6 unchanged sentences
• The primary market risks for fixed maturity investment securities are interest rate risk and foreign exchange rate risk.
−Removed: Ambac’s fixed maturity investment portfolio includes
−Removed: | Ambac Financial Group, Inc.
−Removed: 58 2021 FORM 10-K |
−Removed: securities denominated both in U.S.
+Added: Ambac’s fixed maturity investment portfolio includes securities denominated both in U.S.
dollars and foreign currencies, which are sensitive to changes in interest rates and foreign currency exchange rates.
−Removed: Our fixed maturity investments are classified as available for sale, with the effect of market movements recognized immediately through Other comprehensive income, or through Net income when securities are sold or when an impairment charge is recorded.
+Added: Our fixed maturity investments are generally classified as available for sale, with the effect of market movements recognized immediately through Other comprehensive income, or through Net income when securities are sold or when an impairment charge is recorded, although certain securities held at December 31, 2022 are classified as trading with changes in fair value reported through Net income as they occur.
• Ambac also invests in limited partnerships and other alternative investments, primarily consisting of diversified pooled investment funds, which are reported as Other investments.
6 unchanged sentences
For additional information about Ambac’s interest rate derivatives, see Note 10.
−Removed: Derivative Instruments to the Consolidated Financial Statements included in Part II, Item 8 in this Form 10-K.
+Added: Derivative Instruments to the Consolidated Financial Statements included in Part II, Item 8 in this Annual Report on Form 10-K.
• Although our long-term debt obligations are reported at amortized cost and not adjusted for fair value changes, changes in interest rates could have a material impact on their fair value, though with no direct impact on our consolidated financial statements.
For additional information about Ambac’s debt obligations, see Note 13.
−Removed: Long-Term Debt to the Consolidated Financial Statements included in Part II, Item 8 in this Form 10-K.
+Added: Long-term Debt to the Consolidated Financial Statements included in Part II, Item 8 in this Annual Report on Form 10-K.
Fixed maturity investment securities that are distressed Ambac-insured bonds have market risk characteristics that behave inversely to those associated with future financial guarantee claim payments.
2 unchanged sentences
Ambac’s exposure to such consolidated VIEs is generally limited to financial guarantees outstanding on the VIEs’ liabilities or assets.
−Removed: Variable Interest Entities to the Consolidated Financial Statements included in Part II, Item 8 in this Form 10-K for further information about VIEs consolidated as a result of Ambac’s financial guarantees.
+Added: Variable Interest Entities to the Consolidated Financial Statements included in Part II, Item 8 in this Annual Report on Form 10-K for further information about VIEs consolidated as a result of Ambac’s financial guarantees.
Ambac utilizes various systems, models and sensitivity scenarios to monitor and manage market risk.
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We also monitor our interest rates exposure through periodic reviews of projected cash flows and durations of our asset and liability positions.
−Removed: 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:
+Added: The following table summarizes the estimated change in fair value of our fixed maturity investment portfolio from a hypothetical immediate increase in interest rates of 100 basis points across the yield curve as of December 31, 2022 and 2021:
December 31, 2022 2021
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(1) Excludes investments in distressed Ambac-insured securities and securities held by VIEs consolidated as a result of Ambac’s financial guarantees
+Added: | Ambac Financial Group, Inc.
+Added: 57 2022 FORM 10-K
+Added: Table of Contents ,
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, 2022 and 2021:
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dollar, primarily British pounds sterling and Euro.
−Removed: These financial instruments are primarily invested assets of Ambac UK
−Removed: | Ambac Financial Group, Inc.
−Removed: 59 2021 FORM 10-K |
−Removed: and are held in consideration of non-U.S.
+Added: These financial instruments are primarily invested assets of Ambac UK and are held in consideration of non-U.S.
dollar exposure in the financial guarantee insurance portfolio and operations of Ambac UK.
19 unchanged sentences
58 2022 FORM 10-K
+Added: Table of Contents ,
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.