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Text: armourreit.com, along with our Form 10-K and most recent company update.
Also our discussion today may include reference to certain non-GAAP measures.
An online replay of this conference call will be available on ARMOUR's website shortly and will continue for one year.
U.S. financial markets continued to stabilize and improve during the fourth quarter, and ARMOUR continues to concentrate its portfolio activity in Agency MBS, which we will do for the foreseeable future.
Quarter-end book value was $12.32 per common share, up $0.58 from Q3 2020.
As of the close of business last Friday, February 12, we estimate book value to be approximately $12.90 per common share ex dividend.
ARMOUR's Q4 comprehensive income was $60.2 million or $0.89 per common share.
We paid dividends of $0.10 per common share for each month in the fourth quarter for a total of $19.6 million.
We've also declared February and March common dividends at the rate of $0.10 per share and Series C preferred stock dividends for Q1 at the rate of $0.14583 per share.
The fourth quarter of 2020 provided favorable conditions for mortgage investors and ARMOUR REIT.
A one-two punch of fiscal action from Washington and all-out commitment from the Fed to the U.S. Treasury and mortgage-backed securities markets created a wave of liquidity that drove asset spreads significantly tighter in the fourth quarter.
The trends have continued into the first quarter of 2021 as markets anticipate a new wave of fiscal stimulus from Congress in the near future.
The demand for yield from private investors, combined with the official QE purchases, delivered a strong MBS performance during a period when longer-term treasury yields rose significantly off their 2020 lows.
Echoing the positive market sentiment, repo financing also improved over the quarter, dropping from 20 to 25 basis points in the third quarter for 30-day tenors, down to 15 to 20 basis points currently.
The flip side of all the good news is that historically low mortgage rates helped create the largest wave of home for loan refinancing since 2003.
Faster prepayments at higher prices tampered down new yield opportunities in the market.
The TBA dollar roll market remains the most attractive proposition as the Fed's growing footprint in the sector generates significantly higher returns versus those on agency CMBS or specified MBS pools.
And we expect the Fed's presence to persist at least for the first half of 2021, if not longer.
While we do allocate approximately 36% of our portfolio to dollar rolls in 30-year and 15-year TBAs, 94% of the remaining portfolio are assets with favorable prepayment protection characteristics, including prepayment penalties, lower loan balances and seasoning.
Such pools held up very well as expected.
The average CPR in our portfolio was 17.3% as of the fourth quarter versus 16% in the third quarter, which were both significantly below the aggregate speeds on more generic MBS.
Year-to-date, the portfolio is averaging 17.9% CPR.
Our response to the tighter spread, higher prepayment mortgage environment has been to exercise caution.
This is reflected in our implied leverage ratio of 7.7 at the end of the fourth quarter and 6.9 implied leverage ratio currently.
These numbers are considerably lower than our historical leverage levels and provide two or more terms of that additional dry powder to take advantage of market opportunities.
ARMOUR's duration as of year-end was 0.62 and is currently 0.76.
As a result of our early investment in specified pools, the portfolio's convexity profile remains significantly more favorable than that of newly issued MBS.
ARMOUR continuously monitors its hedge book and manages the net duration gap within a tight range dictated by the team's outlook on the rates barker.
It should be noted that a significant portion of the portfolio's duration is in the key rate buckets of inside three years, where we expect yields to be pegged close to 0 for the foreseeable future.
Our exposure to the long end of the curve is considerably less than our overall duration.
While we accept the apparent market consensus that the Fed's presence and support for the market is here to stay for a prolonged period, we also have a keen appreciation for the unexpected.
We will continue to shape our portfolio to protect book value and will not reach for yield at the expense of much higher risk.
This means that metrics like core earnings may trend a bit lower, but should work to optimize total economic return.
As we've noted before, we set our dividend policy based on the medium-term outlook on our business.
We continue to see our dividend level as appropriate.
We'd be delighted to take any questions.

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compname reports q4 earnings per share of $0.89.
q4 earnings per share $0.89.

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