Investor Presentaiton
1-Month U.S. SOFR
Sensitivity to Short-term Interest Rates
Portfolio is over 98% floating rate.
Well-positioned for further increases in short-term benchmark interest rates.
4.0%
WEIGHTED AVERAGE SOFR BY LOAN VINTAGE
45.0%
QTR. NET INTEREST INCOME PER SHARE SENSITIVITY TO
CHANGES IN 1-MO. U.S. SOFR AS OF SEPTEMBER 30, 2023(**)
Change in 1-Month U.S. SOFR (%)
3.5%
37.1%
3.0%
40.0%
35.0%
$0.03
$0.02
$0.01
$0.01
30.0%
2.5%
25.0%
2.0%
19.6%
20.0%
1.5%
14.8%
15.2%
% of Portfolio
$(0.01) $(0.01)
$(0.02)
$(0.03)
15.0%
10.9%
1.0%
10.0%
(1.00%) (0.75%) (0.50%) (0.25%)
0.25%
0.50%
0.75%
1.00%
0.5%
2.4%
5.0%
0.0%
(*)
Pre-2018
2018
0.0%
2019
2020
2021
2022
% of Floating Rate Loan Portfolio
Wtd. Avg. SOFR Floor by Loan Vintage
Wtd. Avg. Portfolio SOFR Floor
* Reflects changes to SOFR floors arising from loan modifications in prior period.
** Represents estimated change in net interest income for theoretical (+)(-) 25 basis points parallel shifts in 1-month U.S. SOFR, as of 9/30/2023, spot SOFR was 5.32%. All projected changes
in quarterly net interest income are measured as the change from our projected quarterly net interest income based off of current performance returns on portfolio as it existed on September 30,
2023. Actual results of changes in annualized net interest income may differ from the information presented in the sensitivity graph due to differences between the dates of actual interest rate
resets in our loan investments and our floating rate interest-bearing liabilities, and the dates as of which the analysis was performed.
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