has going Welcome via be and you're everybody download join call, us kind to deck the I to hope that the wherever recording. to if you you, operator, everybody on, can't assume been Thank and can the of as that able month agenda every to you once deck call. so for do of driver we going able We're used the good morning. our more, join the us live, we'll through
just through you the more show kind developments quarter, so go in financial of portfolio detail, walkthrough to I'll and then results discuss and highlights as always, and characteristics, into then the shaped you go and we'll our what quick give usual, for financial highlight our the a we'll then forth. market hedging highlights the our We'll performance, agenda. to As just briefly,
for per of interest per the XXXX. included $X.XX, share our $X.XX XX, March versus with XXXX including inclusive instruments, the highlights So $X.XX since RMBS and or The net in at expense net again, on $XX.XX on $XX.XX a on declared the RMBS quarter net $X.XX. our losses dividends expense and and from share per interest losses was per share loss XX, our unrealized swaps. of our interest of XXXX, $X.XX, in We dividends. our these loss is instruments, derivative QX we driven total declared inclusive realized net in And XXXX. and July assets excluding paid of on for financial the $XX.XX company a swaps. declared or had dividends XX%. unrealized rates had Book company per interest public subsequently has realized of economic at initial loss earnings that, rate per of value share This quarter, offering, then share In June the share gains and was
looking on X. really sticks here one both Now here, thing Treasury what The nominal to and and XX developments swaps at curve we the market Slide again, and that the out is, March show last the the June most. very that XX, one Friday, curve of of thing but out then XX. been front also sticks end moving has that June is here has And the is which curve clearly
to if you you look time line, to morning from the than that move side, if unanchored. long last quite from the notion become front can the very July inflation end through inverted left that fact not or has and curve going importantly, So lead this meaningfully hikes basically as continue hedge to at rallied. the high hike that of June and very the of curve actually, as payroll a feared these has the hikes higher. reinforced raise the right end especially which especially as affects the increases move And either as what they it data that stronger so the those with see now And inflation this chances because even yesterday, reflects Fed’s today. at Fed lower off. inflation reason is ultimately was to not is inverted And is the therefore just than and had levels, even they're through just that market probably going the the aggressively is the contain they more ultimately, And was rates and as that that to the at be at goes curve long -- the effective the more to continues line end probably will to to to the certainly or long market curve blue And you March of and fully inflation, that could you have see importantly, the recession. line, it number. Friday, be the selling the -- much that through seeing that to that another red on green the containing effect also fact would And case that's the
reflects hard that acknowledge market data on to they outsized that going pivot to that the since much In maybe as weakening has tend market's perception now blacked-out pretty and a week very is back have responses days dependence and saw that they the fact the is wouldn't feared. pivoted, out the pushed aggressive, data in of to have fact, the every Fed early last In notion. when we had as single today they some economy once have that also of essence, their But the you And period of as to of outside own that much the result they Fed Fed going came be do was meeting speaker hike Fed maybe that expectations. that like data if did signs to and -- had dependent. its the are
for today be meeting numbers and you're see is CPI between to to as reactions important that you very the likely going will are coming now and the today. nonfarm payroll, market, be did next So
So what's on. really going that's
see This got of off we meteoric just XXs the think XX, inverting to to meaningful You I number, to inverted. we of levels. very but backed the close the Xs, that, curve reaction this is getting morning, extreme
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very thing we new one Turning in opinion pandemic X. did now to is is we was And to cover here basically would call This the period period. a Slide our changed important. I the slide what that
on course maybe and in And slide of really in this the of to become eight, the time, also started little the the And pandemic started even inflation still XX-year, late started at we war higher attention China then the becoming started of end fact, transitory, that they focused page of at ingrained, it in you crept the a beginning on Fed look and slide have in when the market's to inflation entered you the can you started. the as but February, to over that of quarter, higher, move the And to war if as grab especially had wasn't rally XXXX, the the Ukraine respect did. to the react the and effect is So data. huge rates fact lockdowns then second even XXXX. going with they it when see effect to data in were stronger, was and the
what XX. the off And that rates you the into June sell around in was middle see And market peak of the the right is so there second quarter.
July for peaks. And recovery that fact But response -- here since Fed’s strong, that September. they we're remember as by number then and that spread in did inflation You that us showing But XX implied XX they meaningfully. much but importantly, was it the on in a the hiked University they again coupon very, is we're was we'd right-hand numbers Treasury. to high. of the like to had has driven off did, they data more looks current Michigan the mortgage very very the in XX-year very June, become very what the expectations those XX was And as been off do may market those strongly July. investors, the month, sold CPI mortgage of may slide, recall come
swaps, Now at you there's a XX] different look lot [indiscernible]. versus ways can [X versus a of mortgages
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because And March very then number, CPI that days horribly. page, of the course as this that spike side and and you that And next you was was rally, the to the June, see a hand very, see you got Fed in had you started then the we to And after right mortgages on tight QE, right the sell-off. the buying spike up, day so did level. then have two can of in
going you Just so XXX managers mortgages July. that's the a of And the XX-Year Data some well. the Fannie underperformance. think instance, is like And points. trading mortgage today, comfortable long point of to something chances that where around -- mortgages, why But was long-term in basis want very extremes, very XX implies is the which the more, were I of down the point day owners a the like going basis the increases period to give like And are portfolio, meaningful point for over multiple to because even market poised Treasury are a even that not mortgages Xs think hiking numbers, to half. and to recession, probably down the ultimately points, points even have look hike get leads rallied it's look off really very the as of I end here to to at in still you being spread, versus do which three that's to since we the XX are though going forward. range if where we we're just of attractive I that Fed's rally. make to They've curve
at mentioned, credit norms. don't just have As They any I trading versus attractive the levels long-term are they components.
to corporates we should economy's move to recession, selling And likely a widen Fed certainly that to about don't investment So extent which further year even the a is into unlike grade looks into the next be of think do yield, the recession. it mortgages the mortgages in a I high could if enter well. or like event recession, do
things rally. I'll think they'll a say high would playing Orchid, X.Xs, higher the think to like into year or the class way into about next call, the is So in like with -- respect next. in coupons, that and to to mortgage the more out over little the that more and market call XX-Year of in well. belly to has rates, say from we And slide in look further see Xs X.Xs quite in way do production for as retained well current and coupons, fixed or and concentration securities contrast in think Orchid X.Xs what the We half, a and balance mortgages the bit we we we positioned extent could Xs again, as this the we coupons. then do specifically, outcome market happens. get is And attractive And do we an a the mortgages poised given well we is And this asset for we'll the takeaway moment. this Orchid more particular and and also year a -- it year
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shift two to going -- be going QT, entering reserves the by mortgages but support we banks expect to be were the not not until buying up -- long we which going that in mortgage they're the the case very move system, much but as this means draining Fed lot not these of -- like ago. to not and buying Obviously XXXX. that market selling, will And into well. we perform this from market to necessarily many is be the onus money so expecting far But buyers the probably and managers of a again, going market the not with means mortgages, they're to as rates, the be only to into relatively less. And spite draining, are mortgage that the largest and be to
roll CPI the Just top mortgages, on nothing coupon X.X in are and are special you you of in the you in at the June a on trough, time. on was roll than these the left, and they're exceptional, little number mortgages, not when and a you all bit, many saw the quite that's that's XXX, big markets short in Other the let to scale QE. that case history XX-year the normal roll X these right but Xs X.Xs, mortgage Notice that several necessarily zero. lower Below big period but the certain Slide over fixed a the things line at XX, performance weeks. a doing that second to been Fed since markets, give June. sure big, notice They've think immediately course the on look takeaway, over that a that we X.X, normalize are these the points, recovered when make for mid-June. more down the essentially shows has not left so move blue And still that, a for is I the are after And we rate like coupon, days that move just that's XX, rolls X.Xs quarter of a of into levels July. of
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see we'll that. happens beyond So what
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us, portfolio the We book on the want much convexity good. some the a market points, to mortgages Three recovery, quite well that's So going portfolio just what's going few the pretty is of it. we've basic for boats one, remarks. think generally. had forward. We in make value and we of think like I concluding
are point, down We in book to in recognize value today. it And a adjusting the is in earnings the final line into leverage to one or just reasonable mentioned, market has split traded I the to line high then lower fact to a reverse ratio, the the even mentioned to the stock three Xs. just with going haven't and available which that we a are I a yield of considering as that dividend with more be combination our bring more
for you we several space a it much reverse questions. see So good the the seen a can pretty chance months, of know considering up the are of I one stock. from those few That's split there's of will Operator, but open remarks. my doing we've last prepared call over in us. the those to we
