10 unchanged sentences
Our hedging techniques can be highly complex, and the value of our target assets and derivatives may be adversely affected as a result of changing interest rates.
−Removed: Given current market volatility and historically low interest rates and the fact that we removed our interest rate sensitive assets from our portfolio, as of March 31, 2020, we did not have any hedges in place to mitigate the risk of rising interest rates.
+Added: Given current market volatility and historically low interest rates and the fact that we removed our interest rate sensitive assets from our portfolio, as of June 30, 2020, we did not have any hedges in place to mitigate the risk of rising interest rates.
Interest rate effects on net interest income
24 unchanged sentences
We allocate the net duration by asset type based on the interest rate sensitivity.
−Removed: The following chart details information about our duration gap as of March 31, 2020:
+Added: The following chart details information about our duration gap as of June 30, 2020:
Duration (1) Years
1 unchanged sentence
Residential Loans (2) 1.89
−Removed: Hedges (0.00)
−Removed: Subtotal 1.36
Credit Investments, excluding Residential Loans (2) 0.50
Duration Gap 2.28
−Removed: (1) Duration related to financing arrangements is netted within its respective Agency RMBS and Credit Investments line items.
+Added: (1) Duration related to financing arrangements and hedges is netted within its respective line items.
(2) Residential Loans include Re/Non Performing Loans, Non-QM Loans and Land Related Financing.
2 unchanged sentences
All changes in equity, assets, and income are measured as percentage changes from the projected net interest income and GAAP equity from our base interest rate scenario.
−Removed: The base interest rate scenario assumes spot and forward interest rates, which existed as of March 31, 2020.
+Added: The base interest rate scenario assumes spot and forward interest rates, which existed as of June 30, 2020.
Actual results could differ materially from these estimates.
2 unchanged sentences
Moreover, if different models were employed in the analysis, materially different projections could result.
−Removed: In addition, while the table below reflects the estimated impact of interest rate increases and decreases on a static portfolio as of March 31, 2020, our Manager may from time to time sell any of our investments as a part of the overall management of our investment portfolio.
+Added: In addition, while the table below reflects the estimated impact of interest rate increases and decreases on a static portfolio as of June 30, 2020, our Manager may from time to time sell any of our investments as a part of the overall management of our investment portfolio.
Change in Interest Rates (basis
13 unchanged sentences
(2) Does not include cash investments, which typically have overnight maturities and are not expected to change in value as interest rates change.
−Removed: (3) Interest income includes trades settled as of March 31, 2020.
+Added: (3) Interest income includes trades settled as of June 30, 2020.
The information set forth in the interest rate sensitivity table above and all related disclosures constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act.
30 unchanged sentences
This means that once we post initial margin at the outset of a bilateral trade, we will have no further posting obligations as it pertains to initial margin.
−Removed: However, the initial margin
−Removed: on our centrally cleared trades varies from day to day depending upon various factors, including the absolute level of interest rates and the implied volatility of interest rates.
+Added: However, the initial margin on our centrally cleared trades varies from day to day depending upon various factors, including the absolute level of interest rates and the implied volatility of interest rates.
There is a distinctly positive correlation between initial margin, on the one hand, and the absolute level of interest rates and implied volatility of interest rates, on the other hand.
2 unchanged sentences
Our TBA dollar roll contracts are also subject to margin requirements governed by the Mortgage-Backed Securities Division ("MBSD") of the Fixed Income Clearing Corporation and by our prime brokerage agreements, which may establish margin levels in excess of the MBSD.
−Removed: Such provisions require that we establish an initial margin based on the notional value of the TBA contract, which is subject to increase if the estimated fair value of our TBA contract or the estimated fair value of our pledged collateral declines.
+Added: Such provisions require that we establish an initial margin based on the notional value of the
+Added: TBA contract, which is subject to increase if the estimated fair value of our TBA contract or the estimated fair value of our pledged collateral declines.
The MBSD has the sole discretion to determine the value of our TBA contracts and of the pledged collateral securing such contracts.
43 unchanged sentences
As a REIT, we are required to distribute a significant portion of our taxable income annually, which constrains our ability to accumulate operating cash flow and therefore may require us to utilize debt or equity capital to finance our business.
−Removed: We seek to mitigate these risks by
−Removed: monitoring the debt and equity capital markets to inform our decisions on the amount, timing, and terms of capital we raise.
+Added: We seek to mitigate these risks by monitoring the debt and equity capital markets to inform our decisions on the amount, timing, and terms of capital we raise.
The ongoing COVID-19 pandemic has resulted in extreme volatility in a variety of global markets, including the U.S.
4 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.