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.
+Added: We typically mitigate this interest rate risk by utilizing derivative contracts, primarily interest rate swap agreements.
Interest Rate Effect on Net Interest Income
16 unchanged sentences
Therefore, the volatility in the fair value of our assets could increase significantly in the event interest rates change materially.
−Removed: In addition, other factors impact the fair value of our interest rate-sensitive investments and hedging instruments, such as the shape of the yield curve, market expectations as to future interest rate changes and other market conditions.
+Added: In addition, other factors impact the fair value of our interest rate-sensitive investments and hedging instruments, such as the
+Added: shape of the yield curve, market expectations as to future interest rate changes and other market conditions.
Accordingly, changes in actual interest rates may have a material adverse effect on us.
5 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 to maintain liquidity and preserve book value.
−Removed: Elevated inflation, monetary policy tightening by the FOMC and concerns surrounding the health of the regional banking system have impacted and may continue to impact credit spreads.
+Added: Inflation, financial conditions, monetary policy initiatives, interest rates and interest rate volatility have impacted and may continue to impact credit spreads.
Prepayment Risk
3 unchanged sentences
In general, an increase in prepayment rates will accelerate the accretion of purchase discounts, thereby increasing the interest income earned on the investments.
−Removed: Increased inflation, elevated interest rate volatility and other factors have made it more difficult to predict prepayment levels for the securities in our portfolio.
+Added: Uncertainty regarding the rate of inflation, fiscal and monetary policy initiatives, elevated interest rate volatility and other factors have made it more difficult to predict prepayment levels for the securities in our portfolio.
As a result, it is possible that realized prepayment behavior will be materially different from our expectations.
10 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
−Removed: estimated fair value of these securities would be expected to decrease;
+Added: Generally, in a rising interest rate environment, the 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.
−Removed: The COVID-19 pandemic, unprecedented fiscal and monetary policy responses to the COVID-19 pandemic, and the ongoing normalization of such policy responses caused unprecedented volatility and illiquidity in fixed income markets.
+Added: Pandemics and other widespread crises, including any related fiscal or monetary policy responses, may cause extreme volatility and illiquidity in fixed income markets.
The amount of financing we receive under our repurchase agreements is directly related to our counterparties’ valuation of our assets that collateralize the outstanding repurchase agreement financing.
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 September 30, 2023 and December 31, 2022, assuming a static portfolio and constant financing and credit spreads.
−Removed: When evaluating the impact of changes in interest rates, prepayment assumptions and principal reinvestment rates are adjusted based on our Manager’s expectations.
+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 March 31, 2024 and December 31, 2023, assuming a static portfolio and constant financing and credit spreads.
+Added: When evaluating the impact of changes in interest rates,
+Added: 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 September 30, 2023 As of December 31, 2022
+Added: As of March 31, 2024 As of December 31, 2023
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 September 30, 2023 and December 31, 2022.
+Added: The interest rate scenarios assume interest rates as of March 31, 2024 and December 31, 2023.
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
−Removed: 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 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.