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.
Computed live from the Stress Lab engine — the same model that powers the interactive page, so these numbers cannot drift from it. Ultimate loss converts to present value as scheduled debt service (non-accelerated), taxed at 21%, and absorbed into adjusted book value. The share price reference is $70.35 (Sept 2026).
| Scenario | Ultimate loss | PV loss | Stressed ABV / share | vs $70.35 | CPR coverage |
|---|
Analytical scenarios, not forecasts, price targets, or rating-agency results. S&P definitions: AA severe = GDP −15%, unemployment 20% · AAA extreme = Great Depression rerun. Open the Stress Lab to change every assumption yourself.
A $9B loss doesn't arrive in a normal world — what the extreme scenario implies for everything else, and what the company can do about it.
Filing-derived figures, Q2 2026 10-Q and 2Q26 Financial Supplement. Data as of June 30, 2026 unless noted.
– named credits reviewed line by line. Traffic lights are reviewer judgment, not agency ratings.
| Bucket | Size | What it means |
|---|---|---|
| (a) Expected claims | ~$192M | Net 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 marks | AOCI –$251M | Pure GAAP optics (~$375M per 100bp) — not earnings, not statutory capital. |
| (d) Capital | $10B CPR | 44:1 statutory leverage. Even a $500M all-in Brightline loss ≈ 5% of claims-paying resources. |
| Name | Par | Status |
|---|---|---|
| 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 | $2,365M (B) | RP2 proposes ~25% Class A writedown vs. special-administration risk; £3bn super-senior primes Class A |
| South East Water | $712M (BBB–) | Cut to junk at two agencies in 2026 (filing rating stale) |
| Sacramento City USD | $837M (BBB–) | Fitch BB– (Apr 2026) — genuine surprise blow-up |
| Palomar Health | $374M CCC BIG slice ($637M B– total) | Covenant breaches; forbearance endpoint unverified |
| Jackson MS Water & Sewer | $140M (BB) | Federal receivership; paid via court-ordered rate hike |
Par and internal ratings per the 2Q26 Financial Supplement (June 30, 2026).
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.