23 unchanged sentences
This typically occurs when rates fall below the interest rate of the debt.
−Removed: The carrying value of our investment portfolio as of December 31, 2021 and 2020 was $2.1 billion and $1.8 billion, respectively, of which 100% was invested in fixed maturity securities.
+Added: The carrying value of our investment portfolio as of December 31, 2022 and 2021 was $2.1 billion, of which 100% was invested in fixed maturity securities.
The primary market risk to our investment portfolio is interest rate risk associated with investments in fixed maturity securities.
2 unchanged sentences
Excluding cash, our fixed income portfolio duration was 3.89 years, which means that an instantaneous parallel shift (movement up or down) in the yield curve of 100 basis points would result in a change of 3.89% in fair value of our fixed income portfolio.
−Removed: We are also subject to market risk related to the ILN Transactions.
−Removed: The risk premium amounts under the ILN Transactions are calculated by multiplying the outstanding reinsurance coverage amount at the beginning of any payment period by a coupon rate, which is the sum of one-month LIBOR and a risk margin, and then subtracting actual investment income earned on the trust balance during that payment period.
−Removed: An increase in one-month LIBOR rates would generally increase the risk premium payments, while an increase to money market rates, which directly affect investment income earned on the trust balance, would generally decrease them.
+Added: We are also subject to market risk related to the 2021 Revolving Credit Facility and the ILN Transactions.
+Added: As discussed in Item 8, " Financial Statements - Notes to Consolidated Financial Statements - Note 5, Debt " the 2021 Revolving Credit Facility bears interest at a variable rate and, as a result, increases in market interest rates would generally result in increased interest expense on our outstanding drawn balance.
+Added: The risk premium amounts under the ILN Transactions are calculated by multiplying the outstanding reinsurance coverage amount at the beginning of any payment period by a coupon rate, which is the sum of one-month LIBOR or SOFR, as applicable, and a risk margin, and then subtracting actual investment income earned on the trust balance during that payment period.
+Added: An increase in one-month LIBOR or SOFR, as applicable, would generally increase the risk premium payments, while an increase to money market rates, which directly affect investment income earned on the trust balance, would generally decrease them.
Although we expect the two rates to move in tandem, to the extent they do not, it could increase or decrease the risk premium payments that otherwise would be due.
Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.