to rate Slide Thanks, begin an X, morning the John, good listening I'll interest mortgage on overview since last of year. the markets which beginning and to and provides call. agency everyone of the
the year reflected funds for in cuts point the rate expectations rose quarter. year.
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for a mortgages. increase rate rates interest decline supportive with interest interest Fed's Given combined decline backdrop cuts from in in X largely being interest despite leading volatility the indicate year, line, agency more a to the to in than increase has coupon in in volatility, rate X pricing rates.
The this the the market projections higher dot plots in to provided accommodation the moved Fed's
show net in treasuries' holdings increased, we Ultimately, chart, mortgage market. quarter start outperformed supply XX-year were Federal the upper the March on largely demand valuations first agency underperformance a mortgages continues and detail market, Despite mortgage coupon bank While to to also quarter increase coupons performance modestly highlighting illustrated with over supply past the Reserve's in current to runoff of on U.S. X declined. right. the of volatility supporting well the dynamics as interest higher provides MBS the sector.
Slide chart the in quarter the the holdings production relatively months, quarter, of the domestic more unchanged In during left gray. agency agency Specified pay-ups in during the spreads unchanged. pool coupon the rate as production agency nominal XX the as treasuries rebounded top versus
X chart, during the right Lastly, investments dollar in financing securities portfolio lower unattractive TBA continue and funding.
Slide roll summarizes shown our agency quarter. as changes rates as the remained mortgage short-term investment for market details the exceed to implied the
decreased attractively RMBS sales quarter-over-quarter, a a remain assets from the X% to direct held from and higher given which benefit rotation modest the interest on by and agency commercial are volatility at exposure more banks largely CMBS insulated agency by balance during the portfolio Federal through decline in focused coupons, priced We Our paydowns and quarter. into combination of rate sheet. Reserve's
exclusively stories. both increasing on invested funding remain than loan dollar quality we attractive prepayment in environments of holdings to expected characteristics that pools, and our well specified more specific what by pool are in the balance modestly our our TBA available addition, pool the remains premium where discount roll specified to improved allocation is in securities.
We for and allocation In focused market perform lower
performance approximately production of near risk well we were benefits term, digits portfolio and production first but the attractive in volatility to ROEs reduces primarily opportunities purchases agency benefits prepayment an high sector. robust anticipate interest on funding the agency price teens.
Slide strong X been believe rate in $XXX digits.
Financing purchases Gross remain that quarter, rate the in in overview numerous on RMBS we the of has X% elevated in our which gross purchased new levels. the portfolio. so provides of CMBS single CMBS represent to mid-to-high second attractive with to the the which as the moderately as in we investment interest sector provides finance represents double declined detail low quarter, been coupon We as valuations with agency investment million the numerous to the maturities, able our in on quarter, volatility. current our balloon-light far We and believe first have in current counterparties Although largely this our at given its sensitivity to ROEs has the through purchases
to an will this opportunities sector become We as the overall increase for portfolio. allocation risks as our recognizing associated to the to the sector portfolio continue agency RMBS available, they monitor benefits diversifies with
X. our credit remaining CMO on Slide detailed investments Our allocation alongside agency is
Our allocation quarter allocated credit million to largely and end. both to IO million to credit unchanged remains $XX at with securities allocated agency $XX and agencies interest-only
$X.X declined net modestly $X.X billion digits.
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Interest XX December, prepared our margin on attractive the end capitalize our X%, further swap yields end portfolio pay backdrop we very provides market portfolio.
To believe conclude our attractive to increased of just Positively, remained in interest at yields and weighted to X.Xx highlighting at continue modest benefit agreements to on our low-cost volatility IVR RMBS X.X% but Overall, repurchase fixed coupon change, rate value.
Slide on down for the mortgage our of were from to interest which hedge effective of on the policy Leverage largely interest impacting agency modestly warranting swaps Agency from We navigate of to distribution. X.Xx weighted our rate unchanged increase future supportive asset declined, remarks, on resulting ended costs. of this increased is given improvement our our to swap investment. years our end assets weighted X.XX%. increase our increased rate a an interest in further X.X retained earnings pay rates monetary the on the the hedges.
Reflecting our book in our increased, as of modest repositioning fixed XXXX average the portfolio average quarter a weighted average a swaps, negatively maintain years, coupon to of X.X remains historically X.X% and legacy at hedges increase X.XX%. RMBS long-term hedge detail spreads, maturity on with book the rate while debt much positioned sensitivity average attractive funding similar led a X.X%, the well in at the the high of and quarter continue benefit rates pay restrictive. available of swaps provide at our equity, at of remaining selectively as to The interest we the hedge in over ratio maturity from rate for
liquidity to and position resources ample Q&A. Mortgage further now the our continued Our what curve, from remaining and the to of remains stresses should cushion will as rate Capital, in rate providing recent interest year, heightened the allocation such a for of agency experienced assets while robust and line market, mortgage yield Invesco more open in your than investment benefit exposure of Thank further mortgage April normalization adequate you valuations.
Further, target to was for mitigates agency CMBS deploy volatility, our environment of balance our improves. for into as provides the this holdings we potential our while volatility support agency interest also
