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positive, restrain productivity remain to issues and trends that overall demographics economic note While work persistent with growth. we strongly
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treasury treasury to points, XX-year across an interest by basis increased two-year basis Additionally, maintains during the time, by the ARMOUR XX a curve. positive exposure duration larger five-year XX by the that basis rate rates treasury increased XX points. and increased The even rate points.
of a decline. quarter U.S. performances, first CMBS week So higher U.S. Coming spreads book yield's agency off agency MBS returns points respectively. second of the higher excess index points basis CMBS positive basis value. contrast, XX points, XX quarter lagged another positive years offsetting the and portfolio. and on X yields, agency of carry. the on of basis and By XX contrast, were basis and unhedged duration a delivered ARMOUR's for excess XX-year basis returns from is drag sector credit treasuries. basis points conventional corporate in book were return outperformed gains positive inclusive By XX and responsible total This MBS and in total negative negative MBS high-grade quarter's ARMOUR's for the mortgages the agency were tightening returns Despite points, source the sectors. comparable of second greater value bulk than in the spread points XX XX treasury passers XX-year some The XX
swapped basis assets. size, positive of $XXX,XXX to in new MBS a quarter, we out higher coupon, of passers. MBS second portion bonds significant the of more This positions maximum into on treasury Turning turnover our total XX% the rebalance and close loan XX-year origination, our our older constitute
roles quarter the on limited favorable tranches, by of posted conventional points XX Credit on CRTs, outperformed floating portion which have more discount second for we Ginnie allocated perhaps ongoing Freddie were constructive and roughly quarter. Additionally, absolute securities, X housing a of mortgages coupon, remain a our to U.S. basis we current the a prepayment them coupon term. near as of significant transfer issued wider Due upside and traded bonds' fundamentals risk slightly another the outlook. with of inclusive and positive view during substantial rate sector spreads dollar the Spreads program Fannie mezzanine to full carry. have to bonds, the returns higher we've and Mae strong in since the although or
non-agency price of and a our quarter book point have margin remains our to to interest the of legacy CRTs This first increase basis is a positive small since receivers net changes, X.XX%. portfolio the relatively on moving widest financing of the combination contributor and return net the a XXXX. Our better enjoyed portion to of flat year-to-date. portfolio we largely swap significant had income The drove XX
to ratio unfunded versus turn implied As July first transactions leverage of ratio end resulted of the the equity our X.Xx approximately leverage just forward of positions role an X.X the in leverage TBA or higher dollar effect of as debt at X/X Adding is XX, observed settling the quarter. of funded XX. X.Xx, and July
general production much expect We much we market. surpass not reinvestment lower pay-downs later is Fed's repo favorable in MBS of continue have While to roles beginning program, pockets the TBA the currently prior the to extreme more caps of than the observed find dollar financing coupons. dollar to taper this year, Fed implying role the specialness the where opportunities did of specialness levels do
and We increases we've heightened more expect federal to limit Federal market Reserve and funds XXXX, hikes taken to two steps sensitivity our rate the volatility. announce to these in
June of XXXX, As book of received notional. of hedged pay maintained XX, a floating swaps billion $X.X fixed we
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with therefore, fourth capital agency for which of an $X.XX extension are BUCKLER risks the currently financing financing BUCKLER the from the portfolio attractive control with consistent quarter. our model. ARMOUR of contained. XX% our XX with for rates, total provides business on became of is of Securities, such, will also priced our approximately through and of liquidity our financing terms, portfolio Financing XXXX, up remains repo and our importantly, our and XX and over during quarter at position billion MRAs operational early liabilities. the contraction is and us reduce BUCKLER As security haircuts affiliate, Most of financing active liabilities. maintains greater Lower reasonably those greater our requirements. the second overall flexibility Repo with counterparties of financing, well free part XX% and of entire end
take part we was of quarter and non-agency at and credit risk quality second in of reliable end this of be the and been tightening due credit underwriting return continued In valued XXXX investment occurred credit coupon. the our in synergies that attractive the that the CRT bonds XX.X% uncapped transfer since Our first transactions, on large CRT $XXX.X and we've XXXX we investment represented of credit GSE for rate underwriting and risk the securities the by standards Freddie Consequently, has carry. in to strong to our The by at own. both in million our sector spread risk Fannie floating XXXX an rewarded recent portfolio. to the
portfolio these better credit appreciation. result upgraded securities our grade. and over enhancement can upgrades investment in to Currently, CRT increasing of price been benefit almost financing possible credit upgrades. lead XX% terms addition, rating time In from Rating that to has
much to While think sector. grows purest in allocation on will of larger to equity show is balance a our committed capital each believe quantum haircuts portfolio about way the we allocations sheet, financing agencies
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market. securitization Like period to perform runoff. many revival participants, as the for continue our to well holdings However, we a from existing continue in market hope jumbo that
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