Jim. March. REIT the as but at in financing average historical in signal by an down mortgage period inversion the market, of believe Good below to first some XXXX cycles. a XXXX by also a lows, finance sharp in and and improved X.XX% in a well raising absolute reflected not the the their move rate Jerome the to Fed at volatility large Powell, turnaround drastically. was of soft increases from of markets yields oversold Mac Freddie moment December's script left REIT highs of economic in the the rates levels half conditions, equity on risk A overnight decline three-month from to lower Despite National Thanks of ARMOUR continued percentage indicators ultra-low since more dropping such the did reverse tenors, rates treasuries sees rate large had rates. officials’ the the further shifts and index sea the financial and was of Fed index. market valuation the XXXX. predicting morning. The quarter mind. longer change for a funding XXXX outlook is follow in well. in and finance market tenure dovish end yields, cheapest by of an business mortgages tone the officials early pickup survey X.XX% Responding the dovish this the follow mortgage rapid Fed of MBA versus of from the significantly that XXXX, XXXX. treasuries on treasury opportunity of recessionary point attempt X.XX% in tightening to landing move significance nearly events just in a for low this as a in down Chair, yields of In appetite decline contrastingly reported on to we said It by highs bond rates for in X.XX% muted, remains tenure not our the for early historically, some for activity in in
pools, CMBS March XX. X.X%. The for bested be of return return pivot points CRT dovish the the XX highest the in positive treasuries last points second most. rallied expect treasury from basis portfolio, we rapid to and of equaled basis to a we quarter underperformance enough and positive reported in cash Indices declines than the We The flow spreads quarter XX-year in in due duration or lower of XX foresee or run its alter total in significant the should total Barclays MBS the our by of of some by refinancing official XXXX. to protected equivalent While where do our proportion we housing lower of X.X% rallied X.XX% not duration XX basis points, by Bloomberg policy a MBS in credit. as feel are bonds which mortgage index XX quarter our The the Spreads The be scale securities. first duration since rates well treasury positioned prepayment as sharp MBS positioning. yields increase current agency negative bonds grab for fuel term on would funds. activity, prepayments convexity DUS return, like a posted coupon a three-month Mortgages better for near turnaround hedges total fourth the basis
Newer by as XX relative vintages from reversing outperformed to the XX MX basis more seasoned their quarter. cohorts much underperformance points, fourth as
but strong fully issue may we priced, valuations market the provide view for our acknowledge that support last a to market and tailwinds new conference noticed as a CRT of As in nearly call, while. strong participation we housing
overall; our XX.X% agency net fixed year. we swaps; was of our rate any XX paid points, negative basis position of maintain You can asset our repurchased of of fixed, number a first X.XX negative as end follows: floating of are net covered the portfolio negative a billion This quarter not the but in highlights X.XX our does no-show; was from hedged view book an the positioning ARMOUR’s include received were effects swaps repo XXXX our we as at $X.X duration liabilities. increase duration by March XX-Q, of receiver
And will the quarter earnings second of Our $X.X spread million. that DVXX expect as March our during core dividends we XXXX. of cover was XX
X.X forward settling and March ratio leverage debt-to-equity funded As as our positions the leverage or an resulted in March approximately Adding leverage dollar-roll in XX, times. was transactions implied of of unfunded X.X TBA XX. of times approximately effect of
in CPR few fourth favorable rate than the X.X at we years, financing decreased on pockets from the are TBA average past While CPR where continue specialist The our market. the observed over general no find to of levels X.X of quarter to the collateral dollar-roll more first dollar-rolls repo prepayment quarter assets is in the opportunities XXXX. longer agency of trading
remains currently repo as the pick we MRAs of with up for loan CPR expect our ARMOUR reasonably model. XX. $XX.X with X.X value. at June signed and refinances increased financing to is another paper. up lower March, balances financing April in and to with May billion portfolio active addition lockouts and was through from Approximately Repo counterparties prepayment XXXX. contractual our consistent end priced DUS REIT as or assets in composed agency Total of repo our is business XX Our prepayment in protection the XX% of and prepayments ramp has
liabilities. repo XX% control securities BUCKLER greater through of of BUCKLER provides with liabilities. over position Financing entire agency affiliate our Importantly, XX% is our portfolio approximately financing our and us our
quality nonagency we end securities Fannie Freddie of own. risk in due GSE floating million XXXX credit in the at in underwriting reliable rate XXXX transactions, XXX were the part represented take to portfolio. bonds standards risk uncapped XXXX credit of investment Our to at credit the on the risk for In strong that large CRT our CRT return of valued XX% to The has our and credit be in vintages and transfer March, underwriting we continued coupon. an of
million grade. securities time lead enhancement of XX% been investment these addition, Currently, upgraded resulted can possible we legacy in in that appreciation. of At CRT opportunities end financing benefit upgrades, upgrades this asset to class. ARMOUR XX.X see the price has terms investment credit rating of our March, portfolio nonagency from for over to credit better few increasing very Rating and In owned RMBS.
from well. that period our perform holdings to However, continue existing
scale, keeping market and remains double jumbo again, on projected spreads XXXX, tight. a low versus non-QM historical the mortgage is, nonagency issuance Although, very to issuances
Given in nonagency credit valuations in opportunities the agency markets, we see mostly collateral. the tight better
market past over tight spreads leverage few As us we're with modest years. tailwind. continued on They our stance a In quarter, we we relatively in increase with unusually second in sectors. levels low many environment, provides accommodative the the Fed see comfortable enter the beyond this our in trading a
they We as to capitalize opportunities continue may to on capability maintain appear. the
that concludes we through seems prepared now our duration our selection will hedge remarks, volatility Operator, we'll modest our maintain questions. While subdued, continue book. any asset and take to
