Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — Corporate Update (December 2015)
12 slides from Armour Residential Reit's corporate update, Dec 22, 2015
Slide 1: ARMOUR Residential REIT Company Update December 22, 2015
ARMOUR RESIDENTIAL REIT, Inc. Company Update December 22, 2015
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: December 2015 Commentary
December 2015 Commentary 3 On December 16, the Federal Reserve increased the Federal Funds target rate to between 0.25% and 0.50%. In the short term, this will cause funding rates to go higher, and therefore the earnings potential of the company will be lower. The spread between 10 year interest rat
Slide 4: Monthly Metrics
ARMOUR Monthly Metrics 4 (1) Some of the data may be based on information preceding the date of the report (i.e., closing prices). (2) A portion of the dividend payable has been subtracted from the book value range based on accrual throughout the month. (3) Leverage does not include TBA dollar rolls
Slide 5: 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.(2) • Hedge positions are marked-to-market daily (GAAP/Tax differences). • Non-Exe
Slide 6: 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. • 4.55 gross asset duration. • -4.23 hedge duration. • 0.33 net balance sheet duration. Hedge a minimum of 40% of assets and funding rate risk. • $8.8 billion
Slide 7: Portfolio Strategy and Investment Methodology
ARMOUR Portfolio Strategy and Investment Methodology 7 Diversify Broadly • Diversification limits idiosyncratic pool risk. • Over 1300 cusips. Highly Liquid Assets • Purchase those Agency securities that are highly liquid (easily traded and priced). • ARMOUR purchases “pass-through” securities.
Slide 8: Portfolio and Derivatives Overview
ARMOUR Portfolio and Derivatives Overview 8 Duration estimates are derived from third-party software. Actual realized yields, durations and net durations described herein will depend on a number of factors that cannot be predicted with certainty. If rates decline, the value of our derivatives will t
Slide 9: Hedge Portfolio
ARMOUR Hedge Portfolio 9 Information as of 12/18/2015. Some totals may not foot due to rounding. Derivative Type Remaining Term Weighted Average Remaining Term (Months) Notional Amount (millions) Weighted Average Rate Interest Rate Swap 0-12 Months 0 -$ 0.00 Interest Rate Swap 13-24 Months 19 350.0$
Slide 10: Portfolio Constant Prepayment Rates (CPR)
ARMOUR Portfolio Constant Prepayment Rates (“CPR”) 10 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 twelv
Slide 11: REPO Composition
ARMOUR REPO Composition 11 (1) ARMOUR has 39 lending counterparties. Information as of 12/18/2015. Some totals may not foot due to rounding. 1 Mitsubishi UFJ Securities (USA), Inc. 974.7$ 8.1% 77 31 45 2 Morgan Stanley & Co. LLC 882.5$ 7.4% 65 23 28 3 ICBC Financial Services LLC 875.9$ 7.3% 89 39 61
Slide 12: ARMOUR Residential REIT, Inc. contact details
12 www.armourreit.com ARMOUR Residential REIT, Inc. 3001 Ocean Drive Suite 201 Vero Beach, FL 32963 772-617-4340
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