13 unchanged sentences
This increase in borrowing costs results in the narrowing of the net interest spread between the related assets and borrowings and may even result in losses.
−Removed: Further, defaults could increase and result in credit losses to us, which could adversely affect our liquidity and operating results.
−Removed: Such delinquencies or defaults could also have an adverse effect on the spread between interest-earning assets and interest-bearing liabilities.
−Removed: Hedging techniques are partly based on assumed levels of prepayments of our RMBS.
−Removed: If prepayments are slower or faster than assumed, the life of the RMBS will be longer or shorter, which would reduce the effectiveness of any hedging strategies we may use and may cause losses on such transactions.
+Added: Hedging techniques are partly based on assumed levels of prepayments of our Agency RMBS.
+Added: If prepayments are slower or faster than assumed, the life of the Agency RMBS will be longer or shorter, which would reduce the effectiveness of any hedging strategies we may use and may cause losses on such transactions.
Hedging strategies involving the use of derivative securities are highly complex and may produce volatile returns.
17 unchanged sentences
Inflation, financial conditions, monetary policy initiatives, interest rates and interest rate volatility may have an impact on spreads.
−Removed: Table of Content s
Prepayment Risk
20 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, 2025 and December 31, 2024, assuming a static portfolio and constant financing and asset 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, 2025 and December 31, 2024, assuming a static portfolio and constant financing and asset 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, 2025 As of December 31, 2024
+Added: As of September 30, 2025 As of December 31, 2024
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, 2025 and December 31, 2024.
−Removed: 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
−Removed: Table of Content s
−Removed: interest rate risk profile.
+Added: The interest rate scenarios assume interest rates as of September 30, 2025 and December 31, 2024.
+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
+Added: material changes to our interest rate risk profile.
When applicable, our scenario analysis assumes a floor of 0% for U.S.
28 unchanged sentences
• attempting to structure our financing agreements to have a range of different maturities, terms, amortizations and interest rate adjustment periods;
−Removed: • exploring options to obtain financing arrangements that are not marked to market;
• using hedging instruments, primarily interest rate swap agreements but also financial futures, options, interest rate cap agreements, floors and forward sales to adjust the interest rate sensitivity of our target assets and our borrowings;
1 unchanged sentence
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.