15 unchanged sentences
Fluctuations in their current income due to variations in interest rates are generally not material to us.
−Removed: Floating rate fixed income securities are subject to other market risks such as default risk of the underlying issuer, changes in issuer’s credit spreads, prepayment rates, investor demand and supply of securities within a particular asset class or industry class of the ultimate obligor.
+Added: Floating rate fixed income securities are subject to other market risks such as default risk of the underlying issuer, changes in issuer’s credit spreads, prepayment rates, investor demand and supply of securities within a particular asset class or industry class of the ultimate obligor.
The sensitivity to any individual market risk can be difficult to quantify.
3 unchanged sentences
Alternatively, we may enter into other interest rate hedging arrangements such as interest rate swaps or Eurodollar futures.
−Removed: We measure our net interest rate sensitivity by determining how the fair value of our net interest rate sensitive assets would change as a result of a 100 basis point (“bps”) adverse shift across the entire yield curve.
−Removed: Based on this analysis, as of March 31, 2020 , we would incur a loss of $3,563 if the yield curve rises 100 bps across all maturities and a gain of $3,552 if the yield curve falls 100 bps across all maturities.
+Added: We measure our net interest rate sensitivity by determining how the fair value of our net interest rate sensitive assets would change as a result of a 100 basis point (“bps”) adverse shift across the entire yield curve.
+Added: Based on this analysis, as of June 30, 2020 , we would incur a loss of $3,186 if the yield curve rises 100 bps across all maturities and a gain of $3,176 if the yield curve falls 100 bps across all maturities.
Equity Securities :
5 unchanged sentences
We measure our net equity price sensitivity and foreign currency sensitivity by determining how the net fair value of our equity price sensitive and foreign exchange sensitive assets would change as a result of a 10% adverse change in equity prices or foreign exchange rates.
−Removed: Based on this analysis, as of March 31, 2020 , our equity price sensitivity was $556 and our foreign exchange currency sensitivity was $0 .
+Added: Based on this analysis, as of June 30, 2020 , our equity price sensitivity was $829 and our foreign exchange currency sensitivity was $0 .
Other Securities:
These investments are primarily made up of residual interests in securitization entities.
−Removed: The fair value of these investments will fluctuate over time based on a number of factors including, but not limited to, liquidity of the investment type, the credit performance of the individual assets and issuers within the securitization entity, the asset class of the securitization entity and the relative supply of and demand for investments within that asset class, credit spreads in general, the transparency of valuation of the assets and liabilities of the securitization entity, and investors’
−Removed: view of the accuracy of ratings prepared by the independent rating agencies.
+Added: The fair value of these investments will fluctuate over time based on a number of factors including, but not limited to, liquidity of the investment type, the credit performance of the individual assets and issuers within the securitization entity, the asset class of the securitization entity and the relative supply of and demand for investments within that asset class, credit spreads in general, the transparency of valuation of the assets and liabilities of the securitization entity, and investors’ view of the accuracy of ratings prepared by the independent rating agencies.
The sensitivity to any individual market risk cannot be quantified.
1 unchanged sentence
We have debt that accrues interest at either variable rates or fixed rates.
−Removed: As of March 31, 2020 , a 100 bps change in the three month LIBOR would result in a change in our annual cash paid for interest in the amount of $656 .
−Removed: A 100 bps adverse change in the market yield to maturity would result in an increase in the fair value of the debt in the amount of $2,241 as of March 31, 2020 .
+Added: As of June 30, 2020 , a 100 bps change in the three month LIBOR would result in a change in our annual cash paid for interest in the amount of $656 .
+Added: A 100 bps adverse change in the market yield to maturity would result in an increase in the fair value of the debt in the amount of $2,820 as of June 30, 2020 .
Counterparty Risk and Settlement Risk
We are subject to counterparty risk primarily in two areas:
−Removed: (i) our collateralized securities transactions described in note 10 to our consolidated financial statements included in Item 1 in this Quarterly Report on Form 10-Q and (ii) our TBA and other forward
−Removed: agency MBS activities described in note 9 to our consolidated financial statements included in Item 1 in this Quarterly Report on Form 10-Q.
+Added: (i) our collateralized securities transactions described in note 10 to our consolidated financial statements included in Item 1 in this Quarterly Report on Form 10-Q and (ii) our TBA and other forward agency MBS activities described in note 9 to our consolidated financial statements included in Item 1 in this Quarterly Report on Form 10-Q.
With respect to the matched book repo financing activities, our risk is that the counterparty does not fulfill its obligation to repurchase the underlying security when it is due.
10 unchanged sentences
We perform an in-depth monthly analysis on all our investments and our risk committee meets on a monthly basis to review specific issues within our portfolio and to make recommendations for dealing with these issues.
−Removed: In addition, each of our broker-dealers has an assigned chief risk officer that reviews the firm’s positions and trading activities on a daily basis.
+Added: In addition, each of our broker-dealers has an assigned chief risk officer that reviews the firm’s positions and trading activities on a daily basis.
Counterparty Risk
1 unchanged sentence
First, we perform a credit assessment of each counterparty to ensure the counterparty has sufficient equity, liquidity, and profitability to support the level of trading or lending we plan to do with them.
−Removed: Second, we may require counterparties to post cash or other liquid collateral (“margin”) to support changes in the market value of the underlying securities or trades on an ongoing basis.
+Added: Second, we may require counterparties to post cash or other liquid collateral (“margin”) to support changes in the market value of the underlying securities or trades on an ongoing basis.
In the case of collateralized securities financing transactions, we will generally lend less than the market value of the underlying security initially.
29 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.