AGO CREDIT MONITORIndependent credit surveillance · September 2026
The one-line verdict

At 5%+ rates, nothing breaks at the solvency level. What breaks is a series of discrete, binary restructuring events.

UST 10y at 5.04% and gilt 10y at 5.49% — both the highest since 2007/08 — do not threaten Assured Guaranty's capacity to pay. The stress transmits through rating migration into the BIG (below-investment-grade) bucket and through individual restructurings costing tens to low-hundreds of millions each: a rating-agency capital-ratio story wearing a claims-story costume.

The company at a glance

Filing-derived figures, Q2 2026 10-Q and 4Q25 Financial Supplement. Data as of June 30, 2026 unless noted.

$281.4B
Net par insured
$8.48B
BIG (below-investment-grade) — 3.0% of par
$9.98B
Claims-paying resources
$189.72
Adjusted book value per share
$3.57B
Net unearned premium reserve (UPR)
$192M
Net expected loss to be paid

Credit explorer traffic lights

– named credits reviewed line by line. Traffic lights are reviewer judgment, not agency ratings.

Open the credit explorer →

The four buckets — kept separate

BucketSizeWhat it means
(a) Expected claims~$192MNet expected loss to be paid. Bounded — and rising rates mechanically shrink its present value.
(b) BIG migration$8.48B (3.0%)The real transmission channel. Event-driven (Thames, Brightline, Spanish solar), not model-driven. BIG-2 jumped $3.81B → $4.93B in six months.
(c) Portfolio marksAOCI –$251MPure GAAP optics (~$375M per 100bp) — not earnings, not statutory capital.
(d) Capital$10B CPR44:1 statutory leverage. Even a $500M all-in Brightline loss ≈ 5% of claims-paying resources.

Live breaks — probable claims / restructurings

NameParStatus
Brightline Trains Florida$1.1B (BIG 2)≥$350M restructuring-support agreement (Aug 2026, not yet effective); no filing as of Sept 20, 2026
Thames Water$1.64B*RP2 proposes ~25% Class A writedown vs. special-administration risk; £3bn super-senior primes Class A
South East Water$531MCut to junk at two agencies in 2026 (filing "BBB" mark is stale)
Sacramento City USD$719MFitch BB– (Apr 2026) — genuine surprise blow-up
Palomar Health$290M CCC pieceCovenant breaches; forbearance endpoint unverified
Jackson MS Water & Sewer$84MFederal receivership; paid via court-ordered rate hike

* Unresolved discrepancy: 4Q25 supplement $1,640M vs Q2 2026 10-Q £1.8bn/$2.4bn.

Watch list — plausible BIG migration

What doesn't break

Scenarios vs $10B claims-paying resources

Base

$250–400M

2.5–4% of CPR

Adverse

$1.0–1.3B

10–13% of CPR — S&P capital conversation

Severe

$1.5–2.0B

15–20% of CPR — rating pressure real, solvency intact

What would change the view

Positive

  • RSA goes effective
  • Thames RP2 with equity recovery
  • ~150bp rate rally
  • BIG-2 reverses two quarters

Negative

  • Brightline BIG 2→3 (claims paid)
  • Thames SAR with deep Class A haircuts
  • A second transport/healthcare restructuring
  • S&P capital-adequacy action

Outlook

Stable on the guarantor's capacity to pay; negative bias on surveillance migration through H1 2027, pending the Brightline RSA and Thames RP2/SAR binaries. At ~0.37–0.44× book, the equity already prices a severe-ish surveillance outcome — "severe" means ~$1.5–2.0B against $10B of resources, not a zero.

The bull offset: H1 2026 PVP was $152M, +48% — US public-finance PVP alone beat all of H1 2025. The same 5% rates stressing Thames and Brightline are why issuers pay up for wraps.