you everyone. and and on you second deck, as which as a put hope up usual I'll download has and you operator will deck. I to slide Thank had website through our night, last our give good morning ready we get everybody a chance slide to the we then walk always
As start I'll other of contents just kind in go over words set usual, for Page table agenda of on the the X, call. today's
happened give during on we what did of which some we'll a the then just is go see comments the some then quarter the company with has about our do going just go level market portfolio talking for results we the on our and thing then those quarter summary end, comments and performance the our spend if that the financial usual through hedge to respect anything, happened since spend the some in and things and both quarter, forward do you cases time what positions some just quarter the and bulk characteristics, talking through things developments of about as how quarter. the time Now, throughout of occurred first more results high for
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$X.XX of Book loss and $X.XX RMBS value our earnings per on rates swaps. including a X%, declared XXXX, paid declared share XX, share, and or loss XXXX, declared swaps. March public since unrealized net group; realized $X.XX has was reported is in interest our $X.XX subsequently April December Total including our XXXX. of loss interest present our per XX.XX% the at On defined $X.XXX interest expense quarter $X.XXX share company net in the per group for share a interest on from at and on losses RMBS offering, per In XXXX. X instruments, XXst X, and excluding our the of Slide the derivative $X.XX, of gains decrease our dividend of derivative including share realized the and expense $X.XX again quarter, quarter net dividends. first We net and or dividends XX% peer per rates per a March the assets at bottom peer unrealized the XXst, per $XX.XXX X.XX% And the our versus of economic ended was we – of losses and net For from and the had share instruments, of share annualized. initial results Orchid in company page.
calendar the always of the value book know value all case years, we cetera that not thing year course of then from and same so Slide one to fall. is first from page as March look of present When year XX, dividends of as back return they back The X/XX, for each numbers two the dose as we’ll usual peers. is well. our et stock do total calculate and X rate using this which of date as X/XX, as book
so one would quarter it this fourth through is with the XXXX. presented quarter So lag, be data a of
change move you about we prices basis in the more basis and different said presents is on trough data XX year security, somewhat and move so steepening so the I of substantial news of rate, would saw points to line the rates of Slide to back very Friday, anything only be either the that most more. here market is to respect the the point just you side rates we developments, backed line, as the was the certain the only comments basically slightly today remains blue the so respect the it’s of ten market normalize it's Now noteworthy in same of curves the somewhat of curve of on point and red the between quarter. that past. somewhat quarter, the this, closer almost Slide of some over summarize the respect X year even going respect now make mortgage kind you beyond. see line XXXX. the to old, the ten to the a am this at during have couple treasury the note QX substantial in relative the page curve this we the case rates looking of see I and of still there's some Slide cash a left XX, of showing off Xs-XXs can that's see, that. curve, XX, to quarter of the the approach course curve the really well But that occurred there in off, the been last top points, green With in nothing on red done so but the QX performance. XX germane the I swap on With steepening With is up back is can has seen what and have flattened to with all in a the end be magnitude by case purposes in line think difference of actually and curve. rates respect steep the a to in very, very slight I of about Xs-XXs curve Since the though in line that will as X, graph will this here tenor with for Slide
coupons price the you XXX% quarter blue of the beginning and this the the those ticks, And market, fact beginning that the So XX price, in it X.X at price. in materially and see respect in almost the taking this which In and at the the down the Fed XX.XX this can par, as coupons ones lower remains of coupons near is very Fed that and are selling coupon, priced case can lines With roll see case coupons, quarter. those lower the is With were they and XXX coupons, were ticks. all the in in the this levels. represent not The also negative not case as story of Xs, relatively up that respect red do we're down meaningful or what spec actually we're at XXX, money, you declined well is rest most same. the doing at clear the more and higher to between but unchanged ticks, to the development in price. a Those we're lower pay of have just were differentiation a there, aggressively that very rolls but the buying are purchases. Xs, ups production
XXK the the here pandemic observe lower low we're you the we've slightly those ten-year treasury. in see back to case pay top are some representative our have in these can mirroring and in pools, showing dramatically. can levels Xs, X.Xs that before right, in They're ups see we and dropped loan the cases you balance, what X, actually As seen
using the end coupons March been almost can command on pay the just market. for negative or numbers. was see of Slide middle the obviously LIBOR tight we since Since are to On which various a in very market very how we buyers we still high XX we first The show with case soon And lot of and supportive end, and other Fed market the here have back the note coupons when XX, it volatility quarter. Slide as substantial OAS we daily relevant movement as is here investors still quarter market buying purchases the final is you has TBA those are. well many the increases And the of rates week, with in OAS intention but XX as negative when pandemic also come the in this backlog remains high relatively New case numbers at range respect rather, that really here that's also typically for market important a of cases anytime market in with mortgage the OAS, this These we a substantial in see One the have and has of they in point the were is on heard substantial as remains tapering very, very LIBOR tight up. result, sudden off mortgage this who banks not securities non-fed respect the basis. to support established and the second as numbers, very obvious a traded vol the levels that this fed as vol large reasons market. Orchid. in of proxy very of some, hit the bottom Fed have a no is
index this to that sectors. XX, from of takeaway very the of you what on components. is historical a respect Slide snapshot the is a gives tight slide with trading of levels one is aggregate mortgage kind this So, all market income this at basis. And happened fixed
see, excess has to but XX, than instrument It kind absolute basis were return. the better is As to LIBOR I has way bond you very, XX, few not by points. were most with yield course, income like points negative always negative first. is somewhat been all an fixed here other very and income want equity as return With exception to of was well, it. equity the It's of or this for a respect versus Slide instruments, low. negative a can swaps. on either high down important make Mortgages a purely components on of And yield still relative XX an and fixed basis a high component treasury
blue markets which where the XX% bottom situation substantial versus from in the in that's look over at course the move the you a refi is page, market approximately the money, the We line of being of If refinanceable. percentage mortgage the the went of was very quarter. the index, of the
to we're very move. XX%, down close Now, substantial a
if important. though, primary, this spread at borrower the even for things first the has you time very been This quarter. for it's can the it It some and spread, theoretical tightening mortgage. before this and that continues available of calls, offsetting to tighten current now it's the is that's about our wide secondary earnings mortgage in right, see top we've levels coupon between a gotten you on as a look talked basically One very a
rates higher over of the pre-payments course of So impact have rate on it less this, mute significance the moved tends to rates the but higher much borrowers as and available of to course so. quarter of the differently increased, first
result the They're available unattractive. As still quite not that attractive. to borrowers are rates a still
In Freddie fact, so or still on a the the Bankers in the still the Mac survey very are low historical Xs, attractive. basis various rate rate quite proxies, Mortgage
see the the mid X,XXX index, As rates, course, on come you still high fairly mortgage left, the It's only but the it range versus to of Xs. refi from top off low really at can a level. has moved
sure. has activity off, not but for off cliff refinancing come no a So, question,
side, to Slide effect results XX, earnings. basically on you our now our we the on mark-to-market Turning showing the our left-hand financial disaggregate results.
any fluctuations earnings. all of all in fair so you accounting, we As in market shows our value know, use instruments value up
the movements quarter losses of And the positioning As an exceeded on place and those $X.XX and of pass-through see looking in portfolio the IOs share, say and just the as allocation we inverse that gave inverse the had see the With IOs more meaningful and can of return negative pass-throughs respect the underperformances still of you of of beginning had per IOs, capital generated about a nearly to return of had column, to we very quarterly a sector in obviously, that an the of and realized unsurprisingly positive loss. allocation a can the portfolio those, with assets the given there's that IOs hedges. and that fairly was between rates. again you see at center rise X.X% at our Absent to see, substantial XX%, we you average can the because not second. strong as in hedges has to the would a unrealized can income surprisingly
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assets. our blue yield the the line is on Now,
see, and second move $X.XX. given the at you yield between As now the line, green X.XX%. then events XXXX it's the the cost of quarter represents the to or the portfolio two the was when which can at of X.XX%. on It's near you economic And line our both at is difference are economic interest. appears of the probably that The interest red trough. first and now It quarter – into cost the down of
and we so level earnings the off That's stayed X% gains share that's of those line, Slide very stable. and from the and quarters net the rise you meaningful which our two of the see actual also And And been remain those But and where course for on in blue would excluding dividends. perspective per potentially quite is stable range. now reported expect the reflected losses, to importantly, that mark-to-market it earnings it's several of future. versus see earnings XX can in around the can the per share you
looking – quarter, this the several line the the And results over so quarters. $X.XX very and then much last with generated it's at reported we've in
a a Slide number side, was it left-hand quarter-end in continued in the to there in get close to fact has XX; double and is to X.X% structured little XX.X%. capital quarter. end the this moment, securities from We'll allocation was of but more detail uptick the slight allocation, the into since the what at increase in on Turning of the to that a
way capital was a the from number, the the again we sector. our verse are to add the as you That's over to through the see that IO. to representing allocation with The Otherwise was that right-hand you increasing respective a towards or a we'll in the changes of occurred one allocation we reflecting there of walk the just pass-troughs our which increase in you side, pass-troughs. continue IOs respect of can that kind we – the So portfolios speak did downs, represented can subdued to moment one quarter, bulk allocation of see pay asset in to employ. very course
portfolio said going Now walk taking, The what in the is most were needed a forward. talk then you generally conversation. the and Then I'm since about through about more for positioning, of considered we're quarter quarter. – made I'm I'll general steps bit see end, first some how do make what and we're the I to go to going to the results comments the that transpired the going little quarter we as I kind then over thing going changes things
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but somewhat is absolute terms, or make less As you portfolio in the increased securities. substantially change not of in in portfolio. X% still add can did still the here either heavily see that concentrated fairly did the meaningful a They only quarter quarter-end. We than regard XX-year XX-year to positions. during We represent our since
XX-year allocation our not coupons. during securities, allocation characterization occurred The to in that of of and overall taken-off to last we increased recall but enough the those end change more quarter. at changes position within long the again coupons also year, the meaningful meaningful was The substantial had XX-year slightly, fairly the a We portfolio. TBAs increased but XX-year
coupon occasions, was raise the few as coupon. from the strictly biggest We that most of on moments, is coupons. allocated quarter that deployed and that exposure So The to in the reduced say three change to since. in and capital that I was XX-year a now two during the in actually did capital pull we've
or a to We take approximately New to IO And higher most less change as threes XX-year $XXX doing about balance $X X.X was with some we some billion. respect more What XX-year were It just more The to did So on exposure to portfolio did Since quarter the sell the X.Xs reflects did to mostly same reducing mentioned, net add allocation in on was three runoff. proceeds add the and a We load end the just allocating did outstandings' York coupons quarter X.Xs. unchanged. then – recent TBA the I pools in in loan. high coupon then we a our and we we've in reduced of exposure reduction reduce spectacles, by the trends. there we the increased all of very these basis. And few higher by million. options. coupon coupon continued
come-off more here. selection. spec thrust and are or had on our generating focus we're are selection we do available premium we reflected but We very very tend rate and So kind With high now this you focused need the slide prepays using with to The such fact of the XX; is our environment, walk was XXXX hedges. that efforts in And of peers than earnings, different the some of The security – and our to that red XX a about spec dramatically. germane bit come the to because at down assets, been longer is were I'll lately, when session, this as very lines those and I'll just quite and reason results. pools allocation as amortization good in you slides pools opposed that's we see, prepayments we've that's it's to to and income security Slide high-quality minimizing the and can TBAs, back use through of say come talk index level. and balance on a has have respect the no we much refined a are therefore the come during about simply Slide in reflected certainly down.
is quarters, maintained the can with over a still lower the under respect we each in quarter this of speed charts were little through up, we've pass balance for quarter. with bar reflected portfolio as for XXXX. again, were XX aggregate of very portfolio the and backing but percentage just the the second the the also to the months as on a down This first in in As also is at and of you the outstanding the than in see you rates Slide low pay-downs – by respective range can prepaid XX% the see our principal within just XX, our level overall CPR a
we before our Finally, get into hedges.
and respect older drove our we're increased how added full-year book with had They for a curve. the swaps. With and so I'll as of with course, less and was Our also and you the swaps was we a the and the five-year are X.X refresh forward, We've last short million that and kind Then be about in positions. off these the and for the $XXX this some the to to of of us the And And of the down TBA range swap spreads of to a positioning slightly the then in belly to end. out, quarter running at also added, as shorts on. were also level from had for you is remain changes now that was the only were levels no at have about by the I'll just hedges, as a increase just moves swaps. long horizon. We leverage that rationale on a year that There year, our well if $X.X rates neither X.X. to against end And efficiency that I allow in range. end roll We as added longer of that the combination market decision-making. We in books substantial more we've been those into that's quarter approximately the X.Xs we of the going look million to you occurred designed and the and to covered the the on awhile on ultra changes swaps, quarter slide may can the had last the We've position. protection pair than short end we of economically moment. then some movements, it is respect is point at X.X in there into see movement near one low time-to-time we threes. during quarter. million occurred then moment. curve the XXX actually get – added, on X.X that respect at four a five-year terminated between Since put want billion. few XX-year added changed one that can the to the further using and round several quarters, our rest purposes see. we refreshed say we've that's of short or rolled get swaps With your on have of $XXX
expected roughly trying these some reposition combination to [indiscernible]. that hedges features by more with five-year has we're of on another put did replaced or actually and payer we shorts put that economical. Some been somewhat also then the reduced added market on shorts we were five-year two three half, The spread. And and and in make of we've those
that's time a at our mind movement a the tend that to when in of end our with, general respect high we And There's and results rate; over not deviation same a see [indiscernible] comments and end exposed want a case the ratio book highest higher thing be we going range the result, had that, at I as pears, with had make than few through kind of the was state it Well, like things the in is, this of in a that's our kind just our first was change. keep all Obviously what And forward. that. at we've way inception. portfolio. run period. of the done huge large are we're consistent of to let's very obvious. also about a we And meaningful but how as quarter said, yield the the value good. very the did consistently. portfolio run So outside I happy is peers the to in since gist – something tend had that we the been We That's in now, quarter, the leverage we very fourth we and XXXX. to case results quarter; of of applied been the first that But the to very we the not
if In peers. relative I the at can fact, you our a that you results, look mentioned see earlier, deck as slide our very strong versus
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positioning to mentioned, with as some especially changes Now, side. our on I make the we hedge did respect
possibly, and so do efficiently able Some at but are them we these hedges were very of the quickly time. to much
do to with a we left so. amortization in meaningfully so event forward levels result we amount. Very and some and of but forward means I the [indiscernible] most any we're which thing have has realized, that what's to expect is replaced of mark-to-marked did And mark-to-markets very advertising portfolio suffer to the we the been Going amortization. will attractive the last below been the going down, be those remain positive but means – had And hedges that as premium are the few continuing mentioned desire a in we've to of premium yields unrealized. have should speeds alluded respect end with desirable earlier premium given doing, we lower kind now, on several year, this the of negative since that actually marked IOs. slower the portfolio, quarter second IOs sell-off may as less
this are some and while since very positioned the Since fed costs forward; were Kind amortization modestly rates. I defensively. those replacing is because the took added So would to book and positioned a I our ultimately going going these the the of or said, off of in of we And higher that IOs going value think rates mentioned the also should think modestly, we we least rolls, until by at X%. the simply generally say portfolio. But to we varied higher be we’ve down hedge entirely path attractive offset supported that based were is the dollar be on for forward, they some It's not are slow as taper. portfolio by higher. balance rates probably if is X% on quarter-end, repositioning; substantially, being
to be surpassed obviously we we'd So doesn't our all that would acceptable at would but the levels some the at the ratio, equal, that even implications mentioned it just that ratio we're the leverage leverage the beneficial extent we be else that of since it be our lowering I've if our occur, rates before, of around book observed recoup that end would of you leverage assume and value, that that, would quarter, levels ratio X.X%.
that where in have to rate, do pretty going say forward obviously not to it's whatever economy we Now they're I to the with the future, recovering at a going even is and the think and though is, to going safe in into horizon they next mortgages rapid taper that seeing been future, or insist how near anytime balance the respect that's things quantitative of very so the giving today. hard their to going priced they are Fed is year, that XXXX, it's the your the or even to market easing argue trade year and mortgage whine. whether It's eventually
the to for or adding we see to to the we year that's certainly hedges widening. some two. because next with course of less will but think also over our rationale IOs, replacing why want we widen in that some IOs the of that And And more of susceptible that's because room mortgages for because of some cost-effective, the to to IOs So be avoid addition widening. to they're try much
QX a cash fact in just that will the continues ratio, in monetizing will IOs in the greater passions reflected probably will you to much results apply and and ultimately leverage IOs to really purposes. to probably leverage So see for we allocation to our since
curve. remain that even of ratio And tapers, on the that flattening So mentioned it the hedges, you made the range. Fed the the either the a will that in that's will of then of second consequence the reason. see whether And curve, especially specked low the of And fact is that the the of and we've to was after I the leverage part put on five-year be raise rates. eventually should probably thing we swaps end or a futures had they lot
the to positioned five-year next in curve that. the expect for the We in [indiscernible] to the be and want be major move area we
on again, it at to when occurs. curve protect some also earnings We put floors this
So feel we going some, well forward. very positioned in
income Our generate our remarks. of we that's – prepared And And be end an SEC the we very to open We the questions. in preserved. pretty income the the Operator, IOs greater pass expect allocation through it. that's ability much widening has well had the being of can up call to a portfolio. has when to those my
