37 unchanged sentences
Duration does not include our investment in AG Arc LLC.
−Removed: The following chart details information about our duration gap as of March 31, 2021:
+Added: The following chart details information about our duration gap as of June 30, 2021:
Duration (1) Years
−Removed: Agency RMBS 3.47
Residential Loans (2) 1.29
+Added: Agency RMBS 2.02
Hedges (2.87)
7 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 existing as of March 31, 2021.
+Added: The base interest rate scenario assumes spot and forward interest rates existing as of June 30, 2021.
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, 2021, 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, 2021, 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, 2021.
+Added: (3) Interest income includes trades settled as of June 30, 2021.
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.
4 unchanged sentences
Our Manager seeks to mitigate our liquidity risks by maintaining a prudent level of leverage, monitoring our liquidity position on a daily basis and maintaining a substantial cushion of cash and unpledged real estate securities and loans in our portfolio in order to meet future margin calls.
−Removed: In addition, our Manager seeks to further mitigate our
−Removed: liquidity risk by (i) maintaining relationships with a broad number of financing counterparties and (ii) monitoring the ongoing financial stability of our financing counterparties.
+Added: In addition, our Manager seeks to further mitigate our liquidity risk by (i) maintaining relationships with a broad number of financing counterparties and (ii) monitoring the ongoing financial stability of our financing counterparties.
As discussed throughout this report, the COVID-19 pandemic-driven disruptions in the real estate, mortgage and financial markets have negatively affected and may continue to negatively affect our liquidity.
29 unchanged sentences
Real estate value risk
−Removed: Residential and commercial property values are subject to volatility and may be affected adversely by a number of factors outside of our control, including, but not limited to, national, regional and local economic conditions (which may be adversely affected by industry slowdowns and other factors);
+Added: Residential and commercial property values are subject to volatility and may be affected adversely by a number of factors
+Added: outside of our control, including, but not limited to, national, regional and local economic conditions (which may be adversely affected by industry slowdowns and other factors);
local real estate conditions (such as an oversupply of housing or commercial real estate);
20 unchanged sentences
In addition, our interest rate hedges are structured in part based upon assumed levels of future prepayments within our real estate securities or mortgage loan portfolio.
−Removed: If prepayments are slower or faster than assumed, the life of the real estate
−Removed: securities or mortgage loans will be longer or shorter than assumed, respectively, which could reduce the effectiveness of our Manager’s hedging strategies and may cause losses on such transactions.
+Added: If prepayments are slower or faster than assumed, the life of the real estate securities or mortgage loans will be longer or shorter than assumed, respectively, which could reduce the effectiveness of our Manager’s hedging strategies and may cause losses on such transactions.
Our Manager seeks to mitigate our prepayment risk by investing in real estate assets with a variety of prepayment characteristics.
8 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.