19 unchanged sentences
Duration measures the estimated percentage change in market value of an instrument that would be caused by a parallel change in short and long-term interest rates.
−Removed: The duration of our assets will vary with changes in interest rates and tends to increase when interest rates rise and decrease when interest rates fall.
+Added: The duration of our assets will vary with changes in interest rates and tends to increase when interest rates rise
+Added: and decrease when interest rates fall.
This "negative convexity" generally increases the interest rate exposure of our investment portfolio in excess of what is measured by duration alone.
2 unchanged sentences
Our estimated duration gap, which is a measure of the difference between the interest rate sensitivity of our assets and our liabilities, inclusive of interest rate hedges, was 0.3 years as of December 31, 2024, compared to -0.5 years as of 2023.
−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 December 31, 2023 and 2022 should interest rates go up or down by 25, 50 and 75 basis points, assuming instantaneous parallel shifts in the yield curve
−Removed: and including the impact of both duration and convexity.
+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 December 31, 2024 and 2023 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.
All values in the table below are measured as percentage changes from the base interest rate scenario.
26 unchanged sentences
Extension risk is the risk that our assets will be repaid at a slower rate than anticipated and generally increases when interest rates rise.
−Removed: 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.
+Added: 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
+Added: mortgages at a slower pace than originally anticipated, adversely impacting our net interest spread, and thus our net interest income.
As of December 31, 2024 and 2023, our investment securities (excluding TBAs) had a weighted average projected CPR of 7.7% and 11.4%, respectively, and a weighted average yield of 4.77% and 4.41%, respectively.
43 unchanged sentences
Our liquidity risk principally arises from financing long-term fixed rate assets with shorter-term variable rate borrowings.
−Removed: Future borrowings are dependent upon the willingness of lenders to finance our investments, lender collateral
−Removed: 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.
+Added: Future borrowings are dependent upon the willingness of lenders to finance our investments, lender collateral 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.
As of December 31, 2024, 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-K for additional details).
12 unchanged sentences
However, our efforts to manage credit risk may be unsuccessful and we could suffer losses as a result.
−Removed: Excluding central clearing exchanges, as of December 31, 2023, our maximum amount at risk with any counterparty related to our repurchase agreements and derivative agreements was less than 3% and 1%, respectively, of tangible stockholders' equity.
+Added: Excluding central clearing exchanges, as of December 31, 2024, our maximum amount at risk with any counterparty related to our repurchase agreements and derivative agreements was less than 2% 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.