Starting with the highlights of our results, we had net income per share of $0.07, we incurred $0.15 loss per share on net realized and unrealized gains and losses on RMBS and derivative instruments, including net interest income on our interest rate swaps. Earnings per share of $0.22 excluding realized and unrealized gains and losses on our RMBS derivative instruments including net interest income and interest rate swaps. Book value per share was $6.63 at June 30th, a slight decline of $0.19 from $6.82 at the end of the first quarter or 2.79%. In the second quarter, the company declared and subsequently paid $0.24 per share in dividends. Since our initial public offering, we have declared $10 and $54.5 in dividends per share.

Economic return for the quarter was $0.05 or 73 basis points for the quarter, 2.9% annualized. Year to date economic return is 3.95%, 7.9 annualized, and over the course of the quarter, we issued 4,337,931 million shares. On Slide 5, we show our results versus our peer group. The peer group is listed on the bottom has changed somewhat over the years as certain reach of either joined or left our space, again, this data is on a book value basis, not stock price. As a result, the results tend to lag simply because we do not have all the book value numbers for our peers for the second quarter. So the last quarter in this report would be the first quarter of this year. On an inception to date basis the top line, Orchid has returned 12.3% versus peer average. The peer average for that period is only five names would be Annaly, Agency, Anworth, Capstead, and Armour. So we've outperformed that peer group by 6.4% over that period.

Turning now to the market, other developments that started really in the fourth quarter of last year and continued into the first accelerated in the second. We've seen a material turnaround in the outlook for the markets in the economy, more of the markets in the economy, frankly, at least with respect to the domestic economy. But nonetheless, the market has made a material pivot. The green line at the top left shows the curve -- the rates curve at the end of last year, on the right-hand side, we showed the soft curve. The blue line represents where things were at the end of the SEC first quarter and the red line is second quarter. And as you can see, we've made a material downward shift in the rates market over the course of the year. The primary drivers were trade related, in May in particular, early in May, over the course of a weekend, there were some tweets issued by our president with respect to trade negotiations with China, they appeared to break down. There was a subsequent effort to restart those talks at the G20 meeting later in the quarter, doesn't appear much traction with May was made. They continue to be ongoing, although I would say at this point least market sentiment wise, the outlook for meaningful trade negotiations, or settlement, I should say, between now and the election are pretty low.

The other development was right around -- when we had another series of tweets from the administration regarding Mexico. This is all part of the president's attempt to deal with the issue at the border, but it really unsettled the markets, especially with respect to Mexico, because the administration really reached an agreement least in principle with respect to NAFTA. And this seemed to cast doubt on the viability of those agreements and in the reverberations of that are still being felt. If you look at the swaps market, you can see that the front end of the swaps curve is a full 70 basis points true fund. So the curve is inverted and the market is fully expecting the Fed to ease monetary policy. Current pricing is somewhere between two and a half or so hikes between now and the end of the year. We'll see. I think it's almost a certainty that we'll see an ease next month or next week, rather. Beyond that, there's quite a bit more uncertainty.

With respect to rates starting to Slide 8. As you can see over the course of the quarter, both in the rates and cash rates market, in the swap market, we had a very meaningful move, a decline. 40 or 44.5 basis points. If you put that in perspective, looking back 2 years, you can see that the low end of the range for this period and frankly the low end of the range since the election in the fall of '17. Since quarter end though, the rates markets have settled into a range, call it 2% to 2.1% on 10s and selling of the rate volatility has been a good thing for mortgage investors. We all know when we have volatile movements in rates that tend to be bad for mortgages and implied volatility tends to spike up both bad developments and those single settled down.

Looking at some perspective on Slide 9 as you can see. After a very long multi-year flattening trend, it hit its trough in mid of May '18. The spread between the 5 and 30-year treasury hitting bottom with 20 basis points has since rebounded to 76, just want to point out that most of that movement is on the five year the front end of the curve as the market prices in Fed accommodation, the long this kind of lag. So the curve has steepen with the bull steepen if you will.

Now transferring to mortgage markets and is often the case, developments in the rates market lead developments in the mortgage market. On Slide 10, we show the hedge performance of various fixed rate 30-year coupons. Our benchmark here is the J.P. Morgan hedge ratio applied in the movements in the tenure. One thing that's very -- stands up very clearly here, and if you look at these lines, the bottom line is that Fannie 30 or 4.5, the gray line is a 4, the red lines are 3.5 and the blue line is a 3. The higher the coupon, the worse the performance. And that was a product of a couple of things. One is the continued deterioration of the TBA deliverable, we've seen this play out now for well over a year, basically, TBA securities have very high gross wax, which is a bad prepayment characteristic. They tend to have higher loan balances and higher FICO scores. As a result, higher coupon mortgages have done very poorly in this rally. [Indecipherable] have benefited from the convexity needs of the various servicing hedging community, among others and so convexity related buying has allowed their performance on a hedge adjusted basis to materially outperform higher coupons.

Taking a little deeper dive on Slide 11, on the top left, you see the performance price wise over the quarter. Again, you can see the duration is key here, the lowest line is the 30-year three and materially outperformed higher coupons. Turning now to the bottom left, we see the role market, as you can see this very poor quality of the TBA deliverable has led to very, very poor performance of the roles of those coupons they're at or near zero. The three role has hung in somewhat, but it really reflects the poor quality of the TBA deliverable and this often is a case when rolls do poorly, specified pools do very well. So if you look to the top right, you can see the Wells Fargo pricing for an 85k Max pool, in this case, 4s and 4.5s have shot up very materially. Even new pools traded very high pay-ups relative to recent past. But it's worth noting the following: we've had a very significant moving rates. But given the current level of rates, TBA securities are trading at low prices because of this poor deliverable. The pay-ups for specified pools are very high given the level of rates, but on balance the net of the 2, spec pools actually trade at slightly lower all-in dollar prices given the level of rates versus history.

Moving on to the balance of developments in the mortgage market. On Slide 12, we show OASs for the various coupons. You see a meaningful spike there toward the end of the period. That was really just caused by a spike in vol, as a result of vol spiking, the convexity cost of the mortgage goes up, and therefore, the LOAS goes down. It really didn't look like any development in the market per se. If you look at the right, you can see OAS numbers have kind of crested and started to roll over. That kind of reflects the fact that as we past quarter end, the market has settled into a range and vol has come off. But they also, I think, it's worth noting that mortgage is still in spite of these developments look fairly attractive versus other alternative investment classes.

To which, on Slide 13, we see returns for the quarter. And an interesting development that took place in this quarter, and it's really the market's reaction function. For a long period of time, it was kind of a -- the market's reaction function was, if there were good developments, risky assets would do very well, if there were poor assets, risky assets would do poor, and there would be a fight to quality, so we would refer to it as either a risk on or a risk off.

What changed in this quarter, as John Briggs, a strategist we follow at NatWest markets like to say, it's no longer risk on or risk off, its policy on. So, the reaction function now is such that if there's bad economic data, that increases in the market size the chance of more aggressive intervention by the world central banks and risk assets do well and vice versa. And that was very evident in this quarter. If you look at these results, the asset classes that did the best are the riskiest asset. The S&P emerging market high-yield, domestic high-yield and investment grade corporates all did very well. Less risky assets, treasuries, ABS and mortgages lagged, and you can see there that mortgages lag treasuries simply as the market rallied sharply. We had a meaningful move in rates in a short period of time, always bad for mortgages, involve spikes. You have growing concerns over prepayment protection, and they lag treasuries in the quarter. And that really throws the emphasis on us as portfolio managers to take steps to protect the portfolio from excessive levels of prepays, and we'll get to that in a minute.

Just to finish out the market development section, Slide 14 just shows the changes involved over the period. As you can see, starting in early May, vol started to rise and has since tapered off. Slide 15 just shows you the level of short rates and what's interesting to note here is simply the fact that short rates have stopped going up and are ever since slightly starting to come down.

Slide 16 to me is the most critical one in terms of summarizing, was taking place. And this is the dot plot of the Fed published at the end of each of their meetings versus market implied pricing of Fed funds going forward. If you look at the top left, this was back before the election, as you can see, it was the very early stage of the tightening cycle. The Fed was pricing in many tight hikes over the period future years, but the market was extremely skeptical, pricing in very little in the way of hikes in the future. Fast forward to last fall when we were kind at the height of the hiking mania, the Fed was still anticipating taking a few more hikes. The market had moved a long way. Just look where we are in absolute levels, we're approaching 3% in market implied pricing versus barely over 0.5% in late third quarter '16 and that market itself was pricing 2 additional hikes. That all changed in the fourth quarter when the Fed, for curious reasons, was still thinking they were going to hike some more, but the market completely turned and began to price in the fact that the next move actually might be an ease and that was reflected in the Fed Funds Futures market at the end of the year.

Now you look at where we are in June. The Fed itself is pricing in an ease and the market is pricing in a lot more. So, the outlook for the markets at least, and the economy, presumably have changed with respect to which, while domestic data still remains fairly strong and given today's GDP number, I would say it's very unquestionably still strong. Europe is very weak, China is weak, emerging markets are weak, but maybe most importantly, inflation is still weak. And that seems to be what's driving the Fed and all the central banks. It seems that the strength of the domestic market at least for now the economy is not what's driving the Fed and that's why we see this pricing by the market of future Fed activity.

Turning to our financial results. In other words, what does this all mean for us? How does it impact us? On Slide 18, I want to start on the right side of the page. This is where we showed the returns of our portfolio by sector. I'm going to start in the left-hand column with the pass-through market. As you can see, with the rallying rates, our realized and unrealized gains were pretty significant, almost $28 million. But as I mentioned, mortgages under performed our hedges and the derivative losses were greater, as a result, it took a lot out of our total return. But that being said, whether it's on ending capital or beginning capital or average, we still generated returns between 2.5% and 3%. In the structured market, of course, the IO market with the rally did quite poorly, generated return of negative 3%. But the inverse securities did very, very well, even though they are only about 25% of the size in market value terms and the IO securities with the market pricing in meaningful Fed eases, the return of the inverse securities were very strong. And on balance, the structured securities portfolio generated return of a little under 0.25%. So in a market where we have the curve inward, long-term yields rally significantly and funding levels remained stubbornly high. Both of ours -- both of our asset classes generated positive returns on balance 1.8% roughly. So a very good quarter.

Okay. On the left side of the page, you can see our interest income was impacted slightly down because of yields and interest costs are stubbornly high. As a result, we generated $0.21 little bit over $0.21. That's kind of our proxy for core earnings. We're just backing out, market to market gains and losses, which, as you can see were negative little under $0.15. Just to gain some perspective on this, as you can see on the next slide, we show our dividend over time versus the shape of the curve. The red line is our cost of funds. It has moved continuously higher. And the net interest margin, which had kind of settled in, in the low 2% range, finally broke below 2%, it was at 1.7% for the quarter. But again, the market -- the curve is inverted. Yields on our asset have been impacted in a negative way and funding continues to go higher. I will say, now as we kind of transition into the portfolio, the yield did not decline as much as you may have thought and that's because of the steps we've taken to kind of immunize to the extent possible the portfolio from these developments.

Slide 20 just shows you our core -- the trend in our proxy for core earnings. As you can see, it's been declining, but we believe it's probably near the bottom of the curve is inverted. It's kind of hard to imagine that curve becoming meaningfully more inverted at some point. Either the Fed is going to ease to reward the market for this pricing or the market's going to back off. But it seems that this trend appears to be nearing an end.

Turning to slide 21. I want to again start on the right-hand side of the pages and I want to talk about what we've done to address in the portfolio, all these developments. And the first thing that we did, the emphasis of the changes in the portfolio, were on the pass-through side. So you can see that we started with a little under $3 billion market cap, we ended the quarter with approximately $3.4 billion, so not only did we add, but more importantly, there were a lot of buys and sells as you can see, and this is because we changed the composition of the pass-through portfolio quite a bit to reposition it for the new market environment.

The only changes in the securities market -- structured securities market where we added about $12.3 million of IOs, and those are mostly types of IOs that are very negatively convexed. And so we view those very effective long end of the curve hedges. In other words, these are our assets that are going to do very well to the extent the long end of the curve sells off. These are cash flows that can extend quite a bit. So on balance, if you look to the left-hand side, you can see that pass-through allocation of our capital has moved up slightly. It's right around 2/3. And the structured securities, even though we did grow them in absolute size, are slightly lower percent of the portfolio.

More specifically with respect to the portfolio that's detailed on Page 24, as we approach the end of 2018, the Fed was very aggressively hiking rates, we had gotten very defensive. So our allocation to short sequential CMOs, our 15 year securities, 20-year securities was very, very high. That balance over this quarter alone declined by approximately 11%. So roughly 44% of those asset class is down about 33 and the 33 -- 30-year allocation went from 52.3% to 62.8%. More specifically, if you look through the various asset classes, even though we don't show the changed numbers for the quarters, the fixed rate CMO bucket declined by 4%. The 15 year core bucket declined by 5.5%. If you look at the 30-year bucket, you can see, it's at 62.8%. That's a 10.5% increase. We materially reduced our allocation to 30-year 4.5, basically spread that between 30-year 4s and 5s and in all cases here, these are specified pool. So remember, again, I mentioned that the absolute price specified pools were actually low for the level of rates. Nonetheless, we still have to try to protect or minimize the impact of faster speed. So we do allocate all of our higher coupon securities to the specified pool market. But we've also meaningfully added to our 30-year, 3.5 and 30-year 3 positions. So that's what we grab some convexity, and as a result -- if you look at the current price there, you can see while the 30-year 5s are priced at 109, most of these assets are much lower than that. In the case of 4s, you're at 105 and of course, 3s when you're par. So that's one of the ways we can protect the portfolio from high speeds, a combination of just lower absolute dollar price securities and specified pools that while they might have higher prices have lower prepay speeds. And so going forward, this is the kind of a portfolio construction we anticipate using for the foreseeable future.

Slide 24 is just a history about positioning. I won't go into that. It's merely a reference point. I will turn to Slide 25. I want to point out the fact that our leverage ratio remains in the high end of our range, and we anticipate that continuing to stay at that level, especially with the higher allocation to the pass-through portfolio.

Finally, with respect to the portfolio in our hedge position, Slide 26, I just want to make a few comments here. Top left is where we show our Eurodollar positions. And as you can see, our allocation to each contract is $500 million. I want to point out a couple of things: One, in late 2018, each of those buckets was approximately $1.75 billion, so we've taken off a lot of our front-end hedges, but also you'll note that the last contract there is December of 2020. We have not yet extended those out. We may -- I think at some point, we anticipate the market may get a little too aggressive in pricing in the Fed. We're kind of looking for that development in which point we would then try to add some Eurodollars.

Our five year note future on the bottom left remains in place. That hasn't changed quite some time. On the right-hand side, there have been some changes, the top of the page and we have our swaps in position. This is another long in hedge where we take a longer tender tail as a means of protecting against a surprise movement higher in rates, although frankly we don't see that as a high probability given developments abroad. Our TBA position as a slight type of their peers that the we're still short 30-year or 3s. It's actually 3.5 as of June. And then finally, the swaps position, we have a really that's a barbell position. So we have a combination of just some very old swap positions, very much on the front end of the curve inside a year that we're put on an extremely attractive level and the balance are in the belly of the curve, the 4 and 5 year part of the curve. And the reason being there is that we've had such a movement in the belly of the curve as the market moves, the price and Fed eases. If there's going to be a retracement, we expect that that's where the magnitude will be the greatest. And so that's why we've put the hedges there. So that's where the lines throughout these hedges lie. Our long-end hedges or the TBAs, the swaption, and then, of course, the IO securities that I've talked about.

So that's kind of what we've done in terms of market developments with those developments met for our results and what we've done to change the portfolio. Looking forward at this point, as I said, I think it's very high likelihood that the Fed will ease next month and that will help our funding costs, which has been stubbornly high. Repo rates have come down over the last month or 2, but there's still, of course, pricing in less than 1 ease. Generally, repo is in the low to mid 2.50s, occasionally in the 2.40s. In this slide here, on Slide 28, all we're trying to show you is, what would happen if the market implied pricing were to be realized. And as you can see, in the bottom page, you can see an expansion of our NIM. Whether or not this happens, it remains to be seen. We did take some actions in that regard with respect to our ATM program, which we've had in place for a number of years. We did issue some shares in the second quarter. Typically, we only use the ATM when those shares -- when our share price is above book value. In this case, these shares were issued at a slightly discount. It raised the all in cost of that capital to a little over 3%. We didn't do it with a lot of capital, but we think it's justified on the grounds that with the turn in the Fed outlook, that the accretion to earnings will justify the slightly increased cost of that capital. And that's as a result, that's the step we took. Otherwise, these slides are basically just for historical reference, and there's really nothing more to be pleased in those. So with that, operator, I will turn the call over to questions.

Questions and Answers:

Operator

[Operator Instructions] Your first question comes from the line of Gary Rieve, your line is open.

Gary Rieve -- Analyst

Bob, how are you?

Robert E. Cauley -- Chairman, President and Chief Executive Officer

Hi Gary, how are you?

Gary Rieve -- Analyst

I'm well, I'm well. You mentioned the ATM program toward the end of your presentation. You guys are kind of nearly at the end of what you're authorized to do there. Is there any talk or thought on the part of the Board of upping that as you go -- as we are going through an easing cycle?

Robert E. Cauley -- Chairman, President and Chief Executive Officer

Yes, I think that's likely. We exhausted the program early in Q3. So we would anticipate, at some point, putting in place a new one and ATM has been an excellent vehicle for us.

Gary Rieve -- Analyst

Okay, great. And then in the quarter, I saw a couple of -- your competitors' quote, sort of a prototype security. Any thoughts on that as a source of funding?

Robert E. Cauley -- Chairman, President and Chief Executive Officer

We did look at those -- unfortunately given our size, the coupons on those, whether it be preferred or convertible debt, they are pretty pricey. I think the bar for those to make a lot of sense is still a little too high, that could change it, especially if you were to have an aggressive easing cycle for now and where we don't really seem excited about the potential returns from those.

Gary Rieve -- Analyst

Got it. And you guys are a little bit above book today. Any any thoughts on doing some type of placement potentially?

Robert E. Cauley -- Chairman, President and Chief Executive Officer

You never know. I generally don't like to speak about those things, the dividend policy, capital raising. But as I said, it looks like the outlook's about to change. And to the extent it does. Obviously, it would be a steeping of the curve would be an attractive force opportunity for options. We would probably consider.

Gary Rieve -- Analyst

Yes. It seems like an opportunity to cash and leverage ahead of a more favorable cycle. Good job with everything. I appreciate it.

Robert E. Cauley -- Chairman, President and Chief Executive Officer

Thank you. Certainly.

Operator

Your next question comes from the line of Christopher Nolan. Your line is open.

Christopher Nolan -- Ladenburg Thalmann -- Analyst

Hey, guys. Bob, what was the issuance prices for the ATM, please?

Robert E. Cauley -- Chairman, President and Chief Executive Officer

I don't have those in front of me, but I -- our book was 6.82% at the end of the third or the first quarter and 6.63%. I want to say it was somewhere in the high 650 on average, but don't quote me on that yet.

Christopher Nolan -- Ladenburg Thalmann -- Analyst

Yeah, I'm getting 6.60% or so.

Robert E. Cauley -- Chairman, President and Chief Executive Officer

Yeah. So it was slightly below Booker as I said it. You know the typical cost of capital in the ATM is about 1.8%. So it added about a percent that quarter per cent and a half to that.

Christopher Nolan -- Ladenburg Thalmann -- Analyst

Got you, also I saw that you had an increase in allocation to 30-year 5% coupons. Was that the specified pool that you were talking about?

Robert E. Cauley -- Chairman, President and Chief Executive Officer

Yes, very much so. In these cases we're going to buy higher quality called protection because of the prices. And another thing is we've been looking for some bonds, a little more seasoned further off the ramp. So we're much more predictable. We don't have to take that ramp risk, if you will. And so that's what we had in that bucket. There are loan balance and season pools.

Christopher Nolan -- Ladenburg Thalmann -- Analyst

Final question. I'm reading the management commentary in the earnings release. It seems like you guys are very much in the camp that there'll be a rate cut. What happens if there's no a rate cut?

Robert E. Cauley -- Chairman, President and Chief Executive Officer

Well, as we said, and I quote, I think I said it was a calculated risk and it was I think at this point, -- there isn't one. Obviously something has to change the market pricing today is for about 2.5 eases by the end of the year. It would have to -- it's really a function of -- if the Fed doesn't cut next week, in much as that. But what would they. So, in other words, when Chairman Paul has his press conference, what does he say in his statement? How does he respond to questions? If he could convince the market that -- we've changed our thinking again and we don't really care about what's going on in Europe or trade tensions. We're just focused on the domestic economy and the data we've seen in this month, whether it's GDP today or durable goods yesterday, payrolls at the beginning of the month, even the CPI number in the middle of the month, if they change back to that and they'd say, based on that, there's no need to ease. The market has to move. The 5-year treasury can't be 50 basis points or 40 basis points inside Fed funds in that case. So, you would have a meaningful sell-off in the belly and in probably the long end of the curve. And as I mentioned, while that might not be great for our capital raising or our NIM or anything ATM, that kind of stuff. That is how we've hedged ourselves. So we have -- our hedge is concentrated in the belly and in the long into the curve. So, that would have to be -- that's certainly a non-zero probability, but that would do I think a lot to undermine the credibility of the Fed. And then I think the subsequent effect of that would be a much higher risk premium being priced into the market. Because now the market would have to price in the fact that the Fed is somewhat of a random, unpredictable animal that can change its thought process on a dime. They did do that to some extent in the fourth quarter. But that, I think was a result of a lot of market pressure. There's certainly no market pressure for them to do so now. So if they were to do so, I think the risk premium would be materially higher than it is now. And that would not be a good outcome.

Christopher Nolan -- Ladenburg Thalmann -- Analyst

So it's just fair to say that you guys are assuming a 50 bp cut in the second half of the year?

Robert E. Cauley -- Chairman, President and Chief Executive Officer

I wouldn't say -- we'll see how it goes. I think 25 is a very high probability and they're likely to be more beyond that. But it's remains to be seen, the other thing I think is all the market pricing is, looking out through the balance of this year or even into 2020. My view is that once we get to second quarter of 2020, I think the market's focus is going to shift to the election and the expected outcome. In my mind, the outcome of next year's election is binary in other words. The outcomes, depending on which party takes the White House are materially different. One being more pro-growth, the other not so pro-growth. And I think the market will start to price that in. As I said, mid next year. So I think the Fed is in the driver's seat until then. But after that, I think it will change. So, whether we get 1, 2, or 3 remains to be seen. I suspect we'll probably get 2. Because I think the Fed is focused on the fact that inflation is low, global economies are weak, and there's a lot of uncertainty with respect to trade. And it's not for so long now, we've been talking about trade tensions between US and China or US and Mexico and Canada. And now you have tension between US and Europe or between Japan and Korea. So it's spreading and it's not generally a good thing for the global economy.

Christopher Nolan -- Ladenburg Thalmann -- Analyst

Thanks for taking my questions.

Robert E. Cauley -- Chairman, President and Chief Executive Officer

Thanks, Chris.

Operator

[Operator Instruction] I'm showing no further questions at this time. I would now like to turn the conference back to Robert Cauley.

Robert E. Cauley -- Chairman, President and Chief Executive Officer

Thank you, operator, and thank you, everyone. I appreciate you taking the time to listen in today, to the extent other questions come up after the call, please feel free to call us. Or if you're listening to the replay our number in the office is 772-231-1400. Thank you for your time. We'll speak to you next quarter. Thank you.

Operator

[Operator Closing Remarks].

Duration: 36 minutes

Call participants:

Robert E. Cauley -- Chairman, President and Chief Executive Officer

Gary Rieve -- Analyst

Christopher Nolan -- Ladenburg Thalmann -- Analyst

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