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ASSURED GUARANTY LTD

For the period ended Dec 31, 2023. Filed Feb 28, 2024.

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A company's yearly report to the SEC, with audited financial statements. It is the fullest account a company gives of its business, its finances and the risks it sees.

FY2023 · Filed Feb 28, 2024

AGO$73.78+0.4%Stored close · as of Nov 9, 2026

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Contents

Insured Portfolio

Financial Guaranty Exposure

The following tables present information in respect of the financial guaranty insured portfolio to supplement the disclosures and discussion provided in Item 8, Financial Statements and Supplementary Data, Note 3, Outstanding Exposure.

The following table presents the financial guaranty portfolio by sector, net of cessions to reinsurers. It includes all financial guaranty contracts outstanding as of the dates presented, regardless of the form written (i.e., credit derivative form or traditional financial guaranty insurance form) or the applicable accounting model (i.e., insurance, derivative or FG VIE consolidation).

Net Par Outstanding by Sector

As of December 31, 2023As of December 31, 2022
Sector · (in millions)
Public finance:
U.S. public finance:
General obligation$74,609$71,868
Tax backed33,06033,752
Municipal utilities29,30026,436
Transportation22,05219,688
Healthcare12,60411,304
Infrastructure finance8,7966,955
Higher education7,2507,137
Housing revenue1,152959
Investor-owned utilities329332
Renewable energy167180
Other public finance9701,025
Total U.S. public finance190,289179,636
Non-U.S public finance:
Regulated utilities20,54517,855
Infrastructure finance15,43013,915
Sovereign and sub-sovereign9,8699,526
Renewable energy2,0302,086
Pooled infrastructure1,1331,081
Total non-U.S. public finance49,00744,463
Total public finance239,296224,099
Structured finance:
U.S. structured finance:
Insurance securitizations4,3793,879
RMBS1,7741,956
Pooled corporate obligations631625
Financial products464453
Consumer receivables314437
Subscription finance facilities17872
Other structured finance892806
Total U.S. structured finance8,6328,228
Non-U.S. structured finance:
Subscription finance facilities444219
Pooled corporate obligations425344
RMBS252263
Other structured finance104105
Total non-U.S structured finance1,225931
Total structured finance9,8579,159
Total net par outstanding$249,153$233,258

Second-to-pay insured par outstanding represents transactions the Company has insured that are already insured by another financial guaranty insurer and where the Company’s obligation to pay under its insurance of such transactions arises only if both the obligor on the underlying insured obligation and the primary financial guaranty insurer default. The Company underwrites such transactions based on the underlying insured obligation without regard to the primary financial guaranty insurer and internally rates the transaction the higher of the rating of the underlying obligation and the rating of the primary financial guarantor. The second-to-pay insured par outstanding as of both December 31, 2023 and 2022 was $4.3 billion.

The tables below show the Company’s ten largest U.S. public finance, U.S. structured finance and non-U.S. exposures by revenue source, excluding related authorities and public corporations, as of December 31, 2023.

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

Net Par OutstandingPercent of Total U.S. Public Finance Net Par OutstandingRating
(dollars in millions)
New Jersey (State of)$2,9051.5%BBB
Pennsylvania (Commonwealth of)2,1961.1BBB+
Metro Washington Airports Authority (Dulles Toll Road)1,6330.9BBB+
New York Metropolitan Transportation Authority1,4810.8A-
New York Power Authority1,4600.8AA-
Foothill/Eastern Transportation Corridor Agency, California1,3260.7BBB+
Alameda Corridor Transportation Authority, California1,3090.7BBB+
North Texas Tollway Authority1,2950.7A+
CommonSpirit Health, Illinois1,0000.5A-
San Joaquin Hills Transportation, California9880.5BBB
Total of top ten U.S. public finance exposures$15,5938.2%

Ten Largest U.S. Structured Finance Exposures

Net Par OutstandingPercent of Total U.S. Structured Finance Net Par OutstandingRating
(dollars in millions)
Private US Insurance Securitization$1,10012.7%AA
Private US Insurance Securitization95011.0A+
Private US Insurance Securitization94410.9AA-
Private US Insurance Securitization3994.6AA-
Private US Insurance Securitization3994.6AA-
Private US Insurance Securitization3864.5AA-
SLM Student Loan Trust 2007-A1631.9AA
Private Middle Market CLO1291.5AAA
Private US Insurance Securitization1251.5AA
DB Master Finance LLC1191.4BBB
Total of top ten U.S. structured finance exposures$4,71454.6%

Ten Largest Non-U.S. Exposures

CountryNet Par OutstandingPercent of Total Non-U.S. Net Par OutstandingRating
(dollars in millions)
Southern Water Services LimitedUnited Kingdom$2,4094.8%BBB
Thames Water Utilities Finance PLCUnited Kingdom2,1064.2BBB
Southern Gas Networks PLCUnited Kingdom2,0654.1BBB+
Dwr Cymru Financing LimitedUnited Kingdom1,8343.7A-
Anglian Water Services Financing PLCUnited Kingdom1,7323.4A-
National Grid Gas PLCUnited Kingdom1,6323.2A-
Quebec ProvinceCanada1,4362.8AA-
Channel Link Enterprises Finance PLCFrance, United Kingdom1,2572.5BBB
Yorkshire Water Services Finance PlcUnited Kingdom1,0872.2BBB
British Broadcasting Corporation (BBC)United Kingdom1,0422.1A+
Total of top ten non-U.S. exposures$16,60033.0%

Financial Guaranty Portfolio by Issue Size

The Company seeks broad coverage of the market by insuring and reinsuring small and large issues alike. The following tables set forth the distribution of the Company’s portfolio by original size of the Company’s exposure.

Public Finance Portfolio by Issue Size

Original Par Amount Per IssueNumber ofIssuesNet ParOutstanding% of PublicFinanceNet ParOutstanding
(dollars in millions)
Less than $10 million9,945$30,03812.6%
$10 million through $50 million3,57662,54226.1
$50 million through $100 million63837,76015.8
$100 million to $200 million34341,45317.3
$200 million or greater22767,50328.2
Total14,729$239,296100.0%

Structured Finance Portfolio by Issue Size

Original Par Amount Per IssueNumber ofIssuesNet ParOutstanding% of StructuredFinanceNet ParOutstanding
(dollars in millions)
Less than $10 million103$900.9%
$10 million through $50 million1391,03310.4
$50 million through $100 million531,24812.7
$100 million to $200 million541,99020.2
$200 million or greater835,49655.8
Total432$9,857100.0%

Exposure to Puerto Rico

The Company had insured exposure to obligations of various authorities and public corporations of the Commonwealth of Puerto Rico (Puerto Rico or the Commonwealth) aggregating $1.1 billion net par outstanding as of

December 31, 2023, all of which was rated BIG. Beginning on January 1, 2016, a number of Puerto Rico exposures have defaulted on bond payments, and the Company has now paid claims on all of its Puerto Rico exposures except the Municipal Finance Agency (MFA), the Puerto Rico Aqueduct and Sewer Authority (PRASA), and the University of Puerto Rico (U of PR).

The following tables present information in respect of the Puerto Rico exposures to supplement the disclosures and discussions provided in “—Liquidity and Capital Resources—Insurance Subsidiaries, Financial Guaranty Policies” below and Item 8, Financial Statements and Supplementary Data, Note 3, Outstanding Exposure.

Exposure to Puerto Rico by Company

Net Par Outstanding
AGMAGCAG ReEliminations (1)Total Net Par OutstandingGross Par Outstanding
(in millions)
Defaulted Puerto Rico Exposures
PREPA$377$67$180$—$624$633
Total Defaulted37767180—624633
Resolved Puerto Rico Exposures (2)
PRHTA (Transportation revenue)1415787(14)244244
PRHTA (Highway revenue)109118—128128
Total Resolved12316895(14)372372
Other Puerto Rico Exposures (3)
MFA84618—108114
PRASA and U of PR—1——11
Total Other84718—109115
Total exposure to Puerto Rico$584$242$293$(14)$1,105$1,120

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

(2) Resolved pursuant to the 2022 Puerto Rico Resolutions. Consideration (e.g. Toll Bonds and CVIs) received under the HTA Plan related to the remaining insured exposure is reported in FG VIEs’ assets (see Item 8, Financial Statements and Supplementary Data, Note 8, Financial Guaranty Variable Interest Entities and Consolidated Investment Vehicles).

(3) All debt service on these insured exposures have been paid to date without any insurance claim being made on the Company.

The following tables show the scheduled amortization of the various obligations of Puerto Rico’s authorities and public corporations insured by the Company. The Company guarantees payments of debt service when those amounts are scheduled to be paid and cannot be required to pay on an accelerated basis. In the event that obligors default on their obligations, the Company would only pay the shortfall between the debt service due in any given period and the amount paid by the obligors.

Amortization Schedule of Net Par of Puerto Rico

Scheduled Net Par Amortization
2024 Q12024 Q22024 Q32024 Q420252026202720282029 -20332034 -20382039 -2041Total
(in millions)
Defaulted Puerto Rico Exposures
PREPA$—$—$93$—$68$105$105$68$176$9$—$624
Total Defaulted——93—68105105681769—624
Resolved Puerto Rico Exposures
PRHTA (Transportation revenue)—————————127117244
PRHTA (Highway revenue)————————4484—128
Total Resolved————————44211117372
Other Puerto Rico Exposures
MFA——16—1635151313——108
PRASA and U of PR——1————————1
Total Other Puerto Rico Exposures——17—1635151313——109
Total$—$—$110$—$84$140$120$81$233$220$117$1,105

Amortization Schedule of Net Debt Service of Puerto Rico

Scheduled Net Debt Service Amortization
2024 Q12024 Q22024 Q32024 Q420252026202720282029 -20332034 -20382039 -2041Total
(in millions)
Defaulted Puerto Rico Exposures
PREPA$12$3$105$3$92$126$122$80$199$9$—$751
Total Defaulted123105392126122801999—751
Resolved Puerto Rico Exposures
PRHTA (Transportation revenue)6—6—1313121365172128428
PRHTA (Highway revenue)3—3—77777693—203
Total Resolved9—9—20201920141265128631
Other Puerto Rico Exposures
MFA3—19—2039171413——125
PRASA and U of PR——1————————1
Total Other Puerto Rico Exposures3—20—2039171413——126
Total$24$3$134$3$132$185$158$114$353$274$128$1,508

In the fourth quarter of 2023, all of the Toll Bonds in the Puerto Rico Trusts were called, resulting in cash proceeds of $154 million. Such cash proceeds comprise the vast majority of the assets in the Puerto Rico Trusts as of December 31, 2023. In January 2024, such proceeds were used to pay down a portion of the liabilities of the Puerto Rico Trusts. The remaining liabilities of the Puerto Rico Trusts will be paid by the U.S. Insurance Subsidiaries under their financial guaranty policies and are no longer dependent on the credit of PRHTA.

Financial Guaranty Exposure to U.S. RMBS

The following table presents information in respect of the U.S. RMBS exposures to supplement the disclosures and discussion provided in Item 8, Financial Statements and Supplementary Data, Note 3, Outstanding Exposure, and Note 4, Expected Loss to be Paid (Recovered). U.S. RMBS exposures represent 0.7% of the total net par outstanding, and BIG U.S. RMBS represent 17.3% of total BIG net par outstanding as of December 31, 2023.

Distribution of U.S. RMBS by Year Insured and Type of Exposure as of December 31, 2023

Year insured:PrimeFirst LienAlt-AFirst LienOptionARMsSubprimeFirst LienSecondLienTotal Net Par Outstanding
(in millions)
2004 and prior$8$7$—$301$9$325
2005211101417840363
2006212213793174
2007—17915554134882
2008———30—30
Total exposures$50$318$30$1,100$276$1,774
Exposures rated BIG$30$191$14$602$104$941
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The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.