5 unchanged sentences
We are subject to interest rate risk in connection with most of our assets and liabilities.
−Removed: For some securities in our portfolio, the coupon interest rates on, and therefore also the values of, such securities are highly sensitive to interest rate movements, such as inverse floating rate RMBS, which benefit from falling interest rates.
+Added: For some securities in our portfolio, the coupon interest rates on, and therefore also the values of, such securities are highly sensitive to interest rate movements, such as inverse floating rate RMBS,
+Added: which benefit from falling interest rates.
Our repurchase agreements generally have maturities of up to 180 days and carry interest rates that are determined by reference to LIBOR or similar short-term benchmark rates for those same periods.
Whenever one of our fixed-rate repo borrowings matures, it will generally be replaced with a new fixed-rate repo borrowing based on market interest rates prevailing at such time.
−Removed: Subject to qualifying and maintaining our qualification as a REIT and our
−Removed: exclusion from registration under the Investment Company Act, we opportunistically hedge our interest rate risk by entering into interest rate swaps, TBAs, U.S.
+Added: Subject to maintaining our qualification as a REIT and our exclusion from registration under the Investment Company Act, we opportunistically hedge our interest rate risk by entering into interest rate swaps, TBAs, U.S.
Treasury securities, Eurodollar and U.S.
3 unchanged sentences
The following sensitivity analysis table shows the estimated impact on the fair value of our portfolio segregated by certain identified categories as of December 31, 2020, assuming a static portfolio and immediate and parallel shifts in interest rates from current levels as indicated below.
−Removed: (In thousands)
−Removed: Estimated Change for a Decrease in Interest Rates by
−Removed: Estimated Change for an Increase in Interest Rates by
−Removed: 50 Basis Points
−Removed: 100 Basis Points
−Removed: 50 Basis Points
−Removed: 100 Basis Points
−Removed: Category of Instruments
−Removed: % of Total Equity
−Removed: % of Total Equity
−Removed: % of Total Equity
−Removed: % of Total Equity
+Added: (In thousands) Estimated Change for a Decrease in Interest Rates by Estimated Change for an Increase in Interest Rates by
+Added: 50 Basis Points 100 Basis Points 50 Basis Points 100 Basis Points
+Added: Category of Instruments Market Value % of Total Equity Market Value % of Total Equity Market Value % of Total Equity Market Value % of Total Equity
Agency RMBS, excluding TBAs $ 7,729 4.64 % $ 15,203 9.14 % $ (7,985) (4.80) % $ (16,225) (9.75) %
+Added: TBAs (682) (0.41) % (4,339) (2.61) % (2,291) (1.38) % (7,556) (4.54) %
Non-Agency RMBS 399 0.24 % 900 0.54 % (297) (0.18) % (492) (0.29) %
Treasury Securities, Interest Rate Swaps, and Futures (9,395) (5.64) % (19,137) (11.50) % 9,045 5.44 % 17,738 10.66 %
+Added: Corporate Securities and Derivatives on Corporate Securities (1) — % (3) — % — — % — — %
Repurchase and Reverse Repurchase Agreements (333) (0.20) % (336) (0.20) % 659 0.40 % 1,319 0.79 %
+Added: Total $ (2,283) (1.37) % $ (7,712) (4.63) % $ (869) (0.52) % $ (5,216) (3.13) %
Our analysis of interest rate risk is derived from Ellington's proprietary models as well as third-party information and analytics.
14 unchanged sentences
Changes in prepayment rates will have varying effects on the different types of securities in our portfolio, and we attempt to take these effects into account in making asset management decisions.
−Removed: Additionally, increases in prepayment rates may cause us to experience losses on our investment in interest-only securities, or "IOs," and inverse interest only securities, or "IIOs," as these securities are extremely sensitive to
−Removed: prepayment rates.
+Added: Additionally, increases in prepayment rates may cause us to experience losses on our investment in interest-only securities, or "IOs," and inverse interest only securities, or "IIOs," as these securities are extremely sensitive to prepayment rates.
Finally, prepayment rates, besides being subject to interest rates and borrower behavior, are also substantially affected by government policy and regulation.
4 unchanged sentences
Default risk is the risk that borrowers will fail to make principal and interest payments on their mortgage loans.
−Removed: Subject to qualifying and maintaining our qualification as a REIT and our exclusion from registration under the Investment Company Act, we may selectively attempt to mitigate our default risk by, among other things, opportunistically entering into credit default swaps and total return swaps.
+Added: Subject to maintaining our qualification as a REIT and our exclusion from registration under the Investment Company Act, we may selectively attempt to mitigate our default risk by, among other things, opportunistically entering into credit default swaps and total return swaps.
These instruments can reference various RMBS indices, corporate bond indices, or corporate entities, such as publicly traded REITs.
6 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.