Armour Residential REIT, Inc. Q1 FY2025 earnings call

• Financial Results: Q1 GAAP net income was $24.3M, net interest income $36.3M, distributable earnings $64.6M. Capital raised via common stock and preferred C shares. Management fees waived $1.65M. Dividends: $0.24 per share monthly, total $0.72 for Q1.
• Portfolio: Agency portfolio had 2bps tightening in Q1, widened 15bps in April. Net portfolio duration 0.5 years, implied leverage 8.1x, liquidity 50% of capital. Hedge book: 30% treasury-based, rest OAS/SOFR swaps. Portfolio in 95% Agency MBS, diversified across coupons, 5% in 5-year Agency CMBS. Prepayment rates: 6.1 CPR in Q1, trending 7.8 CPR in Q2. Funding: 40%-60% with affiliate, rest with 15-20 counterparties, average gross haircut 2.75%.

ARMOUR Residential REIT's Q1 GAAP net income available to common stockholders was $24.3 million or $0.32 per common share. Net interest income was $36.3 million. Distributable earnings available to common stockholders was $64.6 million or $0.86 per common share. ARMOUR Capital Management waived $1.65 million of management fees for Q1. During Q1, ARMOUR raised approximately $371 million of capital by issuing ~20 million shares of common stock and $300,000 of capital by issuing ~17,000 shares of preferred C shares. Quarter end book value was $18.59 per common share, and as of April 23, it was $16.56 per common share after accrual of April dividends.

• Dividend aim: Attractive and stable medium-term dividend. Paid $0.72 per share in Q1, next dividend $0.24 on April 29, declared $0.24 for May.
• Macro backdrop: Rates market pricing over 3 Fed cuts, SLR discussions and QT tapering support bank demand for Agency MBS.

Forward-looking statements subject to change, non-GAAP measures, risks from factors beyond control as per SEC filings. Market volatility, swap spread normalization concerns, term funding premiums, GSE reform uncertainties.

Q: Doug Harter asked about risk management, leverage, and selling assets.

A: Scott Ulm responded on liquidity, leverage, and balancing opportunities.

Q: Trevor Cranston inquired about portfolio allocation and post-quarter end sales.

A: Desmond Macauley talked about diversified portfolio, bias to production coupons, and post-sales in April.

Q: Randy Binner asked about GSE reform and pricing in the market.

A: Scott Ulm discussed sovereign backstop and GSE reform details; Sergey Losyev spoke about GSE swap stability.

Q: Eric Hagen questioned swap spreads and SLR relief impact.

A: Desmond Macauley on hedge diversification; Scott Ulm on SLR impact on repo funding.

Q: Christopher Nolan asked about book value, dividend sustainability, and bank appetite.

A: Gordon Harper on book value; Scott Ulm on dividend sustainability; Sergey Losyev on bank appetite.

Q: Christopher Nolan asked about Q2 distributable EPS vs dividend.

A: Scott Ulm stated they traditionally don't comment on forward-looking statements on that