23 unchanged sentences
We review the estimates for reasonableness, giving consideration to any unique characteristics of our securities, market conditions and other factors likely to impact these estimates, and based on our judgement we may make adjustments to the third-party estimates.
−Removed: The table below quantifies the estimated changes in the fair value of our investment portfolio (including derivatives and other securities used for hedging purposes) and in our tangible net book value per common share as of June 30, 2022 and December 31, 2021 should interest rates go up or down by 25, 50 and 75 basis points, assuming instantaneous parallel shifts in the yield curve and including the impact of both duration and convexity.
−Removed: All values in the table below are measured as
−Removed: percentage changes from the base interest rate scenario.
−Removed: The base interest rate scenario assumes interest rates and prepayment projections as of June 30, 2022 and December 31, 2021.
+Added: The table below quantifies the estimated changes in the fair value of our investment portfolio (including derivatives and other securities used for hedging purposes) and in our tangible net book value per common share as of September 30, 2022 and
+Added: December 31, 2021 should interest rates go up or down by 25, 50 and 75 basis points, assuming instantaneous parallel shifts in the yield curve and including the impact of both duration and convexity.
+Added: All values in the table below are measured as percentage changes from the base interest rate scenario.
+Added: The base interest rate scenario assumes interest rates and prepayment projections as of September 30, 2022 and December 31, 2021.
To the extent that these estimates or other assumptions do not hold true, which may be more likely during periods of elevated market volatility, actual results could differ materially from our projections.
2 unchanged sentences
Interest Rate Sensitivity 1,2
−Removed: June 30, 2022 December 31, 2021
+Added: September 30, 2022 December 31, 2021
Change in Interest Rate Estimated Change in Portfolio Market Value Estimated Change in Tangible Net Book Value Per Common Share Estimated Change in Portfolio Market Value Estimated Change in Tangible Net Book Value Per Common Share
21 unchanged sentences
In a rising or higher interest rate environment, we may be required to finance our investments at potentially higher costs without the ability to reinvest principal into higher yielding securities as a result of borrowers prepaying their mortgages at a slower pace than originally anticipated, adversely impacting our net interest spread, and thus our net interest income.
−Removed: As of June 30, 2022 and December 31, 2021, our investment securities (excluding TBAs) had a weighted average projected CPR of 7.2% and 10.9%, respectively, and a weighted average yield of 2.85% and 2.43%, respectively.
+Added: As of September 30, 2022 and December 31, 2021, our investment securities (excluding TBAs) had a weighted average projected CPR of 7.0% and 10.9%, respectively, and a weighted average yield of 3.14% and 2.43%, respectively.
The table below presents estimated weighted average projected CPRs and yields for our investment securities should interest rates go up or down instantaneously by 25, 50 and 75 basis points.
1 unchanged sentence
Interest Rate Sensitivity 1
−Removed: June 30, 2022 December 31, 2021
+Added: September 30, 2022 December 31, 2021
Change in Interest Rate Weighted Average Projected CPR Weighted Average Asset Yield 2
18 unchanged sentences
and foreign central banks, liquidity conditions, required rates of returns on different assets and other market supply and demand factors.
−Removed: The table below quantifies the estimated changes in the fair value of our assets, net of hedges, and our tangible net book value per common share as of June 30, 2022 and December 31, 2021 should spreads widen or tighten by 10, 25 and 50 basis points.
+Added: The table below quantifies the estimated changes in the fair value of our assets, net of hedges, and our tangible net book value per common share as of September 30, 2022 and December 31, 2021 should spreads widen or tighten by 10, 25 and 50 basis points.
The estimated impact of changes in spreads is in addition to our interest rate shock sensitivity included in the interest rate shock table above.
−Removed: The table below assumes a spread duration of 6.1 and 5.4 years as of June 30, 2022 and December 31, 2021, respectively, based on interest rates and prices as of such dates;
+Added: The table below assumes a spread duration of 6.1 and 5.4 years as of September 30, 2022 and December 31, 2021, respectively, based on interest rates and prices as of such dates;
however, our portfolio's sensitivity to mortgage spread changes will vary with changes in interest rates and in the size and composition of our portfolio.
1 unchanged sentence
Spread Sensitivity 1,2
−Removed: June 30, 2022 December 31, 2021
+Added: September 30, 2022 December 31, 2021
Change in MBS Spread Estimated Change in Portfolio Market Value Estimated Change in Tangible Net Book Value Per Common Share Estimated Change in Portfolio Market Value Estimated Change in Tangible Net Book Value Per Common Share
13 unchanged sentences
requirements and the lenders’ determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates and liquidity conditions within the commercial banking and mortgage finance industries.
−Removed: As of June 30, 2022, we believe that we have sufficient liquidity and capital resources available to execute our business strategy (see Liquidity and Capital Resources in this Form 10-Q for additional details).
−Removed: However, should the value of our collateral or the value of our derivative instruments suddenly decrease, margin calls relating to our funding liabilities and derivative agreements could increase, causing an adverse change in our liquidity position.
+Added: As of September 30, 2022, we believe that we have sufficient liquidity and capital resources available to execute our business strategy (see Liquidity and Capital Resources in this Form 10-Q for additional details).
+Added: However, should the value of our collateral or the value of our derivative instruments suddenly decrease, or initial/minimum margin requirements increase, margin calls relating to our funding liabilities and derivative agreements could increase, causing an adverse change in our liquidity position.
Furthermore, there is no assurance that we will always be able to renew (or roll) our short-term funding liabilities.
10 unchanged sentences
There is no guarantee that our efforts to manage credit risk will be successful and we could suffer losses if credit performance is worse than our expectations or our counterparties default on their obligations.
−Removed: Excluding central clearing exchanges, as of June 30, 2022, our maximum amount at risk with any counterparty related to our repurchase agreements and derivative agreements was approximately 3% and less than 1%, respectively, of tangible stockholders' equity.
+Added: Excluding central clearing exchanges, as of September 30, 2022, our maximum amount at risk with any counterparty related to our repurchase agreements and derivative agreements was approximately 3% and less than 1%, respectively, of tangible stockholders' equity.
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.