59 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, 2021, 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, 2021, assuming a static portfolio and constant financing and credit spreads.
When evaluating the impact of changes in interest rates, prepayment assumptions and principal reinvestment rates are adjusted based on our Manager’s expectations.
8 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, 2021.
+Added: The base interest rate scenario assumes interest rates at September 30, 2021.
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, 2021, 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, 2021, 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.
20 unchanged sentences
This analysis allows us to quantify our opinions of credit quality and fundamental value, which are key drivers of portfolio management decisions.
−Removed: The conditions related to the COVID-19 pandemic have adversely affected the fundamentals of many of our portfolio investments.
−Removed: The significant decrease in economic activity and/or resulting decline in the housing market could have an adverse effect on the value of our investments in mortgage real estate-related assets.
−Removed: Further, because of the COVID-19 pandemic’s impact on the overall economy, such as rising unemployment levels or changes in consumer behavior related to loans as well as government policies and pronouncements, borrowers may experience difficulties meeting their obligations or seek to forbear or further forbear payment on or refinance their mortgage loans to avail themselves of lower rates.
−Removed: In addition to residential mortgage-related assets, the adverse economic conditions could negatively impact tenants underlying our commercial property assets resulting in potential delinquencies, defaults or declines in asset values.
−Removed: In many instances, tenants are foregoing rent payments or seeking forbearance.
−Removed: As a result, loans may experience increased delinquencies and defaults, which could impact the fundamental performance of our mortgage-backed securities.
−Removed: Further, we expect credit rating agencies to reassess transactions that are negatively impacted by these adverse changes.
−Removed: This may result in our investments being downgraded by credit rating agencies.
+Added: Amid the COVID-19 vaccine program and progress toward controlling the pandemic, the U.S.
+Added: economy is showing signs of improvement despite elevated case counts largely fueled by the Delta variant.
+Added: This pick-up in economic activity has translated to improving employment levels and increased activity in commercial real estate.
+Added: While loan delinquencies remain elevated, they continue to decline from their post-pandemic peak levels.
+Added: In particular, multi-family and single-family housing have been aided by government support and generous forbearance practices.
+Added: Further, stimulative monetary policies have helped support real estate activity and property valuations.
+Added: Despite these positives, many borrowers continue to experience difficulties meeting their obligations or seek to forbear or further forbear payment on their mortgage loans.
+Added: As a result, loans may continue to experience elevated delinquency levels and eventual defaults, which could impact the performance of our mortgage-backed securities.
+Added: We also expect credit rating agencies to continue to reassess transactions negatively impacted by these adverse changes, which may result in our investments being downgraded.
Foreign Exchange Rate Risk
11 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.