54 unchanged sentences
The estimated fair value of these securities fluctuates primarily due to changes in interest rates and other factors.
−Removed: Generally, in a rising interest rate environment, the estimated fair value of these securities would be expected to decrease;
+Added: Generally, in a rising interest rate environment, the
+Added: estimated fair value of these securities would be expected to decrease;
conversely, in a falling interest rate environment, the estimated fair value of these securities would be expected to increase.
2 unchanged sentences
When these or similar market conditions are present, margin call risk is 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, as of June 30, 2023 and December 31, 2022, 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, as of September 30, 2023 and December 31, 2022, 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: As of June 30, 2023 As of December 31, 2022
+Added: As of September 30, 2023 As of December 31, 2022
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
4 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 interest rate scenarios assume interest rates as of June 30, 2023 and December 31, 2022.
+Added: The interest rate scenarios assume interest rates as of September 30, 2023 and December 31, 2022.
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.
21 unchanged sentences
Loans may experience increasing delinquency levels and eventual defaults, which could impact the performance of our mortgage-backed securities.
−Removed: 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.
+Added: We also expect credit rating agencies to
+Added: continue to reassess transactions negatively impacted by these adverse changes, which may result in our investments being downgraded.
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.