Quantitative and Qualitative Disclosures about Market Risk
+Added: ($ in millions)
Market risk represents the potential for loss due to adverse changes in the fair value of financial instruments, as a result of changes in market rates and prices, such as interest rates (inclusive of credit spreads), foreign currency exchange rates and other relevant market rate or price changes.
2 unchanged sentences
As discussed further below, the Company’s primary market risk exposures include those from changes in interest rates, foreign currency exchange rates and equity values of limited partnership and other alternative investments.
−Removed: • The primary market risks for fixed maturity investment securities are interest rate risk and exchange rate risk.
−Removed: Ambac’s fixed maturity investment portfolio includes securities denominated both in U.S.
+Added: • The primary market risks for fixed maturity investment securities are interest rate risk and foreign exchange rate risk.
+Added: Ambac’s fixed maturity investment portfolio includes
+Added: | Ambac Financial Group, Inc.
+Added: 58 2021 FORM 10-K |
+Added: securities denominated both in U.S.
dollars and foreign currencies, which are sensitive to changes in interest rates and foreign currency exchange rates.
4 unchanged sentences
For additional information about Ambac’s investments, see Note 4.
−Removed: Investments to the Consolidated Financial Statements included in Part II, Item 8 in this Form 10-K.
+Added: Investments in this Annual Report on Form 10-K located in Part II.
• The interest rate derivatives portfolio is managed as a partial hedge against the effects of rising interest rates elsewhere in the Company, including on Ambac's financial guarantee exposures.
12 unchanged sentences
These models include estimates, made by management, which utilize current and historical market information.
−Removed: This market information is considered in management’s judgments about adverse sensitivity
−Removed: | Ambac Financial Group, Inc.
−Removed: 62 2020 FORM 10-K |
−Removed: Table of Co ntents
−Removed: scenarios that are reasonably possible to occur in the near-term.
+Added: This market information is considered in management’s judgments about adverse sensitivity scenarios that are reasonably possible to occur in the near-term.
The impact of these scenarios do not consider the possible simultaneous movement in other market rates or prices, actions of management or other factors that could lessen or worsen actual results.
For these reasons, the valuation results from these models could differ materially from amounts actually realized in the market.
−Removed: The Company’s market risk exposures have changed over the course of 2020 primarily as a result of re-positioning of our investment and derivative portfolios.
−Removed: Prior year-end quantitative market risk sensitivity disclosures below have been updated to conform with the current presentation.
Market Risk Sensitivities
8 unchanged sentences
The following table summarizes the estimated change in fair value of our fixed maturity investment portfolio of a hypothetical immediate increase in interest rates of 100 basis points across the yield curve as of December 31, 2021 and 2020:
−Removed: ($ in millions)
December 31, 2021 2020
6 unchanged sentences
The following table presents the impact on the fair value of our long-term debt obligations and interest rate derivatives of a hypothetical immediate decrease in interest rates of 100 basis points across the yield curve as of December 31, 2021 and 2020:
−Removed: ($ in millions)
December 31, 2021 2020
11 unchanged sentences
Ambac has fixed maturity investments and investments in pooled funds denominated in currencies other than the U.S.
−Removed: dollar, primarily British pounds sterling and euros.
−Removed: These financial instruments are primarily invested assets of Ambac UK and are held in consideration of non-U.S.
+Added: dollar, primarily British pounds sterling and Euro.
+Added: These financial instruments are primarily invested assets of Ambac UK
+Added: | Ambac Financial Group, Inc.
+Added: 59 2021 FORM 10-K |
+Added: and are held in consideration of non-U.S.
dollar exposure in the financial guarantee insurance portfolio and operations of Ambac UK.
4 unchanged sentences
dollar relative to the foreign currencies as of December 31, 2021 and 2020:
−Removed: ($ in millions)
December 31, 2021 2020
3 unchanged sentences
(1) Excludes investments in distressed Ambac-insured securities and securities held by VIEs consolidated as a result of Ambac’s financial guarantees
−Removed: | Ambac Financial Group, Inc.
−Removed: 63 2020 FORM 10-K |
−Removed: Table of Co ntents
Equity Sensitivity
3 unchanged sentences
Actual market shocks could have materially different aggregate results and would likely not have a uniform impact on all funds given the diversity of the funds’ holdings and strategies.
−Removed: ($ in millions)
December 31, 2021 2020
3 unchanged sentences
60 2021 FORM 10-K |
−Removed: Table of Co ntents
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.