ASSURED GUARANTY LTD

Financial Guaranty Segment Results

Net Earned Premiums and Credit Derivative Revenues

Premiums are earned over the contractual lives, or in the case of insured obligations backed by homogeneous pools of assets, the remaining expected lives, of financial guaranty insurance contracts. The Company periodically estimates remaining expected lives of its insured obligations backed by homogeneous pools of assets and makes prospective adjustments for such changes in expected lives. Scheduled net earned premiums decrease each year unless replaced by a higher amount of new business or books of business acquired in business combinations. See Item 1. Financial Statements, Note 6. Contracts Accounted for as Financial Guaranty Insurance, Premiums, for additional information.

Net earned premiums due to accelerations are attributable to changes in the expected lives of insured obligations driven by: (i) refundings of insured obligations; or (ii) terminations or modifications of insured obligations either through negotiated agreements or the exercise of the Company’s contractual rights to make claim payments on an accelerated basis.

Refundings occur in the public finance market when municipalities and other public finance issuers pay down insured obligations prior to their originally scheduled maturities. Refundings tend to increase when issuers can refinance their debt obligations at lower rates than they are currently paying. The premiums associated with the insured obligations of municipalities and other public finance issuers are generally received upfront when the obligations are issued and insured. When issuers pay down insured obligations, the Company is no longer on risk for payment defaults and therefore accelerates the recognition of any remaining nonrefundable deferred premium revenue. The amortization of the Company’s outstanding book of business along with the previously high levels of refunding activity and the higher interest rate environment have led to a lower volume of refunding opportunities over the last several years.

Terminations are generally negotiated agreements with beneficiaries resulting in the extinguishment of the Company’s financial guaranty insurance obligation. Terminations have historically been more common in the structured finance sector but may also occur in the public finance sector. While each termination may have different terms, they all result in the expiration of the Company’s insurance risk, the acceleration of the recognition of the associated deferred premium revenue and the reduction of any remaining premiums receivable. The Company accounts for a financial guaranty modification by derecognizing the existing insurance balances of the original financial guaranty insurance contract and recording a replacement policy based on the modified terms.

Net Earned Premiums and Credit Derivative Revenues

(1) Includes accretion of discount.

Net earned premiums and credit derivative revenues increased in second quarter 2026 compared with second quarter 2025 primarily due to higher refundings and higher scheduled structured finance net earned premiums, which are primarily attributable to continued growth in shorter duration strategies like fund finance. Net earned premiums and credit derivative revenues decreased in six months 2026 compared with six months 2025 primarily due to credit derivative revenues related to the resolution of the LBIE litigation in six months 2025, lower refundings due to negative refundings, terminations and modifications in the first quarter of 2026, which was a result of a significant modification of a large long-dated financial guaranty transaction, which was accounted for as an extinguishment of the old policy and a recording of the corresponding replacement policy, offset in part by higher refundings in second quarter 2026 and higher scheduled premiums. As of June 30, 2026, $3.6 billion of net deferred premium revenue remained to be earned over the life of the financial guaranty insurance contracts.

New Business Production

Gross Written Premiums and New Business Production

(1) PVP and Gross Par Written in the table above are based on “close date,” when the transaction settles. See “— Non-GAAP Financial Measures — PVP or Present Value of New Business Production.” PVP was discounted at 4.5% in both second quarter 2026 and six months 2026. PVP was discounted at 5.0% in both second quarter 2025 and six months 2025.

(2) Second quarter 2026 and six months 2026 include $12 million of GWP, $9 million of PVP and $395 million of gross par written for a transaction in which the Company’s exposure is to U.S. government treasury securities.

GWP relates to financial guaranty insurance and reinsurance contracts for both financial guaranty and specialty business. Financial guaranty insurance and reinsurance GWP includes: (i) amounts collected upfront on new business written; (ii) the present value of future contractual or expected premiums on new financial guaranty business written (discounted at risk-free rates); and (iii) the effects of changes in the estimated premium or lives of certain transactions in the in-force book of business. Specialty business GWP is recorded as premiums are due. Credit derivatives are accounted for at fair value and therefore not included in GWP. PVP and gross par written include the present value of future gross revenues and exposure, respectively, associated with a financial guaranty written by the Company that, under GAAP, is accounted for under Accounting Standards Codification 460, Guarantees.

The non-GAAP financial measure, PVP, includes upfront premiums and the present value of expected future installments on new business at the time of issuance, discounted at the approximate average pre-tax book yield of fixed-maturity securities purchased during the prior calendar year, for all contracts regardless of form or accounting model. See “— Non-GAAP Financial Measures” below.

U.S. public finance GWP and PVP include transactions closed in both the primary and secondary markets. U.S. public finance GWP in second quarter 2026 decreased compared with second quarter 2025 due to additional installment premiums in second quarter 2025 on a transportation revenue transaction. PVP increased in second quarter 2026 compared with second quarter 2025, primarily due to infrastructure finance transactions that were written in second quarter 2026.

The Company’s primary par written represented 51% of the total U.S. municipal market insured par sold in second quarter 2026, compared with 64% in second quarter 2025, and the Company’s penetration of all municipal issuance was 3.3% in second quarter 2026 compared with 6.0% in second quarter 2025.

Non-U.S. public finance GWP and PVP in second quarter 2026 included a regulated utility in Spain and a secondary market regulated utility in the U.K.

U.S. and non-U.S. structured finance GWP and PVP in second quarter 2026 included fund finance and financial guaranties for life insurance capital management purposes.

U.S. public finance GWP and PVP include transactions closed in both the primary and secondary markets. U.S. public finance GWP and PVP increased in six months 2026 compared with six months 2025, primarily due to infrastructure finance and healthcare transactions that were written in six months 2026.

The Company’s primary par written represented 52% of the total U.S. municipal market insured par sold in six months 2026, compared with 64% in six months 2025, and the Company’s penetration of all municipal issuance was 3.2% in six months 2026 compared with 5.1% in six months 2025.

Non-U.S. public finance GWP and PVP in six months 2026 included a primary social housing transaction in France, annual extensions of liquidity facilities and a Spanish regulated utility.

U.S. and non-U.S. structured finance GWP and PVP in six months 2026 were primarily attributable to fund finance and financial guaranties for life insurance capital management purposes.

Business activity in the non-U.S. public finance and structured finance markets often has long lead times and therefore may vary from period to period.

Net investment income is a function of the yield that the Company earns on available-for-sale fixed-maturity securities and short-term investments and the size of such portfolio. The investment yield on fixed-maturity securities is a function of market interest rates at the time of investment as well as the type, credit quality and maturity of the securities in this portfolio.

Contingent value instruments (CVIs) issued by Puerto Rico and received as part of the resolution of defaulting Puerto Rico exposures in 2022 are classified as trading with changes in fair value reported in “fair value gains (losses) on trading securities” in the condensed consolidated statements of operations. The fair value of remaining CVIs as of June 30, 2026 and December 31, 2025 was $127 million and $114 million, respectively.

Equity method investments in the Financial Guaranty segment include certain alternative investments. The income (loss) on such investments is reported in “equity in earnings (losses) of investees” and typically represents the Company’s share of earnings of its investees. As part of a stock redemption that occurred in the third quarter of 2025, certain alternative investments were distributed to Assured Guaranty Municipal Holdings Inc. (AGMH), whose results are reported in the Corporate division.

Income from Investments (1)

(1) Foreign exchange gains on remeasurement of certain investments were $4 million for second quarter 2025 and $6 million for six months 2025.

Net investment income for six months 2026 increased compared with six months 2025, primarily due to a shift in the portfolio to higher yielding corporate securities, offset in part by $15 million of lower income from CLOs and Loss Mitigation Securities. Short-term investment income declined as a result of lower short-term interest rates and lower short-term average investment balances. The Company’s overall pre-tax book yield of available-for-sale fixed-maturity securities and short-term investments was 4.92% and 4.67% as of June 30, 2026 and June 30, 2025, respectively.

Equity in earnings (losses) of investees for second quarter 2026 and six months 2026 decreased compared with second quarter 2025 and six months 2025, primarily due to losses in a CLO equity fund.

Foreign Exchange Gains (Losses) on Remeasurement

The variances in foreign exchange gains (losses) on remeasurement for second quarter 2026 and six months 2026 compared with second quarter 2025 and six months 2025 are primarily due to remeasurement of cash. Foreign exchange gains and losses are primarily due to changes in the exchange rate of the pound sterling relative to the U.S. dollar.

Other Income (Loss)

The decrease in “other income (loss)” in second quarter 2026 was primarily attributable to $6 million of interest received on late financial guaranty premiums recognized in second quarter 2025 and $4 million in credit loss provision for premiums receivable in second quarter 2026 compared with $1 million in second quarter 2025. In addition, the decrease for six months 2026 was attributable to $9 million in of consent and usage fees associated with the workout and purchase of bonds issued by a U.K. regulated utility to which the Company had insured exposure in six months 2025.

Economic Loss Development (Benefit)

The insured portfolio includes policies accounted for under several different accounting models depending on the characteristics of the contract and the Company’s control rights. For a discussion of methodologies and significant estimates for expected loss to be paid (recovered), see Part II, Item 8, Financial Statements and Supplementary Data, Note 4, Expected Loss to be Paid (Recovered), of the Company’s 2025 Annual Report on Form 10-K. The GAAP accounting policies for measurement and recognition for each type of contract are described in the notes listed below in Part II, Item 8, Financial Statements and Supplementary Data, of the Company’s 2025 Annual Report on Form 10-K:

•Note 5 for contracts accounted for as insurance;

•Note 6 for contracts accounted for as credit derivatives;

•Note 8 for FG VIEs; and

•Note 9 for fair value methodologies for credit derivatives and FG VIEs’ assets and liabilities.

In order to efficiently evaluate and manage the economics of the entire insured portfolio, management compiles and analyzes expected loss information for all policies on a consistent basis. The discussion of losses that follows encompasses expected losses on all contracts in the insured portfolio regardless of accounting model, unless otherwise specified. 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. Assumptions used in the determination of the net expected loss to be paid (recovered) such as delinquency, severity, discount rates and expected time frames to recovery are consistent for each sector regardless of the accounting model used.

Current risk-free rates are used to discount expected losses at the end of each reporting period. Therefore, changes in such rates from period to period affect economic loss development and loss and LAE. However, the effect of changes in discount rates is not indicative of actual credit impairment or improvement. The weighted average discount rates used to discount expected losses (recoveries) were 4.35% and 3.92% as of June 30, 2026 and December 31, 2025, respectively.

The composition of economic loss development (benefit) by accounting model and by sector is presented in the tables that follow, and the drivers of economic loss development (benefit) are discussed below.

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

by Accounting Model

(1) Includes $63 million of recoveries related to the resolution of the LBIE litigation.

Roll Forward by Sector

(1) 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.”

The effect of changes in the risk-free rates included in economic loss development (benefit) was a benefit of $2 million and $6 million in second quarter 2026 and six months 2026, respectively, and a loss of $1 million and $6 million in second quarter 2025 and six months 2025, respectively.

Second Quarter 2026 Net Economic Loss Development

Public Finance: The economic loss development of $44 million for U.S. public finance exposures was primarily attributable to Brightline Trains Florida LLC (Brightline).

Second Quarter 2025 Net Economic Loss Development

Public Finance: The economic loss development of $24 million for U.S. public finance exposures was primarily attributable to an $11 million increase in expected losses for certain healthcare exposures, as well as higher expected losses on certain municipal revenue exposures. The economic loss development of $18 million for non-U.S. public finance exposures was primarily attributable to certain U.K. regulated utility and U.K. student accommodation exposures.

U.S. RMBS: The economic development for U.S. RMBS was a benefit of $6 million and was primarily attributable to higher recoveries for charged-off second lien loans, changes in discount rates and improved performance in certain transactions.

Six Months 2026 Net Economic Loss Development

Public Finance: The economic loss development of $89 million for U.S. public finance exposures was primarily attributable to Brightline and Puerto Rico Electric Power Authority (PREPA), partially offset by an economic benefit for certain healthcare exposures.

See Item 1. Financial Statements, Note 5. Expected Loss to be Paid (Recovered), for additional information.

Six Months 2025 Net Economic Loss Development

Public Finance: The economic loss development of $53 million for U.S. public finance exposures was primarily attributable to PREPA and certain healthcare exposures. The economic loss development of $42 million for non-U.S. public finance exposures was primarily attributable to certain U.K. regulated utility exposures.

U.S. RMBS: The economic benefit for U.S. RMBS was $9 million and was primarily attributable to a $5 million benefit related to higher recoveries for charged-off second lien loans and improved performance in certain transactions.

Other Structured Finance: The benefit attributable to other structured finance of $65 million was primarily attributable to recoveries related to the resolution of the LBIE litigation.

Financial Guaranty Segment Loss Expense

The primary differences between net economic loss development and the amount reported as “loss and LAE (benefit)” in the condensed consolidated statements of operations are that loss and LAE (benefit): (i) considers deferred premium revenue in the calculation of loss reserves for financial guaranty insurance contracts; (ii) eliminates loss and LAE related to FG VIEs; and (iii) does not include estimated losses or benefits on credit derivatives.

For financial guaranty insurance contracts, each transaction’s expected loss to be expensed is compared with the deferred premium revenue of that transaction. Expected loss to be expensed represents past or expected future net claim payments that have not yet been expensed. Such amounts will be expensed in future periods as deferred premium revenue amortizes into income on financial guaranty insurance policies. Expected loss to be expensed is the Company’s projection of incurred losses that will be recognized in future periods, excluding accretion of discount. When the expected loss to be expensed exceeds the deferred premium revenue, a loss is recognized in income for the amount of such excess. Therefore, the timing of loss recognition in income does not necessarily coincide with the timing of the actual credit impairment or improvement reported in net economic loss development. Transactions acquired in business combinations or seasoned portfolios assumed from legacy financial guaranty insurers (particularly BIG transactions) generally have large deferred premium revenue balances. To the extent that a BIG transaction has a large deferred premium revenue, the difference between economic development and loss and LAE may be significant.

While expected loss to be paid (recovered) is an important measure that provides the present value of amounts that the Company expects to pay or recover in future periods regardless of accounting model, expected loss to be expensed is important because it represents the Company’s projection of net expected losses that will be recognized in the consolidated statements of operations in future periods as deferred premium revenue amortizes into income. For additional information on the expected timing of net expected losses to be expensed, see Item 1. Financial Statements, Note 6. Contracts Accounted for as Financial Guaranty Insurance.

The amount of Financial Guaranty segment loss expense, which includes losses on policies regardless of form, is a function of the amount of economic loss development discussed above and the deferred premium revenue amortization in a given period, on a contract-by-contract basis. The following table presents the Financial Guaranty segment loss expense (benefit).

Loss Expense (Benefit)

(1) Six Months 2025 includes $63 million of recoveries in connection with the resolution of the LBIE litigation.