everybody Good of through to that the a course download will our you Operator. had I going Thank slide call. be today's morning. Hopefully, chance deck and over
on the an As just Slide agenda. usual our be format just X you following table give same I outline contents of a of will the to of
The the our be quarter, our and words item of describing course we forth, see market and how quick hedges, the portfolio results will results I overview what our portfolio, talk about to the few quarter, first then of so things will respect forward. just financial then finally a developments current about the for say over of with before with positioning the going operations we and and a dealt then and
and income RMBS unrealized Orchid RMBS and with per share Net generated to and derivative turning share. excluding swaps Slide swaps. instruments share Island income interest that, on derivative and quarter. including $X.XX interest including X. the realized unrealized was $X.XX rate on per rate net again per Gain from of income and of interest $X.XX on negative share gains net on realized So losses instruments, for earnings interest per gains
for declared dividends, XXXX. figure. quarter dividend per unannualized and our and the $XX.XX share QX, share XXXX. in versus share initial or XXXX, of company Book gain public including subsequently $XX.XX declared has since at dividends, July the $X.XX that X.XX% an offering, in value at per In company is the $XX.XX Total per was $X.XX in paid economic declared XX, per the X.XX March share
developments basically quarter. that occurred market four during there to notable developments, going Now were the
get and was was between occurred during for more a that mortgage-backed very about period I'll while that generally, and during most few importantly, talk pricing, moment, that debt on in first, which but more period in performance reached moments. and limit a words, May comparable see our in this was impasse mortgage in a late treasury, spread that terms and resolved just that again, in other to some was trigger particular, of late negative of The assets in risk measures did actions that I'll of part, into May, did the but Congress, the duration course high significant it cycle administration and in securities we some which,
obviously, where was had pre-pandemic, The second sector mortgages haven't were and recovered very a we're all back, we in we way the mortgage the close recovery of to recovery the but good development June, June. in
item, you reaction gone saw the maybe hikes of yesterday, has data, third restricting, on across ultimately months economic labor GDP but for really realized, two-plus another as -- on is which not and least inflation both potential, very not had just globe, banks will, more central more which come. and The potential, hawkish, this of at strong data, resulting but part Fed, we data, the the market now become to even with the even hike week, if
a assets, also item, in those options quarter well banks, failures initially the going well. which occurred and were of much March, which billion taking the the faster fourth anticipated $XX result And through in of were approximately with over mortgages. FDIC the bank it then the the it's second billion going April on started This $XXX still of ongoing, although pass has XX it's than quite over and is
now, just and through pictures. with the of kind give the some we these just to slides, four macro to So you things are go those major dealt of developments
I'll Slide X, end are this what of continued we quarter, the curve half, for has very the in and then about the minute, that us higher, and the slide and can the for levels above Friday, there you hike, for instance, last levered ones, has it for very see, swap attractive last investor, and the using the but can hedging front meaningful you Fed moved tells and the that's types lines margin we a a basically those year a see using is inverted, most curve in looked lock is of end same, say but insurance. it insurance, the and has at the last remained of the where the and say recent you any were has this through and which and red more line is interest
swap or curve. continued So curve steepen, the event, true to in both any rather, curve invert Treasury nominal the has and the in and that's
cash, these of the drifting and a cash, even quarter with and the and had XX-year and in as spite of were the swap, course in X, that, nominal of said decent super the I pictures actually are rates have over just notional the Slide XX-year higher rise rates. quarter then mortgages
people page. There This to Moving at. spread the to measures a are mortgage the the Treasury. many current XX-year I'll that on such of just X, look is focus Slide coupon bottom on of this
at as stable. spread the but the just can You most bottom, pandemic, if all gives meaningfully in to spike March the look and got the you XXX to $XXX, think back We can look this as you I fall recent late we the XXXX, or much had history to pretty October curve that and high they're last through in picture good And goes spread very this XXXX was reached if same at more a blend in $XXX. you some fairly the and but you look the see all say from perspective. May,
appear it So that to as be widest was level that while something this their the I in cycle period episode. hit current said, mortgage mortgage debt spreads during consider didn't would pass, when that high through limit we you market-related, it had in
take us moments. actions to that something so describe and And few I'll caused several meaningful was a that which was in that
to case of inverted. although that in two cycle negative, far so Slide negative less shows points last all There XXs, has common We on X, the is you the Xs, In other week, the between XXX particular, Xs, steepened on pick. Fed inverted. the Moving the this as as would high XXs days very week, the just curve be as in spread you are high and Most They're much were or this in XXX many many, still can curve. XXs. funds but this XXX.
mimic because, the Fed balance in do down. developments through tightening, both and sheet, they XX, follow we when And they in size the holdings, they're way reserves run sheet they're Fed note in system, what likes just normalization letting normalize. is balance the as Fed to XXXX, to balance the sheets to Slide holdings that occurred to in this just the quantitative now, that the their expanded to bank of reducing what sheets refer all, on to their you're is mean response on the when it, seeing a and their sheet balance banks described other the balance you shows after sheet. below. tend off and of the But up bank we refer reducing Moving balance we that details or of bank and takeaway words, In and
total you Now versus the the uniform in XXX which change, to somewhat. are since XX, change in prices some as to quarter. price turning spread's quite performance all wide in as left. was absolute not recovered moving more you And of and all and return normalized I is market the are makes these mentioned mortgage necessarily the coupons not slide But this specific, as price, but can given top price May, have benchmark, end just can at sense see remember, the rates. last late And the see, got down with
the So these are you to that widening. movements reflective spread that of argue downside, could exaggerated price
usually right, said bond I get of every you just top a had picture selling the that. FDIC, of levered any are and are almost you we've rolls space of morning. is positive look the this TBAs as that FDIC some And pull, coupon the a can sell mortgages income if of keep it's bottom to rolls so market, alternative left, mortgage these see that you non-economic. drop is essentially off otherwise rest And and specified in any that if the roll roll specified XX only and negative. pull so On a has started, all the market, of you as mind can that in liquidation on seasoned. source they by on the of dollar The all is The of in six-and-a-half even the substantial April a see form
So they all have a pay-up.
would supply. tremendous FDIC initial The liquidations to as were had reaction TBAs you the expect. you've So widened,
billion pay-ups bad, it'll percent the interesting to well. every just was didn't quarter the through, again, initially is see liquidations. this how be the billion market. quite in so of going well, so week. benchmark probably over I don't really because of $XX liquidations very lower, XX-plus they've probably comfortably and We're said, have that as those has stabilized, once of since Again, But billion And those or and but done was market considering the before it over not be look are just supply $X up we size held those $X markets behave supply patchroom
takeaway three-month-by-tenure But last it's the that is pandemic are much not late The is up levels to short that vol until and Turning level March a mind measure reference, Slide you still of that for can average here of period guess level is that was is Obviously, see somewhat for late during XXX, this an mortgages impacted over normalized I occurred, vol. May. since as the or by asset XX, normalized. about is very the in volatility. vol, or XX. this moderated decades, keep
So we're above that. well
at still a local volatility of a local is to So just as peak. kind low, elevated, opposed
pandemic, earlier, talked Turning elevated to they're appeared left-hand negative. with you can as of in these mortgages peak June, see then late, I said all the as are and I to what side, May. extremely were the to can in in and LIBOR/SOFR they Keep as levels levels you on these consistent late And XX, Slide that see, mind about prior recover earlier. OAS
the these when QE, pandemic the in were the of after midst numbers was Fed negative. even And
been at as So we last asset year class times mortgage over attractive. moved while result, half, the performance-wise, late a the the and and of way, market, very long a a it's painful is
Turning returns other multiple a mortgages, on markets certainly number across And S&P. index, components and of ones across invested mortgage the to focused investors course, XX, of of our the exclusively classes. even are investors, aggregate Slide and are these just that asset are
them, to are therefore matter And things in our us, because players and market. they so returns therefore, the across these large
fixed As the modestly numbers, S&P again, were in investment year-to-date market, components not best in grade, otherwise, second the And looking assets, emerging market, of the But you markets either XXX. see high and other the can of best riskiest fairly had high materially negative, so. All the the the uniform. the quarter, income returns. positive yield, returns the but the case yield, have everything's debt, were at very emerging or riskiest assets
The spread spread returns next versus investment best investment not and a that's slide, grade corporates market. mortgages because the class. unfortunately, and And well, income as quite forward best worst grade between investment across small. are look that the while levels is of perfect asset year-to-date the fairly same show mortgages, not going large corporates. sub-investment grade to doing fixed as to grade segue where we attractive been, go The And the
the going page. And focus I'm top just of at to the
MBS, look here market at margin reason player corporates, agency, the and active today the at are extent largest, are and community, are Fed the focusing largely money to in the and that absent. and bank, you is If managers the because I'm active they most the the the
for us. managers So money are relevant
corporate market. And you largest mortgage was the the other buckets so and two words, to agency, look if spread trade are investment treasuries, at the assets market, that in spread grade products,
And attractiveness important. is relative so
at few slide. columns a So this just points look in or
at year can quite XXXX look labeled a bit you column you the than that wider mortgages. corporates If see were end,
can converged. but see had If and you look a wider, you we a very stressful spreads much the little right, those that they were XXXX to
much the to XXXX, of they're those they you or with tight see one wide, that you see they're at you in levels, while a if But left, you tightened, the wider. If look the very off still line again bit the can the level, mortgages current quite look are December can another.
sector the forward, the is good relatively on the well beyond. should are date, that bode so reason but year forward. for been over class class, And XXXX market the not going the of look and asset balance asset for for that's does we so to And going constructive performance attractive the that and very mortgage
Slide the XX on the picture, page. the bottom shows so to you just speak, refinancing of
that tightening from because to of And You the attention for is not where the It's bias, X%, of to the that start the which would as spreads see of fairly they and money, doing are. in the be fact can on the mortgage been are development the call also It's late, what easy banking secondary your you position course which extent call of wide, beneficial primary to a the newly a a treasury wide a refinancing, spread universe But moving or see between see that's ruined it's the right. originated high And market would you see we mortgage in an negligible. can to about percent the mortgage turns that we benchmark at be essentially market tighten. it has slide Fed they And the rates have volatile surprisingly, top been would zero. bias spread the it's levels. but swap. and those the can the given
have prove We've originated we convexity on said mortgages. current negative another where few that originated, think last just reason this view is calls coupon would a earnings be throughout And in we of spread could tighten secondary to this in of our that especially section come just to recent recently to rates mortgage the much real primary ability refinanceable. more challenge, available and to allow case, make the that and this universe that borrowers very a
an just wanted but to just that's aside, So that point I out.
we've a of left you is turning going XX, the this on the left going are for and results realized as side. keenly I'm on on And we're it. I'm excluding focused And Now how to can dividend, to negative the $X.XX. income see, slide unrealized several be question And net course I'm and the you side, mind your just to our is can case? most number through had in years. of walk the focus as is losses, that Slide financial gains And a $X.XX the hand that same sure so paying you
million, in $X.XX, $X.XX your of million, another to expenses negative that the that's gets with net the income Starting portfolio negative $X.X $X.XX. you roughly negative. And $X.XXX of that's
still fair capture because accretion we in do the discount at accounting, these means However, current use which generally income a value all we our we but that in not discount relevant much that's premium environment. amortization do figures, very securities or
our to accretion in the approximately was current par million The securities of quarter. X.X discount
million hedges for that income hedge to of interest but So which though much our We we more materially, $XX.X expense, But hedges. even much actively are very do about $X.XX. we offset about accounting, $X.XX, money, that's our use hedge don't hedge. use accounting positive and Again, added is the purposes a in only. tax or
to you will those blended factor buy those those you basis gets we that a swaps again, we still the did positions I funding when dividend, interest had margin increase predominantly, versus one $X.XX, just combination basically the those leverage securities, and items, inverted, we newly of $XX of two assets to that during and as we a with by a there's to points. XXX XX acquired note in to the program used using and under approximately million shortfall. so little issue of mentioned churn, ATM in we were So and proceeds equity hedges $X.XX net on our X.X a rate through positive lock earlier, a our quarter, I and a such over could able X through curve hedge that interest
to So that $X.X. will X.X about add
So of gap quarter, out do than this so that to gap moments, that more point that late but to these I'll the in negative going is very at much, in less a here the some, the that. we ad speak close want stages all. numbers were it's to this very, in $X.XX And much reflected and just I did not obviously few
forward, all even quarter. us XX, we the going be would versus equal, the at negative of $X.XX this we So $X.XX had around
thing in just to you, a to of end at want do about our the quarter. one So going more out what that's we then the And to able and forward things I point positioning current we're the I'll see moment. how speak
this call the inverted of a speak our just fed we've that as want our our And case, local XX hedges or end shareholders' the in Slides rise actually was Slide our trough also and at a figure. blue can TBAs, past line XX the so And the is spoken bounds equity. slide, picture I shorts regard. of in with more see, rating we to of basically divided Slide is less quarter, adjusted this that is the or the recent XX, net X.X That's represents just we it repo the at trough what of curve adjust to a our margin, you rates. TBAs, of but by the interest to balance this. that long-term and TBAs use leverage. through leverage obviously, We're ratio. in Running same.
what been this that effect leverage, opportunities is our extremely as could were saw And had at-risk we lower. we or late year short of leverage TBAs, ablating, our a we reduce attractive, our last and substantial market which in that And much they we quarter. in being which increase this was have earlier did said the year, we so economic short, amount if TBAs
step did. and recent take in we I quarter. attractive some able more leverage but by mentioned, were small, to these levels our we just so, take room extremely TBAs to we additional advantage mortgage take market. buying it's the substantial most do obviously of the ad shorts did that do higher, simply to And which we a And so have this And these back
Moving nothing much with performance. carry rates as component to our on a here. to side to high than offer of they unchanged left really in the little on ability very other are. Slide say is It's basically hedge IOs value their positioning not as XX, There's
we now characteristics. And towards skew pastures. a portfolio have result, a And as about heavy, so I'll talk heavy our
on some the show approximately towards been the can and case on XX-year half and portfolio skew we've added as it's heavy time, sixes. So But see, Slide for fixed of half rate you we XX, tops as of page. the has a our almost a XX And half and mortgages, five percent.
unchanged other last All are than from quarter payoff. coupon basically other buckets
So quarter. half course did X.XX% weighted there to six to But the reflects the we substantially coupon the the and in about change the just outstanding add of and balance X.XX%. over five took bucket. paydowns a our And from average we
we for post-quarter higher. changes want may in So And with the have no a end. moment. there more that do just as the said, we been Otherwise, to future, in that has so taken the respect table conversation I portfolio, I to but
we yet. So haven't done anything in QX
Slide levels XX substantial quite in shows these low. environment, speeds. are our a Obviously, discount
around yields of near at the the would the change If most That the quarter, turnover so half you in assets expect bucket. our be with the get speeds, since higher may Reasonable June. and out those look bottom is and high that's kind a And speeds, and were seasonal, those X% meaningfully you the but we're decent a I term. little coupon in of cycle paying recent which left, at the CPR to not the peak the three in six securities like.
there rates rates you XX, more is the around turnover that until paydowns The and Mortgage balance high. very, quite or orange Slide to outstanding of case expect expressed percentage our Going of line in remain the are through very the build a And are as just principal other this same. way. low. the turn
of single of call you I as over at picture counterparty. repo the counterparties, what do we've bar same while that our continued a adequate time No X%. number spreading of to many have by And years and maintaining exposure counterparties. avoid concentrations across quite and than number large to is to diversity. this of more rings counterparties for a can And try XX, effective we many, access see, Slide a the funding
right-hand we the On side, cost. funding our see
SOFR, continue through where And line a move basically to kind that's which The see, light rise as grow although month's risen then to peaked of And look come our cost is we there. funds, to impact stay gray this number a red One rate. at our to play, to as out unless is and of funds. of hard hedges our be slower expected if line. portfolio steeply basically quite the see economic cost of it's XXXX, were is substantially, you into But you make you can stabilized. we and importantly, can at it's and that would the
I've prior income for on years closed that gains And tax hedges have have of tax actually at hedges offset available substantial been but and interest those calls year amount that length will from have out, of spoken we to still after. and increased our we impact federal expense. next purposes this about the dollar income
number is way the some this quite time. so to stay for ability that And
to an our Now, hedges. important is slide. turn I'll This
meaningfully May, a what mortgages and And minus We had we other TBA the in hour cycle-wides, at could thinking I hedge our was we $XXX moved we negative were when wider. that the did we of and taken hedges the at that million. wide you thing left. not As we the those million side. we from $XXX fact mortgages, mentioned get which to late that And the some we lot moved see But rates, shorts, mortgages bottom some an was got assets. very very, said in on bought mentioned steps, that I did
And more to hedges curve. moved wanted we we out more So the rate-driven be also mortgage-driven. than our
five-year. softer data, reactionary non-farm the the over typically point number or the what is so on like most payroll, the couple you a as last softer we've in of led rates. a the point is we pivot CPI when get curve, by which of the so curve and ease, case, the had the seen sensitive direction if of you'll curve changes And month Fed last And most will The months, a five-year some see we typically to that eventually, that is and the the of the five-year. steepening starts think to does whenever be
so And we we they not use using But hedge. five-year want move more the wanted would the out be rather treasuries, much longer-dated of because to to hedges We'd further a have less them duration. as the curve.
And at so future reduced the note allocation left, for futures our our we moved position, or swaps. the if Treasury top look futures of moved or TBA see you substantially. five-year we into in them was either when instance, XX-year ultras you our note hedges, And
if look see the from the XX% at went increase. top billion page, position to our X.XX you So billion, swap side right approximately can a you X.XXX of
And a and we've is So the curve. mortgages, rates. pivot think moved from of was ideal of into we further in eventual our and this out for that rates, May, very reversing away hedges, an direction again, late positioning the
And as, north points the is is, XXX given the funds nature of environment, in again, you funding, even very it lock this as and curve available. well can inverted is of basis in high-fit attractive
it face as of it's not on of as market it. appears So bad a the
a starting forward was done some converted swap. we little. our to XX-year pairs post-Q to basically into and] [swaps changes very There forward end, we've our With slight one ball positions respect of
with I above. just consistent what Again, described
portfolio as it. holdings if I those low say some the favorable, I future market they were said, We think conditions our that the don't rally. we a May very as opportunistically were to at do so very if do coupons. and that's still we although positioning, low view rates in again just summary or long-term will assets higher so core around we the that would turn to are poorly And margin coupon in because bias. add to have did basically
do in we And we from are this on constructive our occur and sector to constructive think mostly over mortgages hedges. are our long-term term. balance the with we've we And with but that a very the that market to positioning rates have like the next. in well over mortgages on hedge the short may current the view opportunity term, We very have where It positioning, the fact we not curve. very our have of the and view the moved extremely year and long a comfortable with certainly very
will take I turn any that, to I'll over the the and call with And operator questions.
