Bill. you, Thank
Turning financial for results quarter. the to X slide second let's review our
our at share XX management book from increased XX. share performance specified value portfolio lower with $X.XX on $X.XX value $X.XX been payups per by Our costs by the was anticipated Including from the June value and have compared pricing and return share per offset previously per book speeds the to March of positive growth fast a pool driven Quarterly representing book on $X.XX was RMBS agreement MSR was recovered forbearance. onetime associated as book value. would of termination X.X%
Our liquidity remains with unrestricted strong in at cash June billion XX. position $X.X
minutes transacted in position few Moving of and our in volatility was ago to a time rate let's the a some slide our six portion into March spend higher environment. swap discussing market Coming significant swap payer a position.
value these would of the that end As rates you fell approximately payer was expect of during declined by mark-to-market as an the unrealized million. value the loss these positions positions so QX, in of quarter, $XXX
entering terms replaced some swaps. offsetting existing our payer that selling with of by to As the we delevered in duration by we March positions swap pools,
leg that created new for at a LIBOR the earnings was time, to happened at be elevated of and month in which swaps drag three-month it the QX. this However pay relative where rates core to the was earlier
large costs indifferent core taxable we materially correspondingly to and negative QX impacted or margin, negative and values, income. economically, with net swap position positive in interest Although are swaps values mark-to-market large with earnings our
the at restructured swap and we the entire portfolio positions quarter, our at market end growth second current compressing rates, Importantly, notional. offsetting overall reducing of
gross from of cost zero. down reduced something an million this a $XXX As to near $X we projected you from swap billion can of and notional see net be to annual billion our cost on went $XX slide, to
$X basis swap position total. point is remaining million in per Our
However RMBS has and the order the of position hedge part the fixed yield receiving in the in curve in fixed MSR longer curve paying of part duration to portfolio. the residual our and swaps swaps of the front
opportunity position to repositioning, entire this during we LIBOR took swap. convert Additionally, to the of swaps instead the OIS
increase of interest future years. expect net and actions and in core will margin earnings latter half We these XXXX the
X. slide to Moving
earnings and Let's were earnings quarter. the as the negative Core first to primarily net were income due per $X.XX elevated legacy in coupon and just quarter. discussed agencies the in our results. by core second sale of we interest lower costs discuss impacted higher swap share Core earnings non-agencies
guidance have core earnings don't do going we provided not to typically So so and forward. expect
conditions, core in in assuming Given range difference to in and to the of the composition. in be extraordinary $X.XX the $X.XX core we quarter change no market anticipate quarter earnings portfolio earnings this current third
nor not to ongoing messaging have earnings highlights Core power our is a This level. compare portfolio for it is our to earnings we years. what measure indicative the necessarily good necessarily dividend many been of quarter of again
that result opposite earnings quarters will and and situation excess have a actions as portfolio in our core dividend. beyond earnings QX power our will where the our we in in fact In prior to expect of we portfolio, of restriking be swap
Turning to slide X.
and in QX primarily the yield swap elevated portfolio by in our decreased yield and from X.XX% Our X.XX% portfolio quarter sales driven was net to X.XX% costs.
portfolio held you As roles see is net on can X.XX% dramatically of on as and June XX slide, higher to our restriking due continued estimated repo this yield swap favorable terms. the at of
and and RMBS in discussed, position a in still to quarters. now very exceed our position them portfolio yields anticipated expected rate in are are which small purchased. just most we higher reflects yields our swap core returns As Both of coming environment is the accounting earnings
our to to consistent levels converge As continue XX. start are expect slide return older sell more and asset should and June our portfolio summarized newer rotate market low market rates our and move holdings portfolio of decline expectations. into yield portfolio we have that financing pools, to to coupon net of some yields On X, we we the with to our asset our as
at times. X.X March times at was And times to was Our debt-to-equity end XX. economic X.X X.X compared economic quarter our debt-to-equity quarterly average
and we shortly, agency XX discuss in term the had markets been will leverage repo repo maturity to have XX, At half markets a weighted average of X active to June have we increase The second XX the redeveloped. days. stable a with plan to times range. As of we with counterparties our X target XXXX times
of as million end quarter markets $XXX.X maturity and However, XX developed average term bilateral MSR outstanding I days MSR term to structures notes. Across since we end that would facilities, have our has note in as outstanding weighted of July. extended our further the $XXX million had
June XX, total an of our quarter $XXX financing MSR additional capacity million alternatives As our million. MSR across $XXX closed facility. we Post end was financing committed
a another additional growth. We facilities that facility and sequentially final working us the support of portfolio future These closing liquidity provide stages default are will event facility servicing assets in of MSR and servicing forbearance advance-only the also with both in on are finances and increased or advances. MSR
For on XX. our see slide please appendix profile financing more information
taxable income to dividend XXXX. XX. Turning and like slide to We'd address some considerations for
the in rate. rather distribution can stockholder Return generate constructive a the the whether of tax, but economic the income of of characterized net tax reduces for long-term future economic or to first gains capital to by on basis loss a capital little about and for subject quarter, concept be result capital realized by is to not tax not rules. a versus the distributions distributions REIT and in rates tax benefit as and due to a purposes. sale of from concept deferred recognition is stockholder, stock. operating tax Return to until distribution as reported likely is As current such stockholders anticipated also differences reduced events says potential common of an earnings Any that may return capital is returns the tax ordinary to which is tax the be are XXXX a
As subject function be our QX we anticipate consistently to transition we approval sustainable giving several discretion factors at will of self-management our before effect and have the dividends of the and expense a in portfolio conditions. market of power from we level level and messaged QX Directors expect Board to is dividend to and QX earnings savings current a of the the including
words Board on and initially about let non-renewal Lastly with and on April few June this XX renew The contract nonrenewal management announced $XXX QX. the plan associated XX over in be as Pine legal not was payment. subsequently the say signed costs When the payment based River a it the as million $XXX.X me non-renewal Directors to advisory calculated payment at recorded at required to results. well million were of estimated
As it announced Directors which to I Board that cause agreement update. for with the overview Matt payment. call termination the on subsequently market associated no portfolio July terminated With of over Bill a now XX will the and turn management and for carries
