8 unchanged sentences
Our repurchase agreements are typically short-term in nature and are periodically refinanced at current market rates.
−Removed: We typically mitigate this interest rate risk by utilizing derivative contracts, primarily interest rate swap agre ements, futures contracts and TBAs.
+Added: We typically mitigate this interest rate risk by utilizing derivative contracts, primarily interest rate swap agre ements.
Interest Rate Effect on Net Interest Income
48 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 September 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 March 31, 2022 and December 31, 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.
The analysis presented utilized assumptions, models and estimates of our Manager based on our Manager’s judgment and experience.
−Removed: Change in Interest Rates Percentage Change in Projected
−Removed: Net Interest Income Percentage Change in Projected
−Removed: Portfolio Value
+Added: At March 31, 2022 At December 31, 2021
+Added: Change in Interest Rates Percentage Change in Projected Net Interest Income Percentage Change in Projected Portfolio Value Percentage Change in Projected Net Interest Income Percentage Change in Projected Portfolio Value
+1.00% (2.50) % (1.37) % (3.27) % (1.61) %
3 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 September 30, 2021.
−Removed: 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.
+Added: The interest rate scenarios assume interest rates at March 31, 2022 and December 31, 2021.
+Added: Furthermore, while the analysis reflects the estimated impact of interest rate increases and decreases on a static portfolio, we actively manage the size and composition of our investment and swap portfolios, which can result in material changes to our interest rate risk profile.
Our scenario analysis assumes a floor of 0% for U.S.
Treasury yields.
−Removed: 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.
+Added: Given the relatively low interest rates at March 31, 2022, 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.
15 unchanged sentences
We seek to manage this risk through our pre-acquisition due diligence process.
−Removed: In addition, we re-evaluate the credit risk inherent in our investments on a regular basis pursuant to fundamental considerations such as GDP, unemployment, interest rates, retail sales, store closings/openings, corporate earnings, housing inventory, affordability and regional home price trends.
+Added: In addition, we re-evaluate the credit risk inherent in our
+Added: investments on a regular basis pursuant to fundamental considerations such as GDP, unemployment, interest rates, retail sales, store closings/openings, corporate earnings, housing inventory, affordability and regional home price trends.
We also review key loan credit metrics including, but not limited to, payment status, current loan-to-value ratios, current borrower credit scores and debt yields.
2 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: Amid the COVID-19 vaccine program and progress toward controlling the pandemic, the U.S.
−Removed: economy is showing signs of improvement despite elevated case counts largely fueled by the Delta variant.
−Removed: This pick-up in economic activity has translated to improving employment levels and increased activity in commercial real estate.
+Added: Commercial real estate occupancy and rental rates continue to improve across most property types and residential properties continue to benefit from strong demand and limited housing supply.
While loan delinquencies remain elevated, they continue to decline from their post-pandemic peak levels.
−Removed: In particular, multi-family and single-family housing have been aided by government support and generous forbearance practices.
Further, stimulative monetary policies have helped support real estate activity and property valuations.
3 unchanged sentences
Foreign Exchange Rate Risk
−Removed: We have an investment of €9.0 million in an unconsolidated joint venture whose net assets and results of operations are exposed to foreign currency translation risk when translated in U.S.
+Added: As of March 31, 2022 we have an investment of €2.7 million in an unconsolidated joint venture whose net assets and results of operations are exposed to foreign currency translation risk when translated in U.S.
dollars upon consolidation.
−Removed: We seek to hedge our foreign currency exposures by purchasing currency forward contracts.
+Added: We have historically sought to hedge our foreign currency exposures by purchasing currency forward contracts.
+Added: The unconsolidated joint venture is in liquidation and plans to sell or settle its remaining investments as expeditiously as possible.
Risk Management
7 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.