ARMOUR Residential REIT (ARR) 2026 年第三季法說會：帳面價值下跌 17%

重點摘要

• ARMOUR Residential REIT (NYSE: ARR) 公布 2026 年第三季普通股股東應佔 GAAP 淨虧損為 3.27 億美元，折合每股普通股虧損 2.26 美元。
• 普通股股東可分派盈餘為 1.023 億美元，即每股 0.71 美元，而第三季普通股股利總計為每股 0.72 美元。
• 截至季末，每股普通股淨值較 6 月 30 日下降 17% 至 14.55 美元。截至 10 月 19 日，該公司估計每股淨值為 14.65 美元，其中包含已計提的 10 月股利。
• 總經濟報酬率為負 12.9%，反映出美債殖利率急劇上升，以及投資組合的選擇權調整後利差擴大 20 個基點，且該利差擴大有約 80% 發生在 9 月。
• 截至季末，可用流動資金為 10.2 億美元。不含國債的隱含槓桿倍數為 8.2 倍，在根據預期償付額進行調整後，截至 10 月 19 日降至 7.9 倍。
• 管理層對中期的機構抵押擔保證券 (Agency MBS) 仍持正面看法，理由是利差擴大、供應受限以及附買回市場 (repo) 條件有利；但同時表示，近期若要持續復甦，仍需要美債殖利率與波動度展現更高穩定性。

核心財務數據

業務與投資組合表現

本季末機構抵押擔保證券 (Agency MBS) 市況惡化，主因美債殖利率上升 70 至 80 個基點。利率波動度也在 9 月劇烈上升，拉長了房貸存續期間並加劇賣壓。

ARMOUR 進入第三季時槓桿率處於歷史低位，且淨存續期間風險敞口有限。即便如此，其投資組合的選擇權調整後利差仍擴大了 20 個基點，將季末的淨存續期間風險敞口推升至 0.38 年。

該公司在本季淨增加約 14 億美元的 MBS 資產。自 9 月下旬開始，公司出售了約 9 億美元的資產，主要為表現優於整體房貸市場的 DUS 組合與深幅折價的老舊 MBS。管理層表示，這些出售行動支持了流動性與目標槓桿率，同時實現了相對收益。

ARMOUR 計劃將所得資金與償付額再投資於適度折價的 MBS，特別是 9 月利差擴大最多的票息證券。管理層預估，視票息而定，潛在槓桿報酬率可達 15% 至 18%。

該投資組合仍完全投資於機構 MBS 與 DUS 證券。超過 96% 的 MBS 持倉為具備優質提前還款特性的特定組合 (specified pools)。在 30 年期符合標準的房貸利率接近 7.5% 的情況下，管理層預計未來幾個月提前還款速度將大致保持穩定。

Swap 對沖對 repo 融資的比率達到約 89%，創下 2022 年以來的最高水準。投資組合中近一半是透過關聯券商 Buckler Securities 進行融資，使 ARMOUR 得以在適當時候選擇性使用隔夜 repo，並避免支付期限溢價。

管理層展望

管理層預計下一季可用於分配的可分派盈餘將維持在股利水準附近，同時強調公司不提供正式的前瞻性指引。

ARMOUR 維持每月每股 0.24 美元的普通股股利。公司已宣佈向 10 月 15 日登記在冊的股東發放將於 10 月 29 日支付的股利，並將於 11 月 27 日向 11 月 16 日登記在冊的股東支付額外的 0.24 美元股利。

公司的基準情境是聯準會將實施溫和的升息週期，而非重演 2022 至 2023 年的情況。管理層引用了聯準會 9 月的預估，指出即使是一些較為鷹派的參與者，也僅預期 2026 年會再升息 25 個基點，2027 年再升息一次。

管理層表示，當總體經濟與通膨狀況更加明朗時，公司有能力提高槓桿率。管理層亦預期房貸發放受限、機構 MBS 淨供應量有限以及有利的附買回條件將支持投資組合利差收益 (carry)。

風險與關注焦點

• 持續的通膨可能導致聯準會進一步緊縮政策，並推升短期融資成本。
• 美債殖利率若進一步波動，可能會拉長房貸存續期間，並延後機構 MBS 價格的持續復甦。
• 地緣政治緊張局勢、財政赤字上升以及企業債發行量增加，可能會延長更廣泛的債券市場波動。
• 年底的資產負債表緊縮可能會影響附買回市場，但管理層依然認為第四季初的附買回流動性與利差情況良好。
• 股票回購必須在流動性需求與日後再次籌集資本的能力之間取得平衡。

分析師問答重點

管理層表示，9 月的資產出售集中在 5 年期與 10 年期 DUS 組合，以及表現優異的老舊深幅折價票息證券。所得資金預計將重新投入 4.5% 和 5% 的票息證券，以及受益於較慢提前還款速度的部分較高票息證券。

在資本配置方面，ARMOUR 表示通常會在股價接近每股淨值時使用按市價發行 (at-the-market) 計畫，並在折價更具吸引力時考慮回購。該公司在第三季發行了約 1,240 萬股普通股，籌集 2.057 億美元，並於 9 月底回購了 363,700 股普通股。

管理層將流動性描述為在平衡股票回購與增加投資組合槓桿時的主要限制因素。其壓力測試已納入類似疫情期間的極端情境，且在 9 月的波動之後未作任何修正。

ARMOUR 繼續以大約 80% 的利率交換 (swaps) 與 20% 的期貨作為避險組合目標。公司允許存續期間在狹窄區間內有限度變動，以避免因房貸負凸性 (negative convexity) 改變投資組合風險敞口而進行過度重新避險。

管理層還指出有跡象顯示房利美 (Fannie Mae) 與房地美 (Freddie Mac) 在 9 月的波動期間表現活躍。在監管上限下仍有超過 1,000 億美元額度的情況下，公司將這些政府贊助企業 (GSE) 視為機構 MBS 利差擴大時的潛在後盾買家。

法說會完整逐字稿

完整財報電話會議逐字稿

管理層陳述

Operator

Good day, and welcome to the ARMOUR Residential REIT's Third Quarter 2026 Earnings Conference Call [Operator Instructions] Please note this event is being recorded. I would now like to turn the conference over to the CEO, Mr. Scott Ulm. Please go ahead, sir.

Scott Ulm

Good morning, and welcome to our third quarter 2026 conference call. This morning, I'm joined by our Chief Financial Officer, Gordon Harper; as well as our Co-Chief Investment Officer, Sergey Losyev; and Desmond Macauley. Let me turn the call over now to Gordon to run through the financial results.

Gordon Harper

Thank you, Scott. By now, everyone has access to ARMOUR's earnings release and our Q3 2026 investor presentation, which can be found on ARMOUR's website, www.rmmerit.com. This conference call includes forward-looking statements are intended to be subject to the safe harbor protection provided by the Private Securities Litigation Reform Act of 1995.

The Risk Factors section of ARMOUR's periodic reports filed with the Securities and Exchange Commission describe certain factors beyond ARMOUR's control that could cause actual results to differ materially from those expressed in or implied by these forward-looking statements. Those periodic filings can be found on the SEC's website at www.sec.gov. All of today's forward-looking statements are subject to change without notice. We disclaim any obligation to update them unless required by law. Also, today's discussion refers to certain non-GAAP measures. These measures are reconciled with comparable GAAP measures in our earnings release. An online replay of this conference call will be available on ARMOUR's website shortly and will continue for 1 year.

Our results for the quarter reflect the significant widening of mortgage spreads in the last 3 weeks of the quarter as interest rates rose and the markets reacted to a more hawkish Federal Reserve. ARMOUR's Q3 GAAP net loss related to common stockholders was $327 million or a loss of $2.26 per common share. Net interest income was $83.7 million. Distributable earnings available to common stockholders was $102.3 million or $0.71 per common share. This non-GAAP measure is defined as net interest income plus TBA drop income adjusted for interest income or expense on our interest rate swaps and futures contracts minus net operating expenses. Total economic return was a negative 12.9% for the quarter.

During Q3, ARMOUR raised approximately $205.7 million of capital by issuing approximately 12.4 million shares of common stock and $2.5 million of capital by issuing approximately 123,000 shares of preferred stock through our at-the-market offering programs. We also repurchased at the end of September 363,700 common shares. ARMOUR paid monthly common dividend of $0.24 per common share per month for a total of $0.72 for the quarter. We aim to pay an attractive dividend that is appropriate in context and stable over the medium term. On October 29, 2026, a cash dividend of $0.24 per outstanding common share will be paid to holders of record on October 15, 2026.

We've also declared a cash dividend of $0.24 per outstanding common share payable on November 27 to holders of record on November 16, 2026. Quarter end book value was $14.55 per common share, down 17% from June 30, 2026. Our most current available estimate of book value is as of Monday, October 19, and was $14.65 per common share, which reflects the accrual of the October common dividend I discussed previously.

I will now turn the call over to Chief Executive Officer, Scott Ulm, to discuss ARMOUR portfolio position and current strategy.

Scott Ulm

Thanks, Gordon. Agency MBS faced a challenging late third quarter as macroeconomic pressures overwhelmed the favorable supply-demand dynamics that had supported the market earlier in the year. Persistent inflation prompted the Federal Reserve to raise rates by 25 basis points in September, its first hike since 2023 and signal further tightening. Expectations for higher policy rates, geopolitical tensions, rising fiscal deficits and increased corporate debt issuance drove broad repricing of global bond markets.

Treasury yields rose 70 to 80 basis points over the quarter, while interest rate volatility spiked in September. The sharp increase in yields extended mortgage duration with associated selling pressures likely amplifying the MBS sell-off as the speed of the move sideline potential buyers. Today, mortgage spreads sit near their widest of the year, offering more compelling valuations that support our constructive medium-term outlook. Near term, we believe a sustained recovery in mortgage prices would require greater stability in treasury yields and volatility. Renewed inflation pressures could prompt further Fed tightening action, while geopolitical tensions could prolong market volatility.

Our base case remains a shallow Fed hiking cycle rather than a repeat of 2022, '23 as labor market continues to show no buildup in wage pressures, reducing the risk of a wage price spiral. This view is broadly consistent with the Fed's September summary of economic projections in which even some of the more hawkish participants anticipated only one additional 25 basis point hike in 2026, followed by another 25 basis point increase in 2027.

Looking ahead to the fourth quarter, the underlying supply-demand backdrop remains supportive. Elevated mortgage rates continue to constrain origination and net Agency MBS supply, while limited financing activity and favorable repo conditions support portfolio carry. GSE retained portfolios declined modestly by a reported $2.5 billion in July and August, following substantial purchases earlier in the year, likely reflecting paydowns that were not fully reinvested rather than outright asset sales. We believe Fannie Mae and Freddie have resumed buying during September's volatility, consistent with their role in supporting the Agency MBS market, although official holdings data remain pending. With more than $100 billion of capacity remaining under their regulatory caps, we continue to view the GSEs as meaningful potential backstop buyers at wider spreads. I'll now turn it over to Sergey for more detail on our portfolio.

Sergey Losyev

Thank you, Scott. ARMOR REIT entered the third quarter with historically low leverage and limited net duration exposure, which helped us navigate heightened market volatility. Still, the portfolio's option adjusted spread widened by 20 basis points with approximately 80% of that widening occurring in September. This, in turn, pressured book value and pushed implied leverage, excluding treasuries to 8.2x and net duration exposure to 0.38 years by quarter end, higher yet still historically moderate levels. The available liquidity stood at an ample $1.02 billion at the end of Q3 and is expected to remain near that level through the end of October.

ARMOUR net added approximately $1.4 billion of MBS assets over the course of the third quarter. Starting in late September, we sold approximately $900 million, consisting primarily of DUS pools and deep discount seasoned MBS. Those sales capture relative out performance versus the broader mortgage market and help maintain our strong liquidity position and portfolio target leverage. We plan to eventually reinvest these proceeds and paydowns into moderate discount priced MBS, which have widened the most in September and present the most attractive opportunities with levered returns running from 15% to 18% depending on the coupon.

Portfolio prepayments averaged 8.5% CPR in Q3, down 25% from the prior quarter. With the 30-year conforming mortgage rates nearing 7.5%, we expect prepayment speeds to remain broadly stable in the coming months, providing greater predictability for portfolio earnings and improving convexity profile of our mortgage assets. ARMOR's mortgage portfolio remains invested exclusively in Agency MBS and DUS securities, consistent with its strategy since the 3rd October, since the third quarter of 2020.

And over 96% of our MBS holdings are concentrated in specified pools with favorable prepayment characteristics. Our hedging strategy is designed to manage duration risk across the yield curve and limit exposure to rising funding costs. Our swap hedge to ratio -- hedge to repo ratio stands at approximately 89%, its highest level since 2022. While we believe markets may be pricing in more Fed rate hikes than will ultimately materialize, our hedging position is designed to protect earnings against further increases in short-term rates should inflation and macroeconomic pressures persist.

Despite the New York Fed suspension of treasury bill purchases in August, repo spreads to SOFR have remained tight. Supporting stable portfolio funding through September's Fed rate hike, and we financed nearly 50% of our portfolio through affiliated broker-dealer Buckler Securities, securities, where we selectively use overnight repo to avoid paying term premiums on longer-term financing.

While Chair Powell has moved quickly to establish policy task forces, we do not anticipate significant changes to the Fed's balance sheet policy that would disrupt repo or Agency MBS markets, particularly ahead of the midterm elections. And back to you, Scott.

Scott Ulm

Thanks, Sergey. Monthly dividends are central to ARR's investment approach, providing shareholders with a regular source of income. We set our dividend at a level we consider appropriate for the medium term. Recent volatility in interest rates and Agency MBS spreads has pressured both our share price and book value, resulting in an unusually high dividend at current market prices.

We remain constructive on the Agency MBS market and believe many of the factors driving recent volatility are likely to resolve over the coming months and into next year. Thank you for joining today's call and for your continued interest in ARMOUR.

Operator

[Operator Instructions] and our first question for today will come from Doug Harter with BTIG please go ahead.

分析師問答

Douglas Harter

Hoping you [Technical Difficulty] Could talk about the decision to sell assets in September and kind of the thought process of taking leverage up versus selling assets?

Sergey Losyev

This is Sergey. Yes. So we sold primarily 5-year and 10-year DUS pools as well as some of the deeper discount coupon with maybe 50 to 60 WALA seasoning. This type of collateral really outperformed in September. So the opportunity presented itself to manage our liquidity, manage our leverage and also take profits on some of these assets that have outperformed. So it was really a combination of things that were driving that trade decision. We plan to reinvest the proceeds into some of the coupons that have widened the most over the course of September, particularly 4.5, 5, but as well as some of the higher coupons, which have benefited from slower prepayment environment here at higher rates.

Douglas Harter

Great. Appreciate that. And then on kind of the capital actions, you guys both issued common and preferred, but also bought back stock. Just hoping you could talk about kind of what levels you kind of see interesting to kind of undertake kind of all the various capital actions that you did in the quarter?

Sergey Losyev

Yes. Sure, Doug. Look, we look at issuing under the ATM when we have an attractive price, which means that we're pretty tight to book value when -- and that was sort of the story of the first part of the quarter. And the story of the second part of the quarter is we hit some volatility and saw that we were a good ways away. And that's when we feel we should always be on both sides of the market. And so we just felt the need to put a mark in the book there and buy back some stock. So it's really just that simple. Of course, the moment when you're seeing attractive prices to repurchase is probably when you're also very mindful of liquidity. So we keep that in mind, too, but there is always our sense that we need to look at both sides here.

Operator

The next question will come from Trevor Cranston with JMP please go ahead.

Trevor Cranston

You made the comment towards the end of the prepared remarks about the dividend yield being unusually high right now. Can you maybe expand on your comments around that and how you guys are thinking about the appropriate dividend level today in light of where you're seeing current market returns?

Sergey Losyev

Well, look, we've had volatility both in stock price and book value, which has driven those down. Our view remains constructive here and that a number of the factors that have driven this are -- have a good probability of resolving, maybe not this month, but over the not too long period. And so that plus the fact that we feel that our -- while we don't give forward guidance, as you guys know, our earnings available for distributions, we think, are going to be in the range of the dividend for the coming quarter. So given all of that, also the fact that we've already announced November should give you a sense of how we're feeling. Suggests that there's really, really nothing to do here. And we are where we are on this.

Operator

The next question will come from Marissa Lobo with UBS.

Unknown Analyst

I just wanted to ask about leverage, just given where wider mortgage spreads are and what you described as favorable repo conditions, how are you feeling about the willingness to add to leverage here? Or -- and what is your target range?

Desmond Macauley

Yes. Marissa, this is Desmond Macauley. So our leverage as of Monday, October 19 was 7.9 turns. That's excluding our treasury loans and making some adjustments for expected paydowns. We are comfortable with that level. In the near term, there could be bouts of volatility in the period leading up to the elections.

In addition, recent inflation data has been higher than expected. In the medium term, however, we are constructive given mortgage spreads around the wides of the year plus improved technicals and fundamentals in the mortgage market. So we do have dry powder to add leverage as warranted when we have greater clarity on the macroeconomic outlook as well as inflation.

Unknown Analyst

Okay. Great. And on policy, I mean, just given the increased use of housing policy to influence rate and MBS demand, how are you incorporating that risk into your portfolio construction? And do you see it as primarily an upside to book value or impacting prepayments ultimately?

Desmond Macauley

Stability is good. I think there's a lot of desire to improve affordability here. But we're -- I think across -- we are so out of the money. You'd have to have a pretty good move that would start to impact the optionality there. So delighted that there's focus on keeping stability and improving mortgage rates. But I would -- my sense would be we are -- we've got a long way to go before we start to see a different prepayment environment.

Operator

The next question will come from Jason Weaver with JonesTrading.

Unknown Analyst

This is Val Almar filling in for Jason Weaver. So that duration moved up to 0.38 from about 0. Was that a deliberate position or extension you haven't fully hedged yet there?

Desmond Macauley

Yes, Jason. So as you know, we came into the quarter with our duration relatively flat. And we managed it very closely to a moderate duration profile even with a sharp increase in rates. Now in the back end, we are targeting around flat duration but within our band. So we allow that duration to move as our negative convexity plays a role in moving duration in the back end. So -- and then in the front end of the curve, we target just a very slight positive duration, given that we think market pricing of rate hikes are more than we anticipate. So overall, we manage our duration across the curve. We are looking to keep it within very tight bands. But at the same time, we allow some amount of duration movement so that we don't rehedge very frequently. Does that answer your question?

Unknown Analyst

Yes, it does. And then just a quick one here. With the Fed now, hiking, are you thinking about like swaps versus futures from here or...

Desmond Macauley

We still like on a nominal basis, about an 80-20 mix of swaps versus futures. At the longer end of the curve, we think swaps fair value -- and on the shorter end of the curve, we favor using swaps largely because of swap spread volatility. But overall, the mix that we are still looking at is about 80% swaps, 20% futures.

Operator

The next question will come from Timothy D'Agostino with B. Riley Securities.

Timothy D'Agostino

Just in mind, I know we kind of talked about share repurchases and leverage. But I guess just trying to see if you have any thoughts or providing color on whether you see any kind of friction between the 2 What -- where earlier you talked about repurchasing stock when it's attractive. But then again, you mentioned in another question about additional dry powder to add leverage where you see opportunity.

So I just want to know how you balance maybe share repurchases versus adding more leverage? And then if you kind of feel any friction between the 2 as you kind of progress through the quarter, if you see attractive options to put capital -- leverage capital to work while your stock continues to trade below book value.

Desmond Macauley

So the issue is -- leverage is largely an output here. The real driver is managing liquidity. So that's where that question really comes in, which is -- how are you feeling about liquidity? How much do you want to spend? Also, always mindful that when you take the stock back in, it may be both -- it has both a cost and it may not necessarily be a good time to get it back out there. So you have all of those factors that weigh on your question of, gee, is now the time to buy some stock back. So you have to see something pretty compelling, and it also has to fit in the context of how you are managing your overall liquidity levels, and that weighs on what sort of quantum you're willing to do. I think we're probably conservative in making that decision. But as I said before, we always feel that we have to be willing to be on both sides of the market. I hope that's responsive.

Operator

The next question will come from Jason Stewart with Compass Point.

Jason Stewart

A question on liquidity and funding markets. Sometimes we see the funding markets become a little skittish going into the end of the year when volatility is high. How are you feeling about the depth of repo today and managing that going into the end of the year?

Desmond Macauley

Jason, this probably was one of the few quarters when the quarter end repo was extremely liquid and soft. So we continue to see tight repo to SOFR spreads here early in Q4. We do expect some balance sheet tightening up into year-end. But we also know that the New York Fed stands by in terms of reopening their RRPs or the T-bill purchases that we were doing earlier in the year in case liquidity gets tight in the banking system. So from that standpoint, repo has really been the shining star here of the market and giving us a lot of confidence into year-end even.

Scott Ulm

And I'd also note, while we're active with 20 counter parties across the global street, if you will, we also enjoy the ability to finance about half of our portfolio through our securities affiliate BUCKLER. And that also gives us access across the curve as we mentioned, the ability to go overnight if we wish as well as access to term opportunities. So we try to keep all of those options open, which has been extremely helpful when we found things a little bit tighter, even though that's not the situation we're in this quarter, thankfully.

Jason Stewart

Got it. Okay. That's helpful. And then on the GSEs, I mean, I think we all know how much capacity is left to buy and where we're at in terms of spread levels. Are you looking for any markers for increased activity and maybe as a catalyst for spread tightening from the GSEs?

Desmond Macauley

Yes. So I mean, look, we had an official confirmation from pool data in September regarding GSE activity. We've also seen them cut down the specified pool auction sizes throughout the month. So some of these signs do point to the fact that they were engaged in the market. We haven't seen the official numbers yet. Of course, they're coming towards the end of the month, but it will be interesting to see back in March, when we had similar spread levels, volatility spike, we saw them policing in the market from the spread standpoint. So we do expect some buying to show up.

Operator

The next question will come from David Storms with Stonegate Capital.

David Storms

Just curious with the volatility in September, have you made any changes to the liquidity stress testing that you do? Or are you kind of looking through some of this volatility and keeping a focus on the medium term?

Desmond Macauley

Yes. Dave, the stress testing that we had even going into September is pretty robust, and we test our liquidity on the extreme stress scenarios. We use COVID-like levels in terms of what took place at that time. So we like to be consistent there. We've not had to change anything. We continue to monitor our liquidity. And that obviously plays a role in terms of how we look at leverage too in deciding whether we want to increase leverage or keep it around these levels. So haven't changed it, but it was pretty robust. And extreme stress testing scenario we had going into September. And that enabled us to stay focused and not have to sell assets because of liquidity.

David Storms

Understood. And if I could sneak one more in, just maybe a clarification on where you expect Fed rates to go. It sounded like in the prepared remarks, you were in line with market expectations on fund rate cut this year and one next year. But then an answer to one of the questions, it sounded like you were positioning yourself to be a little more dovish on the short end of the curve, thinking that markets were pricing in early rate cuts. Did I miss something there?

Desmond Macauley

Markets are pricing about 3 to 4 cuts by the end of 2027. And our view here is the base case is 2 cuts by the end of 2027. So we are on the dovish side of the market. But if you compare our view to the dot plot by the FOMC, that's really on the hawkish side. The most hawkish members are expecting just 2 cuts, one at the end of this year and one at the end of next year. The reason for us having just a slight positive duration in the front end is because we do feel that market pricing of Hikes is more than we anticipate. Does that clear that up?

Operator

And this concludes our question-and-answer session. I would like to turn the conference back over to Mr. Scott Ulm for any closing remarks. Please go ahead.

Scott Ulm

Thank you very much. We appreciate your interest in ARMOUR REIT, and thank you for attending this morning.

Operator

The conference has now concluded. Thank you for attending today's presentation. You may now disconnect.