Thank and quarter's largely and pandemic COVID-XX. everyone. by next good I safe be everyone is the you has affected been us. by this operator call, behind will and not morning hope been adversely Hopefully,
quarter. this COVID-XX about all was it However,
I'm the events through the themselves not follow I the slightly. slide please quarter lend flip goes going practice and as so to prior really with so, sequentially. of to me around bear The doing don't
the any what effort to Instead I'm ones slides just I on event points. do needed going support six the on in again not needed slides -- and focus to the an my cover and focus all in of is as will use main points
The over on six that main points I'll dwell happened too QX what briefly on much. focus don't one, are; in I'm going to go
our going revisit just REITs, versus of to mortgage to and contrasts. and words some strategy our kind draw pause that other a of strategy try I'm about say Second, few investment
up course and financial sorry today. open we then we to call our our back results And our come I'll world during and unfolded where and the at positioning for forward stand did the How Third, I'll expectations as events over spreads. call we questions. we'll speeds, results, results hopefully, then are of the and not going of look rates, the -- review but I'm our these we Then what the go focus quarter.
curve the markets seven good the to guess, point where the crisis is just unfolded start took and as I first financial on any. were that's treasury was want dollar financial happened what to it, place It we to curve. swap it -- the first could the the So, And as I shows you make as the slide that place.
fixed the the markets that demand as needed was economy, or scope The the the stock magnitude clear of obvious to and going contain very was to became quickly it income of the reacted very steps effect quickly it be quite and market the the virus and then the dire.
first losses. the people for by anticipating was we thing and and seeking that businesses investors So, this jobs, losing saw their cash driven protect a against revenue, losing to liquidity was demand
investors build This part so turn And the there to leveraged a in deleveraging other just asset that caused managers on rush of rapid or levered in cash balances. lot even of was a redemptions. aren't
was saw And sales in that rush person. This so we of a mainly took huge mid-March.
or the as were were expect least positions that the markets markets And might at most to were you losses. gain first liquid or that impossible smallest the the impacted
impact result first of a then, deleveraging felt to the course, meet and and triggered force the more securities. As in calls. selling margin selling selling immediately treasuries This was agency and more mortgage-backed
are cash are below the I of rates that most all or this I'll So, at interesting to case word note essentially And do slide, before lows. it's think picture. top treasury curves And one it curve, in slide -- both you all-time I the second you swap slide of there. of the mean get on to nice on to the XX, the left just X% go if final a kind paints seven. give rates that a curve I
point But mortgage and gradually as the And down. trending the these the TBA just worse. you can where We with XX-year TBA quarter hedges versus up you were mortgages mortgages over X.XX have market agency couldn't see March, were in and rates look it falling had certain slide actually X.XX even performance down then TBA prices days The went at been prices treasury point. of XX, the of was up. and are if course they
liquid these obviously, markets most of source the So, selling. were
of on poles spec And modest these from course traded The most collapsed. the chart. we show as for basically at can spec high-quality on slide on right payoffs And premiums you pools. record the highs the see
in two so lowering And the March. after very significance of and It magnitude the given system was initially to intervened Xrd quickly. the of on the rates these the financial markets Fed steps basically three
$XXX fund XXth, purchases drastic of $XXX -- the they would rates. bond they of And be lower would in billion bond zero $XXX which the basis asset basically be the mortgages. The On to more They steps. points. announced range zero zero effective and billion take billion, the effect XX agency to treasuries
they this So, announced afternoon XXth. was again, on March Sunday this
was By this obvious the enough. of that week, that was it end very not
became Fed many be offer buy. would greater the come the market with would to buy sell times As to clear was what more they that it offers into and met needed. they were to securities, And looking than
that markets down ceasing very difficult sell Friday by really were fact In near to assets. became
of if Monday took of on morning, buy that the XXrd XX can you the Page to you going it that the On look on to TBAs, these we're in the stabilize see announce Fed quickly basically the case whatever market March, markets. reacted. And
$XXX going $X during very billion that's basically importantly going They've they needed are But per asset at to running these or with week. they out this tapered markets meeting, started billion to they their do purchases They're now. pledge and per week since all over support that large billion forward. – those. announced $X about We well week,
ended very the mortgage And so we the end see, you at day can with decent returns. the of up for market,
the IOs investment very like today pause very market so on and talk very it's We've but a CMOs, pools. specifically, is an focus third derivatives, more inception within market. agency only to of But don't multifamily, peers. the strategy past, and agency the buy been in typically. point, narrow in second we contrast market, our less pass-throughs, even obviously few a And agency in And really used or Orchid's mostly REIT. Orchid has this The very IOs or numerous slice agency space, world. kind MBS just market strong about to really large spec since the of At largest I'd Agency and
and very little Freddie for matter. Ginnie Mae's that Fannie even
So our of a very very narrow deep the focus It's mean along. events this all market. slice has been was quarter. it a given meaningful, it of – this And
to XX. going I'm Slide around. going now I'm to to So bounce I apologize again go
contrast And appetites large, new Slide were on were the year. throughout about page bottom the on, we XX XXXX, of just what was sharp aggregate highs we XXXX the markets was top risk XXXX components making index. shows all very stock show risk the QX. here. call A the the on of
first The that the different look short market equities. to trade the XXXX at returns investment And meaningfully return. had grade, MBS war the is decent of quarter of high return, positive ended. across of forms very the just higher credit, And of In contrast credits, agency a all a course lag true. mortgages did Agency emerging investment-grade opposite yield as and well you sectors, with
the do don't dwell in by left, left-hand US If from first to at income out, you'll top that back, their were turn long. if we the product appendices. – I total returns market they're this had for sorted to slide There fixed at is But on Slide the third. X.X%., Treasuries and to want And the a the were on securitized of three agency XX, look the return column, it's get many for This if it want other are point returns total categories sectors so you but shows positive also XXXX. the side, the return. look meaningfully in of double-digits. what they're it's BAML. I only negative And mortgage in one, very data that one cases mortgages you
able has us. erosion And for been so Orchid and that margins allowed today – NIMs investing – quickly, the and sold though are peers And size Fed to tight to quite very net very very, in allowed only focus interest This did than our we the is – beneficial to and this the itself also reduced has not much attractive. carved even the most since portfolio, value of we book the the us we've recover niche really for we market, us to that once of the available were what beginning in been suffer the less intervened. all out assets
were. if of compelling, equity But higher. call. our where back even to rebound could further a smaller mid-teens slightly are to the portfolio, lower our once not they benefits very in speak on a that little I'll And cost, full Returns with realized the earnings funding more we've
is third events unfolded. go Now these did what just as over to my we point which basically
to and X.X% leverage our in reasonable As range cash maintaining things, a they of focus our very importantly, and maintaining unfolded, much level adequate two our ratio at then very in became basically liquidity. X.X%
we was very quickly. took to were both and rally outlook steps economy We for reduced It dire. obviously and apparent that the very reduce hedges. as to us economy very the down, rates states became our basically first businesses as meaningfully, more shut down shut well. our The as The hedges very domestic globally
to rates expected we So low. stay
reduce So the calls those. first thing associated – the reduce to with hedge positions margin our sell we to did was
even in on early plus the one, Over of asset not distressed. settle, weeks, days, magnitude, plus And course became T frequency two, sales grew be distress of as trading would more instance weekends. T assets
pools spec pay-ups. the as collapsed prices asset Our
was our hedges course the not the cases a many – the and counterparties. As we've calls. counterparties angst was of high. Many of REITs margin exploited entering probably very And became the would making ever with who credit case asset had versus repo forbearance worst peers, margin class And in – you I had performance agreements expect seen. were their calls increased of mentioned, the
our repo level level this so the angst of And phrased amongst counterparties.
the that an that of crisis MRAs, Most this advantageous really price of the are final and discrepancy. arbiter then operate XXXX. they a financial today And byproduct language of is seller REITs which for with aside has is is
the more when came was it much challenging margin calls calls. fight So margin to these in,
backdrop. that So for what in the we order did, Orchid, was
of obviously ratio on this So any on the all week the is that that TBA, losses were we the about in ahead collapsing completed we TBA it calls we some potential And the sales also to focused week. our we began sale, of in every margin lower our have margin what ourselves with We be One paydowns by we did the or to would March developments, we wanted realized sell would cases fast through month of we pay-up calls the paying of $XX So selling to billion of to faster wanted end range sold pools, assets stay XX. custody this on bonds. but the mortgages. were maintain have pay-ups and to million. – specified $X.X where next those the reason, of – do? plenty spec leverage all week towards about We And did it reasons. we bonds. paying We realize bonds to smallest read that we if so and with loss realizing associated in two
main to paydowns once on cash the March able basically historical this three what margin satisfied our summarize, equity a is to or want not assets points. unrestricted we maintain margin But our unencumbered we and Orchid of make in got One, to did miss we XXth I ratios. fact, proportion total single call. did to assets we in throughout call. at And every were
by where So management. any cash case, point And then want we triggered a our a were to finally, that initiated make very sale I position. of asset by just counterparty. any sales all In there's no comfortable were with
everything So our – discretion. was at we done
I'd to go over financial our results. Now, like
please. If you will X turn to slide
do reconciliation net excluding For which positive, a share had income interest net the March page interest XXXX of on of gains this XX, in per on of realized loss Orchid per a on and swaps. and ended We I'll rate to derivatives, Earnings losses our a $X.XX share. which and get $X.XX moment. RMBS XX unrealized includes quarter provide
these both to respect unrealized a instruments assets and loss of on derivatives. $X.XX gains, and With realized we had
in In and of March $X.XX XX, at our declared $X.XX, April. includes of subsequently a $X.XX at the public $X.XXX decrease share XXXX which declared XX/XX/XX. from in have we paid end per $XX.XX share company offering, initial the QX, in XX.X% year value book or $X.XX per was dividends. declared dividends, the Since Our
Our quarter $X.XX was economic negative XX%. return for or the
market X.X% of has the Fed market our into is April. recovered has the book through quite the value of so That about return through plus represents April, carried on book to up I mentioned, And and of when XX.X% $X.XX end XXth April the our quite quickly. value or recovered or to which an minus, in As increase intervened, quickly. a is
Now, to going positioning I'd turn our like to forward.
everybody dire. So was it and quite happened we've what's described March knows in
the is we question what here? look do future do and how So at from do we the
First the details.
quarter capital and the XX% Our XX% now the allocation years well – XX% actually that. versus end of pass-throughs under and between prior the XX.X% before at is over few quarter previous
Our IO to eliminated. the protection. IO pass-through in of the bias allocation positions large have the best CMOs exposure We've and reduced is almost our inverse call with all and inverse a forms case pools, our IOs of to reduced been specified
remember, is Now, A I'd the We basically make. the XX. like is stood this details points quarter. different not to down portfolio. look of shifted smaller of want year. the go portfolio as does end of at And just in And It than to a to our slide meaningfully this I the the it few coupon. end
pass-throughs coupon lower. billion average $X.X more coupon a X.X. a assets just The by it's down some to selling We billion. little down $X.X coupon did weighted under few slightly basis shift points than in versus higher is So
of allocation a of I $XXX end assets allocation did is sell a Xs, CMOs. almost $XXX little mentioned at Xs had concentration from CMOs. reduced under the changed to XX% the That were year. meaningfully. of of was And And XX% there greatest Xs by in not year. half at we up of The reduced the and slightly the million. last the to end X.X and Our was reduced that's We securities has X.Xs the the now sold lot case million meaningfully portfolio, in X.Xs that fast-paying of as represent
the show $XX,XXX before. on then is call high LTV, different is specified shown quality the pools $XXX,XXX, specified these slightly detail with higher left our York FICO XX pools specified more detail types on What loans maximum – the and Slide other And is call forth. this balances, than so larger payout little granular of a column pools. or we've what we XXX% and protection $XXX,XXX slightly we less New balance and higher pools loan presentation
want and which I TBA bucket, high in specified would make of generic have point quarter to high-quality our call we are end. the pools almost pass-throughs high-quality of was be TBA very or And nothing as with is, XX.X% the in protection life of that protection kind
And And here of payoff low approximately what did X/X quarter of the a defensive of Since add the to end, there reason we've this somewhat return step. actually was added portfolio we very leverage. is specified pools.
because you we to when did on If sales. losses minimize were we what talked -- to quality the recall about we we pools TBA lower sold our as traded closer the just unfolded, and pay-up they trying crisis
we're just Basically bucket. that replenishing
loss. of return the call incurring months these sold of few a maybe assets TBA very be pay-ups without turmoil that that quarter us assets Some a levels event of a may protection can two. some close are much form market of last the a But in these of to or in the de-minimis are
course euro-dollar treasury place. borrowing amount of then And We've all these meaningfully final our to of left, of you positions. one to hedges summary our If do balance. our hedge position we We it how respect have agreements. futures funding our swap the in go reduced The we XX, have X/XX have Slide exposure. positioned? notional equals one top or balance a approximately our With in swaption are shows XX% we of
swaptions. the to will before We off slightly crisis market levels it's this much look probably build come actually use saw volatility look we down going unfolded the rates as up in forward to probably to pretty has
here. just points draw a But to few
least the stay we rates reason year. hedge especially quite with to changes, of for while the X that through a near to the end Another bond at funding expect have really positions
know economy the at how how least the -- is pandemic the levels be expect -- to But really going and Nobody recover. the what's knows to of never side going to unfold. of very low the You quickly be on economy funding will the end other much we to year. recovery how
longer of the to quantities that are has and Feds going large There's be issue than going more Intermediate is be kind is Fed that drawn treasury going I higher. notes to has very treasury treasury been between to balance of versus the may the them. to purchasing slightly bonds drift which which selling suspect a out rates the buy.
expect but The slight see may lot we to makes are of also as think rates absolute low. sense. don't be And using in long some volatility levels the So increase longer-term is it end we on swaptions protect a truly low rates, to dramatic. the and result we a movements of
way. think we an So attractive it's
going we With course to time quite of to expectations be forward being. have rates low also We respect some to said, IOs as the us. protect low-end our I for expect still
If XX interest shows Slide you expense go to by Slide our XX, month.
more data. it's beginning show going see just in spring provide back peaked trend. So It's down of can last per their the not that you to of the trending at monthly year. and to pennies been month granularity month we interest quarterly has not This the you granular. quarter. And is And XXXX of this per share in it per expense $X.XX per kind
high Looking off for so most - in at our their quarter mid $X.XX X% the come have per And to this quarter. quarter was the between and highs expense well the interest recent of $X.XX XXXX March -- February, January, range. for rates of data
this benefits meaningful to our so roll drop repos off we $X.XX could rate Fed's quarter, of to As cuts, the a and per realize number the $X.XX reduction.
forward speeds going of side result be key assets reduces dividend down wildcard driven well amount very, The shrunk in course the fair our earnings. probably that be been portfolio our going terms the in to of the very revenue by as is of high premium a high performance However speeds here well. and the amortization as will has -- on
opposite course slow. true of speeds if then the And are is
So do the we as can that's our through time we to from because why protect to as ourselves we're here trying is positioning going much spent try to what speed.
So going for about forward? to already what do speeds we discussed position that. think we We've how
the There three just mortgage I'll Slide case, you go charts The you second versus the there. a are If the In rates. this this index give to left to get refi shows XX, and down as on an slide. top -- year come this level. quarter see you And and that can is made back rate essentially mortgage a red all-time end earlier low sensing. it to is it's since line
are And is it's blue of But spiked And off XXXX. course index. of rates above can line the some. very you course So it's refi as the low. come well actually see
So pandemic, the the with this? the loan question why to And is is mean So One it's impact process. does on respect what going had an this origination things. crisis; two the is forward?
refinancing it's whether So business looking loan the a home ability place, shelter and people or are impedes the closed, social through and forth. so being process actually it appraisal just in closing to of for distancing, go doing an a for
And that. look so probably the spread all the is see that between you and this right-hand the explains side, rate. mortgage secondary on And primary you if
elevated see they're higher are with constrained. a the can have it's our They difficult some capacity quite applications receiving. time. reflects time that very for been much the than dealing originators it's You fact mortgage this And just
of unemployment crisis last claims in process. -- million. initial the weak is second And and the excess we the six economy And over of know weeks are the of unemployment course loan claims that as the effect approval is $XX
north could million. that number payrolls, Friday, $XX of get we down Next be non-fund
So borrower's that becoming of are And get underwriting ability impedes tighter. standards approved. to course
difficulty borrower's loan lot upon the the a crisis such when is that ability many as on issuer financial their of and times a placed loan. are foreclosed the of assessment the result regulations make of borrowers new to the the the of burden face and/or Recall
gun-shy underwriting So, as tighter. standards becomes a somewhat it result are actually and
these forces very, rates. absolute to going by be high So, would were of otherwise driven two just level are refinancing very offset what a environment the
high, that's bottom look is the money. high. percent the the the in versus refi chart. yet and It you market just can shows a multiyear point, mortgage the index markets of if the is money refi see, One index well And final this percentage you its the of as off at the
economy So may we speeds bottom But because negatively In other of this line, months, the affected refi it quite than the otherwise at be activity high. few way eventually expected recovers it, should be COVID-XX words look just effects. next be be high. lower as is to in the
The to which representation is like we about a addition just say the is next line here things. of of The expressed a orange the And straight treasuries. The are just What you speeds the just XX-year paydowns CPRs. slide percentage be of basis is dollars words is XX. green look our principal to balance I'd XX in can the portfolio. few at way This kind at the we even in see two level look of points would lower a line of its today. unpaid as
kind rates That's shigh. for in the of spec as And and protection meaningfully. since it's late when became you adjusts much when can call size it a paydowns really quite as focus varies down over more we of -- can the you portfolio see to shifted percentage, come have which our And of see, late And rallied time. speeds portfolio the higher-quality starting the pools. XXXX
first And this less XX did our than released prepaid the pass-through at was increase the meaningfully. not quarter. earlier fact, in CPR in portfolio month portfolio In it which April
successful So are that lower for well we're year. ourselves balance positioning think forward. the of to us funding protect speed costs staying with the to high with extent combination the positions against we going in we And
what see Let's else.
still been coupon as spread would story. pass-throughs XX-year returns blend in attractive the five the years kind per So, XX reached five get would not In In look is don't at versus still it wise very like tenure we spreads common the here. any March. the se if I tight of slide XX the are basis But around talk to And at of case current blend at very you of agency to the you can spreads. saw XX. going event a at as be offer same or but mid-XXs. look you the measure about forward. spread points. mortgage mortgages, funding the the final it have a levels XXX costs the I given mortgage-backed reasonably It's attractive, It's the currently attractive point
As high the even very teens. XX the between I mentioned, investments are ROEs these on
potential of seen we developments already have fair for a the we've movement our there's pool against speed even tell. in ability month protect the reduce NIM forward. amount to dividend to book early recovery to March, maybe forward the it's some dividend last to come take re-expand. to And spec going value So, as and payoffs But look too reaction trying see we did have in to though, of our to advantage in forward, the back. upward But going just
of And just mortgages just are and versus grade really function how comparable in be see. asset to asset terms with going respect of then investment I'd high-yield other Generally, the It's forth. classes a we how CMBS make to do so point much and to finally, perform going tightening one class. like how we and
So, for quite continues. this doing been now that it's hope we month and well
is remarks. of open for questions. prepared end can my Operator, the up that now call the We
