ARMOUR Residential REIT – May Portfolio Reaches $22.2 Billion

By Hao Liu • Saturday, June 13 16:01 • Permanent Link

ARMOUR Residential REIT ended May with a $22.2 billion portfolio, up from the prior month’s level implied by its current mix of agency mortgage-backed securities and Treasury positions, while leverage remained elevated at 7.9 times debt-to-equity and implied leverage at 8.0 times.

The company reported common stock at $17.15 and liquidity of $1.162 billion, equal to 46% of total capital. Market capitalization for the first quarter was $2.062 billion.

The portfolio was concentrated in agency mortgage assets, which made up 93.8% of holdings, or $20.818 billion. Within that, 30-year fixed-rate pools accounted for 87.9% of the portfolio, or $19.516 billion. The largest coupon bucket was 30-year 5.5s at 25.6% of the portfolio and $5.686 billion, followed by 30-year 5.0s at 18.6% and $4.140 billion, and 30-year 6.0s at 16.2% and $3.597 billion.

Agency CMBS represented 5.9% of the portfolio, or $1.302 billion. Net TBA positions were 1.8%, or $399 million, and U.S. Treasury long positions were 4.4%, or $982 million.

On the financing side, total repo borrowings were $19.867 billion. Buckler Securities provided $9.294 billion, or 46.8% of repo, with a weighted average original term of 54 days and remaining term of 41 days. Other counterparties supplied $10.573 billion, or 53.2%, with a weighted average original term of 61 days and remaining term of 39 days. The longest repo maturity was 133 days with Buckler and 981 days across other counterparties.

ARMOUR’s swap book totaled $15.339 billion notional. The largest maturity bucket was 25 to 36 months at $3.593 billion, followed by 13 to 24 months at $2.500 billion and 49 to 60 months at $2.150 billion. The weighted average remaining term across swaps was 53 months, with a weighted average rate of 2.74%.

The June common dividend was set at $0.24 per share, with an ex-dividend date and record date of June 15 and a payment date of June 29. At the June stock price, the company cited a current dividend yield of 16.8%. 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.

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