Seeking Alpha

My goal here is to estimate Armour Residential REIT Inc.'s (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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