13 unchanged sentences
We have and may continue to receive margin calls from our lenders as a result of the decline in the market value of the assets pledged by us to our lenders under our repurchase agreements and warehouse credit facilities, and if we fail to resolve such margin calls when due by payment of cash or delivery of additional collateral, the lenders may exercise remedies including demanding payment by us of our aggregate outstanding financing obligations and/or taking ownership of the loans or other assets securing the applicable obligations and liquidating them at inopportune prices.
+Added: As a result of the closing of the Capstead merger on October 19, 2021 we hold a significant amount of ARM securities.
+Added: Changes in the level of interest rates and spreads can significantly impact the value of these assets.
+Added: We may utilize a variety of financial instruments in order to limit the adverse effects of interest rates on our results.
Interest Rate Risk
6 unchanged sentences
We do not have any foreign denominated investments, and thus, we are not exposed to foreign currency fluctuations.
−Removed: As of December 31, 2020 and 2019, our portfolio included 133 and 135 variable rate investments, respectively, based on LIBOR for various terms.
−Removed: Borrowings under our repurchase agreements are also based on LIBOR.
+Added: As of December 31, 2021 and 2020, our portfolio included 161 and 133 variable rate investments, respectively, based on LIBOR and SOFR (or "indexing rates") for various terms.
+Added: Borrowings under our repurchase agreements are also based on indexing rates.
The following table quantifies the potential changes in interest income net of interest expense should interest rates increase by 50 or 100 basis points or decrease by 25 basis points, assuming that our current balance sheet was to remain constant and no actions were taken to alter our existing interest rate sensitivity.
−Removed: For the LIBOR sensitivity range, a reduction in LIBOR results in an increase in our portfolio return.
−Removed: This is driven by the LIBOR floor in place for majority of our commercial mortgage loans, held for investment.
−Removed: In contrast, the majority of our financing instruments do not have LIBOR floors.
−Removed: The presence of a LIBOR floor on interest-bearing assets coupled with lack of LIBOR floor on interest bearing liabilities allows the portfolio to generate a higher return for a decrease in LIBOR rate compared to increase in LIBOR rate for the LIBOR range presented:
+Added: For the indexing rate sensitivity range, a reduction of the indexing rates results in an increase in our portfolio return.
+Added: This is driven by the indexing rates floor in place for majority of our commercial mortgage loans, held for investment.
+Added: In contrast, the majority of our financing instruments do not have floors.
+Added: The presence of a indexing rate floors on interest-bearing assets coupled with lack of indexing rate floors on the majority of interest bearing liabilities allows the portfolio to generate a higher return for a basis point decrease in indexing rates compared to increase in basis points for the indexing rates range presented:
Estimated Percentage Change in Interest Income Net of Interest Expense
−Removed: Change in Interest Rates December 31, 2020 December 31, 2019
+Added: Change in Indexing Rates December 31, 2021 December 31, 2020
(-) 25 Basis Points 2.08 % 2.16 %
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.