29 unchanged sentences
Accordingly, when the contract interest rate on a mortgage loan is substantially above prevailing interest rates in the market, the effective duration of securities collateralized by such loans can be quite low because of expected prepayments.
−Removed: We face the risk that the market value of our PT RMBS assets will increase or decrease at different rates than that of our structured RMBS or liabilities, including our hedging instruments.
−Removed: Accordingly, we assess our interest rate risk by estimating the duration of our assets and the duration of our liabilities.
+Added: We face the risk that the market value of our RMBS assets will increase or decrease at different rates than that of our hedging instruments.
+Added: Accordingly, we assess our interest rate risk by estimating the duration of our assets and the duration of our hedge instruments.
We generally calculate duration using various third party models.
However, empirical results and various third party models may produce different duration numbers for the same securities.
−Removed: The following sensitivity analysis shows the estimated impact on the fair value of our interest rate-sensitive investments and hedge positions as of September 30, 2025 and December 31, 2024, assuming rates instantaneously fall 200 bps, fall 100 bps, fall 50 bps, rise 50 bps, rise 100 bps and rise 200 bps, adjusted to reflect the impact of convexity, which is the measure of the sensitivity of our hedge positions and Agency RMBS’ effective duration to movements in interest rates.
+Added: The following sensitivity analysis shows the estimated impact on the fair value of our interest rate-sensitive investments and hedge positions as of March 31, 2026 and December 31, 2025, assuming rates instantaneously fall 200 bps, fall 100 bps, fall 50 bps, rise 50 bps, rise 100 bps and rise 200 bps, adjusted to reflect the impact of convexity, which is the measure of the sensitivity of our hedge positions and Agency RMBS’ effective duration to movements in interest rates.
We have a negatively convex asset profile and a linear to slightly positively convex hedge portfolio (short positions).
1 unchanged sentence
All changes in value in the table below are measured as percentage changes from the investment portfolio value and net asset value at the base interest rate scenario.
−Removed: The base interest rate scenario assumes interest rates and prepayment projections as of September 30, 2025 and December 31, 2024.
+Added: The base interest rate scenario assumes interest rates and prepayment projections as of March 31, 2026 and December 31, 2025.
Actual results could differ materially from estimates, especially in the current market environment.
4 unchanged sentences
Change in Interest Rate
−Removed: As of September 30, 2025
+Added: As of March 31, 2026
-200 Basis Points
31 unchanged sentences
Our assets that are pledged to secure repurchase agreements are Agency RMBS and cash.
−Removed: As of September 30, 2025, we had unrestricted cash and cash equivalents of $583.9 million and unpledged securities of approximately $36.1 million (not including unsettled securities purchases or securities pledged to us) available to meet margin calls on our repurchase agreements and derivative contracts, and for other corporate purposes.
+Added: As of March 31, 2026, we had unrestricted cash and cash equivalents of $674.0 million and unpledged securities of approximately $85.0 million (not including unsettled securities purchases or securities pledged to us) available to meet margin calls on our repurchase agreements and derivative contracts, and for other corporate purposes.
However, should the value of our Agency RMBS pledged as collateral or the value of our derivative instruments suddenly decrease, margin calls relating to our repurchase and derivative agreements could increase, causing an adverse change in our liquidity position.
17 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.