30 unchanged sentences
Accordingly, changes in actual interest rates may have a material adverse effect on us.
−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 instruments and book value per common share as of March 31, 2026 and December 31, 2025.
+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 instruments and book value per common share as of June 30, 2026 and December 31, 2025.
When evaluating the impact of changes in interest rates, prepayment assumptions are adjusted based on our Manager’s expectations.
1 unchanged sentence
Additionally, we actively manage the size and composition of our portfolio, which includes hedging instruments, which can result in material changes to our interest rate risk profile.
−Removed: As of March 31, 2026 As of December 31, 2025
+Added: As of June 30, 2026 As of December 31, 2025
Change in Interest Rates Estimated Percentage
21 unchanged sentences
Inflation, financial conditions, monetary policy initiatives, interest rates and interest rate volatility may have an impact on spreads.
−Removed: The sensitivity analysis table presented below shows the estimated impact of an instantaneous change in Agency MBS spreads, up and down 10 and 20 basis points, on the market value of our investments and our book value per common share as of March 31, 2026 and December 31, 2025.
+Added: The sensitivity analysis table presented below shows the estimated impact of an instantaneous change in Agency MBS spreads, up and down 10 and 20 basis points, on the market value of our investments and our book value per common share as of June 30, 2026 and December 31, 2025.
Sensitivity to changes in Agency MBS spreads is derived from models that are dependent on various assumptions.
1 unchanged sentence
The estimated impact of changes in spreads is independent of the interest rate sensitivity table presented above.
−Removed: As of March 31, 2026 As of December 31, 2025
+Added: As of June 30, 2026 As of December 31, 2025
Change in Agency MBS Spreads Estimated Percentage
20 unchanged sentences
Extension Risk
−Removed: We compute the projected weighted average life of our investments based upon assumptions regarding the rate at which the borrowers will prepay the underlying mortgages.
+Added: We compute the projected weighted average life of our investments based on assumptions regarding the rate at which the borrowers will prepay the underlying mortgages.
In general, when a fixed-rate or hybrid adjustable-rate security is acquired with borrowings, we may, but are not required to, enter into an interest rate swap agreement or other hedging instrument that effectively fixes our borrowing costs for a period close to the anticipated average life of the fixed-rate portion of the related assets.
11 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.