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This typically occurs when rates fall below the interest rate of the debt.
−Removed: The carrying value of our investment portfolio as of March 31, 2026 and December 31, 2025 was $3.2 billion and $3.1 billion, respectively, of which 100% was invested in fixed maturity securities.
+Added: The carrying value of our investment portfolio as of June 30, 2026 and December 31, 2025 was $3.3 billion and $3.1 billion, respectively, 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.
We mitigate the market risk associated with our fixed maturity securities portfolio by matching the duration of our fixed maturity securities with the expected duration of the liabilities that those securities are intended to support.
−Removed: As of March 31, 2026, the duration of our fixed income portfolio, including cash and cash equivalents, was 3.69 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 3.69% in fair value of our fixed income portfolio.
+Added: As of June 30, 2026, the duration of our fixed income portfolio, including cash and cash equivalents, was 3.56 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 3.56% in fair value of our fixed income portfolio.
Excluding cash, our fixed income portfolio duration was 3.57 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 3.57% in fair value of our fixed income portfolio.
−Removed: We are also subject to market risk related to the 2024 Revolving Credit Facility and the ILN Transactions.
+Added: We are also subject to market risk related to the 2024 Revolving Credit Facility and the ILN Transaction.
As discussed in Item 1, “ Financial Statements - Notes to Condensed Consolidated Financial Statements - Note 4, Debt” the 2024 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 any outstanding drawn balance.
−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 SOFR, as applicable, and a risk margin, and then subtracting actual investment income earned on the trust balance during that payment period.
+Added: The risk premium amount under the ILN Transaction is 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 SOFR, as applicable, and a risk margin, and then subtracting actual investment income earned on the trust balance during that payment period.
An increase in one-month 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.
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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.