14 unchanged sentences
Investments in this Annual Report on Form 10-K located in Part II.
−Removed: • 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.
+Added: • As of December 31, 2022, the interest rate derivatives portfolio was managed as a partial hedge against the effects of rising interest rates elsewhere in the Company, including on Ambac's financial guarantee exposures.
+Added: As of December 31, 2023, the interest rate derivatives portfolio contains only legacy interest rate swaps with financial guarantee counterparties and associated hedges.
Changes in fair value of interest rate derivatives are recognized immediately through Net income.
19 unchanged sentences
Interest rate increases would also have a negative economic impact on expected future claim payments within the financial guarantee portfolio, primarily related to RMBS and student loan policies.
−Removed: Conversely, interest rate increases would generally result in fair value gains on interest rate derivatives and lower the fair value of our debt obligations.
+Added: Conversely, interest rate increases would generally lower the fair value of our debt obligations and (at December 31, 2022) result in net fair value gains on interest rate derivatives.
+Added: Interest rate changes do not have a significant impact on Ambac's net interest rate derivatives position at December 31, 2023.
Ambac performs scenario testing to measure the potential for losses in volatile markets.
1 unchanged sentence
We also monitor our interest rates exposure through periodic reviews of projected cash flows and durations of our asset and liability positions.
+Added: Ambac Financial Group, Inc 56
+Added: 2023 Form 10-K
+Added: Table of Contents ,
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, 2023 and 2022:
6 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: 57 2022 FORM 10-K
−Removed: 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, 2023 and 2022:
37 unchanged sentences
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.