Assured Guaranty Ltd Liquidation Value

Assured Guaranty Ltd. (AGO) is a financial guaranty insurer with an investment portfolio, alternative investment book, and a newly acquired annuity reinsurance operation (Assured Life Re, acquired January 21, 2026 for $145M net of cash). Under a liquidation lens, equity recovery is structurally constrained by the nature of the liability stack. MFFAIS reports a CLV/LLV/OLV of negative $1.06B, consistent with the analytical framework below.

Asset side: Total investments of $8.9B, of which $6.9B are AFS fixed-maturity securities (carried at fair value with $303M net unrealized loss on $7.2B amortized cost), $0.77B short-term investments (near par recovery), $1.14B other invested assets (alternative investments, Sound Point equity interest at $406M, CLOs at $70M, private healthcare at $201M, commercial real estate finance at $101M — all illiquid, recovery haircut applies). Cash of $312M. Premium receivable of $1.54B represents present-valued future installment premiums on long-dated financial guaranty policies; under liquidation, the run-off collection profile is long-dated and discounted, effectively lower than face. Deferred policy acquisition costs of $197M receive zero recovery under the liquidation lens. Other assets of $743M include items of uncertain liquidation value.

Liability side held at face: Unearned premiums $3.61B (largest single liability line; represents obligation to provide future guaranty coverage — not dischargeable on wind-up without policy commutation), long-term debt $1.71B (AGUS/AGMH senior and subordinated notes ranging 2028–2066 maturities), liability for future policy benefits (annuity reinsurance) $475M, policyholder funds $263M, loss reserves $310M, other liabilities $511M. Total liabilities $7.07B vs. reported equity $5.54B. The gap is narrower at book than under liquidation because book equity incorporates the going-concern premium revenue stream embedded in unearned premiums.

Key changes from the prior filing (10-K for FY2025): (1) Assured Life Re acquisition added approximately $603M of annuity reinsurance investments and $475M of future policy benefit liabilities (LFPB) to the consolidated balance sheet — a net liability-accretive transaction at liquidation value given the long-duration, inflation-linked, non-cancellable nature of PRT obligations. (2) AFS portfolio grew from $6.37B to $6.88B, partly reflecting the acquired Assured Life Re portfolio. (3) Aggregate unrealized loss position in AFS securities is $240M (1,439 positions), with $184M in positions held for over 12 months — not realized losses but mark-to-market drag that is already embedded in the book equity figure. (4) PREPA insured net par of $464M remains fully BIG-rated with no resolution; this is the sole remaining unresolved Puerto Rico credit default. (5) Share count reduced to 44.6M from buybacks ($75M in Q1 2026), shrinking equity base.

The committed but unfunded alternative investment obligation of $554M (against a $1.5B total commitment) represents a contingent cash draw not separately tagged in XBRL but disclosed in MD&A. Additionally, the $400M committed capital facility at AG (discretionary access) and the $600M FHLBNY borrowing capacity (undrawn) are off-balance-sheet liquidity items discussed in MD&A without separate XBRL tags.