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 judgment 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 0.7 years as of March 31, 2026, compared to 0.4 years as of December 31, 2025.
−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 March 31, 2026 and December 31, 2025 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 0.7 years as of June 30, 2026, compared to 0.4 years as of December 31, 2025.
+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 June 30, 2026 and December 31, 2025 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 March 31, 2026 and December 31, 2025.
+Added: The base interest rate scenario assumes interest rates and prepayment projections as of June 30, 2026 and December 31, 2025.
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: March 31, 2026 December 31, 2025
+Added: June 30, 2026 December 31, 2025
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
12 unchanged sentences
Prepayment risk is the risk that our assets will be repaid at a faster rate than anticipated.
−Removed: Interest rates and numerous other factors affect the rate of prepayments, such as housing prices, general economic conditions, loan age, size and loan-to-
−Removed: value ratios, and GSE buyouts of delinquent loans underlying our securities.
+Added: Interest rates and numerous other factors affect the rate of prepayments, such as housing prices, general economic conditions, loan age, size and loan-to-value ratios, and GSE buyouts of delinquent loans underlying our securities.
Generally, declining mortgage rates increase the rate of prepayments, while rising rates have the opposite effect.
5 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 March 31, 2026 and December 31, 2025, our investment securities (excluding TBAs) had a weighted average projected CPR of 10.3% and 9.6%, respectively, and a weighted average yield of 4.93% and 4.93%, respectively.
+Added: As of June 30, 2026 and December 31, 2025, our investment securities (excluding TBAs) had a weighted average projected CPR of 8.6% and 9.6%, respectively, and a weighted average yield of 4.91% and 4.93%, 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: March 31, 2026 December 31, 2025
+Added: June 30, 2026 December 31, 2025
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 March 31, 2026 and December 31, 2025 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 June 30, 2026 and December 31, 2025 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 5.0 and 5.0 as of March 31, 2026 and December 31, 2025, respectively, based on interest rates and prices as of such dates;
+Added: The table below assumes a spread duration of 5.0 and 5.0 as of June 30, 2026 and December 31, 2025, 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: March 31, 2026 December 31, 2025
+Added: June 30, 2026 December 31, 2025
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
14 unchanged sentences
Borrowings under centrally cleared repo also depend on Bethesda Securities’ remaining compliant with regulatory and FICC membership requirements and maintaining its risk exposure within limits established by the FICC.
−Removed: As of March 31, 2026, 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 June 30, 2026, 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.
Furthermore, there is no assurance that we will always be able to renew (or roll) our short-term funding liabilities.
−Removed: In addition, our bilateral counterparties have the option to increase our haircuts (margin requirements) on the assets we pledge against our funding liabilities, and our central clearing counterparties may adjust their risk models impacting the amount of initial margin we are required to post, thereby reducing the amount that can be borrowed against our assets even if they agree to renew or roll our funding liabilities.
+Added: In addition, our bilateral counterparties have the option to increase our haircuts (margin requirements) on the assets we pledge against our funding liabilities, and our central clearing counterparties may adjust their risk models impacting the amount of initial margin we are required to post, thereby reducing the amount that can be borrowed against our assets even if they agree to renew or roll our
+Added: funding liabilities.
Significantly higher haircuts or initial margin requirements can reduce our ability to leverage our portfolio or may even force us to sell assets, especially if correlated with asset price declines or faster prepayment rates on our assets.
8 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 March 31, 2026, 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 June 30, 2026, our maximum amount at risk with any counterparty related to our repurchase agreements and derivative agreements was 1% 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.