Spreads and prepays about the same, how did they lose 10% Book?
They sold $1.8B in securities in the Q and then they paid a dividend on these shares. It looks like they invested in TBA and did poorly.
I am looking at page 7 of the presentation...low interest rate fixed 30s and 15s dropped in the qtr. I think they favor these low rate fixed because they are less likely to refi.
The cash flow is fine but the market (the fed) just marked these down. I would expect some bounce back next Q.
They mention directly in their report that they have recovered some already - no specific number as to how much but they state it directly.
30yr fixed 3% was down 1.73% in the Q