ARMOUR Residential REIT ended May with a $22.2 billion portfolio, up from the prior month’s level implied by its updated mix of agency mortgage securities and Treasury positions, while leverage remained elevated at 7.9 debt-to-equity and implied leverage of 8.0.
The company’s largest holdings were 30-year fixed-rate pools, which made up 87.9% of the portfolio, or $19.5 billion. Within that bucket, 30-year 5.5% pools were the biggest single coupon cohort at 25.6% of the portfolio, or $5.7 billion, followed by 30-year 5.0% pools at 18.6%, or $4.1 billion, and 30-year 6.0% pools at 16.2%, or $3.6 billion.
Agency securities accounted for 93.8% of the portfolio, or $20.8 billion. Agency CMBS represented 5.9%, or $1.3 billion, while Ginnies made up 2.5%, or $547 million. Net TBA positions added another 1.8%, or $399 million. Treasury longs were 4.4% of the portfolio, equal to $982 million.
ARMOUR’s common stock traded at $17.15, giving the company a market capitalization of $2.06 billion. Liquidity stood at $1.16 billion, equal to 46% of total capital.
The company declared a June common dividend of $0.24 per share. At the stated share price, that translated to a current dividend yield of 16.8%.
On the financing side, total repo borrowing was $19.9 billion. Buckler Securities supplied $9.3 billion of that amount, or 46.8% of repo positions, with a weighted average original term of 543 days and 413 days remaining. Other counterparties supplied $10.6 billion, or 53.2%, with a weighted average original term of 613 days and 981 days remaining.
ARMOUR’s swap book totaled $15.3 billion notional. The largest maturity bucket was 25-36 months at $3.6 billion, followed by 13-24 months at $2.5 billion and 49-60 months at $2.2 billion. The weighted average remaining term across the swap book was 53.2 months, and the weighted average rate was 2.74%.
The company’s 0-12 month swap bucket carried $1.5 billion notional at a 2.13% average rate, while the 97-108 month bucket held $800 million at 3.76% and the 109-120 month bucket held $1.2 billion at 3.80%. The market has reacted to these announcements by moving the company's shares -0.17% to a price of $17.10. If you want to know more, read the company's complete 8-K report here.
