X changes Thanks, chart, since the U.S. in begin which year-end. the John, good I'll and the left-hand to details curve treasury to morning call. everyone the Slide in listening yield upper on
month the of XX-year year. lower interest the a rate remaining the left-hand higher twist end. reduction basis those purchases the chart, quarter Conversely, resulting flattening unchanged per U.S. funding the largely tightening regarding economic rates and yield swap meeting XX point rising COVID-XX decline month the variant, in interest the approximately the line, a and a in XX at the couple at on and note reversal inflation bank between for the points. Federal demand year hedges resulting impact weeks widened quarter the clear with year-end light X-year a commercial displayed tapering the economic Treasury at in half by a Improving the September the weeks back U.S. rates portion the first to in delta interest difference in of at falling the from purchases billion on with X agency basis a the Reserve interest COVID data, last of of the of led cases, reversed to the benefiting $XX first largely percentage curve in the in asset XX-year of third higher short-term line first the amidst and time the quarter quarter with of of increase in levels, of indicated ended concerns began rates resulting led mortgages half attractive, average XX-year signals the increased in for to the swaps. during X.XX% treasuries to quarter indications billion the quarter and the rates their spreads unchanged in and of of by compared monthly as expectations, XX-year across FOMC blue Despite with quarter. swap in during rates in modest the As $XX half a in in decline rate first curve with the The the peak per volatility
market. third mortgage we provide gray. swap quarter to Slide agency left-hand In the highlighting Moving year-to-date more the in mortgage X%, detail versus the on XX-year X, and upper X.X% X% in agency coupons, chart, generic where show performance we hedges on
rate in during coupon XX-year see, in purchase you interest X.X% mentioned indications well modestly modest coupons the remained higher the As expectations X% demand through second on chart in peak top and improved from Higher quarter quarter, as continued. as tapering the XX-year prepayment while outperformed. increased to for coupons rates right, underperformed due fourth September. to commercial increase and end largely of coupons the pay-ups, coupons underperformed and decline can relative previously interest benefited for speeds of lower during in Lower coupon the higher bank borrowers quarter fell burnout indicated and the the X% volatility. as asset the prepayment perceived and elevated pool July as Specified the as
this technicals demand activity XX-year on believe result. in term maintain a RMBS likely Slide and TBA up roll during stack, in the lower in quarter. we our so far the indicated Agency by pine in remains increase refinancing has the provides fourth of the the rates TBAs a as in in volatile, X% supportive reversal allocation our line prepayment are from a third the coupons Implied demand the recent as quarter in activity rates We and mortgage to as drifting X financing demand still investments seen protection. TBA. remain should move detail have the for We decline dollar modest significant and shown lower of chart financing attractive coupon while right-hand Reserve, with the higher modestly market, in despite purple the near the reduced Federal dampened representing market the lower,
coupon While paydowns higher pools, was to coupon in our unchanged, and overall through $XXX allocation diversification our largely allocation we XX-year proceeds exposure specified to modestly invested lower million. approximately the increasing sector reduced the coupons and X.X% by
into billion actively rotating continue the attractive We exposure within manage mitigating pay-ups. to our our pool $X.X while elevated more specified sector to alternatives holdings,
September holdings increased X.X points reflective Despite an increase as new which our as average for weighted a higher into away loan of during Our specified X.X balance of June pool from of production, market's specified the the points is rotation pools had demand from quarter. payout stories pay-up XX, of XX.
remained June improved on of noted our for a The seen average average our protection slide, yield have in average points. previous holdings X back Agency basis the to the so prepayment has far XX As quarter the up fourth in points X.X of of reduction pay wider dollar the on RMBS as declined spreads the on quarter. weighted prepayments we weighted X% lower demand specified represent strength believe holdings the and market with quarter on investment XX% attractive coupon X.X% roll rolls X.XX% and the at dollar CPR mid-teens pools. end, We while for to on ROEs our as in low opportunities to
non-Agency the representing CMBS on Our of portfolio. $XXX XX% investments nearly are credit X Slide remaining with detailed million
no allocation during overall. credit stable the asset sales limited Our remained quarter movements to price with and
comfortable profile Our higher are XX% with with and of credit remaining $XX holdings. our rated remain the securities credit quality of million high single or A remaining we
unlevered price yields. at believe near-term are attractive XXX% attractive and basis limited unlevered provide appreciation, on held anticipate Although we are assets an these holdings we
end, on $X.X as in shown Lastly, Slide unchanged X the Agency Repurchase of left. details at our funding at quarter as XX. the remain September chart collateralized billion RMBS agreements by upper book
of hold exposures book borrowings interest Given the in our those the swaps. curve, led to on point received average X unchanged yield In dates at starting out interest $X.X in modest basis the billion with notional billion remained rate XXXX. to holdings modest at order and to XX with we XX repurchase the also interest hedges our unchanged fixed basis basis remain agreements rate extension funding average of of while our associated rate rate and increase to starting forward pay $X.X additional decline The in hedge continue points. notional a floating hedge further points, a weighted maturities swaps
TBA the points Agency in performance available pleased investment the environment opportunity term valuation an are and Q&A. supply we ticked become open and leverage remain support capitalize equity for the from supported they demand the May conservatively your To position debt Our now as TBA. near company conclude XX we we Capital, for for an commercial to Mortgage will reduction future. since remains attractive be conservative investment with single exposure purchases in quarter, of despite supports with including bank in very economic relatively the nearly to prepared Invesco options continued ranging modestly line should digit and Fed during we to well believe remarks, our Thank leverage we liquidity the declines. as provides the to Spread in robust high X.Xx when our the in positioned. of believe you lower sector widening on basis mid-teens as pools third on on quarter ROEs RMBS the And attractive and specified
