Armour Residential REIT ended May with a $22.2 billion portfolio that was 93.8% agency mortgage-backed securities, including $19.5 billion of 30-year fixed-rate pools and $1.3 billion of agency CMBS.
Within the agency book, 30-year fixed-rate pools made up 87.9% of the portfolio. The largest concentration was in 30-year 5.5% pools at $5.7 billion, or 25.6% of the portfolio, followed by 30-year 5.0% pools at $4.1 billion, or 18.6%, and 30-year 6.0% pools at $3.6 billion, or 16.2%.
The company’s leverage stood at 7.9 times debt-to-equity, with implied leverage at 8.0 times. Liquidity totaled $1.16 billion, equal to 46% of total capital. Market capitalization was $2.06 billion, and the common stock traded at $17.15.
Armour declared a June common dividend of $0.24 a share, implying a current dividend yield of 16.8%.
On the funding side, total repo borrowings were $19.87 billion. Buckler Securities provided $9.29 billion, or 46.8% of repo positions, while all other counterparties supplied $10.57 billion, or 53.2%. The weighted average original repo term was 58 days, with 37 days remaining and a longest maturity of 981 days across all counterparties.
The company’s swap book totaled $15.34 billion in notional value. The largest tranche was $3.59 billion maturing in 25 to 36 months, with a weighted average rate of 3.53% and 30.3 months remaining. Another $2.50 billion matured in 13 to 24 months at 3.62%, while $2.15 billion ran 49 to 60 months at 0.93%. The longest-dated swap bucket, beyond 120 months, totaled $775 million at 4.22%.
Treasury longs added another $982 million to the portfolio, while net TBA positions were $399 million. As a result of these announcements, the company's shares have moved -0.17% on the market, and are now trading at a price of $17.10. Check out the company's full 8-K submission here.
