everyone. of and that at has least online hope and had today's slide a you, Operator I our or Thank chance be deck focus the will call. good morning, everybody to download view
the X, Page of on start will I always, table As contents.
Just standard of discussing to what we today and you an give outline will this format. be is the
words the positions. I will see we I developments counterparties of talk provide overview about then, going characteristics, of then financial start And And and I for over at capital the off XX, a then our us ended will forward. an will credit summarize market our as and portfolio during financial few the XXXX. outlook results, by and about end our outlook raising September highlights hedge our quarter going activity. of market review course, and it quarter the final
$X.XX. share Turning a Orchid generated income our losses on per the instruments, net to GAAP derivative financial including quarter. net X, net interest in interest loss on basis unrealized Slide for a losses $X.XX gains and our highlights We rate of from and incurred on realized RMBS swaps. and
on and rate these realized Including excluding were unrealized and income per Earnings derivative $X.XX swaps. RMBS interest same instruments. losses gains share net interest on and
a decrease from or at the end Our the $X.XX book was XX. X.XX% of share $X.XX value $X.XX, quarter of at June per
on economic public reduced $X.XX dividends our subsequently which Company that and negative which declared speak third The our declared offering dividends a return in the the July end XXXX. initial year-to-date quarter will the X.X%, the issued X,XXX,XXX have during million share for near the in shares was During presentation. shares of $X.XX, X.X% Company to the we bulk of quarter about share, paid or $XX.XXX of return seven per per specifically The since were quarter. and of offering, late The fall I of X.X% annualized. and on
X. Turning Slide to now
always, will The closer group. our group. peer peer our entrants As changed is makeup firms the either have has versus of strategy below left results new over in the acquired been It provide been we time the footnotes. peer space, that a who listed group somewhat have little in or our, fit our the included as
data companies as one always, we do the since have QX of We first are not to report.
somewhat it's bottom second group. are table, the back us and quarter So we for first we and at our results the show the peer looking of
quarter the notes by quarter, XX.X% peer versus we Since methodology February calculation inception trailed outperformed X.X%. the by well. XXXX, in of as The peer first our the we of our The average second described X.X%, in our generated results group in Orchid X.X%. return of of
all years, quarter of really on treasuries. you see left nominal the is what Turning as we market side Slide benchmark what in X, now is been the developments. the a treasury we observed can on continuation what show the curve, going to
swap right curve. On the the is side
become down is is the see was a which of end line, line, and the the of blue to borrowers and quarter year, can result, you with green rates continuation have are As line red curve the of longer the lower This means since which that lower. lower the rates securities the investors. and the as available end of in we progressively the term mortgage-backed inversion a
who and dynamically of with. are Throughout showing of had And the the volatile the was full is this that the deal here story. some levered the and rates. market we hedged, This what mortgage quarter presented to ending extremely really doesn't meaningful beginning challenges we is investors and kind tell what level for
X on at you, and X. year side rates with Now look on Slide you benchmark Slide the the the just a changes left if right for two quarter shows in look-back. side, these the
the year look is two of happens. illustrative more what think I back somewhat
You bit quarter can - the case the treasurer the distance see volatility in XX-year throughout you which basis was of quite swap case, range, in points, traveled treasury much either XX it's the over but low quarter with the whether the note, to for the course meaningful any quarter, is high the a of more. treasury had was XX-year
meaningful As you we had rally a August. in can see
off sold September back. subsequently right In the and then rallied early
occurs the mortgage been as to ratios shorten, quarter securities turn and as profile it's the dramatically meaningfully the this means occurs own, mortgages change your duration, off, lose can and change quite the around their that flow we rally, opposite as volatile challenging. flows projected a you as attempt also investor. and result, cash cash change it So dynamically the can a a you sell very be run you as your again cash flows hedge This shocks of can when hedge, as on,
XXXX the but XX across CPR. We mortgage also paid not and realized just very the universe Orchid at cohort certain fast of XX, XXXX quarter X.Xs speeds especially in fours which during and plus and coupons particular
big of they of performance did the TBAs seen were poor coupons haven't drivers, that are asset in since like very kind those the production XXXX they quite sector, speeds classes poorly. and We
just you represented had Slide quarters now, shows table now XX-year the Turning as curve treasury the by five we X, year note, the slope for this of the bond. to which
spread. line, this bottom, the can you As on is the green see the
trough, back over XXX Approximately points. basis and points was the XX a basis of a era a hit it little Way ago. north year in that XXXX
only recovered modestly. very As see, can it's you
to In fact, recent in the it actually started most quarter, decline again.
with are still So we very environment. doing curve flat a
red for is the Two want a the Then highlight coupons, talk showing case, the bit X.X% In on. the X% I XX to XX-year quarter. and four performance little are TBAs so about Slide first. is we this of the coupon. fixed-rate things blue
which The the is X.X% the for star modest Fannie coupon, for low three quarter. is was coupon. versus line the outperformance very Had a blue the the first hedge ratio The XX-year.
we were year. coupon. the As slight was That the second discount the quarter of in
so of the the chasing extent market the had class. be were asset choice. coupon in and That people would in duration And to rallies we this
have poorly quite into X.Xs as got did to mentioned August, of and We approach course, higher the The and rallied. became of market progressively performed coupon then fours speeds. I price and extremely because premium and X% $XXX poorly
tale X.Xs is so shed, choice, was quite there. it really kind was others coupon performance is of bad. the were two So of of the it upward coupon, stories the their
top in total these same show XX, the coupons change quarter. over Slide four on look left, we the we price If
As X.Xs actually the up XX poorly of you the fours XXX ticks, and belly up in can it coupon ticks. neighborhood X.Xs see keep but was were mind quite two treasury, the in did and XX core, over XX-year threes were the up
So the off just saw have and meaningful given underperformance, up quarter-end, some which they previous we market the has performance. versus table sold on Since hedge slightly the ratio.
the typically left, in with the with On but bottom quite a the not our market, we bit. of used coupons many Orchid show market with is roll peers, same the much so four roll
rates through the each implied is of when speeds see equal coupons financing most in above rolls financing the source are now, lines for here is not implied predominantly at those a That cases, special, these you trade LIBOR. And much really financing a of case It's well coupons repo, these at best can cheap are further to it.
of And more source terms for financing really, or table of in mortgages. a now cheap so that as strategy that is the less off owning
you of would with TBAs. performance As expect the
very well, have do well of On robust form will the right call and done very, very so pay-ups have and hand ups for probably pay pools robust those it's - continue or fleeting, done to whether side, protection specified so. not any very
on is to XX, respect Finally look-back. mortgages. one-year Slide with a This
we LIBOR are you and high-end at near that at We just of is very mortgages. way this the see, looking And really TBA at of looking range. or are as OAS one can
at at actually treasuries quarter. much priced cheapened coupon coupon blend this five mortgage for widest mortgage $XXX the case is so even the have spread multiyear XXXX. of mortgage, In to levels since XX-year or the instance the treasury, are current coupon out you in current we very early wide, the mortgage so of look seen XX-year current the or the a of year If
returns Turning returns high mortgages, to so. now if there just have Treasuries, The year-to-date XXX dominated, a sectors, top S&P very yield well. and Slide corporates, is less very theme agency, a on here. It's show the performing we emerging have investment XX risk market across sectors. assets mortgage grade corporates, done highest that much
assets riskier yield corporates well, the have was poorly. sentiment different, best done a market some or less of QX much like high emerging emerging corporates performing the on and risk done still market the while of S&P and sectors other investment grade have slightly
fact, been the corporate the has investment-grade really In star market.
the a at or data, positioning In fact, classes which the and measure, XXX% from are most DTCC, recent client ranking. is asset dollar dollar amount XX% dollar those long denominated data
So mortgages, obviously that same category. in were not
market XX. of for on is quarter market the Final the the guess measure, I Slide Vol
can Vol so August. Vol very starting come As spiked especially were has off see you in elevated, measures and early in all quarter. much of the but some has since
versus rates September about Fed Slide time This think it's just happened month XX. in talk what point, really started talk funds. short-term on one XX. in market, has about this I markets to funding opportune been We all the at LIBOR the
obviously is very mortgage meaningful investors levered and development This a as us for basis.
a we to Fed to they their be down sheet reduce to bloated more would XXXX, back balance began know As level. appropriate what all it the in deem taking
that case not a during the XX, really overnight and the found uncommon. we was. financial unwillingness of And saw and But rate Nobody were we repo, of is in that much market reflects, liquidity what spike in (Ph) I rates so out, when on overnight really think not had to September in lend which repo this crisis. we fact [SOFOR] the what knew funding or exactly saw around shortage we X%
to supplemental end This was whatever G-SIB crisis, to asset year-end to of case case to whether it's the an driven was or and a regulatory the the users, reserve extent just in of quality funding ratio is a the an was that liquidity this just inability or get test. large by since may test liquid the just end inability developments there high scarcity a financial be lend,
get when into of and September enough ability since on just Fed announcements. occasions, this made not funding as risen announced liquidity meeting, then really had some Fed to week, has the first is have at that been result. course they The hands appropriate rates XX. their a several measures meeting The an on have started they a There responded
more been NABE formally considering, those later, a taken. few were some they the this gave Chairman week there more on speech has Conference days the were steps a The steps at outlines Xth, October announced even
reactive characterize So while been the on. is going extremely response aggressive. the Fed I has wouldn't what to is
They during are not get appearing of did crisis this. to much the take financial they in like steps front very to
in forward, they don't little of so But just still be, most And just terms I there see more a going wish market how participants aggressive some I in effective into this think evolving think, is that they I crisis. doubt a will were regard.
terms of it It means in funding has us. In elevated for resulted what levels.
of basis the basis basis year half running higher. to a points, basis their the Fed funding one-month cycle, XXX was XXX If around points on first points were you points points go basis easing back XX started and had we XX Fed to funds before about the
of where somewhat point, that maybe points has now is the month, But spread is basis above levels place, target. XX for moving Since so Fed then, the so XX a funds funding basis one in are increased. Fed
has So basis while the around eased XX points. Fed
funding to costs. only about pick able We and been lower XX basis up have point
that I less stay Going that same. would more forward. assume would the or
Fed reduction other words, were third the if basis in and of points. time So were XX the ease total
XX I of to same still kind that think keep around we spread would XX.
some still result have lost effect but of we ones is benefit, net these most So of a as the get developments. we effectively
that time. mid-threes, market the top is the shows end the the just the for XX raise cycle, nearing right the two of never kind beyond ultimately. the you additional really Still the of in up hikes Fed expected evolution much Slide rates to and Fed. The tightening the outlook of got at the
$X, it more September in is course, this Fed easing now times $X market slightly least recent disagrees most over stripping still the rates two up XXXX sentiment, sees meeting, that the with Of we strongly didn't at know one or at has that occur, Fed of times.
I going with There respect especially say to forward, fair amount Although still next is week. would the of a Fed uncertainty.
that other this most market expecting they think done likely to lack ease, by are is all for I they implies driven call Fed that And are would now. ease they within in are will hawkish participants I the - consensus of think provide some close may a words Fed. that what kind of the you guidance
the schools one a ultimately two so factors, still the of and strong is market inflation. focuses kind forth, other of is is with half outlook thought, domestic unemployment financial of There rate stress and the abroad GDP global global and growth, economy. The simply economy, domestic level which and growth on can at more little and the looking which affect other
the outcome seen. of that be kind So remains to of
quarter, a So to return hedged, much would year-to-date a you this for say only our investors, quarter is summarize as are I very our and dynamically mortgage if X.X%. all that was this, tough levered for especially it results result,
attractive coin valuations. terms that point an I I However, we at is opposite that think of are mortgage in think of side the
people asset the classes most at cheap. this I extreme think view
There mortgage for performance supply space day. high to reasons, very had is and good additional cheap poor, is may is be mortgages we some speeds the billion levels, a cheapening three have room billion five and of for TBA
For to place it. good managers find are out not there chasing asset those duration, a multi-sector mortgages
growing And we bought or quarter. as But and turn a the form we issues. the have repo are sense and to sector I think bottom there said, at some is that are of I near that plus the we out is
higher I to get that bar think quite the for speeds high. speeds, meaningfully is
and it's at I of seasonal rates while the low turn. have it's to exactly us, been when out easy ahead to time quite a low that the burn going We of necessarily record think essentially period for time, not effect rates,
I asset is classes about with the extremely asset I very have points forward made well. class, some favorably which going outlook think and asymmetric the sister done coupled of other
comfortable mortgages environment. As in feel owning we a result, this very
decline. the value a As result book of
are keeping creep ratio there. comfortable than it little had been, leverage it we Our a higher up but
of chosen it at ratio. keep So not this the a sheet balance we have reduce type to to intend and leverage
reasons. these For
I this pivot for I were would for in with quarter. to This XX. the pass-through and results big start space return the return the start sector, starting pass-through were XX% with the will pass-throughs. At portfolio this, by Speeds speeds about first like the We point, and our generated Slide of side. the talking driver right here. is quarter. plus X.XX%,
securities some performed to respect did and high, the a rallying asset of with could The very point amortization, in the you pain. premium at around classes argue result, kind IOs was Labor particular of As speeds, maximum a amortization very, market course, very fact class fast. Day, that With poorly. the IO point structured of at sector poorly, in
potential, and the level get to couldn't very as us hedging them view buy We any good because that the a a since and them, desirable offer arguably now extension positively cheaper they just that then we look people we them as at they to increased, actually where when cheapness they that hedge. convex attractive extent use as is was they which we really from speeds point extreme such them to got were a instrument as view what of
income to side, the you our basically you the left Turning for income peers present which do. do proxy sense that they now see if core of our is core column, in look We hand statement. that what effectively just the is, We most our that here, same is to take not use. this last
premium expenses. was dividend And would we everything we speeds see in don't I gains unrealized just parse a to amortization $X.XX, our levels persisting. That G&A this due losses out and will as the and interest and moments, but expense, high extremely light, and $X.XX. else, somewhat few was income as number The be and say realized and total again from of which it's
we at think trough. I a are kind of
I us. think probably behind is worse the
yield assets. kind funding If our in of you blue here, same NIM. just green is in cost words several turn is the to our is on Slide and line is the at the lines economic picture, XX. the top This line red thing the line The the are
Reflecting drifted behind the amortization. below think recent speeds said, I higher and in the to I low a and access recover two level But that most this to expect us I and that. while been have quarters of as is the would We premium for X% worst of
picture. here, same basically just from the core, previous XX for are proxy Slide page. exact our the to On we same be drawn is in showing conclusion that
two side, capital focus did Slide I purchased the we end XX, of right we do portfolio July. as into want sold. our I get hand and to the right on start hand a here the want side, at offering on I raise, lines, follow on mentioned, activity. the to securities the
see, was in the activity you the As all pass-through can side.
So portfolio. look We at did the was any deployed marginal in securities interest you only not the in IO column. capital all and if fact buy the IO pass-through
increased investment You allocation from the the as hand fact the of combination can in XX% that was result, that when the exclusively capital a can the allocation, invested the left see on reflecting pass-throughs you of combination allocation side, reduce see capital run-off look in to that XX% of pass-through the of to a marginal you IO return and space, mark-to-market the that portfolio. losses
in Slide to years of of where a XX two relative no the duration fours added of space, the into at X.Xs portfolio in was and much With some changes. the a XX. on meaningful few years. we X.Xs. There the portfolio was the shifted This we XX-year and - end versus exposure three We the respect Now turning wasn't snapshot quarter. that do did calls so changes XX-year, trade no is to outline XX ARMs value
raise. as allocation the see mostly call trading you increase just the deployed and capital the to of the a the is portfolio. see can is as This relative is to capital I IOs marginal value intends X.XX%. That And run-off. protection reflects was there Again of result
capital did in place we When swaps. the July, in do put have some raise we
this and treasury no our increased say five we longer futures, another see word TBA position some and also moment, you quarter or swap in have As we year about a two which hedges. I put on will any
quarter-end, trying parting some Since to more subtraction addition some assets. portfolio, yielding lower with a again and and protection we few the through by of call just higher-paid have the ways to add was trades, done
high So we is do better think low going rate, this forward. portfolio to The positioned environment. speed in
leverage mentioned, ratio. As our I
Slide XX of words just XX. hedge recent finally range And XX, is on few then at our approaching the Slide high end about our positions.
the we mentioned swaps put I in the was raise. As some swaps Most of new raise we that place the did follow-on offering. capital capital through
We in July. raise. capital did that through program capital run our the But ATM incremental
We swap amount million all essentially about marginal that notional place the put a have swap $XXX at borrowing. of in notional The X.XX%. reflected
effect, on funding cost basis XX to have in less capital the borrowing marginal doing in in locked NIM or the in so the points So points. of basis XXX about at locked the marginal we more and
raise repo lock So since by funding. is not market, on and it did an the in we the accretive capital affected the turmoil
We Fed fund We amount see because futures Fed right. can the in in time the the most they you of reflecting as positions chose also Fed added had eases market. top some futures the at funds futures
contracts rate and of basis themselves there As can additional is the about see the reflect XX points you easing. blended X.XX%
few locked July. the cap So a not, words the of on but funding. what We fair next finally, be does. And may have will they after the we amount in did of rates. then a They see at just this done end we week, Fed may
happen fortunately, August were In really as the was to market, seeing Fed the lock position, were days cycle I it earnings. anticipation quickly in but deploy what entered through in to with we of turmoil modestly then the three going a easing proceeds we able starting to said, into, very was or swap we to in accretive the that able And NIM two a days.
questions. we proceeds That is able this quite even quickly, can lock from we it deploy call hope, my the raise. point, in turn funding over to timing as prepared because the we remarks. So wasn't that accretive and operator, the though the fortuitous At basically to was capital an it, are
[Operator sir. Absolutely Instructions].
of Ladenburg first question Nolan the from comes Christopher Your from line .
Your is open. line
