difficult environment markets. The March quarter you, an everyone. challenging was Thank global Larry. and extremely for Welcome,
strategy conditions, were United primarily commercial uncertainty. the impact agency and interest moderate expansion anticipating of investments beginning that investment the of rate CMBS combined the market severe volatility, illiquidity and we residential economic In At our in holding. As with continued credit economic time XXXX, States. pandemic created the unprecedented
loan and to strong value. borrowers on loans Our to lower focused profile residential credit credit non-QM with home investments
commercial borrower in higher can quality, single Our single significant on role covenants credit shaping structure. asset, we where a loans and focus investments play
virtually By and lack forced of late and agency price marketplace, non-agency, swift to declines. suffered March, and mid classes, selling to all residential in leading an dramatic commercial and the acute liquidity asset
from the Agency DUS the basis basis XXX week February XX XXX widened basis a spreads one during of January XX points points at to March CMBS sudden to in at closing XXth, week points deviation five point change. standard spread, and
points XX in dramatically CMBS from points XXX point more widening both with non-agency moves. and BBB over approximately basis from XXXX spreads widening even widened XXX basis to over Spreads basis standard AAA CMBS basis CMBS, to deviation XX points
dramatic other declines the the price economic unprecedented restrictions. governments, actions surrounding individuals closures and and impact lockdown taken to reflected uncertainty widespread by including business These enforce of distancing, social business
the also those anticipated and mitigate declines on price to business for mortgage payments of The of rent eviction some cost deferrals ability individuals on taken pandemic. reflect of impact the by and by and actions owners, federal state the as affected prohibitions obtain authorities the such to the and local
as to to points. decisively levels about of CMBS largely and pre-crisis almost example, stabilize and quickly agency basis acted seem markets be back to present are Fed The successful mortgage XX bonds, for this dust Agency
at CMBS somewhat In have however, non-agency spreads all. in BBB and non-agency RMBS only spreads triple not markets have AAA while recovered senior much CMBS, recovered
our page presentation. earnings You this data X can of find on
related in with affected, significant we to our borrowing, the how as exposure quarter. market of negatively and during of how repo a unprecedented effective to the a these hybrid and our our and assets would value margin assets – around extreme combined be economic disruptions. declines experienced REIT positioning portfolio As uncertainty our result mortgage the fair long calls
million. $XXX we and XX% loss recorded GAAP Book declined value a of net
team management on this stability, the result. are value focused disappointed very we book with As
However, as to become our are our particular portfolio. clear, assets mortgage portfolio the recovery price keenly general we and on benefit normalizes from our the in for impact the more shareholders opportunity in in real focused and environment on preserving
generated $X.XX liquidity per consistent quarter, quarter previous assets to decision plus of in share the and we the of market. we protect suspend to those relatively distressed drop help the maintain earnings, during core income these disrupted shareholder first retain and While earnings made quarter, the the value dividend with additional first to
a month protect relationship entered into other and loan consolidated assets month our exposures, portfolio mark-to-market XX of margin financing including facility of relationships crisis, mitigating the view term RMBS help entered significantly its sold financing removing XX and during calls, mortgage reduce margin term portfolio. long facility borrowings securities, a We've – designed short CMBS financed counterparty for believe to actions term and non-agency our of taken reduced the repaid associated we mark-to-market into their price term repo XX% repo calls, the for exposure an a to exposure collaborative non-QM number REITs overall market and to the a take to significantly financing generally. who well with to
terms retain supported protect for value. by of covenants We as the value serve the properties the believe designed portfolio investments, the to as well underlying collateral as are these assets and that their the in we
we actual our and security. residential view commercial pessimistic will assets, non-agency of it believe differentiation time prices an to the take of the among assess reflect impact pandemic current with assets likely overly little on While
recovery still trajectory downturn that the bearish while much the of on too believe economic prices place uncertain, is most asset and we the weight very And scenario.
reflected be the for book value the in see our recovery expect more significant As potential as underlying we result. a we to get fully clarity, Therefore values in prices. more we
REIT a industry. challenge WMC for been mortgage and XXXX entire the huge has
the recover. committed We benefit portfolio asset for the the are protect to to necessary meaningfully taking shareholders our as to values steps and opportunity preserve
as to economy borrowers We provide believe well as the significantly focus will our opportunity and diversified recover high as on for our approach assets, our quality recovers. the assets
on appreciate we seek on resume fellow protect interests. we our extraordinarily to the As term objectives. We delivering patience, value, reposition as book protect long recovery from benefit focused shareholders are to shareholders, company shareholder enable your acting to to and
I'll turn that, CFO, Lisa to over our Meyer. With call the
