24 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: 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 0.2 years as of September 30, 2024, compared to -0.5 years as of December 31, 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 September 30, 2024 and December 31, 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.
+Added: 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 0.4 years as of March 31, 2025, compared to 0.3 years as of December 31, 2024.
+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 March 31, 2025 and December 31, 2024 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.
−Removed: The base interest rate scenario assumes interest rates and prepayment projections as of September 30, 2024 and December 31, 2023.
+Added: The base interest rate scenario assumes interest rates and prepayment projections as of March 31, 2025 and December 31, 2024.
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: September 30, 2024 December 31, 2023
+Added: March 31, 2025 December 31, 2024
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
mortgages at a slower pace than originally anticipated, adversely impacting our net interest spread, and thus our net interest income.
−Removed: As of September 30, 2024 and December 31, 2023, our investment securities (excluding TBAs) had a weighted average projected CPR of 13.2% and 11.4%, respectively, and a weighted average yield of 4.68% and 4.41%, respectively.
+Added: As of March 31, 2025 and December 31, 2024, our investment securities (excluding TBAs) had a weighted average projected CPR of 8.3% and 7.7%, respectively, and a weighted average yield of 4.87% and 4.77%, 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: September 30, 2024 December 31, 2023
+Added: March 31, 2025 December 31, 2024
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 September 30, 2024 and December 31, 2023 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 March 31, 2025 and December 31, 2024 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 4.6 and 4.7 years as of September 30, 2024 and December 31, 2023, respectively, based on interest rates and prices as of such dates;
+Added: The table below assumes a spread duration of 5.2 and 5.1 years as of March 31, 2025 and December 31, 2024, 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: September 30, 2024 December 31, 2023
+Added: March 31, 2025 December 31, 2024
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
12 unchanged sentences
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.
−Removed: As of September 30, 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-Q for additional details).
+Added: As of March 31, 2025, 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).
However, should the value of our collateral or the value of our derivative instruments suddenly decrease, or margin requirements increase, we may be required to post additional collateral for these arrangements, causing an adverse change in our liquidity position.
11 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 September 30, 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.
+Added: Excluding central clearing exchanges, as of March 31, 2025, 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.