ASSURED GUARANTY LTD

Reconciliation of Net Income (Loss) Attributable to AGL

to Adjusted Operating Income (Loss)

The table below presents the components of net realized investment gains (losses).

The change in the allowance for credit losses for second quarter 2026, second quarter 2025 and six months 2026 was primarily related to CLO equity tranches. The change in the allowance for credit losses for six months 2025 was primarily related to Loss Mitigation Securities.

Non-Credit Impairment-Related Unrealized Fair Value Gains (Losses) on Credit Derivatives

Changes in the fair value of credit derivatives occur because of changes in the Company’s own credit rating and credit spreads, collateral credit spreads, notional amounts, credit ratings of the referenced entities, expected terms, realized gains (losses) and other settlements, interest rates and other market factors. The components of changes in fair value of credit derivatives related to credit derivative revenues and changes in expected losses are included in Financial Guaranty segment results. Non-credit impairment-related changes in unrealized fair value gains and losses on credit derivatives are not included in adjusted operating income because they do not represent actual claims or losses and are expected to reverse to zero as the exposure approaches its maturity date. Changes in the fair value of the Company’s credit derivatives that do not reflect actual or expected claims or credit losses have no impact on the Company’s statutory claims-paying resources, rating agency capital or regulatory capital positions. Unrealized gains (losses) on credit derivatives may fluctuate significantly in future periods. Except for underlying credit impairment, which is recognized as loss expense in the Financial Guaranty segment, the fair value adjustments on credit derivatives in the insured portfolio are non-economic adjustments that reverse to zero over the remaining term of that portfolio. See Item 1. Financial Statements, Note 11. Fair Value Measurement, for additional information.

Fair Value Gains (Losses) of Freestanding Derivatives in the Annuity Reinsurance Segment

The Company purchases swaps and forwards to economically hedge foreign currency, interest rate and inflation risks in the annuity reinsurance business. These derivatives are freestanding and not in designated hedging relationships in accordance with GAAP. See Item 1. Financial Statements, Note 11. Fair Value Measurement, for additional information.

Realized and Unrealized Fair Value Gains (Losses) of the Embedded Derivative in Funds Withheld

The funds withheld arrangement includes the Company’s right to receive the total return on the assets supporting the funds withheld coinsurance agreement, which represents an embedded derivative. 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 is based on the unrealized gains and losses of the underlying assets. The changes in fair value of the embedded derivative in funds withheld related to realized and unrealized gains and losses of the underlying investment portfolio are not included in adjusted operating income. See Item 1. Financial Statements, Note 11. Fair Value Measurement, and “— Liquidity and Capital Resources — Investment Portfolio — Funds Withheld” for additional information.

Fair Value Gains (Losses) on CCS

Fair value gains (losses) on CCS are heavily affected by, and in part fluctuate with, changes in market credit spreads and interest rates and other market factors and are not expected to result in an economic gain or loss. See Item 1. Financial Statements, Note 11. Fair Value Measurement.

Foreign Exchange Gains (Losses) on Remeasurement

Foreign exchange losses of $1 million and $19 million in second quarter 2026 and six months 2026, respectively, and foreign exchange gains of $71 million and $104 million in second quarter 2025 and six months 2025, respectively, were primarily related to certain assets and liabilities such as premiums receivables and insurance liabilities that are long-term in nature. Foreign exchange gains and losses are primarily due to changes in the exchange rate of the pound sterling and, to a lesser extent, the euro relative to the U.S. dollar. Approximately 66% and 68% of gross premiums receivable, net of commissions payable, as of June 30, 2026 and December 31, 2025, respectively, are denominated in currencies other than the U.S. dollar. Premiums on European infrastructure and structured finance transactions typically are paid, in whole or in part, on an installment basis, whereas premiums on U.S. public finance transactions are often paid upfront. Future policy benefits for annuity reinsurance contracts are all denominated in pound sterling.

The following table presents the foreign exchange rates as of the balance sheet dates.

Foreign Exchange Rates

U.S. Dollar Per Foreign Currency