Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — JMP Securities Client Presentation (December 2013)
8 slides from Armour Residential Reit's conference presentation, Dec 12, 2013
Slide 1: JMP Securities Client Presentation
ARMOUR RESIDENTIAL REIT, Inc. JMP Securities Client Presentation December 12, 2013 THE INFORMATION PRESENTED HEREIN IS UNAUDITED AND UNREVIEWED AND IS OF 12/10/2013 AND INCLUDES MANAGEMENT’S ASSUMPTION OF THE ESTIMATED IMPACT OF ALL FORWARD SETTLING TRADES THROUGH 12/17/2013. THE ACTUAL BALANCE SHEE
Slide 2: Important Regulatory and Yield Estimate Risk Disclosures
PLEASE READ: Important Regulatory and Yield Estimate Risk Disclosures 2 Certain statements made in this presentation regarding ARMOUR Residential REIT, Inc. (“ARMOUR” or the “Company”), and any other statements regarding ARMOUR’s future expectations, beliefs, goals or prospects constitute forward-lo
Slide 3: Capitalization, Dividend Policy, Transparency and Manager
ARMOUR Capitalization, Dividend Policy, Transparency and Manager • Portfolio and liability details are updated monthly at www.armourreit.com. • Premium amortization is expensed monthly as it occurs. No yield smoothing. • Hedge positions are marked-to-market daily (GAAP/Tax differences). • Non-Execut
Slide 4: Balance Sheet Targets
ARMOUR Balance Sheet Targets ARMOUR invests in Agency mortgage securities. Net balance sheet weighted average duration target of 1.5 or less. • 5.61 gross asset duration. • -4.09 hedge duration. • 0.50 net balance sheet duration. Hedge a minimum of 40% of assets and funding rate risk. • $16.1 billio
Slide 5: Strategy and Investment Methodology
ARMOUR Portfolio Strategy and Investment Methodology 5 Diversify Broadly • Diversification limits idiosyncratic pool risk. • Over 900 cusips. Highly Liquid Assets • Purchase those Agency securities that are highly liquid (easily traded and priced). • ARMOUR purchases “pass-through” securities. •
Slide 6: Portfolio and Derivatives Duration Detail
ARMOUR Portfolio and Derivatives Duration Detail 6 Duration estimates are derived from third-party software. Actual realized yields, durations and net durations described herein will depend on a number of factors that cannot be predicted with certainty. If rates decline, the value of our derivatives
Slide 7: Constant Prepayment Rates (CPR)
ARMOUR Portfolio Constant Prepayment Rates (“CPR”) 7 ARMOUR expenses premium amortization monthly as it occurs. Constant Prepayment Rate (“CPR”) is the annualized equivalent of single monthly mortality (“SMM”). CPR attempts to predict the percentage of principal that will prepay over the next twelve
Slide 8: ARMOUR Residential REIT, Inc. contact
8 www.armourreit.com ARMOUR Residential REIT, Inc. 3001 Ocean Drive Suite 201 Vero Beach, FL 32963 772-617-4340
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