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 agre ements and futures contracts.
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: Inflation, financial conditions, monetary policy initiatives, interest rates and interest rate volatility have impacted and may continue to impact credit spreads.
+Added: Inflation, financial conditions, monetary policy initiatives, interest rates and interest rate volatility may have an impact on spreads.
Prepayment Risk
22 unchanged sentences
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 December 31, 2024 and 2023, 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: When evaluating the impact of changes in interest rates, prepayment
+Added: 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 December 31, 2023
−Removed: As of December 31, 2022
+Added: As of December 31, 2024 As of December 31, 2023
Change in Interest Rates Percentage Change in
30 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: Given deteriorating fundamentals and tightening lending conditions, borrowers may experience difficulties meeting their obligations and refinancing loans upon scheduled maturities.
+Added: Deteriorating fundamentals and tightening lending conditions may cause borrowers to experience difficulties meeting their obligations and refinancing loans upon scheduled maturities.
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: Rating agencies periodically reassess transactions negatively impacted by these adverse changes, which may result in our investments being downgraded.
Risk Management
10 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.