ASSURED GUARANTY LTD
For the period ended Mar 31, 2026. Filed May 8, 2026.
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Mar 31, 2026 · Filed May 8, 2026
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Annuity Reinsurance Segment Results
Annuity Reinsurance Segment Results
| First Quarter | |
|---|---|
| 2026 | |
| (in millions) | |
| Segment revenues: | |
| Net investment income | $5 |
| Fair value gains (losses) on derivatives | 5 |
| Total segment revenues (1) | 10 |
| Segment expenses: | |
| Benefit expense for annuity reinsurance contracts (2) | 7 |
| Employee compensation and benefit expenses | 2 |
| Other operating expenses | 2 |
| Total segment expenses | 11 |
| Income (loss) before income taxes | (1) |
| Less: Provision (benefit) for income taxes | (1) |
| Segment adjusted operating income (loss) | $— |
(1) Segment revenues include $5 million related to PRT and $5 million related to MYGA.
(2) Benefit expense for annuity reinsurance contracts includes $4 million related to PRT and $3 million related to MYGA.
On January 21, 2026, the Company entered the annuity reinsurance market through the acquisition of Warwick. See “— Overview — Key Business Strategies — Annuity Reinsurance.” Assured Life Re reinsures a block of PRT business, with future policy benefit reserves of $475 million, supported by a $594 million portfolio of fixed-maturity, short-term securities, cash, derivatives and other assets, as well as a block of MYGA business with a policyholder account value of $263 million, as part of a funds withheld coinsurance arrangement, for which the Company carries funds withheld receivable of $296 million.
The assets supporting the PRT contract primarily consist of U.S. and U.K. corporate and government bonds, including a portfolio of inflation-linked bonds, as well as derivatives which economically hedge the currency, inflation and interest rate mismatches between the PRT liabilities, which are long-dated inflation-linked obligations denominated in pounds sterling, and the investment portfolio which includes certain U.S. dollar denominated and non-inflation linked securities.
The MYGA policyholder account balances for annuity reinsurance contracts are supported by assets in a funds withheld arrangement with the cedant primarily consisting of mortgage and other asset-backed securities.
The Company also maintains $22 million of fixed-maturity securities for Assured Life Re’s own account. See Item 1. Financial Statements, Note 7. Annuity Reinsurance.
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