35 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 September 30, 2024.
+Added: The following table details information about our duration gap as of March 31, 2025.
Duration (1)(2) Years
1 unchanged sentence
Securitized Residential Mortgage Loans 1.89
−Removed: Real Estate Securities and Legacy WMC Commercial Loans 0.38
−Removed: Hedges on securitized products (0.64)
−Removed: Securitized products subtotal 2.50
+Added: Real Estate Securities 0.21
+Added: Hedges on securitized investments (0.55)
+Added: Securitized investments subtotal 1.55
Residential Mortgage Loans (3) 0.63
1 unchanged sentence
Residential Mortgage Loans subtotal 0.17
+Added: Commercial Loans 0.00
Senior Unsecured Notes (0.23)
1 unchanged sentence
(2) Duration does not include our investment in AG Arc LLC.
−Removed: (3) Residential Mortgage Loans are inclusive of forward purchase commitments to acquire Non-Agency Loans and Agency-Eligible Loans as of September 30, 2024.
+Added: (3) Residential Mortgage Loans are inclusive of forward purchase commitments to acquire Non-Agency Loans and Agency-Eligible Loans as of March 31, 2025, if applicable.
The following table quantifies the estimated percent change in GAAP equity, the fair value of our assets, and projected net interest income should interest rates go up or down instantaneously by 25, 50, and 75 basis points, assuming (i) the yield curves of the rate shocks will be parallel to each other and the current yield curve and (ii) all other market risk factors remain constant.
1 unchanged sentence
All changes in equity, assets, and income are measured as percentage changes from the GAAP equity, assets, and projected net interest income from our base interest rate scenario.
−Removed: The base interest rate scenario assumes spot and forward interest rates existing as of September 30, 2024.
+Added: The base interest rate scenario assumes spot and forward interest rates existing as of March 31, 2025.
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 September 30, 2024, 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 March 31, 2025, 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
12 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) Changes in fair value as a percentage of GAAP equity and assets are inclusive of forward purchase commitments to acquire Non-Agency Loans and Agency-Eligible Loans as of September 30, 2024.
−Removed: (4) Interest income includes trades settled as of September 30, 2024.
+Added: (3) Changes in fair value as a percentage of GAAP equity and assets are inclusive of forward purchase commitments to acquire Non-Agency Loans and Agency-Eligible Loans as of March 31, 2025.
+Added: (4) Interest income includes trades settled as of March 31, 2025.
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.
−Removed: Actual results could
−Removed: differ significantly from those estimated in the foregoing interest rate sensitivity table.
+Added: Actual results could differ significantly from those estimated in the foregoing interest rate sensitivity table.
See below for additional risks which may impact the fair value of our assets, GAAP equity and net income.
26 unchanged sentences
Residential 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), local real estate conditions (such as an oversupply of housing), natural disasters, the effects of climate change (including flooding, drought, and severe weather) and other natural events, construction quality, age and design, demographic factors, and retroactive changes to building or similar codes.
−Removed: Decreases in property values could cause us to suffer losses and reduce the value of the collateral underlying our investment portfolio as well as the potential sale proceeds available to repay our loans in the event of a default.
−Removed: In addition, substantial decreases in property values can increase the rate of strategic defaults by residential mortgage borrowers which can impact and create significant uncertainty in the recovery of principal and
−Removed: interest on our investments.
+Added: Decreases in property values could cause us to suffer losses and reduce the value of the collateral underlying our investment portfolio as well as the potential sale proceeds available
+Added: to repay our loans in the event of a default.
+Added: In addition, substantial decreases in property values can increase the rate of strategic defaults by residential mortgage borrowers which can impact and create significant uncertainty in the recovery of principal and interest on our investments.
We are exposed to the risk of potential credit losses from an unanticipated increase in borrower defaults as well as general credit spread widening on any non-agency assets in our portfolio.
25 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.