9 unchanged sentences
We typically mitigate this interest rate risk by utilizing derivative contracts, primarily interest rate swap agre ements, futures, and TBAs.
−Removed: The COVID-19 pandemic caused significant dislocations in financial markets, including the interest rates market.
−Removed: In March 2020, the Federal Open Market Committee lowered the Federal Funds target range to 0 to 0.25%.
−Removed: We did not have any interest rate hedges in place as of June 30, 2020 due to limited interest rate sensitivity and prevailing market conditions.
We resumed purchasing 30 year fixed-rate Agency RMBS in July 2020 and financed these purchases with repurchase agreement borrowings.
26 unchanged sentences
Changes in spreads impact our book value and our liquidity and could cause us to sell assets and to change our investment strategy in order to maintain liquidity and preserve book value.
−Removed: Uncertainties related to the COVID-19 pandemic caused credit spreads to widen significantly in the second half of March 2020 and continuing into April 2020.
+Added: Uncertainties related to the COVID-19 pandemic caused credit spreads to widen significantly in the second half of March 2020 and into April 2020.
Unprecedented government responses, including fiscal stimulus, monetary policy actions, and various purchase and financing programs have had and will continue to impact credit spreads.
22 unchanged sentences
As a result, if these market conditions persist, margin call risk remains elevated and our operating results and financial condition may be materially impacted.
−Removed: The sensitivity analysis table presented below shows the estimated impact of an instantaneous parallel shift in the yield curve, up and down 50 and 100 basis points, on the market value of our interest rate-sensitive investments and net interest income, including net interest paid or received under interest rate swaps, at June 30, 2020, assuming a static portfolio and constant financing and credit spreads.
+Added: The sensitivity analysis table presented below shows the estimated impact of an instantaneous parallel shift in the yield curve, up and down 50 and 100 basis points, on the market value of our interest rate-sensitive investments and net interest income, including net interest paid or received under interest rate swaps, at September 30, 2020, assuming a static portfolio and constant financing and credit spreads.
When evaluating the impact of changes in interest rates, prepayment assumptions and
9 unchanged sentences
Certain assumptions have been made in connection with the calculation of the information set forth in the foregoing interest rate sensitivity table and, as such, there can be no assurance that assumed events will occur or that other events will not occur that would affect the outcomes.
−Removed: The base interest rate scenario assumes interest rates at June 30, 2020.
+Added: The base interest rate scenario assumes interest rates at September 30, 2020.
Furthermore, while we generally expect to retain such assets and the associated interest rate risk to maturity, future purchases and sales of assets could materially change our interest rate risk profile.
1 unchanged sentence
Treasury yields.
−Removed: Given the relatively low interest rates at June 30, 2020, to be consistent, we also applied a floor of 0% for all related funding costs.
+Added: Given the relatively low interest rates at September 30, 2020, to be consistent, we also applied a floor of 0% for all related funding costs.
Due to this floor, we anticipate that declines in funding costs resulting from a significant interest rate decrease would be limited.
41 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.