101	$	106
Economic loss development (benefit) due to:
Accretion of discount			2		1
Changes in discount rates			(4)		5
Changes in timing and assumptions			46		(21)
Total economic loss development (benefit) (1)			44		(15)
Net (paid) recovered losses (1)			(4)		59
Net expected loss to be paid (recovered), end of period			$	141	$	150

____________________

(1) First quarter 2025 amounts include recoveries recognized in connection with the resolution of the LBIE litigation. See Note 8. Derivatives, for additional information.

Net Expected Loss to be Paid (Recovered)

Roll Forward by Sector


	First Quarter 2026
Sector	Net Expected Loss to be Paid (Recovered) as of December 31, 2025		Net Economic Loss Development (Benefit)		Net (Paid) Recovered Losses (1)		Net Expected Loss to be Paid (Recovered) as of March 31, 2026
	(in millions)
Public finance:
U.S. public finance	$	(31)	$	45	$	(11)	$	3
Non-U.S. public finance	126		2		—		128
Public finance	95		47		(11)		131
Structured finance:
U.S. RMBS	(54)		(2)		8		(48)
Other structured finance	60		(1)		(1)		58
Structured finance	6		(3)		7		10
Total	$	101	$	44	$	(4)	$	141

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued


	First Quarter 2025
Sector	Net Expected Loss to be Paid (Recovered) as of December 31, 2024		Net Economic Loss Development (Benefit)		Net (Paid) Recovered Losses (1)		Net Expected Loss to be Paid (Recovered) as of March 31, 2025
	(in millions)
Public finance:
U.S. public finance	$	18	$	29	$	(12)	$	35
Non-U.S. public finance	98		24		—		122
Public finance	116		53		(12)		157
Structured finance:
U.S. RMBS	(43)		(3)		9		(37)
Other structured finance (2)	33		(65)		62		30
Structured finance	(10)		(68)		71		(7)
Total	$	106	$	(15)	$	59	$	150

____________________

(1) Amounts are net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded as reinsurance recoverable on paid losses in “other assets.”

(2) First quarter 2025 amounts include recoveries recognized in connection with the resolution of the LBIE litigation. See Note 8. Derivatives, for additional information. Includes cash proceeds for recoveries related to amounts previously paid.

The tables above include (i) net LAE paid (recovered) of $2 million and $(61) million for first quarter 2026 and first quarter 2025, respectively, and (ii) net expected LAE to be paid of $13 million and $8 million as of March 31, 2026 and December 31, 2025, respectively.

Public Finance

The largest components of the public finance net expected losses to be paid (recovered) relate to certain insured healthcare and U.K. regulated utility exposures, as well as Puerto Rico Electric Power Authority (PREPA). The total net expected loss to be paid for public finance exposures is net of expected recoveries of $309 million and $311 million as of March 31, 2026 and December 31, 2025, respectively, for certain claims and LAE that have already been paid. In first quarter 2026, the economic loss development for public finance transactions was primarily attributable to Brightline Trains Florida LLC (Brightline) and PREPA.

Thames Water

As of March 31, 2026, the Company had £1.8 billion (or $2.4 billion) of net par outstanding of Thames Water Utilities Finance PLC (Thames), a BIG rated U.K. regulated utility. The Company, as part of the Thames senior Class A creditor group, continues to engage the Water Services Regulation Authority (the governmental body responsible for the economic regulation of the privatized water and sewage industry in England and Wales, or Ofwat), His Majesty’s Treasury and other departments of the U.K. Government in restructuring negotiations, and is taking other actions to work out this insured credit. The first scheduled principal payment that comes due under the Company’s Thames exposure is in 2037. The Company is actively working to mitigate losses and reduce risk. Although uncertainty remains, the Thames creditors and Ofwat are engaged in discussions regarding a comprehensive settlement to restructure and recapitalize Thames.

European Renewable Energy and U.K. Student Accommodation Transactions

As of March 31, 2026, the Company had insured net par of €758 million (or $876 million) related to BIG European renewable energy transactions that are experiencing operational strain, and £292 million (or $386 million) in BIG U.K. student accommodation transactions that are experiencing weak occupancy rates and financial strain.

U.K. Healthcare

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Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The Company has guaranteed project financings involving certain National Health Service (NHS) Trusts. As of March 31, 2026, the Company had £417 million (or $552 million) of BIG net par outstanding with expected losses related to NHS Trusts. Proceeds from the financings funded new and refurbished hospital buildings and facilities in the service area of the particular NHS Trust. Certain of the bond issuers are involved in negotiations (including in some cases triggered by contract disputes) with the relevant NHS Trusts regarding various matters including the condition of the hospital facilities and service standards. The Company takes into account the nature and severity of any disputes in its internal ratings.

U.S. Healthcare

Certain BIG healthcare exposures are experiencing rising labor costs due to competition for labor and shortages in certain markets. Additionally, inflation has increased the cost of medical supplies, medical equipment and pharmacy products, while U.S. hospitals with large Medicaid and Medicare payor mixes have not seen reimbursement levels keep pace with rising costs and may be further impacted by cuts to Medicaid funding that will go into effect in 2026 and 2027. The combined revenue and expense challenges have led to cash flow and liquidity stress in certain transactions.

U.S. Transportation

As of March 31, 2026, the Company had insured net par of $1.1 billion related to Brightline, supporting the development and operation of a private high speed passenger rail system connecting Miami, Orlando and population centers in between. The Company insures a portion of the senior revenue bonds issued by Brightline, whose credit performance is dependent on ridership growth, fare revenues and available liquidity. Brightline’s revenues and ridership, while growing, have lagged the initial projections. The Company’s exposure benefits from a perpetual senior lien on the assets of Brightline.

Puerto Rico

All of the Company’s exposure to the Commonwealth of Puerto Rico (Puerto Rico or the Commonwealth) and its various authorities and public corporations is rated BIG. The Company’s Puerto Rico net par and net debt service outstanding as of March 31, 2026 were $553 million and $632 million, respectively, compared with net par and net debt service outstanding as of December 31, 2025 of $553 million and $643 million, respectively.

Defaulting Puerto Rico Exposure

As of March 31, 2026, the Company’s only unresolved outstanding insured Puerto Rico exposure subject to a payment default was PREPA. As of March 31, 2026, the Company’s PREPA net par and debt service outstanding were $464 million and $528 million, respectively. As of December 31, 2025, the Company’s PREPA net par and debt service outstanding were $464 million and $537 million, respectively. The PREPA bonds are secured by a lien on the electric system’s stream of net revenues. The default of PREPA’s obligations has been the subject of restructuring negotiations, mediation and litigation since 2014.

Puerto Rico Litigation

Currently, there are numerous legal actions relating to defaults by PREPA on debt service payments and related matters and the Company is a party to a number of them. The Company has taken legal action, and may take additional legal action in the future, to enforce its rights with respect to the remaining Puerto Rico obligations it still insures. In addition, the Commonwealth, the Financial Oversight and Management Board (FOMB) established under the Puerto Rico Oversight, Management, and Economic Stability Act (PROMESA) and others have taken legal action naming the Company as a party.

Certain legal actions involving the Company and relating to defaults by the Commonwealth and certain of its authorities and public corporations were resolved in 2022. The remaining proceedings relate to PREPA’s default, including several recently active proceedings and a number of proceedings that remain stayed by the U.S. District Court for the District of Puerto Rico (Federal District Court of Puerto Rico), pending ultimate determination on a plan of adjustment and disclosure statement to be subsequently submitted, as described below.

PREPA – Recently Active Proceedings

PREPA Litigation Stay and Motion for Relief from the Litigation Stay. In July 2024, the Federal District Court of Puerto Rico entered a global stay of all PREPA-related litigation in the District Court. In February 2025, the Company and

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

certain other PREPA bondholders moved for relief from that litigation stay. In March 2025, the Federal District Court of Puerto Rico granted relief from the litigation stay to permit discrete PREPA-related litigation to go forward.

Bondholders’ Administrative Expense Claim. The Federal District Court of Puerto Rico permitted bondholders to file a motion asserting that they are entitled to compensation in the form of an administrative expense priority claim for PREPA’s consumption of net revenues during the pendency of the Title III case. The bondholders filed their administrative expense motion in April 2025. If the bondholders ultimately succeed in establishing an entitlement to an administrative expense priority claim, PREPA would be required under the U.S. Bankruptcy Code to pay such claim in full in cash prior to exiting bankruptcy. On March 16, 2026, the Federal District Court of Puerto Rico denied the bondholders’ administrative expense claim motion purely on legal grounds. The bondholders appealed the decision, and such appeals are currently pending before the First Circuit, with briefing to occur over the next few months.

Reinstated Accounting Counterclaim. On March 30, 2026, the Company and certain other bondholders sought relief from the Federal District Court of Puerto Rico’s litigation stay with respect to their counterclaim for an equitable accounting cause of action to recover net revenues that had been wrongfully diverted from debt service since the beginning of the Title III case. On April 13, 2026, the Federal District Court of Puerto Rico issued an order indicating it was inclined to lift the litigation stay to permit the bondholders to pursue such counterclaim. At the request of the Federal District Court of Puerto Rico, the parties submitted a report and discovery plan on April 18, 2026, which included competing proposals and schedules for litigating the counterclaim, including the scope and timing of relevant discovery.

Composition of the Financial Oversight and Management Board for Puerto Rico

In August 2025, the FOMB announced that the U.S. administration terminated six of its seven board members. On September 18, 2025, three of the terminated board members sued the U.S. administration for reinstatement, alleging that they had been unlawfully terminated without cause and that their offices are a form of property protected by due process. On October 3, 2025, the Federal District Court of Puerto Rico granted the plaintiffs’ request for a preliminary injunction and enjoined the terminations. On December 2, 2025, the U.S. administration filed a notice of appeal of the preliminary injunction to the First Circuit. Subsequently, the U.S. administration requested a stay of the litigation pending the U.S. Supreme Court’s decision in Trump v. Cook, a case involving related questions of the powers of the U.S. President to terminate a member of the Federal Reserve Board of Governors; the requested stay was unopposed and granted on December 30, 2025. Oral arguments in the Trump v. Cook case were heard on January 21, 2026, with a decision expected to follow by the end of the U.S. Supreme Court’s current term in late June or early July 2026.

Mediation

After the Commonwealth purported to unilaterally terminate a 2019 restructuring support agreement for PREPA’s bonds in March 2022, the Federal District Court of Puerto Rico ordered the parties into mediation and appointed the Honorable Shelley C. Chapman as lead mediator. After the First Circuit issued its decision in the lien and estimation appeal, the Federal District Court of Puerto Rico ordered the FOMB and bondholders to resume mediation, subsequently extending mediation several times. The Federal District Court of Puerto Rico most recently extended the mediation through October 31, 2026.

Plan of Adjustment, Disclosure Statement and Related Stayed Proceedings

As directed by the Federal District Court of Puerto Rico, the FOMB filed on March 28, 2025 its Fifth Amended Title III Plan of Adjustment and related Disclosure Statement for informational purposes of the parties. The Plan of Adjustment remains before the Federal District Court of Puerto Rico with no schedule for any confirmation proceedings in anticipation that a revised Plan will be submitted.

The following proceedings involving the Company and relating to the default by PREPA remain stayed in the Federal District Court of Puerto Rico pending its ultimate determination on a plan of adjustment and disclosure statement:

• The Company’s motion to dismiss PREPA’s Title III Bankruptcy proceeding or, in the alternative, to lift the PROMESA automatic stay to allow for the appointment of a receiver.

• Adversary complaint by certain unsecured lenders of PREPA against the Company, among other parties, including various PREPA bondholders and bond insurers, seeking, among other things, declarations that the unsecured lines of credit qualify as “Current Expenses” under the trust agreement, there is no valid lien securing the PREPA

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Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

bonds unless and until such lenders are paid in full, as well as orders subordinating the PREPA bondholders’ lien and claims to such lenders’ claims, and declaring the PREPA restructuring support agreement executed in May 2019 null and void.

• Adversary complaint filed in 2023 by the official committee of unsecured creditors, PREPA’s employee union, PREPA’s retirement system, and certain other unsecured creditors, against the FOMB, PREPA, Puerto Rico Fiscal Agency and Financial Advisory Authority, and the PREPA bond trustee. The 2023 complaint seeks, among other things, declarations that plaintiffs’ claims are “Current Expenses” under the trust agreement, and an order subordinating the PREPA bondholders’ lien and claim to the plaintiffs’ claims.

Non-Defaulting Puerto Rico Exposure

As of both March 31, 2026 and December 31, 2025, the Company had $76 million, of remaining non-defaulting Puerto Rico net par outstanding related primarily to the Puerto Rico Municipal Finance Agency (MFA). The Company’s MFA exposures are secured by a lien on local tax revenues and remain current on debt service payments.

U.S. RMBS Loss Projections

The Company projects losses (and recoveries) on its insured U.S. RMBS on a transaction-by-transaction basis by projecting the future cash flow of the underlying collateral pool of mortgages over time. The Company then uses individual models for each transaction to project the Company’s future claims and claim reimbursements based upon these collateral cashflow projections, the payment priorities among the transaction liabilities, and assumptions about future market conditions. The resulting projected claim payments or reimbursements are then discounted using risk-free rates. The Company runs several sets of assumptions regarding mortgage collateral performance, or scenarios, which are probability weighted.

Each period the Company reviews the assumptions it uses to make RMBS loss and recovery projections based upon the performance of its insured transactions as well as the residential property market, interest rate environment and economy in general. To the extent it observes changes, it makes a judgment as to whether those changes are normal fluctuations or part of a more prolonged trend.

The loss and recovery projections for insured RMBS are affected by a variety of assumptions including: (i) the rate at which borrowers from a particular delinquency category (number of monthly payments behind) eventually default (which is referred to as the “liquidation rate”), (ii) projections of how many of the currently performing loans will default and when they will default, (iii) loss severity, which is the amount of loss the transaction experiences on a defaulted loan after the application of net proceeds from the disposal of the underlying property, and (iv) recovery assumptions to reflect observed trends in recoveries of principal balances of modified loans that had been previously written off.

In recent years, the two primary drivers of changes in expected loss have been the projected and actual recoveries on previously written off or deferred loan balances, and changes in discount rates.

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Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit)

U.S. RMBS


	Net Expected Loss to be Paid (Recovered)												Economic Loss Development (Benefit)
	March 31,						December 31,							First Quarter
	2026						2025							2026		2025
	(dollars in millions)
First lien U.S. RMBS	$	92					$	90						$	—	$	2
Second lien U.S. RMBS	(140)						(144)							(2)		(5)
Total U.S. RMBS	$	(48)					$	(54)						$	(2)	$	(3)

Impact of changes in discount rates														$	—	$	1

Range of discount rates	3.63		%	-	5.06	%	3.45		%	-	4.97	%
Weighted average discount rate	4.00%						3.84%

First lien U.S. RMBS weighted average future recovery for deferred principal balances	50.0%						50.0%
Second lien U.S. RMBS weighted average future recoveries on charged-off loans	60.0%						60.0%

First Lien U.S. RMBS Loss Projections: Alt-A, Prime, Option ARM and Subprime

The majority of projected insured losses in first lien U.S. RMBS transactions stem from future insurance claim payments related to structures that are currently undercollateralized (outstanding insured bonds that did not have their principal balance reduced by collateral losses, but will experience a shortfall at the transaction’s final maturity). Most of any future collateral losses are expected to come from non-performing mortgage loans (those that are or have recently been two or more payments behind, have been modified, are in foreclosure or have been foreclosed upon). Collateral losses are projected to be partially offset by recoveries on deferred principal balances (where information about the amount of deferred balances is disclosed by the trustee of the transaction).

The Company establishes its scenarios by assuming various levels of recoveries on known deferred balances and increasing and decreasing the periods and levels of stress on the remaining collateral. In the Company’s most stressful scenario where 20% of deferred principal balances are assumed to be recovered, loss severities experience stress for nine years and the initial ramp-down of the conditional default rates (CDR) was assumed to occur over 16 months, expected loss to be paid would increase from current projections by approximately $32 million for all first lien U.S. RMBS transactions. In the Company’s least stressful scenario where 80% of deferred principal balances are assumed to be recovered, the CDR plateau was six months shorter (30 months, effectively assuming that liquidation rates would improve) and the CDR recovery was more pronounced (including an initial ramp-down of the CDR over eight months), expected loss to be paid would decrease from current projections by approximately $31 million for all first lien U.S. RMBS transactions.

Certain transactions benefit from excess spread (the amount by which the interest paid by the borrowers on the underlying loan exceeds the amount of interest owed on the insured obligations) when they are supported by large portions of fixed rate assets (either originally fixed or modified to be fixed) but have insured floating rate debt linked to the Secured Overnight Finance Rate (SOFR). An increase in projected SOFR decreases excess spread, while lower SOFR projections can result in higher excess spread. Due to the current level of SOFR, there are few transactions with substantial excess spread. If projected future interest rates were to fall below the weighted average coupon of the underlying mortgages, excess spread projections may increase.

Second Lien U.S. RMBS Loss Projections

Second lien U.S. RMBS transactions include both home equity lines of credit (HELOC) and closed-end second lien mortgages. The Company believes the most important drivers of its projected second lien U.S. RMBS claims and reimbursements are the amount and timing of future recoveries from previously charged-off loans and changes in discount rates.

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In the Company’s most stressful scenario, assuming 40% recoveries on charged-off loans would decrease the expected recovery by approximately $46 million for HELOC transactions. On the other hand, in the Company’s least stressful scenario, assuming 80% recoveries on charged-off loans would increase the expected recovery by approximately $47 million for HELOC transactions.

When a second lien loan defaults, there is generally a low recovery. The Company assumes that it will generally recover 2% of future defaulting collateral at the time of charge-off. Additional amounts of post charge-off recoveries are projected to come in evenly over the next five years in instances where the Company is able to obtain information on the lien status. The Company evaluates its assumptions regularly based on actual recoveries of charged-off loans observed from period to period and reasonable expectations of future recoveries.

Recovery Litigation and Dispute Resolution

In the ordinary course of their respective businesses, certain of the Company’s subsidiaries are involved in litigation or other dispute resolution with third parties to recover insurance losses paid or return benefits received in prior periods or prevent or reduce losses in the future. For example, the Company has asserted claims in a number of legal proceedings in connection with its exposure to Puerto Rico. See above for a discussion of the Company’s exposure to Puerto Rico and related recovery litigation being pursued by the Company. The impact, if any, of these and other proceedings on the amount of recoveries the Company ultimately receives and losses it pays in the future is uncertain, and the impact of any one or more of these proceedings during any quarter or year could be material to the Company’s financial statements.

6. Contracts Accounted for as Financial Guaranty Insurance

The portfolio of outstanding exposures discussed in Note 4. Outstanding Exposure, and Note 5. Expected Loss to be Paid (Recovered), includes contracts that are accounted for as FG insurance contracts, credit derivatives and consolidated FG VIEs. Amounts presented in this note relate only to contracts accounted for as FG insurance, unless otherwise specified. See Note 8. Derivatives, for amounts related to CDS, and Note 10. Variable Interest Entities, for amounts related to consolidated FG VIEs.

Premiums

Net Earned Premiums


	First Quarter
		2026		2025
		(in millions)
FG insurance:
Scheduled net earned premiums		$	76	$	76
Accelerations from refundings, terminations and modifications (1)		(6)		5
Accretion of discount on net premiums receivable		10		9
FG insurance net earned premiums		80		90
Specialty net earned premiums		2		1
Net earned premiums		$	82	$	91

____________________

(1) Negative net earned premiums for first quarter 2026 resulted from significant modifications to FG insurance contracts.

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Gross Premium Receivable,

Net of Commissions Payable on Assumed Business and Allowance for Credit Losses

Roll Forward


	First Quarter
	2026		2025
	(in millions)
Beginning of year	$	1,572	$	1,551
Less: Specialty insurance premium receivable	2		1
FG insurance premiums receivable	1,570		1,550
New business and supplemental premiums, net of commissions	72		39
Gross premiums received, net of commissions	(74)		(58)
Adjustments:
Changes in the expected term and debt service assumptions	(4)		(5)
Accretion of discount, net of commissions on assumed business	2		8
Foreign exchange gain (loss) on remeasurement	(25)		33

FG insurance premium receivable	1,541		1,567
Specialty insurance premium receivable	2		1
March 31,	$	1,543	$	1,568

Approximately 67% and 68% of gross premiums receivable, net of commissions payable, as of March 31, 2026 and December 31, 2025, respectively, are denominated in currencies other than the U.S. dollar, primarily the pound sterling and euro.

The timing and cumulative amount of actual collections and net earned premiums may differ from those of expected collections and of expected net earned premiums in the table below due to factors such as foreign exchange rate fluctuations, counterparty collectability issues, accelerations, commutations, restructurings, changes in the consumer price indices, changes in expected lives, new business and changes in ratings of the insured obligations and/or the Company’s FG insurance subsidiaries.

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FG Insurance

Expected Future Premium Collections and Earnings


	As of March 31, 2026
			Future Net Premiums to be Earned (2)
	Future Premiums to be Collected (1)		Earnings of Deferred Premium Revenue		Accretion of Discount		Total
	(in millions)
2026 (April 1 - June 30)	$	82	$	81	$	10	$	91
2026 (July 1 - September 30)	52		79		10		89
2026 (October 1 - December 31)	31		77		10		87
Subtotal 2026	165		237		30		267
2027	139		289		37		326
2028	129		270		34		304
2029	115		250		32		282
2030	102		232		30		262
2031-2035	417		902		128		1,030
2036-2040	331		584		92		676
2041-2045	250		387		60		447
2046-2050	187		248		33		281
2051-2055	106		120		14		134
After 2055	101		86		10		96
Total	$	2,042	$	3,605	$	500	$	4,105

____________________

(1) Net of assumed commissions payable.

(2) Net of reinsurance.

Selected Information for FG Insurance Policies with Premiums Paid in Installments


	As of
	March 31, 2026		December 31, 2025
	(dollars in millions)
Premiums receivable, net of commissions payable	$	1,541	$	1,570
Deferred premium revenue	$	1,825	$	1,831
Weighted-average risk-free rate used to discount premiums	2.8%		2.7%
Weighted-average period of premiums receivable (in years)	11.7		11.7

FG Insurance Contracts’ Losses Reported in the Condensed Consolidated Financial Statements

Loss and LAE reserve and salvage and subrogation recoverable are discounted at risk-free rates for FG insurance obligations that ranged from 1.93% to 5.68% with a weighted average of 4.17% as of March 31, 2026 and 1.93% to 5.35% with a weighted average of 3.93% as of December 31, 2025.

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Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The following table provides information on net reserve (salvage), which includes loss and LAE reserve and salvage and subrogation recoverable, both net of reinsurance.

Net Reserve (Salvage) by Sector


	As of
Sector	March 31, 2026		December 31, 2025
	(in millions)
Public finance:
U.S. public finance	$	(64)	$	(66)
Non-U.S. public finance	24		18
Public finance	(40)		(48)
Structured finance:
U.S. RMBS	(143)		(150)
Other structured finance	59		59
Structured finance	(84)		(91)
Total	$	(124)	$	(139)

The table below provides a reconciliation of net expected loss to be paid (recovered) for FG insurance contracts to net expected loss to be expensed. Expected loss to be paid (recovered) for FG insurance contracts differs from expected loss to be expensed due to: (i) the contra-paid, which represents the claim payments made and recoveries received that have not yet been recognized in the statements of operations; (ii) salvage and subrogation recoverable for transactions that are in a net recovery position where the Company has not yet received recoveries on claims previously paid (and therefore recognized in income but not yet received); and (iii) loss reserves that have already been established (and therefore expensed but not yet paid).

Reconciliation of Net Expected Loss to be Paid (Recovered) to Net Expected Loss to be Expensed

FG Insurance Contracts


	As of March 31, 2026
	(in millions)
Net expected loss to be paid (recovered) - FG insurance	$	129
Contra-paid, net	22
Salvage and subrogation recoverable, net	433
Loss and LAE reserve - FG insurance contracts, net of reinsurance	(309)
Net expected loss to be expensed (present value)	$	275

The following table provides a schedule of the expected timing of financial guaranty net expected losses to be expensed. The amount and timing of actual loss and LAE may differ from the estimates shown below due to factors such as accelerations, commutations, changes in expected lives, changes in foreign exchange rates and updates to loss estimates. This table excludes amounts related to FG VIEs, which are eliminated in consolidation.

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Net Expected Loss to be Expensed

FG Insurance Contracts


	As of March 31, 2026
	(in millions)
2026 (April 1 - June 30)	$	4
2026 (July 1 - September 30)	3
2026 (October 1 - December 31)	3
Subtotal 2026	10
2027	18
2028	18
2029	18
2030	16
2031-2035	68
2036-2040	42
2041-2045	34
2046-2050	32
2051-2055	16
After 2055	3
Net expected loss to be expensed (present value)	275
Future expected accretion	19
Total expected future loss and LAE	$	294

The following table presents the loss and LAE (benefit) reported in the condensed consolidated statements of operations by sector for FG insurance contracts.

Loss and LAE (Benefit) by Sector


	First Quarter
Sector			2026		2025
		(in millions)
Public finance:
U.S. public finance			$	12	$	36
Non-U.S. public finance			7		6
Public finance			19		42
Structured finance:
U.S. RMBS			(1)		—
Other structured finance			(1)		(2)
Structured finance			(2)		(2)
Loss and LAE (benefit)			$	17	$	40

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Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The following tables provide information on FG insurance contracts categorized as BIG.

FG Insurance

BIG Transaction Loss Summary

As of March 31, 2026


	Gross								Net Total BIG
	BIG 1		BIG 2		BIG 3		Total BIG
	(dollars in billions)
Number of risks (1)	86		14		92		192		192
Remaining weighted-average period (in years)	14.0		23.8		5.2		18.5		18.6

Outstanding exposure:
Par	$	3.61	$	3.82	$	1.19	$	8.62	$	8.61
Interest	2.46		4.73		0.29		7.48		7.48
Total (2)	$	6.07	$	8.55	$	1.48	$	16.10	$	16.09

	Gross								Net Total BIG
	BIG 1		BIG 2		BIG 3		Total BIG
	(in millions)
Expected cash outflows (inflows)	$	915	$	1,127	$	1,219	$	3,261	$	3,253
Potential recoveries (3)	(1,192)		(835)		(1,088)		(3,115)		(3,105)
Subtotal	(277)		292		131		146		148
Discount	85		(101)		(3)		(19)		(19)
Expected losses to be paid (recovered)	$	(192)	$	191	$	128	$	127	$	129

Deferred premium revenue	$	161	$	160	$	99	$	420	$	420
Reserves (salvage)	$	(251)	$	77	$	48	$	(126)	$	(124)

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FG Insurance

BIG Transaction Loss Summary

As of December 31, 2025


	Gross								Net Total BIG
	BIG 1		BIG 2		BIG 3		Total BIG
	(dollars in billions)
Number of risks (1)	87		13		95		195		195
Remaining weighted-average period (in years)	14.0		24.1		5.4		18.7		18.7

Outstanding exposure:
Par	$	3.73	$	3.81	$	1.21	$	8.75	$	8.73
Interest	2.52		4.84		0.32		7.68		7.68
Total (2)	$	6.25	$	8.65	$	1.53	$	16.43	$	16.41

	Gross								Net Total BIG
	BIG 1		BIG 2		BIG 3		Total BIG
	(in millions)
Expected cash outflows (inflows)	$	172	$	1,141	$	1,242	$	2,555	$	2,547
Potential recoveries (3)	(445)		(877)		(1,110)		(2,432)		(2,422)
Subtotal	(273)		264		132		123		125
Discount	47		(77)		(8)		(38)		(38)
Expected losses to be paid (recovered)	$	(226)	$	187	$	124	$	85	$	87

Deferred premium revenue	$	164	$	162	$	103	$	429	$	429
Reserves (salvage)	$	(255)	$	71	$	43	$	(141)	$	(140)

____________________

(1)A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments.

(2)Includes amounts related to FG VIEs.

(3)Represents expected inflows from future payments by obligors pursuant to restructuring agreements, settlements, excess spread on any underlying collateral and other estimated recoveries. Potential recoveries also include recoveries on certain investment grade credits, related mainly to exposures that were previously BIG and for which claims have been paid in the past.

7. Annuity Reinsurance

Accounting Policies

The Company’s annuity reinsurance agreements consist of two contracts, a PRT contract and a MYGA contract, acquired as part of the Assured Life Re Acquisition that are both accounted for under ASC 944, Financial Services – Insurance. The PRT block of business is accounted for as a long-duration limited-payment insurance contract and the MYGA block of business is accounted for as an investment-type contract.

PRT

On the Acquisition Date, the Company recorded (i) the invested assets and derivatives supporting the PRT block of business at fair value and designated the invested assets as available-for-sale (See Note 8. Derivatives, and Note 9. Investments for additional information); (ii) a liability for future policy benefits (LFPB) and a deferred profit liability (DPL), that are reported together in the condensed consolidated balance sheets in the line item “future policy benefits for annuity reinsurance contracts;” and (iii) a VOBA asset representing the difference between the fair value of the PRT obligation and the sum of the insurance liabilities described in (ii) above.

Gross premiums are recognized as revenue when due from policyholders. As PRT agreements are single-premium reinsurance contracts, the premium on the PRT contract was collected prior to the Acquisition Date, and no future premiums are due. The LFPB is calculated using the net premium ratio approach and represents the present value of estimated future benefits

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

and related expenses less the present value of estimated future net premiums for the PRT block of business. The principal assumptions used in the measurement of these insurance liabilities include longevity, investment returns, inflation, discount rate and other factors. Each reporting period, the LFPB is updated to reflect actual experience to date. Changes to the LFPB to reflect actual experience, along with actual claims paid, are reported in “benefit expense for annuity reinsurance contracts” in the condensed consolidated statement of operations.

The DPL represents the excess of gross premiums over the LFPB at the Acquisition Date. The DPL is amortized over the lifetime of the contract and accrues interest on the unamortized balance. The amortization of the DPL is reported in “benefit expense for annuity reinsurance contracts” in the condensed consolidated statement of operations.

On an annual basis, or more often if circumstances warrant, the Company conducts a comprehensive review of its assumptions based on experience, industry benchmarking and other factors, as applicable. Updates to assumptions are applied on a retrospective basis, and the change in reserves resulting from updates to assumptions is reported in “benefit expense for annuity reinsurance contracts” in the condensed consolidated statements of operations.

The discount rate used to measure the LFPB is based on the yield of upper-medium grade (low-credit-risk) fixed-income instruments, as prescribed by ASC 944. This is interpreted as a single-A corporate yield, constructed from the U.K. gilt curve plus an observed credit spread. The discount rate used to recognize interest accretion on the LFPB is locked in at the initial measurement of the reinsurance contract (the locked in discount rate). Each reporting period thereafter, the LFPB is remeasured using the current discount rate. The difference between the LFPB calculated using the current discount rate and the LFPB calculated using the locked in discount rate is recorded in “other comprehensive income (loss)” (OCI).

MYGA

On the Acquisition Date, in respect of the MYGA agreement, the Company recorded (i) funds withheld at fair value; (ii) a liability representing the account value of the assumed block of business (i.e., the policyholder account balances), (iii) a VOBA liability representing the excess of fair value of the MYGA obligation over the account value; and (iv) other payables representing pending settlement amounts due to the ceding company.

The MYGA block of business is an investment-type contract accounted for under the deposit method. Deposits related to investment-type contracts are credited (i.e., reported as deposits) to “policyholder account balances for annuity reinsurance contracts” on the condensed consolidated balance sheets. Expenses consist primarily of the interest credited to policyholder deposits and are reported in “benefit expense for annuity reinsurance contracts” on the condensed consolidated statements of operations.

Funds withheld represents a receivable for assets contractually withheld and legally owned by the ceding company. Funds withheld contain an embedded derivative related to the Company’s right to receive the total return on the assets supporting the funds withheld coinsurance arrangement which is measured at the fair value of the underlying assets in the condensed consolidated balance sheets. The change in the fair value of this embedded derivative is based on the unrealized gains and losses of the underlying assets and reported as a component of “fair value gains (losses) on derivatives” in the condensed consolidated statements of operations. See Note 8. Derivatives.

Policyholder account balances for annuity reinsurance contracts represent the assumed contract values that have accrued to the benefit of the policyholders as of the balance sheet date where account balances are equal to deposits plus interest credited less withdrawals and other charges assessed against the account balance, as applicable.

Future Policy Benefits for Annuity Reinsurance Contracts

The following table presents the components of “future policy benefits for annuity reinsurance contracts” on the condensed consolidated balance sheet.

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Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Future Policy Benefits for Annuity Reinsurance Contracts


	As of March 31, 2026
	(in millions)
LFPB (1)	$	447
DPL	28
Future policy benefits for annuity reinsurance contracts	$	475

____________________

(1) See the roll forward of LFPB table below for further information.

Roll Forward of LFPB


	First Quarter
	2026
	(dollars in millions)
Present value of expected future policy benefits
Assured Life Re Acquisition, January 21, 2026	$	470
Effect of changes in cash flow assumptions	6
Effect of actual variances from expected experience	(1)
Adjusted balance as January 21, 2026	475
Interest accrual	4
Benefit payments	(4)
Foreign exchange remeasurement	(7)
Ending balance at original discount rate	468
Effect of changes in discount rate assumptions	(21)
Balance, end of period	$	447

Weighted-average liability duration (in years) (1)	10.0

Weighted-average original discount rate	5.9		%
Weighted-average current discount rate	6.3		%
Expected future benefit payments, undiscounted	$	1,002
Expected future benefit payments, discounted	$	447

____________________

(1) The weighted average duration represents average cohort-level duration, weighted by the benefit reserves amount, derived from the discounted expected future benefit cash flows.

The interest expense included in “benefit expense for annuity reinsurance contracts” in the condensed consolidated statement of operations was $4 million for first quarter 2026.

Policyholder Account Balances for Annuity Reinsurance Contracts

The following table presents the balances and the rollforward of “policyholder account balances for annuity reinsurance contracts” which consists of MYGA.

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Roll Forward of Policyholder Account Balances for Annuity Reinsurance Contracts


	First Quarter
	2026
	(dollars in millions)
Balance, beginning of year	$	—
Assured Life Re Acquisition, January 21, 2026	270
Policy charges	—
Surrenders and withdrawals	(9)
Benefit payments	—
Interest credited	2
Balance, end of period	$	263

Weighted-average crediting rate	5.6		%
Net amount at risk	$	—
Cash surrender value	$	245

The following table presents policyholder account balances for annuity reinsurance contracts by range of guaranteed minimum crediting rates offered at inception. The Company is currently not accepting renewals on the MYGA book of business.

As of March 31, 2026


Range of Guaranteed Minimum Crediting Rate	At Guaranteed Minimum
	(in millions)

4.00% - 5.00%	$	12
5.00% - 6.00%	251
Total	$	263

8. Derivatives

Contracts Accounted for as Credit Derivatives

The Company’s credit derivatives primarily consist of insured CDS contracts. The Company does not enter into CDS contracts with the intent to trade these contracts and may not unilaterally terminate a CDS contract absent an event or default or termination event that entitles the Company to terminate the contract. The Company and its counterparties have negotiated the termination of certain contracts from time to time. Transactions are generally terminated for an amount that approximates the present value of future premiums or a negotiated amount, rather than fair value.

The terms of the Company’s CDS contracts differ from more standardized credit derivative contracts sold by companies outside the financial guaranty industry. The non-standard terms generally include the absence of collateral support agreements or immediate settlement provisions, and the Company’s insured exposure benefits from relatively high attachment points or other protections.

The Company’s credit derivatives are generally governed by International Swaps and Derivatives Association, Inc. documentation and have certain characteristics that differ from FG insurance contracts. For example, the Company’s control rights with respect to a reference obligation under a CDS may be more limited than when the Company issues a FG insurance contract. In addition, there are more circumstances under which the Company may be obligated to make payments. Similar to a FG insurance contract, the Company would be obligated to pay if the obligor failed to make a scheduled payment of principal or interest in full. In certain credit derivative transactions, the Company also specifically agreed to pay if the obligor were to become bankrupt or if the reference obligation were restructured. Furthermore, in certain credit derivative transactions, the Company may be required to make a payment due to an event that is unrelated to the performance of the obligation referenced in the credit derivative. If events of default or termination events specified in the credit derivative documentation were to occur, the non-defaulting or the non-affected party, which may be either the Company or the counterparty, depending upon the circumstances, may decide to terminate a credit derivative prior to maturity. In that case, the Company may be required to make a termination payment to its swap counterparty upon such termination. Absent such an event of default or termination event, the

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Company may not unilaterally terminate a credit derivative contract; however, the Company on occasion has mutually agreed to terminate certain CDS with related counterparties.

The components of the Company’s credit derivative net par outstanding and net fair value asset (liability) by sector are presented in the table below. The estimated remaining weighted average life of credit derivatives was 9.3 years and 8.6 years as of March 31, 2026 and December 31, 2025, respectively.

Credit Derivatives (1)


	Net Par Outstanding				Net Fair Value Asset (Liability)
	As of March 31, 2026		As of December 31, 2025		As of March 31, 2026		As of December 31, 2025
	(in billions)				(in millions)
U.S. public finance	$	1.0	$	1.0	$	(2)	$	(2)
Non-U.S. public finance	1.3		1.6		(13)		(12)
U.S. structured finance	0.1		0.2		(1)		(1)
Non-U.S. structured finance	0.9		1.0		—		—
Total credit derivatives	$	3.3	$	3.8	$	(16)	$	(15)

____________________

(1) See Note 5. Expected Loss to be Paid (Recovered), for expected loss to be paid on credit derivatives.

The impact of changes in credit spreads will vary based upon the volume, tenor, interest rates and other market conditions at the time these fair values are determined. In addition, since each transaction has unique collateral and structural terms, the change in fair value of each transaction may vary considerably. The fair value of credit derivative contracts generally also reflects the Company’s own credit cost based on the price to purchase credit protection on AG. The Company determines its own credit risk primarily based on quoted CDS prices traded on AG at each balance sheet date.

CDS Spread on AG (in basis points)


	As of March 31, 2026	As of December 31, 2025	As of March 31, 2025	As of December 31, 2024
Five-year CDS spread	78	69	90	75
One-year CDS spread	26	23	30	25

Fair Value of Credit Derivative Assets (Liabilities)

and Effect of AG Credit Spread


	As of
	March 31, 2026		December 31, 2025
	(in millions)
Fair value of credit derivatives before effect of AG credit spread	$	(40)	$	(40)
Plus: Effect of AG credit spread	24		25
Net fair value of credit derivatives	$	(16)	$	(15)

The fair value of CDS contracts as of March 31, 2026, before considering the benefit applicable to AG’s credit spread, is a direct result of the relatively wider credit spreads under current market conditions, sometimes related to downgrades, compared with those at the time of underwriting for certain underlying credits with longer tenor.

Annuity Reinsurance Derivatives

Accounting Policy

The Company purchases swaps and forward contracts to manage foreign currency, interest rate and inflation exposure in its annuity reinsurance business. These derivative instruments are subject to a master netting arrangement, which creates a right of offset for amounts due to and due from a counterparty that is enforceable in the event of a default or bankruptcy. These derivatives are measured at fair value and reported on a gross basis in “other assets” or “other liabilities” on the condensed consolidated balance sheets, with changes in fair value reported in “fair value gains (losses) on derivatives” in the condensed consolidated statements of operations.

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Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

The Company also evaluates its reinsurance contract terms to identify embedded derivatives. If (i) the embedded derivative is not clearly and closely related to the economic characteristics of the host reinsurance contract, (ii) the reinsurance contract is not subject to recurring fair value measurement, and (iii) a separate instrument with the same terms would qualify as a derivative, then the embedded derivative is bifurcated and measured at fair value.

The Company identified an embedded derivative whereby the Company has a right to receive the total return on the assets supporting the funds withheld coinsurance arrangement related to the MYGA block of business. The fair value of this embedded derivative is included in “funds withheld” on the condensed consolidated balance sheets and the change in its fair value, which is based on the unrealized gains and losses of the underlying assets, is reported in “fair value gains (losses) on derivatives” in the condensed consolidated statements of operations. See Note 7. Annuity Reinsurance.

The following table presents the notional amounts and the net fair value asset (liability) of the freestanding derivatives.

Freestanding Derivatives (1)

As of March 31, 2026


	Notional		Net Fair Value Asset (Liability)
	(in billions)		(in millions)
Cross-currency swaps	$	0.1	$	(2)
Interest rate swaps	—		(2)
Inflation swaps	0.2		1

Total freestanding derivatives	$	0.3	$	(3)

____________________

(1) Excludes the embedded derivative in funds withheld.

Effect of Changes in Fair Value of Derivatives on Condensed Consolidated Statements of Operations

Fair Value Gains (Losses) on Derivatives


	First Quarter
		2026		2025
		(in millions)
Fair value gains (losses) on credit derivatives:
Realized gains (losses) and other settlements		$	2	$	105
Net unrealized gains (losses)		(1)		(1)
Fair value gains (losses) on credit derivatives		1		104
Fair value gains (losses) on annuity reinsurance derivatives:
Cross-currency swaps		(6)		—
Interest rate swaps		(1)		—
Inflation swaps		5		—
Funds withheld - embedded derivative		3		—
Fair value gains (losses) on derivatives		$	2	$	104

On November 28, 2011, LBIE sued AG Financial Products Inc. (AGFP), a subsidiary of AGL which, in the past, had provided credit protection to counterparties under CDS. Following defaults by LBIE under transaction documents governing CDS between LBIE and AGFP, AGFP terminated the CDS in compliance with the transaction documents and properly calculated that LBIE owed AGFP approximately $25 million in connection with the termination, whereas LBIE asserted in its complaint filed in the Supreme Court of the State of New York (the Court) that AGFP owed LBIE a termination payment of approximately $1.4 billion. Following a bench trial, on March 8, 2023, the Court rendered its decision and found in favor of AGFP. Following the exhaustion of LBIE’s appeals, the Company recognized a realized gain on credit derivatives first quarter 2025 of $103 million, which represents the full satisfaction of the judgment it was awarded and its claims for attorneys’ fees, expenses and interest in connection with this litigation.

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

9. Investments

The largest component of the investment portfolio is fixed-maturity securities, the majority of which are investment grade and managed by outside managers. The Company has established investment guidelines for these investment managers regarding credit quality, exposure to a particular sector and exposure to a particular obligor within a sector.

Portions of the Company’s alternative investments portfolio are managed by Sound Point. Pursuant to a letter agreement effective July 1, 2023 (Letter Agreement), AG engaged Sound Point to be its sole alternative credit manager and transitioned to Sound Point the management of certain existing alternative investments and related commitments. Under the Letter Agreement, AG, including through its investment subsidiary AGAS, agreed, subject to the terms and conditions of the Letter Agreement, to invest in funds, other vehicles and separately managed accounts managed by Sound Point. When aggregated with the alternative investments and commitments transitioned from the Company and any reinvestments (collectively, Sound Point Investments), together with investments made by other Assured Guaranty affiliates, the total amount of such investments is expected to be $1 billion. AG has invested with Sound Point across multiple strategies in order to seek to enhance investment returns and anticipates continuing to invest with Sound Point pursuant to the Letter Agreement. The Letter Agreement contemplates a long-term investment partnership between Sound Point and Assured Guaranty, whereby AG has agreed to reinvest all returns of capital from Sound Point Investments until July 1, 2038, at which point the Letter Agreement may be terminated without cause. In addition, AG has agreed to reinvest all gains and dividends from Sound Point Investments until July 1, 2025, and fifty percent of such gains and dividends thereafter until July 1, 2033. Beginning July 1, 2028, AG may elect to reduce the amounts invested or required to be reinvested in certain Sound Point Investments under the Letter Agreement, subject to corresponding adjustments of Assured Guaranty’s ownership interest in Sound Point. To the extent not required to be reinvested by the Letter Agreement, all proceeds from Sound Point Investments received in accordance with their operative investment documents can be distributed to AG.

Investment Portfolio

Carrying Value


	As of
	March 31, 2026		December 31, 2025
	(in millions)
Fixed-maturity securities, available-for-sale	$	6,875	$	6,369
Fixed-maturity securities, trading	127		124
Short-term investments	768		903
Other invested assets:
Equity method investments:
Ownership interest in Sound Point	406		415
Funds and other investments	685		664
Other	45		12
Total (1)	$	8,906	$	8,487

____________________

(1) In the investment portfolio, the aggregate carrying value of Sound Point managed investments was $549 million and $628 million as of March 31, 2026 and December 31, 2025, respectively, excluding the Company’s ownership interest in Sound Point and, as of December 31, 2025, certain investments in funds that were accounted for as CIVs.

As of March 31, 2026 and December 31, 2025, 7.0% and 8.6%, respectively, of available-for-sale fixed-maturity securities were either rated BIG or not rated, primarily consisting of collateralized loan obligation (CLO) equity tranches, liquidity bonds issued by a U.K. regulated utility and Loss Mitigation Securities. As of March 31, 2026 and December 31, 2025, the carrying value of CLO equity tranches was $173 million and $228 million, respectively. As of March 31, 2026 and December 31, 2025, the carrying value of liquidity bonds issued by a U.K. regulated utility was $162 million and $168 million, respectively. As of March 31, 2026 and December 31, 2025, the carrying value of Loss Mitigation Securities was $135 million and $140 million, respectively. Fixed-maturity securities classified as trading securities primarily include contingent value instruments (CVIs) and are not rated.

The investment portfolio includes $965 million in alternative investments primarily consisting of (i) $173 million of CLO equity securities classified as available-for-sale fixed-maturity securities, and (ii) $730 million of investments across various asset classes that are reported in other invested assets. The Company’s alternative investment commitments as of

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Assured Guaranty Ltd.

Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

March 31, 2026 include $554 million in unfunded commitments which together with its $965 million in funded commitments total $1.5 billion. Alternative investment commitments of $1.5 billion include a $1 billion commitment to invest in Sound Point managed alternative investments, subject to certain conditions precedent. Capital allocated to alternative investments was committed to several funds pursuing various strategies, including private healthcare investing, asset-based/specialty finance, commercial real estate finance and CLOs.

Since the Assured Life Re Acquisition Date, the investment portfolio includes available-for-sale fixed-maturity securities and short-term investments supporting the PRT block of business that are held in a consolidated VIE. See Note 10. Variable Interest Entities.

Accrued investment income, which is reported in “other assets,” was $77 million as of March 31, 2026 and $70 million as of December 31, 2025.

Available-for-Sale Fixed-Maturity Securities by Security Type

As of March 31, 2026


Security Type	Percent of Total (1)		Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
	(dollars in millions)
Obligations of state and political subdivisions	25	%	$	1,800	$	(13)	$	32	$	(75)	$	1,744
U.S. government and agencies	1		56		—		1		(5)		52
Corporate securities (2)	48		3,478		(7)		38		(159)		3,350
Mortgage-backed securities (3):
RMBS	10		694		(27)		6		(49)		624
Commercial mortgage-backed securities (CMBS)	4		273		—		2		(3)		272
Asset-backed securities:
CLOs	6		469		(16)		1		(80)		374
Other (4)	3		239		—		3		(1)		241
Non-U.S. government securities	3		232		—		1		(15)		218
Total available-for-sale fixed-maturity securities	100	%	$	7,241	$	(63)	$	84	$	(387)	$	6,875

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Notes to Condensed Consolidated Financial Statements (Unaudited), Continued

Available-for-Sale Fixed-Maturity Securities by Security Type

As of December 31, 2025


Security Type	Percent of Total (1)		Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
	(dollars in millions)
Obligations of state and political subdivisions	28	%	$	1,816	$	(13)	$	37	$	(71)	$	1,769
U.S. government and agencies	1		55		—		1		(4)		52
Corporate securities (2)	46		2,998		(6)		75		(115)		2,952
Mortgage-backed securities (3):
RMBS	10		678		(26)		10		(47)		615
CMBS	3		197		—		2		(1)		198
Asset-backed securities:
CLOs	7		499		(9)		4		(38)		456
Other (4)	3		206		—		3		—		209
Non-U.S. government securities	2		123		—		3		(8)		118
Total available-for-sale fixed-maturity securities	100	%	$	6,572	$	(54)	$	135

ASSURED GUARANTY LTD 10-Q