welcome morning and Good everybody.
usual, this and a press apologize, do we year. statements issue our has I download attached. process slide I hope had The everybody accompanying presentation little is morning. our last but night were not taking as release to this financial longer chance from the the website audit usual than did a
so, And were attached. the financials not
sorry XX-K out would will This a process week. filing our as and but week running do the should those probably for We next delay be today. typically we is be late next little
all numbers But preliminary and released you gave when the can accurate, press unchanged we on, in back from release, are unchanged they're what we all January actually the rely that in results. of our
So I deck. with off with the will that, slide kick
about our results and forward. our our positioning talk then the detail portfolio kind of follow outline talk and positions on the the financial highlights, our how and then with going the for and outlook usual, we're what developments they shaped over into and outline and characteristics, for I'll how performance, also market same results market our we're finally go X, go discuss. of page to about the starting future, financial more our a little outlook I'll and going the hedge briefly As
$X.XX from rate income derivative RMBS per including negative on excluding and rate realized of earnings per highlights, again, unrealized net losses realized a per our and the instruments, our swaps. generated share interest derivative losses on swaps. We net interest with and on including and RMBS on income first gains instruments, share an of So share interest Island unrealized $X.XX, net $X.XX again gain income interest of had Orchid net
offering, $XX.XX And at Company subsequently public since Book $XX.XX, value dividends. per XXXX. the of paid February share XX, the and $X.XX The share September year. for declared this XX, XXXX, economic $X.XX in per our gain initial In share, dividends versus adjusted, QX, or at split at per December including per January, declared of Company X.XX% in declared share quarter total -- annualized. the $XX.XX is
just go now the I'll through development. market
to slide Turning X.
make a I’ll of couple here. comments
[Technical lot quarter, but Difficulty] We Difficulty] First XX/XX I of include a numbers, February. not X/XX that such and also there's as change would the Difficulty] [Technical point and well. [Technical out just recognize as
it's been is a really has flat cash shall So curve far. been Difficulty] XXth. very so quite quarter XX-year point out [Technical the we September from and And since volatile
level, about yield, attractive above still easily quite can could lower at close with as it's that significant, curve, look swaps for If XX-year SOFR still spreads it's XXX And if for less yield last dated hedged sloping. instrument, reflects hedge level. flat, a sense still as spread at swap curve, swaps. longer downward night it they X and look the the be a the relatively you especially which that just in swaps securities is hedge extended, negative fully it's you the ramification at the you are and And that go instance, fact negative, swap CPR of further have the out coupon more that is while somewhat that for swaps even so, spreads decent
curve the more released out. to point wanted is is of earlier, data was speak inverted. That extremely even benefits one just of as the an that we the I given inverted and So curve today, that
end. that recent hikes, hand been lot, side, the has on if moved really this front last in up to curve Moving And lot the in spend of a early just the out, the the has see in more here, anywhere middle end hiking even of we're the to driven continues price rates like of moved where but long time can point slide you by a on is not movement looks you haven't you but not left near obviously, the And to the as long into they’re that much. quarter, be want the again to saw today, page Fed into possibly. slightly look X, through year just the end going of market most most this data, this on but
page as use. measures many basically to to This shows We're or There's you gauge like. just the a showing important us the other X, spread metrics slide the mortgage for a attractiveness that we use of investors. of could you coupon mortgage to current treasury. many XX-year Turning very one mortgage
a think few the spread use the be use would want a draw you to the just or things. if out of point And swaps. I any could the that You conclusion them. blend, I you spread a same to Xs, And would XXs could
top, back the very the just way same beginning And that's XXXX. XXXX. the the show gaining to long-term back. where perspective of on shorter much going And important some today, the only very right. look a are to to far This bottom, on of back a So, we see of we end for then chart the which you the goes course with back, look is on all
quite can mortgages you as in see XXXX, cheap. got And
spread. quite you basis you that if That there, at about see we point September, top fact, with -- In coincides the late the wide. XXX October, to is early look, points got
of we fact, XXX. in look chart, we the bottom in XXXX, only got where you March at about to were In if
go quite to was higher going Fed we more aggressively when off. the rates to a driven fact forced were to that and bit the to than That extent and Fed going a the that. was -- the the by wider being market tighten So, was being sold mortgages large and accept were much
volatility, which movement was that wider. course, Of drove spreads mortgage by also also accompanied a and
so you saw a wide quite move. And
we about yesterday at few then XXX And the reversed. than in And maybe wider to points a that But case been has And we basis that. that's basis tighten. were started since February. points mostly and
they So, at to those a eight-year period spreads prolonged fairly blower looking it's And you that there's in were it's the spreads But extreme a to to range. seven, it's return going levels. assume to to stay were rate us to all to at and that compelling back high-XXs. of the this not go levels. of that and period, those at says return where stable, where very we're close attractive conclude least our going we're that see chart, these no likely total attractive, reason reasonable have somewhere most assuming And mortgages offer prospects are leads peers to
we big move higher high-XXs, were XXX XXs to go a towards So, from or even range or it's quite that. close if to
us. So, mortgages to look attractive
in chart this And relevant the used Moving on shows a and the meaningfully. XX-year the past, the more the you -- part to just that today, that as few show you you saw, not inverted, curve. curve is points we’ve slightly the slide X, on slide less spread between X of before,
really front the occurs all end. inversion very the in So,
cycle. to XX-year, X the So and until or is the that's move forward likely if stay the funds even and And where the for it's higher the spread XX-year end the tightening it as not the of get instance, meaningful inversion. between we Fed
happen when Difficulty] show and this reserves this might holdings place for [Technical commercial occur. the an large got put itself arguably and in Slide event, slide watching the the picture kind worth immediate Difficulty] moves this Difficulty] is again, in being XX, the second ‘XX any don't in think I why and [Technical Fed a Difficulty] repo future. just Difficulty] But you issue pace. back in by this in reserve the have caused of that's place [Technical [Technical some before seen [Technical markets. in we from the Fed that facility it's tight event and something In Difficulty] here. [Technical banks problems too withdrawn We've
This mortgages left, the we for and had. mortgage had early we around in wide especially look as if of Slide prices mortgages and rates quite and as quarter did and here poorly, turn quite normalize performed looking they the fourth you coupons, market. at early you January, we the October, the the Xs, present did is particular you we poorly. we're in can to can coupons. a is specifically into in quarter, late why And we closed Xs, very important. value very big moved several Xs Xs, we giving a XX performance what the top so as see And And started it see, when That's on Fannie you well. at range then is But upswing. book
versus market, consecutive whom close data get duration. have that we've several this look their quarter, these bogeys. February, seen well. read And in higher we here relative stress early at very so bond sector did weeks longer managers coming fourth positions to I of and think neutral and and quarter out course were year, today do the But like their they reasons coupon the point we I are can't to we to also period want inflows. this, performance, adding have there's or know, managers any when probably But coupon what that at most where back for of to any you to into the I lower into have the We is least don't the seen if the of periods neutral. of for rallying, the were And really quarter, late of coupon eight the say first over underweight money just money obviously, funds
because neutral, bond beneficial even to that would we've us, so they're the And equation for a for quite the sector. for they news So, to side been that while good of with try it's on stay it's extent that fact other year. last inflows, the the
of is So a low space anybody which in index, because coming XX for well, contrast quite produced Fannie coupons. were that recently, lower index particular, ones against the is years, runs weren't towards skewed for produced X.Xs bodes even particularly Obviously, into portfolio Xs most In long to say that the the until they last the were very time. a that coupons. the for heavily the or fact money these
perform So Fed be direction. well, there's in anticipate start other securities they those active market, to and managers go coming the would they're to we pivot would the and when And sectors. the have were well, would if in performed going market the money to and extent into the those index,
other In much rolls on you bottom income. contrast, than low, very left, offer look rolls, X, the the drop not do in the Fannie of way they the if all see you are
late. market very market special quickly. special less With that The roll can not a the -- been attractive or has Xs, in of speaking, very Xs, so technical been generic it's roll of very exception generally get
pools. specified show just These are right top just The representative.
or get imagine, there. the that meaningful As remains suspect given market as might specs a being we'll soften a data of in early can you points And rolls but in again, run, market is we've it have discount, day, but an a roll January, another to that lot especially backup with March. rolls performance in the had extreme yet, decent to soft, there's had I we even rallied specified don't pool The good such We not had now seen. market be February. in -- at be that
So, generic we own. to that it's desirable payup a low pools more a of more or heard
can even and XX, as XXth, highly performance that or slide last remains fairly you high mortgage measure, more spread correlated see, three-month make XX point XX-year It's normalized Again, it showing would This levels is so is and of picture been the Turning vol a more -- over one seems And just through and to they it's it elevated. XX as I One speak. Friday. we're been February data elevated vol. elevated one always very but are, last which by is months. volatility. with we we have as show even
an have very So, always something and on always mortgage eye always vol levels will. are impact because we performance, important, keep do they
XX. is This the we left show side, slides Just levels. moving -- OAS -- on
put than investors can OAS As been or levels. fairly they've Different you stock more less stable. see,
we've fact a Now, this seen before. empirical OAS, models. those have skeptic, problem that at mortgage models is have you that discount, -- we off given a of And if entire these the we you're the universe are the like products are the And where that are and an data. environment built almost rate with of never realize wise
said, number and a tell of I they that there challenge, especially would models reasonably who that have we'll to that of the to a OAS might mortgages as can't a book the be And changes would But attractive, not being in little like. to So, attractiveness a are the more ignore otherwise, it's investors argue, accurate be been there's But you moment. on trade a so yield for level, great. frequent are the as street you lot them. on of off relative say they model,
high as The top QX market, were The type the it like very much kind in Moving to have operate see, generated on, one investors, site who all sectors. fact lose as a so world we risk domestic just S&P, can we're by you of say, and exclusively some we shows et return gain that And not yield, some can we here. operate data, just across while MBS we of And of yield, on, perspective returns. the you best investors of was cetera. three quarter. a high tables returns the emerging
has The is what historical what lower kind the What much the risky sectors, that norms. year is But expect positive expect. lagged full in as to had mortgage you risk the for of contrast you is of very And this returns. we agency which saw sectors on sharp bottom. more XXXX don't would such
the opposite S&P the see That assets, the was not. have and see the it's positive you one Very most XX%. not very of aspects it's typically than often highly in were down is most negative. mortgages of XXXX case, XX.X%, correlation all numbers XX%, bonds between returns remarkable was the treasuries far correlated risky down sectors more almost right, the and to these If such here, unusual the of all from
which we last of -- And from stopped the then very it form we seen monetary that year. unprecedented had just then policy we things accommodation had such going their fiscal And of also So, government, the fact by the year. reflected removal on, incredible in unusual had the believable tightening. the was Fed
that's of amounts withdrawal of So, it the accommodation. was returns. led tremendous these basically of to And what types
But date we Nothing how as look than, approach through through table other that show good. say all lot well, we to will interesting which much be of it quarter just positive, the the the this could see XX, move here, a year Slide we and February different. they year. to end are to looks is XXth. It
of where that the end the of We this markets Slide moved much in above Most column. we year not right about more says side, thing and I'm asset across of near course, those at And nearly showing to all of show XXXX, farthest but XX, XXXX. at still see you have ratings look to very, date very levels of We're end spectrum. the highs. this as And one you this the your fixed the the column can do can is here at really They're spread just do not same. all you it is Current XXXX, the they is in going say then And high were across income the at And have February XXXX current. classes right leisure. levels in, one of Xth, certainly show were then much. changes. XXXX. we this, levels
of speaking, the market So wider generally ended most levels trading fixed they at sectors income much XXXX. than are
high rate. But primary we is for this next we and slide look thing that single at left versus from slide, with really secondary you mortgage have very percentage extremely universe levels, them. can is here. out, The top mortgage this right, expect The index is spread. what rates low is not The financeable pointing if to low. extremely worth the can originators that’s the relevant refi XX, much low, digits. index you And one shows as you multi-decade imagine, the say at refi And the of top the
when or a spreads mortgage the in back before level at You keep can crisis can tighter But levels. the see sustainable slow do the financial -- to are the we've in or accept at business few current in middle past, market, order we the the and range even is of going to going know it's more less in years. one days that and they back been thing seen originators a volumes
very reason, And -- rates may means just in can which or slight stay and go purchase at so see for up refinancing higher tightening to this activity rates is refinancing maintain would even very so they that may still were all a robust a low see that activity we activity end a little than more levels. it little being no spread But that said, is long low, have purchase levels, we that activity bit leave otherwise. doubt
is results present want slide quarter we talk Now, left I spend I this And as And chart financial the XX. to about talk we and on can hand some did our time that side. quarter. a every last about
It's quarter, dividend. see, can with for you income core proxy our $X.XX is obviously $X.XX the current As negative, negative. a
wonder as just accounting these you unrealized normally column that things our understand and would where of have last And gains, in in be have that. right treatment, components to core You realized because there numbers. the how we can we the I are time, those of income the cover said that captured instead some of
include unrealized of MBS So for instance, gains discount. on accretion
And at accretion trades that discount portfolio captured pay-downs any number. entire to is in through Our par. a
was So million. quarter for number X.XX the that
would captured have that's $X.XXXX the number. in otherwise that So, about been $X.XX
hedges. And we also have
so. very, for just say, quarter, futures the in swaps less to interest our for the in all far were Now because negative But had they they mark-to-market. needless money money rate -- the quarter. nonetheless to and went from But very that's slightly the
fourth quarter, we were million And for swaps. which than about number that our is on were the more And paying we $X.XXXX. out, about instance receiving for so, XX.X was
dividend. those but that, I'm which of I is few realize address going to I'm get going add of you less to discussion $X.XX $X.XXX, do negative portfolio. numbers about a when you $X.XX, the to details than slightly so in the the when And two into moments the I So, get
let's thought. hold momentarily. We’ll that coming So now, just be for to that back
want out to we've about XX. that presented. talk to very I data want point But And something this -- again, historical Next, slide is this I important.
you look our for XXX If represents was top basis quarter. points economic the a at interest fourth line. red which see solid cost, chart, the you That
XXXX, higher recently, into that's back granted, those level where it's in instance, a were if they higher at Now at look for early been you than numbers were at XXXX, but levels. even
So, our more but speaks the than basis of than purposes higher are tax for works. this hedges closed, legacy were have now, which hedges tax it amount indices then. economic interest accounting than XXX way And was points still we the expense is though benchmark even higher today to they relevant that we've in and place, are the the because
you For you close that it a position XX-year swap period. that whatever date the XX-year into and the you of applied the remainder is position, swap over enter instance, close in is year that later equity that a if open at
in more this it case, So, would years. nine be
you available for from purposes, being derived come. hedges. those there those years many be for equity, calculation lot a expense would years. So that that therefore of for And benefit it to going a nine I'll positive if numbers to dividend moment. But your in legacy have is give reduction tax and a with interest in purposes, represent are of swap to we us details a the remaining lot swaps over our addition to of closed the in instance, current are swaps, And
I'm is But side. some the our leverage on slide to in hand through leverage. say XX. much 'XX, on spend time ratio, This information. about this shows just GAAP deck, left historical page mind, want is going to Keep moving not this I the Just
do generally divided unsettled showing by security So -- shareholders’ but our are liabilities is equity. out We not this those material. our back purchases, total
In X.X is was we their ratio. leverage is GAAP. like typically range. our keep to end our not long we're typically referred TBAs, case, ratio, That our as economic so low in TBAs, which higher this their of the use of who peers number we're on the at many short of the year, leverage than they’re reported long. TBA, mind, end GAAP is But And
economic our ratio actually X.X at the of end was so, And leverage XXXX.
historical today. So, our low it's And relative very about to norms. X.X it's
leverage nine, end our is which typical view six So, of at to ratio, low we're in maybe range, our range. the of our
for the quite historical can in and towards prospects So, market -- and pivots, to a market tighten we rally the mortgages for powder a front start back meaningful bit see around, the we turns deploy the dry we end, norms. that if rates, when especially of to have potential and on Fed so the
have We shorts. could as simple It our back be powder. buying as dry
and start to So you leverage if to have starts to that we us and we one see have this would market unwind true allow economic TBA versus a lot the tighten, realize rally of benefit for mortgages shorts instance, that today. here we could the ratio
beneficial So us. it would be to
Page say XX, I'm this. to going about much not
high allocation price pass-throughs are, simply the can't lower. they higher, left basically they tapped as go on to up anymore, IOs speech with because Our go can't is mean, as I rates in out. any
mediocre In were what of is XXXX very from a trying part profits. take IOs selling lot of half performance for there of because and the saw we really latter to the investors fact,
-- So price benefit. was than see more we owning don't limited. nothing There's IOs today there's And in upside. downside appreciation any
into heavily pass-throughs. moving been a concentrated more exposure to we've So much
talk we can kind here we're our how positioning of and XX, Now and slide about why. positioned
page, look If this few just things. a at I'll you highlight
for notice you If to start coupon. our going instance, with -- I'm that
the end and quarter, X.X% average of the weighted third Our the X.XX% about was was at year today. at the about end of coupon it's it X.XX%,
have a So to it's the to not have to funding today, our heavy much. current to much that in current to still coupon cover gone It's in And bias. X.XX%. lower larger and in coupon income extent up effort might that peers an third from X.X% very be contrast who costs. a the end of from quarter to generate We gone
in not fact, done We as much much they have have, less. as so much,
million of X.X, at the our not over those the in the to million, our course added change XXX pay-downs. did X.X, One about added million pretty XXX of thing other we I fourth the position add But about we've Xs. look on position will and about than in XXX X, you most to by of quarter positions And years, if point we X much end year, Xs to here, and since XX-year our out did Xs. XX exposure
mentioned it coupon total X.XX%. a brought still million. much I we is mention But So, then, as has that off, lower bias. up I the XXX portfolio to coupon also And have the about would
With our TBA bottom hedges of lower since the than added respect to I XXX now on page, We've our when of referencing have year-end, to That's million. was we shorts said the leverage the number ratio was million. I economic that about GAAP. our XXX it's
can we unwound, of that the TBA dry market powder of the form lot in turns. the event shorts that So, have in a be
offset to our quarter, just costs. hedges did the used these that second last an coupons. on I the or we're some XXXX. And we to and hedges, did showed really fact I of words, will, lower with I you offset that increased that if in funding today, these owning we like received the started Two numbers way half that things this interest positioned and just and so other that color And lot both existing of into money we more lower these these had to you mentioned hedges why hedges, of in like now, hedges closed, the expense. kind mitigate I form legacy coupon bias. were giving can of in ramifications be the the And a the come numbers are, of really negative, in --
we were, of then, our some And or all even Going did we the future tabulated then is are numbers. our derive at forward, in hedge end of I you future. day, we in and closed we can time. they the those so this, them took numbers they're to remainder from of what step what interest analysis of had we calculated in those higher hedges would to the in been contribution kind give hedge than than that periods they higher, expense assuming benefit at then the XXXX. do the and they some determine and them, And place around looked positions, were across the the underlying And taking second all of of And and XXXX. closed over were just tabulated that
XXXX, number expense about it's in relatively of in $XX.X available offset the decade. instance, it total goes remaining stays have million. the current balance XXXX, In high In And million that to of hedges. $XXX through $XX.X million year. $XX.X we For lives over is the to the interest The XXXX, million. those about
mitigant of that's in income So, mortgages why benefit We big trying that a comfortable the are minds, and we to not utilize. current we chase our is hedge of we premium form lot in a this today. can feel have
-- focused at hedge the And which that income, securities coupon very we investment on we are look fully and as the because to always, solely not they're we easy a opportunities of make second reason lower extended. is do these from total rate return current so perspective,
We do wide already so. very these fact very towards think why would to to want coupons, managers are think quarter favor the of are we longer And these. we tend in against that earlier run that And continue good this explain a The quarter have and mortgages heavily seen money and do return we that's tenor why indices, opportunities. we weighted fact total they to place. and which they in offer we've in the rate hedges they fourth rally well
fresh to originated prepay -- they mortgages probably they're offer the These are are to sell-off, going exhibit refinanced. On extremely a fruit to might newly going event high most short, hanging readily coupon going the are current lowest they're they we they our income, going be rally, the poor because In would current as current they're fast. the while -- they expand. poorly, And the they documents, would be mortgages of unattractive. other In view loans, have quite because convexity. hand, to and perform
As of a hedging result, challenging would and with to they're that high. the hedge, very be horrible convexity, cost
need hedge we to coupons realize And apparent talk total when with we better into have I that benefit. coupled the again, to very own. And -- the it return of have for so go hedge cost. to do our place going forward. their to costs you you that, we -- current legacy and with we similar interest have we in So continue that to carry, respect that comfortable positioning the don't have about materially prospects, eats when that's rate even maintaining we probably And are
if mortgages January return still point little early February, being in can said, were than that the the that somewhat to recognize attractive are instance, buy as or spreads. discount this XX-year We respect conjunction somewhat, of a a this for environment’s with a you is final will very are, double-digits. swap, One I still extended And you and potential with fully securities, maybe vein, starting mentioned, on less probably and in in forward and swaps of less get raising. assets. a carry capital that them and legacy in in constructive pretty But that little with, early total positioning, so we related on still the deep hedge lock returns rate can in those you
or we've we two something look they consider. most recent So, they're more seen is even would certainly last three capital And cheapening weeks, attractive. And the compelling. with raising the
capital new benefits there's definitely to So, today. deployed being
moving slide speeds. just on, shows our Just XX, this
XXXX On the move that relative speeds through the cohorts as we converge. bottom see of our right, you kind to can
speeds said, probably stay the are in That much more being time. will in they're some for slower way that the with cohorts all and So, cohort. line
low question and to So, generally speeds that there's stay are likely that no way. very speaking
of red both, aggregate they're our to blue moved the funding line. month line, Going but just see again the and And continued expand. the much top on is other, you the large funds, the which each and hedges SOFR this quite the in balance XX, to the gray leads legacy is very as And that growing. current are see of into and it's you our the money. cost versus gap But also XXXX, can line, we we that blue and our of we've can't which benefits have really slide through the line one deck, red show much in of it, pretty costs there,
a our unwind some positions. so, the early the with And and on the where than One of last swap. quarter. With is did much added, swap just most show our respect derivatives. of our and over that's our our do rate year. One through roll did the are forward to we agreements, unchanged move. mostly And The of dynamic and other the starting futures course them. the top the those were are We markets end as right, trade we hedging we They hedging That's pretty one bottom replaced of we swaptions them this it. unchanged the futures. do in year left slide
they ways we of as So the the more opportunities advantage rapidly enhance than effectiveness. present be kind can but take kind change rest. do the are But hedge those nimble, positions there to in of of themselves and our market overall
with we're late with nonfarm finally, want what's happened kind payrolls reaccelerate, conclude to going seeing the I outlook, of had it seeing of the been, start turning which to and opposite And we're around wage, view are with how inflation world. in we then direction, very just the data robust. our Obviously, and
But cycle ways. eventually I'm continue because a And discussed. but I in And It’s have the end. not tightening the when tighten, fact Fed and conviction. this and lot the happens. just you conviction will is this can very will think to be sure through we do assuming thing when say they to of So, of not we as cycle that a there have are to that to if that end. sure like going we're the reasons is the going is mentioned, for that hard upside much much one We're to very take environment, pivot. when positioned very advantage many We get as we we that can forward looking to well
very current to or which that get We have they also event would very again or if expansion But coupon fed our don't be relative those. eases; substantial would but to so even the have more The is the can our much vol also wide back for are potential. They which potential we value do easing. NIM, how of book historical know going are we may elevated. also normalize, -- tightening could to in, tighten. may are expansion positions, in of the norms, helpful spreads which Fed have to NIM a all one, extent support the in mortgages We wide. And not vol they bringing hedge
or high exposure to The have which of rally. low coupon X and fact pivots. a And advantage we low any other don't the And point that turns second that. think to Fed very which leverage in formed -- ratio, we badly extended would have can increase if to easily would thing premiums, X.X well be we can do coupon we which by a is think when we the economic index, take be our exposure mortgages, very fully
for think reasons, NIM have we of good performance book for very So expansion. all potential we and those value the
agency we to minor then, downturn And relative other see we do a could credit would the you in because in just on a just sectors. say you basis no well, I point, would mortgages the some have And have one that, expect final economy, widening quite credit extent exposure. to perform
all we for reasons, market. on optimistic So cautiously the those are
to do, I environment. But more And ultimately when turn, know they from really market just to when they don't the the benefit more increases we be successful. will it tighten, when going they'll stand that chances kind to to the going over economic the the pivot. Fed’s they have turn As of constrain activity, is we said, and that
can that's open questions. we call up the of Operator, it. So, kind that with to
