ARMOUR Residential REIT ended May with a $22.2 billion portfolio, up from the prior period’s level implied by its larger agency concentration and swap book, while its common stock traded at $17.15 and its market capitalization stood at $2.06 billion.
The company’s portfolio remained heavily concentrated in agency mortgage-backed securities, which made up 93.8% of total holdings, or $20.8 billion. Within that, 30-year fixed-rate pools accounted for 87.9% of the portfolio, or $19.5 billion. The largest coupon buckets were 30-year 5.5s at 25.6% of the portfolio, 30-year 5.0s at 18.6%, and 30-year 6.0s at 16.2%. Agency CMBS represented 5.9%, or $1.3 billion, and U.S. Treasury longs totaled 4.4%, or $982 million.
ARMOUR reported leverage of 7.9 times debt-to-equity and implied leverage of 8.0 times. Liquidity was $1.16 billion, equal to 46% of total capital.
The June common dividend was set at $0.24 per share, with a current dividend yield of 16.8%.
On the financing side, total repo borrowing was $19.9 billion. Buckler Securities provided $9.29 billion of that, representing 46.8% of repo positions, while all other counterparties supplied $10.57 billion, or 53.2%. The weighted average original repo term was 583 days with a 37-day weighted average remaining term.
ARMOUR’s swap book totaled $15.34 billion notional. The largest maturity bucket was 25 to 36 months at $3.59 billion, followed by 13 to 24 months at $2.50 billion and 49 to 60 months at $2.15 billion. The weighted average remaining term across swaps was 53 months, and the weighted average rate was 2.74%.
ARMOUR also held a 10.8% equity interest in Buckler Securities. Following these announcements, the company's shares moved -0.17%, and are now trading at a price of $17.10. If you want to know more, read the company's complete 8-K report here.
