REIT Analyst
REITs, research analyst, bonds, long/short equity

Armour Residential - Book Value Estimate Leads To Further Downside

My goal here is to estimate Armour Residential REIT Inc.'s (NYSE:ARR) book value based on the information it has recently provided, and based on the market prices of the various instruments close enough to those it holds.

First, as a word of caution, I should say I have not been able to exactly figure out what these guys at ARR did to burn 50c in BV between the end of Dec. and mid-Feb. (from 7.30 to 6.70 roughly). MBS prices moved a little, but not to that extent, and hedges would have compensated a little bit.

Now their duration gap went from 0.3 to over 1 year, which is as if they had gone down in coupon...

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