Orchid Island Capital (ORC) 26 Jul 242024 Q2 Earnings call transcript

Hello. Good morning, and welcome to the Second Quarter 2024 Earnings Conference Call of Orchid Island Capital. This call is being recorded today, July 26, 2024. At this time, the company would like to remind the listeners that statements made during today's conference call relating to matters that are not historical facts are forward-looking statements subject to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Listeners are cautioned that such forward-looking statements are based on information currently available on the management's good faith, belief with respect to future events and are subject to risks and uncertainties that could cause actual performance or results to differ materially from those expressed in such forward-looking statements. Important factors that could cause such differences are described in the company's filings with the Securities and Exchange Commission, including the company's most recent annual report on Form 10-K. obligation changes such in in affecting statements. no reflect statements other assumes forward-looking results, actual assumptions company to forward-looking update to factors The or changes

the to Robert Mr. Please go conference Now Executive Cauley. turn sir. would and Chief like over I to company's ahead, Chairman Officer, the

Hope and chance had to download you, operator, everybody Thank our good morning. a slide deck.

I'll presentation today. the using for that be As usual,

see kind and things of our forward. through going then over the talk we'll for the as Turning for forward. positions. X, few and a now and and go dive results, going Slide outlook usual, our how developments deeper portfolio our And and market just financial portfolio funding impacted results we'll into to about the then we'll those we on agenda, comments market how and hedging the

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different expenses be and basically that can are same. the slightly So

showing for income stable It can adjusted this just it's we're that X sure quarters. $X.XX. been or what income. this number, same. income see, you So proxy you a for necessarily And the exactly our economic want as the fairly not make understand is of I last to they're taxable

that's So I'll that for say now. all for

Moving development, on X the market to slides. kind these of through go just

XX, a first in nutshell this is happened basically on just Slide what's The the economy.

to back and end the of the first the economic quarter, data strong. had quite inflation look you been If

again. the hike have talking In fact, we higher potential being the to of for were would longer, rates the if about even Fed

Second all changed. quarter, that

considerably now inflation to saw inflation, of the And market gets is been the data, in change data is July, ISM of then has X% inflation June and path curve Fed's the be the and for which with as And pricing target. kind is eases closer. especially last to or fast this consistent May market trending change slope the now of in late on in views the to were back down to towards big All the and year, the later cutting are what rates main closer pricing forward softer the likely jobs, the where Fed April, we key year. just we

for XX points, at this earlier proxy XXs a got the it for as week, now, minus XX. shape the June, as was instance, late So In as of basis minus ] low curve. [ that Xs

the you're move. swap the blue points. basis a XX big moved green [indiscernible] to and But curves It's over the at charts discern X-year from So really in the the these hard point looking line. if

curve And So forward that, move, is because you drive anchored. large it's that get continue Fed $X could obviously, longer that the for trillion deeper. by to really we're somewhere curve instance, that can that But big to going to in down, could years. outcome for that if the be continue. X of election, forces fair government to Trump has run, depending in be currently also imposing on instance, deficits. the view of is moving more to conviction There's it's extent And easy will win, the inflationary. the will he end to of end, tariffs, on the in curve a our much In the about that say, length a the next front the the trillion amount if on at which have has $X there's one over the the end the debt eases, going rolled X.X of of talked

lot in go that rally as front of to a not curve fact, of as end, think end higher. there's much the the may long could So reasons it the even

to expect fair gain well positioned it how That of easy that with the it's being conviction to said, extent do [indiscernible], are reasons, doesn't, that's the outcome. unfold. kind a on amount even market and we a to to these that for we So of quite

It's very Moving a treasury far. on of spread is mortgage going about XX-year back the I to This talk the top. market. perspective. a the on chart the just good

chart, you the show in we current can we X.XX. this basis rating as XX-year. points a to closer that's still On spread Today, most the As see, elevated level. of to XXX X.XX, the are fairly

said, a much, duration the tenure. in has mortgage current being coupon that's much that of shorter All

it So a for hasn't benchmark little that more much under is probably late. X-year, of X.XX, today will moved be as spread a appropriate the and and

not much. tightened as it's So

I become mortgages And we're were saw easing, to could we back the They tightening. to involved so again, mortgages, if tighter. they by drive The saw Nomura modestly that date but do more the to pre-pandemic, to to more this Fed if still be $X like we those substantial we that, that levels the meaningfully of been the So to those which expect inflows But of date. published strong. manager expects or yesterday money conventional become $X is impetus pretty billion for more And thinking going banks us have or that for pretty extent continue to that been do see weekly we overweight the to billion the market have And forward see likely there's that's substantial. we're going extent some that involved year, it average inflows. are is tightening. fairly data certainly some kind involved. managers are go room showed easing. Outside money the something I that more to could market's would know become the that, catalyst get be banks that don't attractive.

that the been on the raising they've capital, of So have late know are in REITs as we of those of kind support supportive been and well. and market margin as

mortgages, the the coupons performance. performance bottom April quite can second the month. you can of see at left is the select and Looking quarter, in a page, of early rough see of weak you

look the really so so, to up into up a of turned high the late was that expecting we're in turned July or looking for extended that only nice recovery last data close in break which quarter. still at most of hurting the of rebound, you the market last time, unchanged to for of and entire week, a March. an reference to at the was And ended around point. mortgages appealing. end again, were if probably the looking of also we from are although returns It week X.XX period and We very around Fed that's strong quarter, back the be kind had gave

in rates quite keep to because has back have although volatility. obviously And we big next this pick up. at nice And high. very just shows, And since that big Volatility something always the realized it if mortgage on XXXX eye a we volatility, very when this a on to particular, slide, week, had performance. of an rally high this very a are been volatility is October driver top go about mortgage chart the levels, we've driver we is you haven't of long especially and On to rates performance. talked started is

or housing but starting know, For for as can as market way. Slide kind other been is see, and now, the That's rates index, a is looking levels, all we But the line Affordability basely the low Mortgage just very, blue time. some near the speaking story the lows. same build and more And proxy XX left generally of line our the relatively quite about you X. record the top are high. is so, they're it's the market. red for refinancing. back refinancing in to which is low, year very housing just

the see a level. like I instance, that a we're build. going new high, X new starting affordability. lot our is rates, X home know with inventory that combined high turnover, levels lot. a of impacts typically So is again, over I'm those which associated for homes to levels of which And things Prices The get these released. this but now sales saying we're recession supply, recession, that levels. near have were moved months drive inventory are to week, not

level fact, saw inventory and to In the we I the new before levels absolute is homes similar financial the of crisis. think

picture. that. Slide definitely is it, but just supply. XX period. and to talk of about weak. an housing at going question really So is it interesting GDP market look something of last paints It's I'm I There's money the not the kind interesting introduced an no

above kind with not, associated be it That's that And we've trend some been And You the deficits growth about that's causational that. long-term the now time money would the it's behind appear that since significant can see or all. been since seeing supply has pandemic. pandemic. for whether the to of

I'll to the Now portfolio. turn On XX. Slide

As curve for steepen. our the to outlook said, is for rates I

X drivers potential that. said, I there's of As

and/or and/or go can rates the have same if and/or inflation stay short-term deficits lower high. higher Fed continue could to stay longer-term rates You the

another big as that probably of forward, the driver of in quarter. quite not a in mind, about so, in the kind had through We July put will So to in second of raised the ATM the we $XX the the raised X/X to used of terms month what was lot world first And with money view the million. We work. actually million. Well, we $XXX we going or backdrop did. exclusively

quite So size. capital in to a of relation our bit

almost basically deploying higher portfolio coupons. and As a that result, into we've exclusively the been in

went at coupon is X.XX. second, to move, the which of a average now. It's X.XX result, the end substantial even pretty a quarter As higher weighted from first our at but it's end the of X.XX. The

also, March. basis were are higher. XX we be it yields increase but current what for have the higher add we a And changes So net get we into went the quarter of moment, would coupons, from X.XX historically, additions peers, then you a than And would bit. expand of and just we which our our probably our one year QX. where a our of with strategy, of point in to hedging at don't weighted Realized interest if I'll slight end of end for out, and coupons number, say, report been X.XX spread especially the the quite look strategy off that's for the I had to going the there's up here I higher at back coming back in as to room our or portfolio. more. coupons relation a that point the higher barbell lowest average And slightly portfolio the so, in employ our to

QX don't income the see the charts you quarter, quarter, so performance I our to even on that's for itself, net interest was actually were you, can respect portfolio And the portfolio. for for graphs these in just of as were though for any it terms clearly we bar XX, our slightly figures we negative the June, Slide of yet trend. With the but positive. have

end where I of positions look current adding the higher as the we year. And at at the we at the that's have, right, you been moving you the to as last were see, can left, If X/XX, coupons. to said,

done what end, X/XX/XX. Just quarter to give we've updates of you some since

X Our under to just is allocation now $X is billion.

we're are million. over So almost bit. $XXX that's million, $XXX now a and grown quite X.X, Xs

environment. reason And barbell all well either So the that's in almost and those we million adds prefer we coupons. of is rate of $XXX does this it strategy higher think

So for in of often reason risk. rates to lower long rates the be the to income been these instance, our rally and more belly attractive. if in on well stay These much don't stack a absent quite increase of securities substantial coupons particular, we would lots generate higher. higher security That's not have why another The coupon quite extension long extent than find of in late. longer-term rich coupon is have we would do the and a the particular,

funding. Turning to the Well, our our XX anything. hasn't Slide Fed done in

been said, So eases, our was some in this the some to is been of to we've we not and a how do using of we've slightly With the respect their not curve. our out. a our why those funds, average swaps market to with that or We've has and small, but surprisingly, economic price changes further and repo rate average that for improve it hedging. moving cost meaningfully up swaps benefit the versus strategy lot to quarter futures, have lower from rates amount extended treasuries X.XX% unchanged. can to All so lower, did more get of do we're the we And maturity that slightly X.XX%. being in continued with starting lot

that's slightly what balance curve. with but NIM more down caused hedge flat, has our curve gone So DVXX borrowing off slightly, to notional maybe [ ] effect, lower very, improve. in with and the rate the very further the And

turning our to positions. Now hedge

this, be accompanied the risk using that X the greatest involved. a swaps we the by portfolio almost would X- swaps potential doing And an typically been XX-year. we've pain moving reason moving which or increase mentioned, we're and to I would sell-off, all be long-end the think As tenor swaps on longer and out, is

in new and most it by protect said, duration which think, really, end. Also, to are to would add do liabilities swaps, therefore, the and to their dynamically especially that, higher X- extend, long coupon, XX% would think excluding were Swaps hedging way when I statistics mortgages using because so our XX-year funding portfolio and And duration, the positions. But we're those more absolutely that, significant XX. those purchases, lower hedges, pain potentially we weighted our is of that if close to average hedge to be sound extending on Slide the fixed is hedges, of X.XX. TBAs. selloff cover greatest just be the rate with I a XX% of now of as We would I are up our our source the paid they're

now that swaps of over billion. bottom X.XX. the at our $X.X look are see little can Corresponding QX end you If you numbers of a was page,

futures. were a Those So the it's move million. $XXX $XXX million, now significant of

moving adding to swaps and to we've futures the out short our the TBA with to moving position. been addition unchanged further of and the is from just hedges, curve. swaptions, one some swaps same In probably them essentially

XX, look Slide a we Now our particular few detail on provide hedges. the more just at our if want right, a you little on say I And swaps. top comments in to

versus you we if on you were the again maturity first same. can now, quarter shorter the compare where are swaps the As see,

fair really So we've curve, respect part tenor the it of mentioned. we and that of performance longer portfolio through rallied. by as a the in swaps, do last to that's fact X-year just X-, was driven the the of a really With X-, been number swaps where have I adding the the markets to Friday,

in because the And negative it's positions so down we're [indiscernible] side swap of slightly reason that, mark-to-market that the position. is rally a the the just to

ready about points going change the see rule on do basis think or that. expect so. we in recession. the is don't think economy take will said, XXX Fed that quite current end long the ease, being but eases of But I we think cycle, that. I I we're few that over I ultimately pricing the for the we're by Now expect the the to purpose, know don't we to a the don't as

wouldn't if so actually I surprised we that. And be less than realized

fact to in or out to those unwind real little any longer. of swaps of point market ahead think of that our or in of XX% the So I between the none swaps, in XXXX our through our March minds XX% itself. Also mature of mature we and before place or to because reason want of with 'XX the respect are no Feb may be in there's hedges swaps XXXX. a May of longer,

in mature of notional hedge these be March represents that XX% are one So in than while. 'XX less of does to going swap positions The a for place balance. quite our

hedges to going floating We're our have So don't to no to are with speak, not here. refinance we our those, then no so We you know, preferred. soon. anytime secondly, them balance sheet, as have off. preferred, have have respect we And roll to rate

preferred gives our that I or clean, swaps can entitled numbers. risk far sheet term. Slide XX near right duration. you the allocation. either look have And don't by to a is in is effective those the point just in have the be refinanced posed your and to you So regard the floating at And balance interest that see then very column attention rate of coupons various would net a we portfolio. across margin the that to just our our

the the starting basically bottom, top, effective So if the duration look to the you where positioned curve. from down along the that's we're basically, curve at column,

But basically, end numbers of how can XX the gives these [ was across at materially, column, you the kind ], have were coupons the right are If X.XX sensitivity just you this which shortest higher as of And a portfolio Granted sensitivity allocations net positioned higher. of up. Slide to portfolio. or just gap these on static those curve. in you we're just of year, can rates to So the bottom a positioned. gives gone allocation right, be our change. we've far duration see our duration note the the of sense the current the how are curve, move the numbers. X% part of June would But the those

and As primarily. backup, you a just tenor in can see, a better added longer we've we do little because that's swaps

earlier one thing deep is our with Finally, and experience. discounts, [indiscernible] that XX of benefited Xs, below XX, handles X.X say, that on from speeds most The we I Slide so our are mentioned forth. bonds

in far bad if quite a as our And right bonds. deep discount speeds, So very look result, column, for you the they're not seasoned.

basically us. for beneficial been And respect that's higher or coupons, So speeds. moderate our newer with to maintained just they've

haven't issues That's it. any We much pretty had there.

kind outlook. just to our I'll turning Now of

longer, changed changed As data easing earlier, hiking, looking We've has I first abruptly. on the easing the an maybe Fed turn We thought that mentioned for we the before. And you case. of back since lot end go quarter. big a certainly, the now we we're been were here really out of at cycle. thinks last on the market the pretty December the to were a higher if of and verge of it verge We to be year, cycle didn't the

hedges think data turns said, very cost extent such So maintain have But we net do are just book we that nothing or and around get portfolio, position suited our said, we funding a that outcome. is cycle, if in I that. for and again being the throughout. easing mindful think the to that are positioned. there's of rather, is happens which as But And things The don't that our any all stable portfolio quo. very can we value to income that that pretty we well we an The attractive. benefits decline obvious hedges and easing get of status our is the our well tightening and

So will we're I to where the now And we that's turn are. positioning very comfortable call questions. over it. Operator,

open for first Instructions] questions. is comes Our of Jason floor question the Trading. from [Operator from The line Weaver Jones now

any wondering, were I that if helpful. of issuance? deployment that represents get of sort to Or ATM drag? the very over relatively on could comment cash market able the was I of invested appreciate quarter that the meaningful pace you you commentary. simultaneously? It's And

in lot bit raised market, turn ATM June with a in and Hunter. in money mortgage especially most and we it did wait June. didn't over market underperformance deploy until my give the of the of a we first I'll late little comment to the July. in you wait, month, did so We We that

a for that did I shares. slight month deploy less on income we the deployed... we say, drag just But fully would cause first it. because have We're, So more then would

we're in not being and invested. June Yes, deployed would numbers July at reflect fully fully this although our point,

So with slot recent starting the fully most money that raised, of capital of the work the in to put we've August. month be will

raised quarter sort the we'll worth beginning later the some of until more money of towards So get of capital that those. money early We work. the in all rate month's the accruals some May full on work really interest did to relatively in then of of also part May, put that and to end to June. waited fundraising put quickly We and

week June, as I a bit. backed spreads was think last wise up that of it a decision really quite

put in early we to money July So attractive June some and late work levels. at pretty

come or you book Got today, you mortgage that for for where it. to do about far to really think as have macro the get to rates And concerned your front, exposure? convexity benchmark the as then just looks in spreads matter on begin

come to spreads What have in?

rates start move accelerated you to about before Sorry, exposure. prepayment where the have worrying

I X.XX X.XX. or current would now, about is right coupon the say,

Xs X.Xs. have and a We of lot

guys Xs. mentioned million under $XXX little think I a of

have primary basis ]. the number, money thing become the to be probably to high I are of in Exact New and the in Xs thing pay-up been [ the know, rally looking you're X.Xs premiums, on concern. for kind earlier, even quite are specs, and Yorks those and a but So meaningfully And low mentioned the spreads lot all those They of but I other a or would mixture become sticking more. significant to on points some secondaries think that a has higher pay-up side. They're mortgage of bonds. and XX the call that is at, don't I not

we necessarily up I So them point basis point. per [indiscernible] with would see take basis that know don't

to been, in has as the has of stay and TBA. X.X% more go rate especially sort been to up strategy X%, close in you so even the Yes,

convexity that recognize day risk, as we our we they monitor front. So on and change ratios to hedge that day from

top we're So mention into trying of on stay our convection rally. strategy. did barbell that to We a the

high-quality of side have pools The really that coupon. other that of lot specified is are a lower we

pay-ups they're really At out to rate big if so to And money. that rally. accelerate point, pay-ups a because high, this far aren't we an but there we at were expect all of the those have so would increasing

portfolio, the opposite we've to bounced on to high we relatively as alluded really would Bob have coupon his And seen that I were the range. assets in If So we it's well. big those low because do payout. comments, the that to as quite side, rate expect we've sell-off, think around

well as We have do production in and sell-off, predictable lower technical, big coupon. well. to more into down tighten rise rates and a up. is we'll lot sell-off performance X.X relatively and less do fall, lackluster a see X market TBAs That a but the coupons tend

for way reason. the we're positioned like that we So

from question next comes Stewart Janney. Jason Our from

cash and with incremental in portfolio Maybe of of seeing what start ROE capital ROEs? the deployment you're current on current the cash terms

closer yields XXX swaps. the a I especially longer for we quite feel the while seen, published getting at we've using dated of we've numbers on but as been we've to Well, were were XXX or the the very, over, more Xs. therein on we don't acquisitions in swaps, new a or Hunter Xs using high mini X- even a depending alluded Xs and just very that combination high low on to the when to, and average, put of XX-year now

and don't that's over, And those ROEs, aggressive that's pretty So X.X, I very with know Xx respect don't we're to decent I leverage. if high. with think being leverage, quite they're but XXX

very very, they're attractive. So

obviously. you're big I in. get think the to it that we one yet, thing see we do unless think the term come about we're to haven't seen the that immediate going driver big to is, be don't the the you know really start tightening banks if in what's going to going see and I

the seen, for of not just you coupon day just belly outperforms you banks No value outperforms would since have mortgage relative it's become If has more doing or QE, don't than I market add, we've one tomorrow a thing. perform going And a thing Fed know have so. the kind then you to driven. the is very today, comment, don't buy

so very very the that hedging yields been very regard to basis. cheap generate got ROEs. strategy, in has attractive decent taking performance rich But of that And funding been advantage in and able being volatile said, of on or market we've stationary kind we've just this

Now terms May levels from positive perspective. time were depending repo an tighter XXX of over slightly alluded And the we do some curve of as and is the carry. these of earlier, some NIM we the both point flow on little and the just for eases, expansion funding Fed when where to of of spreads unhedged early immediate have today's assets. bit to if OAS at get it's on room we those the funding then portion yield hedging the XXX But of done benefits in out versus settles in one cash further a

yes... So

it Yes, does. no,

mid- of high right? and like to all bottom sort line improvement. carry the cash teens for It's with So room there,

Yes.

Yes.

does production. Okay. And refi your duration market there. of is hedging a then pay-up, hedging, mean, some I of of aggressive strategy just It like the change mortgage sort all? some spread lot look of very a seems new going refi the to be the technical When that at pay-ups. you question that at pretty the quick we've to seen programs out on

at hedging Just risk a looking bit on and little maybe talk you're the pay-ups? how duration about spread that

pay-up gut we've stick you that can know, 'XX, and move the we been as wrenching spread very be early to in there's we've Well, seen painful lot, experience episodes done a mean past. just more payoffs basically stuff. where some is basically I that those What low all duration. in

owned some Yorks, in As I mention, New we but are Xs. those did

higher or FICO Texas or it's LTV. payoffs their high. Generally, balance been or aren't Florida that loan So or

much to try avoid So we as can. that as

buying been not instance. loan balance for X, have all We

pay-up a is for to less and this lot in of They lot right? stories in that And different Yes. superior by you're really breakeven they handful little curves, breakeven times, kind those pay-ups the of low play, convexity. a up say, where is ample A So just stories collateral than traditional embedded but like times some where per a are month generic is of of all of bit cheapest approach. expensive TBA do you're S pay-up might a breakeven outperform are sort cases, to months of those convexity the of the deliver or month balance paying works of something build loan ticks have, type the really you paying or to better that. what for of type than and really is to going market deliverable kind a for

rally. been why carry expect a we're relatively We them better it's They pay-ups, do bit a gravity to huge negative strategy. focused than the into good have lower on low So they don't little defy and to That's a deliver. convexity. worse

we so a do into And think market, can they well. volatile

well. We still of lot have barbell if But on And rally very they're the of that's a do strategy. some also end. as long fact the We Xs. we of despite do, huge may these expect to not part that very, higher do the don't a well going coupons even

fully extended this at point. And they're

reason. opposite the for convexity low very have they So

Absolutely. Yes.

gains I'm for Okay. That's swaps, Hunter, one of X, what coming If hedges helpful. at at of On say, funding get million for closed Slide much attributed last maybe to number, And on really XQ look current the from is... me. I 'XX trying period, how the to this $XX.X is you. that question

These currently None all are of existing from it. hedges.

Okay.

there's look around. realized obviously, change numbers book, book that's impact, we a when mark-to-market as value, to been these to So the in going it's relative and and the rates at move dividend

come some value. And going is of this of out book to

dividend. and of the So capital it will be a return

Right.

the I'm about right Okay. I got way. it. thinking

Our next Hagen BTIG. from question comes from Eric

thinking Can higher to of versus are the kind us that historic you get up end kind to of the now? range of leverage How it's take the what it about raising might been? And your you for capital? range you think the we right range remind more

X.X... Yes. see range We're The now. X% with X.X% to reason of a quarters. I take range, be at at is say were would We X.X% X% to last don't than X%. it right comfortable around quite higher, maybe little and X% the say, a the the less end meaningfully few would I I moment, about the

Yes.

we're think of flying right in not a around think, taking cover, volatile. there's this but lot be very now. about that black we're We're hiding could I swans thinking position a also, fall and I really where

to So sit level for being. this we're content time the at

helpful. right. All Yes. That's

about thinking also light we rates higher are how repo of So in volatility.

the soon. I government expect... think pretty coming we mentioned debt lot market of Should you to a guys

our been for that. the just this. You morning I a has trade started to about this industry in see lot We spent was talking reading in-house repo XX years. about of time

component at but I what of repo, software, understanding But over repo the it's look is seeing banks, average I more it's XX, the then funds. Street my that balance have think that is I Wall for been Fed is. don't skis, the repo you third it's get of weighted to reasons. want it using remember my third-party sponsored the average if So GC said don't software, firms been constraint we've above what Today, and

result, the at is repo, driven a higher has sponsored been higher, more As rate less blended third-party, a so rate. which

which into and the drift money higher. function that know quite don't higher that's deficits. funds and QT RRP seeing a things moving that. and you're the funding actually now of so been But It's why coming a That's is I that there. bit RRP, markets And down, higher. levels not that's than just has been like usage

that's pressure a And story We the a long He's lot the front the effect Trump end. about and sanctions we're on over going is the I rates. more and mentioned, driven on to balance why And talks the to end debt a not playing than years, deficit think that so we more for at next going depending focus then it's that's obviously the end things as long Our much like a like. hawk. be higher refinanced known with election, deficits outcome rates. longer-term the think X steepener, be as of of to of much

think you're to don't down I come the So going inflation to low roaring see Xs. back

things keep loan to I on end those think... pressure going are all So

starting builds putting incorporating a the of noise every there's been Yes, of of rates now lot and market. the period some longer in into there have start baked or that's longer-term into more and volatility everything index just bouncing and remarkably And the passes around, the stable. where that day to that X that's markets X, rate all and roll off we're spite rolling September record, there, repo that on term, repos taking cut months, finally, rates

nominal little widen but So of we'll out see a bit, I level the may repo spreads think rates come down.

very perspective. appreciate I Good guys much. you

comes question from Mikhail Citizens. next Our from Goberman

in a If just I jump question. could with

a If you flesh further. can out little perhaps bit

is the value portfolio. about book and idea swap Your

and you to next the of going in are rate in guys here get some thinking growth book Fed value a months couple loosening we're environment? book about Given quarters, or probably stability value lower

an versus know in Stability that that I outlook. growth. don't we have quite

the I'm said, I see on to as think the front curve going I end. steeper

side, look suffer So I can asset think obviously, offset. to Xs, large you allocations of on a But going be the swaps with of there. the are if that especially lot

or do without a guess, be be but back can we it's value growth. XXX from... they're I thinking spreads going don't too meaningful banks more tightened Like to you XXX cycle, benchmark I much, That probably which that's get we the But would when think easing we're off. your where So on space, would stability, and do for tightening. meaningful. and between out come is certainly come get trading book would in there If buyer the more the XX XX, room mortgage it I if said, that depending be

year. bit distribution we from I'd of earlier over perspective, add tax had a a little that we have in an the

profit. So little in have retain or tax distribute a can short kind That's terms more latitude just be And below. this in year. of term, a some or bit expands, about as of to NIM think whether of we through not really we'll very the preserving end of XXXX, driven then the we some excess

going luck forward. Good

line question Christopher from Nolan Ladenburg the Thalmann. of comes from Our next

on this any out the Bob, suddenly Feds fallout MBS to of sort the market. [indiscernible] Is bank the Silicon Valley Bank from the related of your anything comments staying where are... the

one a way. more them they'll of present. for a was Fed the comment answering I an back was And They're with They're day, Fed the that earlier earlier they the system. that, what into in were big trying that the get is at story, just was and I do buyers. they're just that become year's had banks last conventional waiting ease. Fed year. in not flying the because the the too pumping was to was question not buyer, That and we And to maybe this is once meaningful The indiscriminate reserves was QE

talk about if going up of looked they at time, the are bank holdings. didn't mortgages, lockstep even it So you Fed at with holdings in people though

much the really both the now of pretty had banks so so I huge buyers value So much X you buyer, have it, very buy and money mean I managers don't indiscriminate this these but they're huge some space. they're driven. said, the buy you gone. relative just

versus, buy they'll So if whatever. mortgages cheap corporates value But treasuries, is so now all they they're trading driven. versus think or relative say, mortgage there's

cheap long long. for rich for stays nothing or So

banks wider real we back haven't for potential gap much. seen get mortgages And There's so could if change or that but that, tighter no you in.

when I position we'll the to accounts, work at how think at and and think biggest much JP are Fargos that the underwater Wells portfolio came Morgans And So still to or the world, see as legacy They the culprits classifications of how it wider can maturity don't the the them regional use that much off. at have of banks, the I were redeploy spreads. they sell least, not and they if loss issues all. at accounting a in

going offset just sort and in lower of coupons. nature of in it's then of and redeploying to so mortgages some of to And in been one-off the there case coupon matter a been portfolio those have higher the the time large be and the movements, to bank using then from or arm some related profitable gains selling loss selling and business that that have

box having off that accelerate from the they're into losses can time Fed to before those profitable in strategies. sort more will work amount of cuts penalty redeploy definitely So the of they

any So there'll time increasing I I be really an a at rate, monumental expect present think don't but soon. shift

turning Okay. And ATM the management. in the issuance quarter? share for average then to What capital price was the

were probably long we in last even in the think fallen were bit. of we what It Obviously, but say higher. book but second but a in the is number We July, around the the would did higher much that me. has repo that back. was for X.XXs in percentage at around. starting we did are XX% quarter, front weren't it vary stock I of on selling, gross, book, don't quite sales have moving I I of was a since

book So gross, bulk we tracked throughout was of kind said, more, to the a quite of the X.XX X.XX XX% maybe price like range traded of and second in I selling probably quarter it XX.X%.

were. And that front the have so just of depending don't day I me. in prices those on where

Yes.

these second how equity capital, in book to of So the much value due value, dilutive you're book the capital in was to raising which quarter is raises? swing given that

About dividends We that $X.XX, and $X.XX. here's how and paid you number. GAAP of earnings we negative get to $X.XX had of

was we So if just down value did you you right? to issue be any book shares is your $X.XX, change don't dividend, less gets issue earnings So going in but $X.XX the minus the $X.XX, minus and shares, to $X.XX. book minus

It is to delta was share attributable that $X.XX. issuance. So

And final question.

should that, quarter-to-date? the Given from done capital raises book we further you've value expect dilution

is about of quarter-to-date. essentially $X.XX those last that's did were at the book. percentage and My Well, little much in the so we And book, a rough there's at book, almost because at we very higher those... did sales dilution estimate

bit little as Maybe that the then we money capital I when the so also did work higher tough hands raised, of get that earlier, to on around a when lower. alluded worth us was noting or your mind put makes to is that was that something some we your book book to and

capital at of and when confuse we did wides. to matter too to quarterly not much, some sort work were spreads it save the So put their but

line Capital. Fowler Kingsbarn of Jim Our next from comes the from question

release, a press to the couple ask question. tables, you this to bit, one of properly wanted refer just I'm and looking the the could in ask rather a if if in one deck, see I at

the the last swap hedges the Page economic has on that of net XX% in the detail note related period, contributor and of those about strong current benefit quarters, also swaps. noted the you that X which I've income to the if largest been distribution you relative So on provided X to dividend is which in

much longer. of have a not and having very enviable maturities until position You then XXXX, they're

income look of income from of for is for economic marginal an on economic And quarter. cash economic XX% ROE press in I at the $XX million release, and the allocation $XXX on capital about So look invested get XX.X% the as articulated return to quarter return average average quarter the I the I the capital a that as at leverage when million, XX% you earlier, the of the of I think range, X.Xx.

the significant the to on margin a cycle if situation, economic And capital have would amount unless reasonable capital. XX%. very or the into accurate. this convergence was a that that invested here cause seem to July, So return seems the in we on second approximately investment to take for marginal cash convergence being that return lots long converge how that onto the raising cash more converge it to ROE of all average of of observation are rapidly. guess I that economic XX% marginal question that ROE of I with now capital is and that is long a portfolio I'm the you will making is return be invested of on quarter at and That raised would

about I XX%. quarter quarter-over-quarter, was think share the issuance up in

distribution, economic upward and distribution about economic of could dividend? pressure to declined distribution [indiscernible] I'm how the does income obviate current the that raises, of you So closer and versus gets any income adjust potentially because wondering think dividend that the the the margin on rate opportunity the to vis-a-vis relationship that if

that. a take me crack Let at

if an cycle... So convergence, we get the to easing were

not raised driven is a point. market above talking capital XX% this invested this just diluted ROE. just talk to at at cash now, at I the balance at sheet, balance looking anything ROE raising static point. swap about you about or by I'm mostly structure obviously marginal that's easing sheet on and hedge the have to but that Let's don't want when with at of the capital it's the that the right benefit, the economic introduce Fed a I'm market,

marginal is it's right? because So ROE diluted you're following correctly, so higher than the saying if legacy I'm you ROE, the

right. Absolutely Yes.

the from Right. it at assets. doing sense. is look look the that perspective NIM, it for it a way the your make purely we rationality just in that the if NIM But valuation is But of the not you but of so at the would from perspective framework, doesn't of

of expectation that's the right? the and the So allude of as XX.X%, money that putting work sum return So us that's delta. to, price a purely appreciation price we potential fairly rationale return so in come. at we may income, assets And no because the think not is you total is, the income, we're that think that cheap. NIM view that price to for you meaningful if assuming the historically That the for that there's doing is

potential from than be money below slightly we that return that's generate which that there for dilute marginal to So towards. book. so to to dilution tighten potential that have say be why years. stop returns potential being higher. the case, and We back at you're right, And X do the the mortgages capital, let's as all you putting ourselves price And would reason issuing is raise in any really our more return, for price will last that's would to so. I think NIM. don't will as capital why getting justification the for the And next continuously the that that question, you offset That said, we would the cause view guess you continuing return, stock.

swaps, mark-to-market. gains add, as these one already have example, attributable that oversimplification losses to I you to, said alluded and to been here for think Just in swaps there's the the

is going XX% So I those of the X the right? accrete of going to go going to back or the to that from of the number That's, return that pieces is just mark-to-market a value. it think, money life one it's in to on it's over basis. now So swap, book out to whatever are on swaps total amortize the missing is

to to Right, maturity. they approach as market The accrete value X to accrete X. impact they're going will

Right.

up Fed, doesn't bring the on if do. the point, call Fed were to to those making at Fed. the a the what to there's I'm Hunter's ease the because value would of I Fed the markets to swaps right? why going that's look of pricing not was decrease, Fed But Because And

the yield? than swap where's of funds. swap at look lot Well, a the curve, Fed hell the it's you XX-year a lower curve, If

Now curve is the XX-year point the swap X%. on

eases years. So average the the next X on market XX expects over

Hunter just not get you alluded if eases the on position goes fact than eases that So may value, anything. grows. up NIM return the as do but Fed more because the But the to marginal expected, on potentially, start unhedged swaps do lose equity those earlier, your to

strong delta at going a performance I indicative performance, NIM Yes, net strong thinking quarter the increase was quarter swap And quarter. in geographic first the line opportunity as looking a the is a will address the the the income and such was look income that, the raised capital relative second in that distribution. I to change. to I margin looking quarter, bottom it then was to with at in to slightly no that such being better, that your number economic benefit fourth on the the then and change approximate But decrease it should mean of to the cause at was third on the this decline I and benefit just the was was being So schedule. distribution. economic and even the where saying,

on I what But the to that view thinking I insight. So your was. wanted appreciate see just

just more yielding largely portfolio portfolio. lower legacy you is on that. I but one think might point hung up, And a that's the

as And of assets our market want and to think mix mark-to-market, as so us gets doesn't if quarter, of seen our to fall about point XXX number. what marking is day we've we actually to basis every our sort it teens that with goes, high but return out XXX line really every hedges portfolio that of type of economic far that that

coupons, slightly as so production coupon wider have the portfolio. than legacy have And we NIM at a come added those higher

capital next about asset more to don't our the Operator, think the where marked were quarter quarter, next capacity are from blended hedge have just both you actually moving increased I'm have we I right. lost operator. we and the there? of if basis assuming Hello. recent an on portfolio. Operator, And seem one that question... income to the so earning questions. we have raises All any

of The the any for instance, don't Or the Okay. number just for you and today. you. at office. at and number is In to you're operator to event, that to any joining these chance is you to please use listen of out look hear questions, have you rebroadcast, get Thank unable ask, appreciate if quarter. and (XXX) other to reach your XXX-XXXX. us apparent we on. that extent questions see still same you can't To up the told call I'm a difficulties forward to the end us the can technical call listen the Otherwise, to We us. live speaking come we the because them. third time, to any thanking that

attending. you conclude Thank today's for does call. that And