Reserve reflected has the call. listening begin the I'll been John. with Slide good hawkish significant treasury yield Federal a shift to X where left-hand chart, morning to curve. Thanks, in towards more the on And U.S. everyone upper the
continued U.S. quarter, treasury of the is for the X.XX%, yield curve March. yield from maturities now this of two The has Treasury end As with The reflecting the while the the flatter of to began fourth the end tighter Friday. underperformed hedges indicated rest front by ended flattening the consecutive three-month XXXX unchanged have second SOFR to our in January, how basis the yield dark quarter the blue value hike only curve XXX ten-year upper the price rising line, points U.S. largely a that points right-hand to those policy a XX-year basis funding our past climbed the displays curve between basis basis Treasury March twist chart flattening two-year XX negatively point XX two-year points fourth book fell quarter, X.XX%. yield quarter. The short-term and yield by basis U.S. impacted longer-dated the as points of the yield in while to the with markets started curve. in XX-year X.XX% The during during to second the XX monetary
chart September. to left-hand a this the hike for sharp this the Fed increase the in lower relative calling which contracts, climbed of XX% Since interest Funds now in in than January, rate the January, a futures interest point of the with at market-implied greater hikes basis expected the of While end March. by XX details rate seven five approximately XXXX changes end XXXX end one rate were hike of has a that chance was in hikes year to the
quarter $XX current adding the the to tapering, of Reserve for commercial likely Net to the RMBS demand continued purchases estimates the billion purchases was Reserve this with in most despite dominant slow sources cease range net Federal of the onset $XXX the While banks year. billion bank still Agency managers Federal the money leaving for as fourth during from Agency RMBS billion quarter. of in commercial $XX and of will March,
reinforcing generic in detail aggressive where X, RMBS the performance Reserve and for coupons, X.X% Moving November more X% weeks the half and second the meeting purchases. left-hand in a continued FOMC minutes quarter, asset reductions as the rate of coupons first line six with in hikes the the particularly Agency Federal Reserve's underperformed balance the those three the In quarter sheet XXXX year; RMBS the and Reserve show December from plans; Federal fourth highlighting signaled more released indicating we gray. versus X%, of this earlier sheet. asset time since provide likelihood meeting interest the All meeting this tapering during January the Agency minutes the on week, hedges the Federal increased balance the of XX-year beginning swap the XXXX January on This outright Slide the of by chart, upper from underperformance sales in of has to indicating on market. some we the discussion and of FOMC in
regards continued the asset sales case to concerns base to Reserve sheet potential by via the reduce portion Agency Federal is monthly to subject expectation outright While the RMBS the recent market of in balance paydowns, for in February. to the caps, seasonal earnings higher mortgage led the have bottom chart, of supporting prepayment Positively, slowed company. Fed as shown modestly activity slowdown and underperformance speeds, the left-hand the have in power the in housing rates
higher in should persistently the have some indicated from quarter and continued supply-and-demand on in In remained although significant chart, mortgage combination lower-coupon the quarter. detail attractive markets given deterioration increase and and dollar we during interest in of X.X% reduced TBA speeds, trends production challenges XXXX These given the positive rates fourth persist in pay-ups right rates worsened We portfolio Attractive fourth XX-year the coming allocation activity on roll total in also in the Slide rates financing the sales RMBS year. technicals expect chart. implied over few continued financing as into coupons the negative of weeks. X% the TBA our the in in slower the X towards financing past securities Agency right sector. months, rates and a provides through trending on the implied investments with bottom resulted paydowns pool quarter. coupons this lower-coupon the decline specified top collateral, second rates our notable a However, and outright our lower-coupon on
relatively earnings funding the robust the prepayment capacity attractive and remained While slow speeds. through company of markets
to holdings addition, speeds rates. approximately the portion overall attractive on X% allocation, point lower-coupon pools moving modestly moving up X.X Despite our our falling rotating into mortgage XX-year pay-up X% holdings specified and for of as a X.XX to points pool stories. specified fell actively given we declined, average up coupon, prepayment continue coupon demand from X.X% and higher in to in our weighted collateral pools and In XX-year more specified manage
XXXX year-end. on this slide, has noted previous average from trend the weighted our payout point into with continued As another X.XX approximately declining
RMBS climbed securities low TBA with remain to X.XX% holdings the to yield our holdings X.X CPR to our rate on climbs X%. the our the end, speeds prepayments from to at as holdings low average year-end Prepayment four increased points modest quarter declined range as increase overall XX% on the allocation mortgage on for to modestly weighted X% a should quarter. as basis Agency as of TBA higher-coupon from the portfolio. The Our XX% reduction combined to in
ROEs the coupon stack spreads specified lower-coupon attractiveness dollar market ROEs capacity seen coupon the on of in believe dollar continued support pools we the And TBA, have production we rolls and pool roll in specified climbed low pools. are as Fed in the continue specified of the into spreads digits. trend believe TBA dollar have months purchases pool We coming converge collateral opportunities. earnings the Although company. attractive to the wider mid-teens, represent the roll the a specified and while ROEs double in Current in in on investment reduction wider opportunities of given decline higher this will and
the Slide X, $XXX CMBS representing portfolio. with investments XX% credit on Our million remaining nearly of are non-Agency detailed
allocation overall. credit during quarter limited to with Our movements remained the no and asset stable price sales
profile securities with XX% we remain credit the or of holdings. higher, $XX of comfortable high are credit remaining with our remaining Our and quality A million rated
these attractive attractive as unlevered price limited held believe appreciation, provide XXX% yields. unlevered Although are basis assets we be on near-term anticipate continue we an to holdings, and
swaps The associated dates pool borrowings we chart our $X resulted as on at Slide hedges rate interest $X.X specified XX our in basis in collateralized of floating fixed starting declined a additional XXst we fixed/receive SOFR, left. $X.X in as weighted holdings. to given starting curve, as fell elimination And by notional credit details shown out rates our pay and reduction to also the order both interest billion rate further floating upper billion swaps. given In book on to to the XXXX. points interest billion swaps to funding rate modest quarter reduction declined yield hedge our Agency transitioned in exposures continue LIBOR the which net those LIBOR rate the RMBS of Lastly, forward to X hedge the from in to spread. agreements Repurchase average with the fully with notional of of book interest December hold end
average climbed begin markets funding in a to points to have of the REPO cost policy weighted months. Our average in modestly as X price and higher weighted monetary the currently to approximately X.XX% increased basis coming X.XX% tighter
supply-and-demand worsening believe wider in scenario lower the Federal during the leverage begin To quarter this near X.X in the purchases a value to persist, from are current pressure basis declined runoff has Our as times expect Agency the in exposure we context XX spreads given Reserve in to when positioned fair on that term in led year-to-date. pressure in our spreads to market we to remaining is specified balance challenges economic likely are runoff points payouts conclude of we the middle Agency and remarks, and leverage of is of continue The balance significant we net widening to to pool set conservatively and technicals approximately prepared levels. March, our as from maintain year. debt to and collateral including the book TBA sheet equity, year-to-date. The RMBS wider RMBS sheet decline value; conclude
year. of attractive for the the positioned now will ready will the take and in for likely While we future. to will sheet your do conservatively low probability believe a support the Mortgage inflation balance Q&A. open an XXXX advantage remain In sales this we Invesco points to from second entry would elevated, more remain while outright event remains Thank of meantime, as this event for outright line moderates we expected sales option and to if inflation be not expect a remain Capital, Fed's in continued half and the you
